0001752724-20-012439.txt : 20200127
0001752724-20-012439.hdr.sgml : 20200127
20200127124138
ACCESSION NUMBER: 0001752724-20-012439
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191129
FILED AS OF DATE: 20200127
PERIOD START: 20200531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Franklin Alternative Strategies Funds
CENTRAL INDEX KEY: 0001535538
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0531
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22641
FILM NUMBER: 20548339
BUSINESS ADDRESS:
STREET 1: ONE FRANKLIN PARKWAY
CITY: SAN MATEO
STATE: CA
ZIP: 94403-1906
BUSINESS PHONE: 650-312-2000
MAIL ADDRESS:
STREET 1: ONE FRANKLIN PARKWAY
CITY: SAN MATEO
STATE: CA
ZIP: 94403-1906
0001535538
S000049976
Franklin K2 Long Short Credit Fund
C000157807
Advisor Class
FKLZX
C000157808
Class A
FKLSX
C000157809
Class C
FKLCX
C000157810
Class R
FKLRX
C000157811
Class R6
FKLQX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001535538
XXXXXXXX
S000049976
C000157809
C000157810
C000157811
C000157807
C000157808
Franklin Alternative Strategies Funds
811-22641
0001535538
549300QVPTHF1B1GGL64
One Franklin Parkway
San Mateo
94403-1906
650-312-2000
Franklin K2 Long Short Credit Fund
S000049976
549300N9C1E4TELF5J51
2020-05-31
2019-11-29
N
145125089.69
18607588.63
126517501.06
0
0
0
0
0
0
0
0
0
0
2874582.85
0
0
13300560.41
BRL
USD
EGP
CNY
RUB
EUR
GBP
N
IMPAC CMB TRUST
N/A
Impac CMB Trust Series 2004-8
45254NKW6
139109.64380000
PA
USD
138882.53000000
0.109773374305
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
4.33300000
N
N
N
N
N
N
CHINA ZHESHANG BANK
300300C1031633000208
China Zheshang Bank Co Ltd
000000000
-72000.00000000
PA
USD
-71640.00000000
-0.05662457715
Short
DBT
CORP
CN
N
2
N/A
Floating
5.45000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
CDS CDX.NA.HY.25
000000000
1.00000000
NC
USD
-28033.02000000
-0.02215742467
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IHS MARKIT LTD
CDX.NA.HY.25.V1
Y
Default Event
2020-12-20
13578
USD
0
USD
1357800
USD
-41799.61
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
699.20000000
0.000552650814
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-136978.63000000
USD
8880324.58000000
RUB
2019-12-18
699.2
N
N
N
STAPLES 04/09/26
N/A
STAPLES 04/09/26
000000000
379230.52960000
PA
USD
374997.94000000
0.296400052844
Long
LON
CORP
US
N
2
2026-04-09
Floating
0.10000000
N
N
N
N
N
N
Grippen Park CLO LTD
549300P7KR0IARP7PG22
Grippen Park Clo Ltd
39862EAD6
500000.00000000
PA
USD
490905.50000000
0.388013907868
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
5.26588000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS SOTBANK GROUP
000000000
1.00000000
NC
3489.91000000
0.002758440508
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2023-12-20
4546.57
USD
0
USD
12747000
JPY
-1059.89
N
N
N
Home Partners of America Trust
N/A
Home Partners of America 2018-1 Trust
43730WAJ5
1200000.00000000
PA
USD
1201973.64000000
0.950045353353
Long
ABS-O
CORP
US
N
2
2037-07-17
Floating
3.61250000
N
N
N
N
N
N
Motel 6 Trust
N/A
Motel 6 Trust 2017-MTL6
61975FAQ2
583715.22400000
PA
USD
588971.64000000
0.465525824542
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Floating
6.01538000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust
939344AM9
316660.98330000
PA
USD
249897.10000000
0.197519788097
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.78800000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS JAGUAR LAND
000000000
1.00000000
NC
-263.67000000
-0.00020840594
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
JAGUAR LAND ROVER AUTO
JAGUAR LAND ROVER AUTO
Y
Default Event
2024-12-20
165.84
USD
0
USD
18000
EUR
-432.26
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2068.33000000
-0.00163481730
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-50000.00000000
GBP
62749.00000000
USD
2020-01-31
-2068.33
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS SOAF
000000000
1.00000000
NC
USD
2001.94000000
0.001582342350
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2022-06-20
19787.83
USD
0
USD
376000
USD
-17796.33
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
1430.82000000
0.001130926542
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2023-12-20
5554.76
USD
0
USD
63000
USD
-4125.69
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
-518.63000000
-0.00040992747
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-217214.46000000
USD
13979379.70000000
RUB
2019-12-18
-518.63
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAS4
884000.00000000
PA
USD
990355.81000000
0.782781671865
Long
DBT
CORP
LU
N
2
2022-09-30
Fixed
9.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS K HOVNANIAN
000000000
1.00000000
NC
USD
9269.69000000
0.007326804530
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2024-12-20
12552.8
USD
0
USD
34000
USD
-3287.83
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HERTZ CORPORATION
000000000
1.00000000
NC
USD
-13155.05000000
-0.01039781049
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
HERTZ CORP
Hertz Corp/The
Y
Default Event
2021-12-20
1215.44
USD
0
USD
136000
USD
-14389.38
N
N
N
AMERICAN NEWS COMPANY
N/A
American News Co LLC
02862PAA5
248771.00000000
PA
USD
264287.47000000
0.208894001055
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
8.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308GZ4
55000.00000000
PA
USD
54638.93000000
0.043186855211
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.45000000
Y
N
N
N
N
N
Banc of America Mortgage Secur
N/A
Banc of America Mortgage 2005-L Trust
05949CPM2
314999.09130000
PA
USD
306831.04000000
0.242520629501
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
4.64534800
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
47.78000000
0.000037765526
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TRANSOCEAN INC SR NT
TRANSOCEAN INC SR NT
Y
Default Event
2022-06-20
39.87
USD
0
USD
2000
USD
7.63
N
N
N
SOFTBANK GROUP CORP
5493003BZYYYCDIO0R13
SoftBank Group Corp
000000000
-300000.00000000
PA
USD
-304515.19000000
-0.24069017127
Short
DBT
CORP
JP
N
2
2027-09-19
Fixed
5.12500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS MEXICAN 4.15 MARCH 2027
000000000
1.00000000
NC
USD
-5987.41000000
-0.00473247570
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
UNITED MEXICAN STATES
Mexico Government International Bond
Y
Default Event
2023-06-20
0
USD
-63.11
USD
449000
USD
-5936.77
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
21958.16000000
0.017355828099
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2070-03-18
0
GBP
0
GBP
361637
GBP
21958.16
N
N
N
Dean Foods Co
5RGFDMYH829UYJH0KY29
Dean Foods Co
242370203
-46977.00000000
NS
USD
-4871.51000000
-0.00385046334
Short
EC
CORP
US
N
1
N
N
N
JP MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
000000000
3471000.00000000
PA
215927.64000000
0.170670174632
Long
SN
CORP
US
N
2
2024-09-12
Fixed
14.35000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXIII Ltd
55820TAE8
700000.00000000
PA
USD
690404.26000000
0.545698622100
Long
ABS-CBDO
CORP
KY
N
2
2030-07-27
Floating
4.28563000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
19703.43000000
0.015573679400
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-164262931.00000000
CLP
224310.98000000
USD
2019-12-18
19703.43
N
N
N
Sanofi
549300E9PC51EN656011
Sanofi
80105N113
27126.00000000
NS
USD
23328.36000000
0.018438840322
Long
EC
CORP
FR
N
1
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
18700.48000000
0.014780943223
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
23396.63
USD
0
USD
138000
USD
-4715.32
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - PLN
000000000
1.00000000
NC
USD
-1634.74000000
-0.00129210582
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-168236.69000000
USD
652354.60000000
PLN
2019-12-18
-1634.74
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
7091.67000000
0.005605287759
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2023-06-20
0
USD
-2327.95
USD
98000
USD
9406.01
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS NORDSTROM
000000000
1.00000000
NC
USD
361.73000000
0.000285913013
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
NORDSTROM INC
NORDSTROM INC
Y
Default Event
2024-06-20
3098.2
USD
0
USD
60800
USD
-2738.16
N
N
N
NEIMAN MARCUS TL 10/25/23
N/A
NEIMAN MARCUS TL 10/25/23
000000000
307451.80000000
PA
USD
225592.76000000
0.178309528808
Long
LON
CORP
US
N
2
2023-10-25
Floating
8.37950040
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS MITSUI OSK LINES
000000000
1.00000000
NC
-576.10000000
-0.00045535202
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
MITSUI OSK LINES LTD
MITSUI OSK LINES LTD
Y
Default Event
2022-06-20
0
USD
-142.15
USD
3618000
JPY
-434.86
N
N
N
GOLDMAN SACHS & CO LLC
FOR8UP27PHTHYVLBNG30
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
-5.70000000
-0.00000450530
N/A
DE
CORP
US
N
2
GOLDMAN SACHS & CO LLC
FOR8UP27PHTHYVLBNG30
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-26
0
USD
0
USD
98
USD
-5.7
N
N
N
MACDONALD DETT T 10/04/24
N/A
MACDONALD DETT T 10/04/24
000000000
199714.16000000
PA
USD
177638.56000000
0.140406314155
Long
LON
CORP
US
N
2
2024-10-04
Floating
0.01000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
-2460.25000000
-0.00194459262
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2024-12-18
0
CNY
0
CNY
3332157
CNY
-2460.25
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS KOHLS
000000000
1.00000000
NC
USD
17962.41000000
0.014197569387
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2024-12-20
25034.37
USD
0
USD
1151000
USD
-7103.93
N
N
N
AMSR 2019-SFR1 Trust
N/A
AMSR 2019-SFR1 H 1/27
00178XAH6
750000.00000000
PA
USD
749960.85000000
0.592772417820
Long
ABS-O
CORP
US
N
2
2027-01-17
Fixed
6.04000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-3
35563PCE7
40000.00000000
PA
USD
40370.10000000
0.031908708014
Long
ABS-MBS
CORP
US
N
2
2056-07-25
Variable
4.00000000
N
N
N
N
N
N
B&G FOODS INC
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508WAB1
-174000.00000000
PA
USD
-170302.50000000
-0.13460785944
Short
DBT
CORP
US
N
2
2027-09-15
Fixed
5.25000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
58811.65000000
0.046484991805
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
73580.7
USD
0
USD
434000
USD
-14829.33
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HERTZ CORP
000000000
1.00000000
NC
USD
-6577.53000000
-0.00519890919
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
HERTZ CORP
Hertz Corp/The
Y
Default Event
2021-12-20
967.74
USD
0
USD
68000
USD
-7554.71
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAS0
78000.00000000
PA
USD
81997.50000000
0.064811191584
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308JA6
145000.00000000
PA
USD
146500.39000000
0.115794564998
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.65000000
Y
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS K HOVNANIAN ENTERPRISES
000000000
1.00000000
NC
USD
4752.04000000
0.003756033718
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K Hovnanian Enterprises Inc
Y
Default Event
2023-12-20
5392.95
USD
0
USD
21000
USD
-643.83
N
N
N
GPMT Ltd.
N/A
GPMT 2019-FL2 Ltd
36259BAJ6
1000000.00000000
PA
USD
1000500.00000000
0.790799685116
Long
ABS-CBDO
CORP
KY
N
2
2036-02-22
Floating
4.71538000
N
N
N
N
N
N
Freddie Mac - STACR
549300MHCI0CUXMJQS62
Freddie Mac Stacr Trust 2019-FTR1
35564PAC2
350000.00000000
PA
USD
411693.59000000
0.325404459107
Long
ABS-MBS
CORP
US
N
2
2048-01-25
Floating
10.05800000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SA7
291000.00000000
PA
USD
339344.65000000
0.268219532599
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
GoldenTree Loan Management US
N/A
GoldentTree Loan Management US CLO 1 Ltd
38136FAQ6
1000000.00000000
PA
USD
1001269.40000000
0.791407822325
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
5.31588000
N
N
N
N
N
N
National Collegiate Student Lo
N/A
National Collegiate Student Loan Trust 2006-1
63543PCD6
150417.44000000
PA
USD
141684.55000000
0.111988103474
Long
ABS-O
CORP
US
N
2
2033-03-25
Floating
2.05800000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YB0
100000.00000000
PA
USD
98537.11000000
0.077884173473
Long
DBT
UST
US
N
2
2029-08-15
Fixed
1.62500000
N
N
N
N
N
N
Vedanta Ltd
335800XDKX9KB5EMCO07
Vedanta Ltd
92242Y100
3457.00000000
NS
USD
27828.85000000
0.021996047793
Long
EC
CORP
IN
N
1
N
N
N
Citimortgage Alternative Loan
N/A
CitiMortgage Alternative Loan Trust Series 2007-A1
12566QAR4
38278.34940000
PA
USD
38559.81000000
0.030477846682
Long
ABS-MBS
CORP
US
N
2
2022-01-25
Fixed
5.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS JFE HOLDINGS
000000000
1.00000000
NC
-789.38000000
-0.00062392949
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
JFE HOLDINGS INC
JFE HOLDINGS INC
Y
Default Event
2022-06-20
0
USD
-608.26
USD
3802000
JPY
-182.09
N
N
N
Telecom Italia SpA/Milano
549300W384M3RI3VXU42
Telecom Italia SpA/Milano
000000000
92213.00000000
NS
57729.01000000
0.045629268295
Long
EC
CORP
IT
N
1
N
N
N
Home Equity Mortgage Trust
N/A
Home Equity Mortgage Trust
22541S3C0
1561.96740000
PA
USD
1561.75000000
0.001234414201
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
5.82100000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1414.33000000
0.001117892772
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2029-10-22
0
USD
0
USD
800000
USD
1420.05
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-1F
3622MPAJ7
226121.32000000
PA
USD
252283.15000000
0.199405732713
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
528.53000000
0.000417752481
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-09
0
USD
0
USD
720
USD
528.53
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDS KOHLS
000000000
1.00000000
NC
USD
149.50000000
0.000118165470
N/A
DCR
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2024-06-20
716.45
USD
0
USD
24000
USD
-567.62
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
19.69000000
0.000015563064
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
INTERCONTENTIAL EXCHANGE
1 MONTH US DOLLAR LIBOR
Y
2020-10-21
0
USD
0
USD
69
USD
19.69
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514LB71
155000.00000000
PA
USD
104237.50000000
0.082389787283
Long
DBT
MUN
PR
N
2
2039-07-01
Fixed
5.50000000
Y
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
89.46000000
0.000070709585
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-08
0
USD
0
USD
97
USD
89.46
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS TELECOM ITALIA
000000000
1.00000000
NC
2381.19000000
0.001882103250
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
TELECOM ITALIA SPA/MILANO
TELECOM ITALIA SPA/MILANO
Y
Default Event
2024-12-20
4898.8
USD
0
USD
116000
EUR
-2521.16
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
TENNECO INC
000000000
141.00000000
NC
USD
13042.50000000
0.010308850467
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Call
Purchased
Tenneco Inc
Tenneco Inc
100.00000000
13
USD
2020-01-17
XXXX
-5622
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
788.35000000
0.000623115374
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
TRANSOCEAN INC SR NT
TRANSOCEAN INC SR NT
Y
Default Event
2022-06-20
826.31
USD
0
USD
33000
USD
-42.54
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2004-AA2
32051D4S8
264707.44180000
PA
USD
267689.72000000
0.211583154707
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.42975300
N
N
N
N
N
N
S-JETS Limited
635400FR77IW5YEET913
S-Jets 2017-1 Ltd
784309AA4
817189.08330000
PA
USD
824902.69000000
0.652006784111
Long
ABS-O
CORP
BM
N
2
2042-08-15
Fixed
3.96700000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS NORDSTROM INC
000000000
1.00000000
NC
USD
23.80000000
0.000018811626
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
NORDSTROM INC
NORDSTROM INC
Y
Default Event
2024-06-20
191.43
USD
0
USD
4000
USD
-167.74
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CDS TURKEY
000000000
1.00000000
NC
USD
-6193.93000000
-0.00489571003
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
REPUBLIC OF TURKEY
Turkey Government International Bond
Y
Default Event
2022-12-20
0
USD
-6150
USD
-136000
USD
-40.15
N
N
N
SCE TRUST II
N/A
SCE Trust II
78407R204
2616.00000000
NS
USD
63647.28000000
0.050307095434
Long
EP
CORP
US
N
1
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HW0
226000.00000000
PA
USD
219790.65000000
0.173723515054
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.30000000
Y
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDS MBIA AA
000000000
1.00000000
NC
USD
-27769.34000000
-0.02194901082
N/A
DCR
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
MBIA INC
MBIA INC
Y
Default Event
2021-06-20
0
USD
-24146.43
USD
340000
USD
-3670.13
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
-405.73000000
-0.00032069081
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2024-12-18
0
CNY
0
CNY
2248189
CNY
-405.73
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
TRS ENERGY TRANSFER LP
000000000
1.00000000
NC
USD
-98867.24000000
-0.07814510970
N/A
DE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Energy Transfer LP
Energy Transfer LP
Y
2020-05-25
0
USD
0
USD
85464
USD
-98867.24
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
-9.64000000
-0.00000761949
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-26
0
USD
0
USD
80
USD
-9.64
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-4
45254NPS0
147438.92830000
PA
USD
145870.68000000
0.115296839392
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
4.18300000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
28228PAB7
263000.00000000
PA
USD
276150.00000000
0.218270197946
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
8.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HERTZ
000000000
1.00000000
NC
USD
-31066.44000000
-0.02455505344
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
HERTZ CORP
Hertz Corp/The
Y
Default Event
2024-12-20
0
USD
-17832.32
USD
303000
USD
-13276.2
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAK7
-278000.00000000
PA
USD
-273753.55000000
-0.21637603312
Short
DBT
CORP
NL
N
2
2028-03-01
Fixed
6.75000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS K HOVNANIAN
000000000
1.00000000
NC
USD
-2036.59000000
-0.00160972986
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K Hovnanian Enterprises Inc
Y
Default Event
2023-12-20
0
USD
-3794.65
USD
-9000
USD
1759.31
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - TRY
000000000
1.00000000
NC
USD
5415.15000000
0.004280158835
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-201505.13000000
USD
1195529.94000000
TRY
2019-12-18
5415.15
N
N
N
Clearway Energy Inc
549300LHAZ9HA9G3XC48
Clearway Energy Inc
18539C105
31181.00000000
NS
USD
591815.38000000
0.467773529386
Long
EC
CORP
US
N
1
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR12
45661VAA4
125042.15120000
PA
USD
120398.70000000
0.095163672212
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
1.89800000
N
N
N
N
N
N
FIDELITY INSTL MMKT GOVT
N/A
FIDELITY INSTL MMKT GOVT
000000000
34107019.62000000
NS
USD
34107019.62000000
26.95834120516
Long
STIV
RF
US
N
1
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS KOREA
000000000
1.00000000
NC
USD
-13570.38000000
-0.01072608918
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
KOREA INTERNATIONAL BOND
KOREA INTERNATIONAL BOND
Y
Default Event
2024-06-20
0
USD
-13755.81
USD
405474
USD
174.16
N
N
N
AVEANNA HEALTHCARE LLC
5493006D6JRLPIY8YV18
Aveanna Healthcare LLC
05358LAA8
381000.00000000
PA
USD
398145.00000000
0.314695592834
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
9.75000000
N
N
N
N
N
N
ACOSTA 09/26/21
N/A
ACOSTA 09/26/21
000000000
185428.58000000
PA
USD
34651.97000000
0.027389072428
Long
LON
CORP
US
N
2
2021-09-26
Floating
7.25000040
N
N
N
N
N
N
RESIDEO FUNDING INC
5493000IFJ6XJKH66598
Resideo Funding Inc
76119LAA9
-342000.00000000
PA
USD
-329183.55000000
-0.26018815360
Short
DBT
CORP
US
N
2
2026-11-01
Fixed
6.12500000
N
N
N
N
N
N
MCCLATCHY CO
549300O2Y2UWR3BER320
McClatchy Co/The
579489AL9
254000.00000000
PA
USD
228567.62000000
0.180660871488
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
9.00000000
N
N
N
N
N
N
ChaseFlex Trust
N/A
ChaseFlex Trust Series 2005-2
16165TAX1
504287.99600000
PA
USD
487196.01000000
0.385081910342
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
6.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
2.89000000
0.000002284268
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-15925.26000000
USD
14434.74000000
EUR
2019-12-18
2.89
N
N
N
RIVERBED TECH TL 04/24/22
N/A
RIVERBED TECH TL 04/24/22
000000000
486895.41470000
PA
USD
390472.59000000
0.308631285575
Long
LON
CORP
US
N
2
2022-04-24
Floating
5.74999920
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
158000.00000000
PA
177767.88000000
0.140508529263
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
3.37500000
N
N
N
N
N
N
BED BATH & BEYOND INC
529900ZBUWWUV7BKGX39
Bed Bath & Beyond Inc
075896AA8
-132000.00000000
PA
USD
-130020.00000000
-0.10276839086
Short
DBT
CORP
US
N
2
2024-08-01
Fixed
3.74900000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YS3
13000.00000000
PA
USD
12968.26000000
0.010250170839
Long
DBT
UST
US
N
2
2029-11-15
Fixed
1.75000000
N
N
N
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
Virgin Media Finance PLC
000000000
-255000.00000000
PA
-288446.89000000
-0.22798971492
Short
DBT
CORP
GB
N
2
2025-01-15
Fixed
4.50000000
N
N
N
N
N
N
OSAKA EXCHANGE
3538001249AILNPRUX57
SOFTBANK GROUP CORP
000000000
3000.00000000
NC
14225.74000000
0.011244088668
N/A
DE
CORP
JP
N
2
OSAKA EXCHANGE
3538001249AILNPRUX57
Put
Purchased
SoftBank Group Corp
SoftBank Group Corp
1.00000000
4350
JPY
2020-01-09
XXXX
6938.59
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS SOFTBANK GROUP
000000000
1.00000000
NC
3489.91000000
0.002758440508
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2023-12-20
4278.56
USD
0
USD
12747000
JPY
-791.88
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR21
45660LYF0
393236.73850000
PA
USD
377683.64000000
0.298522842164
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.89882000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS KIMCO REALTY COR
000000000
1.00000000
NC
USD
-880.43000000
-0.00069589581
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
KIMCO REALTY CORP
Kimco Realty Corp
Y
Default Event
2024-06-20
0
USD
0
USD
122000
USD
-883.82
N
N
N
INTELSAT JACKSON 01/02/24
N/A
INTELSAT JACKSON 01/02/24
000000000
329824.15000000
PA
USD
327968.89000000
0.259228080899
Long
LON
CORP
US
N
2
2024-01-02
Floating
6.62500080
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
62943WAB5
45000.00000000
PA
USD
46237.50000000
0.036546327276
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
5.37500000
N
N
N
N
N
N
HARLAND CLARKE HOLDINGS
549300J73P7FL8TVF308
Harland Clarke Holdings Corp
412690AF6
533000.00000000
PA
USD
401248.80000000
0.317148850268
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
8.37500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-46.95000000
-0.00003710949
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-5452.48000000
USD
4898.71000000
EUR
2019-12-18
-46.95
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR29
45662DAB1
164297.33370000
PA
USD
159321.80000000
0.125928664939
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.78800000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBD0
117000.00000000
PA
USD
134046.90000000
0.105951270675
Long
DBT
CORP
NL
N
2
2049-03-19
Fixed
6.90000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46591KBP7
829700.00000000
PA
USD
55921.78000000
0.044200825602
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
1.25000000
N
N
N
N
N
N
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
CDS REPUBLIC OF SOUTH AFRICA
000000000
1.00000000
NC
USD
28538.03000000
0.022556586844
N/A
DCR
CORP
US
N
2
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2024-06-20
39509.94
USD
0
USD
900000
USD
-10996.91
N
N
N
Provident Funding Mortgage Loa
N/A
Provident Funding Mortgage Loan Trust 2003-1
743873AB7
64885.93780000
PA
USD
63224.20000000
0.049972691106
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
4.87541600
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
TRS INDOGB
000000000
1.00000000
NC
USD
-1214.74000000
-0.00096013594
N/A
DE
CORP
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
INDONESIA TREASURY BOND
INDONESIA TREASURY BOND
Y
2048-05-15
0
USD
0
USD
3195000000
USD
-1214.74
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
200000.00000000
PA
USD
231144.00000000
0.182697253789
Long
DBT
NUSS
BH
N
2
2026-01-26
Fixed
7.00000000
N
N
N
N
N
N
INTU METROCENTRE FINANCE
213800SDK6N2K6E2CD50
Intu Metrocentre Finance Plc
000000000
-696000.00000000
PA
-829768.88000000
-0.65585304250
Short
DBT
CORP
GB
N
2
2023-12-06
Fixed
4.12500000
N
N
N
N
N
N
LECTA SA
529900KJQUVA973CS502
Lecta SA
000000000
100000.00000000
PA
53315.85000000
0.042141086848
Long
DBT
CORP
ES
N
2
2022-08-01
Floating
6.37500000
N
N
N
N
N
N
MALLINCKRODT FIN/SB
N/A
Mallinckrodt International Finance SA / Mallinckrodt CB LLC
561233AD9
-290000.00000000
PA
USD
-82045.35000000
-0.06484901243
Short
DBT
CORP
LU
N
2
2023-10-15
Fixed
5.62500000
N
N
N
N
N
N
Seritage Growth Properties
5493003CJFC2MM82WB25
Seritage Growth Properties
81752R100
-4907.00000000
NS
USD
-207467.96000000
-0.16398360563
Short
EC
CORP
US
N
1
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAD0
491250.00000000
PA
USD
497179.39000000
0.392972818649
Long
ABS-O
CORP
US
N
2
2048-03-15
Fixed
3.57300000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
549300ZCZ76HYCS0H445
Frontier Communications Corp
17453BAJ0
245000.00000000
PA
USD
112096.08000000
0.088601244144
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
9.00000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2004-6
07386HJZ5
346495.47220000
PA
USD
377331.77000000
0.298244722539
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
4.55800000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2005-3
52520MEB5
91030.16380000
PA
USD
94430.10000000
0.074637974358
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.50000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
32387.06000000
0.025598877411
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
20670.2
USD
0
USD
239000
USD
11683.67
N
N
N
STAPLES INC
XQM2JINI1UL7642TU573
Staples Inc
855030AN2
329000.00000000
PA
USD
344832.80000000
0.272557390962
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
7.50000000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-ASHF
04410RAN6
1250000.00000000
PA
USD
1254162.25000000
0.991295464652
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
4.86538000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-NC6
61744CEW2
40985.03940000
PA
USD
41378.27000000
0.032705570101
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
3.88300000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS
82VOJDD5PTRDMVVMGV31
Citigroup Global Markets Holdings Inc/United States
173074FL4
5349761.00000000
PA
209670.95000000
0.165724858808
Long
DBT
CORP
US
N
3
2020-01-10
Fixed
15.70000000
N
N
N
N
N
N
ADVANTAGE SALES 07/23/21
N/A
ADVANTAGE SALES 07/23/21
000000000
244870.44540000
PA
USD
230746.56000000
0.182383115432
Long
LON
CORP
US
N
2
2021-07-23
Floating
5.74887960
N
N
N
N
N
N
K HOVNANIAN ENTERPRISES
549300JJCQ0KAI7CJG32
K Hovnanian Enterprises Inc
442488CE0
285000.00000000
PA
USD
200212.50000000
0.158248857527
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
10.50000000
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2002-9
22540VG71
497114.27620000
PA
USD
526622.08000000
0.416244452813
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
7.50000000
N
N
N
N
N
N
GS Mortgage Securities Corp.
N/A
GSMSC Pass-Through Trust 2009-5R
36190BAF6
231854.70190000
PA
USD
226207.25000000
0.178795224458
Long
ABS-MBS
CORP
US
N
2
2035-10-26
Variable
5.50000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2687.90000000
0.002124528209
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-210000.00000000
EUR
235127.34000000
USD
2020-01-31
2687.9
N
N
N
VANTAGE DRILL INTL
549300T9QN1134QR7185
Vantage Drilling International
92210KAC2
260000.00000000
PA
USD
244292.10000000
0.193089570971
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
9.25000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS KOHLS
000000000
1.00000000
NC
USD
149.50000000
0.000118165470
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2024-06-20
827.34
USD
0
USD
24000
USD
-678.51
N
N
N
SSL ROBOTICS LLC
N/A
SSL Robotics LLC
78472GAA7
485000.00000000
PA
USD
505612.50000000
0.399638386597
Long
DBT
CORP
US
N
2
2023-12-31
Fixed
9.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A2
46630PAE5
210303.34010000
PA
USD
198117.86000000
0.156593244681
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.34515000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2019-2
46650TBA9
592730.42000000
PA
USD
598161.61000000
0.472789618027
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
4.66796400
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS STAPLES
000000000
1.00000000
NC
USD
-5129.64000000
-0.00405449045
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
STAPLES INC
Staples Inc
Y
Default Event
2025-06-20
6719.07
USD
0
USD
353000
USD
-11897.74
N
N
N
NEIMAN MARCUS TL 10/25/23
N/A
NEIMAN MARCUS TL 10/25/23
000000000
14208.02930000
PA
USD
10425.14000000
0.008240077390
Long
LON
CORP
US
N
2
2023-10-25
Floating
0.10000000
N
N
N
N
N
N
CINCINNATI BELL INC
549300JYVZOCUJOHL272
Cincinnati Bell Inc
14987RAA6
353000.00000000
PA
USD
323141.50000000
0.255412490203
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
8.00000000
N
N
N
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust 2005-1
02660VAA6
147832.36350000
PA
USD
132156.41000000
0.104457018904
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.95679400
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2007-CH2
46630MAC6
180859.17570000
PA
USD
135396.82000000
0.107018253495
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
4.60802800
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
Transocean Inc
893830BF5
677000.00000000
PA
USD
609420.17000000
0.481688434322
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VB2
1235179.21000000
PA
USD
1499134.17000000
1.184922368399
Long
ABS-MBS
CORP
US
N
2
2043-04-25
Floating
13.45800000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS
82VOJDD5PTRDMVVMGV31
Citigroup Global Markets Holdings Inc/United States
173074FN0
5133254.00000000
PA
223313.99000000
0.176508378784
Long
DBT
CORP
US
N
3
2020-01-17
Fixed
15.74000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS MBIA INC
000000000
1.00000000
NC
USD
-21970.44000000
-0.01736553426
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
MBIA INC
MBIA INC
Y
Default Event
2021-06-20
0
USD
-13289.52
USD
269000
USD
-8718.28
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
HSBC Bank PLC
000000000
4750000.00000000
PA
277928.04000000
0.219675568732
Long
DBT
CORP
GB
N
2
2020-05-07
None
0.00000000
N
N
N
N
N
N
ADVANTAGE SALES 07/23/21
N/A
ADVANTAGE SALES 07/23/21
000000000
302405.63850000
PA
USD
284963.18000000
0.225236174926
Long
LON
CORP
US
N
2
2021-07-23
Floating
0.10000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-4CB
12668BPX5
83584.11650000
PA
USD
81978.98000000
0.064796553293
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
5.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS NRG ENERGY INC
000000000
1.00000000
NC
USD
-4750.82000000
-0.00375506942
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
NRG ENERGY INC
NRG Energy Inc
Y
Default Event
2024-06-20
0
USD
-3810.35
USD
24000
USD
-943.8
N
N
N
ANSALDO ENERGIA SPA
815600B611746717CC98
Ansaldo Energia SpA
000000000
-100000.00000000
PA
-110082.25000000
-0.08700950388
Short
DBT
CORP
IT
N
2
2024-05-31
Fixed
2.75000000
N
N
N
N
N
N
BED BATH & BEYOND INC
529900ZBUWWUV7BKGX39
Bed Bath & Beyond Inc
075896AC4
361000.00000000
PA
USD
246606.32000000
0.194918740833
Long
DBT
CORP
US
N
2
2044-08-01
Fixed
5.16500000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
192000.00000000
PA
210222.45000000
0.166160766881
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
4.37500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
4481.32000000
0.003542055417
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-490000.00000000
EUR
546840.00000000
USD
2020-01-31
4481.32
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2311.39000000
-0.00182693301
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-3252519.58000000
ZAR
219108.99000000
USD
2019-12-18
-2311.39
N
N
N
ONE CALL CORP
549300WUCCV86ZQHG041
One Call Corp
68347TAF2
469056.00000000
PA
USD
462020.16000000
0.365182805642
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
7.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi
17307GJL3
588602.41890000
PA
USD
566678.69000000
0.447905376925
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
2.71300000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2050.79000000
-0.00162095360
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-310000.00000000
EUR
341074.09000000
USD
2020-01-31
-2050.79
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2004-9
36242DBZ5
166950.13960000
PA
USD
163157.20000000
0.128960182293
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.39451900
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS LLOYDS OPCO SUB
000000000
1.00000000
NC
-4072.81000000
-0.00321916728
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
LLOYDS BANK PLC
Lloyds Bank PLC
Y
Default Event
2022-12-20
0
USD
-1496.37
USD
196000
EUR
-2582.43
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS KOHLS
000000000
1.00000000
NC
USD
149.50000000
0.000118165470
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2024-06-20
697.11
USD
0
USD
24000
USD
-548.28
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS&ELE 3.75 8/42
694308HA8
28000.00000000
PA
USD
27186.18000000
0.021488078544
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
3.75000000
Y
N
N
N
N
N
Weatherford International PLC
529900LPBDSCQDJKHQ39
Weatherford International PLC
000000000
534155.00000000
NS
USD
12125.32000000
0.009583907284
Long
EC
CORP
CH
N
1
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HERTZ CORPORATION
000000000
1.00000000
NC
USD
-2611.66000000
-0.00206426777
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
HERTZ CORP
Hertz Corp/The
Y
Default Event
2021-12-20
97.45
USD
0
USD
27000
USD
-2712.86
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS UNITED MEXICAN STATES
000000000
1.00000000
NC
USD
-5118.76000000
-0.00404589085
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
UNITED MEXICAN STATES
Mexico Government International Bond
Y
Default Event
2023-12-20
4898.65
USD
0
USD
417000
USD
-10028.99
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS LLOYDS OPCO
000000000
1.00000000
NC
-4650.76000000
-0.00367598155
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
LLOYDS BANK PLC
Lloyds Bank PLC
Y
Default Event
2024-06-20
902.42
USD
0
USD
127000
EUR
-5557.07
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - CNH
000000000
1.00000000
NC
USD
2971.91000000
0.002349010986
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-507642.29000000
USD
3591823.02000000
CNY
2019-12-18
2971.91
N
N
N
Petco Anima 01/26/23
N/A
Petco Anima 01/26/23
000000000
195914.59680000
PA
USD
155556.19000000
0.122952309914
Long
LON
CORP
US
N
2
2023-01-26
Floating
0.01000000
N
N
N
N
N
N
HEXION INC
54930030FZF8HYAEHM46
Hexion Inc
42829LAF1
-201000.00000000
PA
USD
-203015.03000000
-0.16046398980
Short
DBT
CORP
US
N
2
2027-07-15
Fixed
7.87500000
N
N
N
N
N
N
Washington Mutual MSC Mortgage
N/A
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR3 Trust
939336H30
270801.26350000
PA
USD
253638.37000000
0.200476904677
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Variable
3.95895500
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - PLN
000000000
1.00000000
NC
USD
-110.16000000
-0.00008707095
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-10285.23000000
USD
39842.00000000
PLN
2019-12-18
-110.16
N
N
N
Provident Funding Mortgage Loa
N/A
Provident Funding Mortgage Loan Trust 2004-1
743873AP6
33416.78380000
PA
USD
32227.32000000
0.025472618199
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
4.82418800
N
N
N
N
N
N
LECTA SA
529900KJQUVA973CS502
Lecta SA
000000000
100000.00000000
PA
52952.81000000
0.041854138404
Long
DBT
CORP
ES
N
2
2023-08-01
Fixed
6.50000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3323.82000000
-0.00262716222
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-3038930.88000000
ZAR
203556.18000000
USD
2019-12-18
-3323.82
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YM6
216000.00000000
PA
USD
214590.94000000
0.169613640960
Long
DBT
UST
US
N
2
2024-10-31
Fixed
1.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308GE1
107000.00000000
PA
USD
113155.18000000
0.089438361532
Long
DBT
CORP
US
N
2
2034-03-01
Fixed
6.05000000
Y
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS K HOVNANIAN
000000000
1.00000000
NC
USD
30808.10000000
0.024350860348
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2024-12-20
37830.1
USD
0
USD
113000
USD
-7037.69
N
N
N
ENVISION HEALTHCARE CORP
549300OL60X0LPKY8N60
Envision Healthcare Corp
29373TAA2
306000.00000000
PA
USD
125566.34000000
0.099248198034
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
8.75000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
304.83000000
0.000240938998
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-07
0
USD
0
USD
345
USD
304.83
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAR6
172000.00000000
PA
USD
175868.28000000
0.139007076907
Long
DBT
CORP
LU
N
2
2024-02-15
Fixed
8.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
1618.40000000
0.001279190615
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-210533.99000000
USD
2997688158.34000000
IDR
2019-12-18
1618.4
N
N
N
ALTICE LUXEMBOURG SA
2221006ZDZREFLFIFQ42
Altice Luxembourg SA
000000000
-525000.00000000
PA
-599555.43000000
-0.47389129960
Short
DBT
CORP
LU
N
2
2025-02-15
Fixed
6.25000000
N
N
N
N
N
N
FLUOR CORP
CQ7WZ4NOFWT7FAE6Q943
Fluor Corp
343412AF9
-139000.00000000
PA
USD
-137211.98000000
-0.10845296409
Short
DBT
CORP
US
N
2
2028-09-15
Fixed
4.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284N7
-133000.00000000
PA
USD
-144705.04000000
-0.11437551231
Short
DBT
UST
US
N
2
2028-05-15
Fixed
2.87500000
N
N
N
N
N
N
TPC GROUP INC
549300K276KVW5JD1583
TPC Group Inc
89236YAB0
252000.00000000
PA
USD
253887.48000000
0.200673802337
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
10.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CL9
693000.00000000
PA
USD
666793.30000000
0.527036413471
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.73849700
N
N
N
N
N
N
SCE TRUST III
N/A
SCE Trust III
78409B207
1468.00000000
NS
USD
35510.92000000
0.028067990359
Long
EP
CORP
US
N
1
N
N
N
ADVANTAGE SALES 07/23/21
N/A
ADVANTAGE SALES 07/23/21
000000000
69996.42000000
PA
USD
65959.10000000
0.052134368326
Long
LON
CORP
US
N
2
2021-07-23
Floating
0.01000000
N
N
N
N
N
N
Terwin Mortgage Trust
N/A
Terwin Mortgage Trust Series TMTS 2003-6HE
881561CJ1
153948.83010000
PA
USD
145997.79000000
0.115397307705
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Floating
4.33300000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
863.04000000
0.000682150684
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2023-12-20
3325.19
USD
0
USD
38000
USD
-2463.21
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
28228PAA9
139000.00000000
PA
USD
137610.00000000
0.108767560888
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
6.75000000
N
N
N
N
N
N
CBOE GLOBAL MARKETS, INC.
529900RLNSGA90UPEH54
ENERGY TRANSFER LP
000000000
45.00000000
NC
USD
135.00000000
0.000106704605
N/A
DE
CORP
US
N
1
CBOE GLOBAL MARKETS, INC.
529900RLNSGA90UPEH54
Call
Purchased
Energy Transfer LP
Energy Transfer LP
100.00000000
15
USD
2020-01-17
XXXX
-1710
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBJ7
230000.00000000
PA
USD
229382.75000000
0.181305153894
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
PATTERN ENERGY GROUP INC
549300YTEUCT3H1Y2T51
Pattern Energy Group Inc
70338PAB6
540000.00000000
PA
USD
551716.49000000
0.436079186972
Long
DBT
CORP
US
N
2
2020-07-15
Variable
4.00000000
N
N
N
N
N
Pattern Energy Group Inc
Pattern Energy Group Inc
USD
XXXX
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA8 Trust
761118BU1
79182.95200000
PA
USD
70405.24000000
0.055648617313
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.69618800
N
N
N
N
N
N
AMBAC ASSURANCE CORP
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
2.42000000
PA
USD
3.55000000
0.000002805935
Long
DBT
CORP
US
N
2
2020-06-07
Fixed
5.10000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
1430.82000000
0.001130926542
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CENTURYLINK INC
CenturyLink Inc
Y
Default Event
2023-12-20
5611.45
USD
0
USD
63000
USD
-4182.38
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HZ3
39000.00000000
PA
USD
38918.69000000
0.030761507043
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
4.25000000
Y
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-2
45254NNN3
120873.98690000
PA
USD
118255.03000000
0.093469305834
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
4.18300000
N
N
N
N
N
N
ENTERCOM MEDIA CORP
549300S5JUSXRHNCHD80
Entercom Media Corp
124847AC8
-124000.00000000
PA
USD
-131181.46000000
-0.10368641405
Short
DBT
CORP
US
N
2
2024-11-01
Fixed
7.25000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
261000.00000000
PA
302435.74000000
0.239046564677
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
6.25000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS STAPLES
000000000
1.00000000
NC
USD
-5245.89000000
-0.00414637497
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
STAPLES INC
Staples Inc
Y
Default Event
2025-06-20
9847
USD
0
USD
361000
USD
-15143.03
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
Republic of South Africa Government Bond
000000000
8549107.00000000
PA
646208.74000000
0.510766284969
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
NOVOLEX FLEX TLB 06/29/25
N/A
NOVOLEX FLEX TLB 06/29/25
000000000
193721.27810000
PA
USD
188515.02000000
0.149003116897
Long
LON
CORP
US
N
2
2025-06-29
Floating
5.87612880
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS KIMCO REALTY
000000000
1.00000000
NC
USD
-873.22000000
-0.00069019700
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
KIMCO REALTY CORP
Kimco Realty Corp
Y
Default Event
2024-06-20
251.64
USD
0
USD
121000
USD
-1128.22
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAQ2
109000.00000000
PA
USD
138833.30000000
0.109734462692
Long
DBT
CORP
NL
N
2
2026-05-23
Fixed
8.75000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
806000.00000000
NC
USD
1720.18000000
0.001359637983
N/A
DIR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Put
Purchased
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2020-04-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
2.24
USD
2020-04-30
XXXX
-6299.52
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HOVNANIAN ENTERPRISES
000000000
1.00000000
NC
USD
9547.25000000
0.007546189199
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K Hovnanian Enterprises Inc
Y
Default Event
2024-06-20
14696.28
USD
0
USD
38000
USD
-5154.31
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A7
46629DAL9
147729.38200000
PA
USD
144466.63000000
0.114187071977
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
3.87312100
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS LLOYDS BANK PLC
000000000
1.00000000
NC
-1378.86000000
-0.00108985712
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
LLOYDS BANK PLC
Lloyds Bank PLC
Y
Default Event
2023-12-20
898.15
USD
0
USD
67000
EUR
-2279.06
N
N
N
BX Trust
N/A
BX Trust 2017-APPL
12433PAN6
1530000.04000000
PA
USD
1535638.86000000
1.213775839021
Long
ABS-MBS
CORP
US
N
2
2034-07-15
Floating
4.91538000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8
46649JAQ1
1000000.00000000
PA
USD
1007596.70000000
0.796408948610
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Floating
5.76538000
N
N
N
N
N
N
KREF 2018--FL1 Ltd.
549300N45646UZ8P3S07
KREF 2018-FL1 Ltd
48275PAJ0
300000.00000000
PA
USD
301290.00000000
0.238140966645
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
4.31250000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
549300ZCZ76HYCS0H445
Frontier Communications Corp
35906AAQ1
32000.00000000
PA
USD
14653.28000000
0.011582018200
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
6.87500000
N
N
N
N
N
N
EL PASO ENERGY CAP TRST
N/A
El Paso Energy Capital Trust I
000000000
3820.78000000
NS
USD
458340.77000000
0.362274599292
Long
EP
CORP
US
N
1
N
N
N
CASINO GUICHARD PERRACHO
969500VHL8F83GBL6L29
Casino Guichard Perrachon SA
000000000
100000.00000000
PA
93659.17000000
0.074028627830
Long
DBT
CORP
FR
N
2
2026-08-05
Variable
4.04800000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
928.39000000
0.000733803617
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-226639.69000000
EUR
251016.15000000
USD
2019-12-18
928.39
N
N
N
Westchester CLO Ltd
N/A
Westchester CLO Ltd
95736XAG3
683546.54530000
PA
USD
685991.04000000
0.542210393228
Long
ABS-CBDO
CORP
KY
N
2
2022-08-01
Floating
6.20913000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HM2
119000.00000000
PA
USD
116321.31000000
0.091940884877
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.50000000
Y
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAK1
-113000.00000000
PA
USD
-123590.93000000
-0.09768682511
Short
DBT
CORP
US
N
2
2026-03-01
Fixed
7.62500000
N
N
N
N
N
N
PETSMART INC TLB 03/11/22
N/A
PETSMART INC TLB 03/11/22
000000000
802365.79030000
PA
USD
781805.17000000
0.617942311103
Long
LON
CORP
US
N
2
2022-03-11
Floating
0.00001080
N
N
N
N
N
N
JP MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
000000000
2500000.00000000
PA
160635.86000000
0.126967303854
Long
SN
CORP
US
N
2
2022-06-13
Fixed
16.00000000
N
N
N
N
N
N
CENTURYLINK TLB 01/31/25
N/A
CENTURYLINK TLB 01/31/25
000000000
572821.93000000
PA
USD
573359.24000000
0.453185713593
Long
LON
CORP
US
N
2
2025-01-31
Floating
5.24859840
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
1938.39000000
0.001532112145
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-11-03
0
USD
0
USD
1087
USD
1938.39
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-386.61000000
-0.00030557827
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-50083.49000000
USD
45037.33000000
EUR
2019-12-18
-386.61
N
N
N
PARTY CITY TL L+ 08/19/22
N/A
PARTY CITY TL L+ 08/19/22
000000000
247072.53000000
PA
USD
221438.76000000
0.175026188586
Long
LON
CORP
US
N
2
2022-08-19
Floating
0.01000000
N
N
N
N
N
N
CMA CGM SA
969500BZJ49IICIBZZ08
CMA CGM SA
000000000
-200000.00000000
PA
-195247.52000000
-0.15432451507
Short
DBT
CORP
FR
N
2
2022-07-15
Fixed
6.50000000
N
N
N
N
N
N
SWISSPORT FINANCING SARL
529900U3RVWMAQTFNR08
Swissport Financing Sarl
000000000
100000.00000000
PA
115092.94000000
0.090969975723
Long
DBT
CORP
LU
N
2
2025-02-15
Fixed
9.00000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2002-11
07384MSJ2
4745.24260000
PA
USD
4529.79000000
0.003580366322
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Variable
4.43047900
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2004-4
86359BPE5
450411.77890000
PA
USD
425233.99000000
0.336106851966
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
4.32681400
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-48553.30000000
-0.03837674597
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-112869510.21000000
RUB
1701340.94000000
USD
2019-12-18
-48553.3
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BKY6
133944.21030000
PA
USD
136239.79000000
0.107684540761
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Variable
4.72648100
N
N
N
N
N
N
NORDSTROM INC
549300S3IZB5P35KNV16
Nordstrom Inc
655664AR1
46000.00000000
PA
USD
44947.44000000
0.035526658069
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
5.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ITOCHU
000000000
1.00000000
NC
-3817.68000000
-0.00301751138
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ITOCHU CORP
ITOCHU CORP
Y
Default Event
2022-06-20
0
USD
-2642.41
USD
17300000
JPY
-1179.66
N
N
N
Credit Suisse First Boston Mor
N/A
Credit Suisse First Boston Mortgage Securities Corp
22541SE38
286604.08930000
PA
USD
283349.36000000
0.223960604363
Long
ABS-MBS
CORP
US
N
2
2044-05-25
Floating
3.10800000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS MARUBENI CORP
000000000
1.00000000
NC
-5595.82000000
-0.00442296121
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
MARUBENI CORP
MARUBENI CORP
Y
Default Event
2022-06-20
0
USD
-3445.86
USD
27269000
JPY
-2156.88
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDS MBIA AA
000000000
1.00000000
NC
USD
-41287.48000000
-0.03263380927
N/A
DCR
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
MBIA INC
MBIA INC
Y
Default Event
2024-12-20
0
USD
-38411.13
USD
216000
USD
-2906.35
N
N
N
Banc of America Mortgage Secur
N/A
Banc of America Mortgage 2005-L Trust
05949CPD2
148926.09630000
PA
USD
138280.13000000
0.109297234644
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
4.12894900
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828XT2
-101000.00000000
PA
USD
-102615.61000000
-0.08110783815
Short
DBT
UST
US
N
2
2024-05-31
Fixed
2.00000000
N
N
N
N
N
N
JP MORGAN CHASE 0 1/20
N/A
JP MORGAN CHASE 0 1/20
000000000
81000000.00000000
PA
220175.65000000
0.174027820779
Long
DBT
NUSS
US
N
2
2020-01-13
None
0.00000000
N
N
N
N
N
N
Washington Mutual MSC Mortgage
N/A
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR2 Trust
939336E90
995566.98420000
PA
USD
969163.75000000
0.766031372640
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Variable
3.51637300
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
Credit Suisse First Boston Mortgage Securities Corp
22541SEJ3
144446.76190000
PA
USD
138599.40000000
0.109549587083
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
4.47919200
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2004-12
07386HPG0
320624.65000000
PA
USD
316901.88000000
0.250480666583
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
3.83336700
N
N
N
N
N
N
MALLINCKRODT TL 09/24/24
N/A
MALLINCKRODT TL 09/24/24
000000000
47478.59000000
PA
USD
37191.55000000
0.029396367845
Long
LON
CORP
US
N
2
2024-09-24
Floating
0.01000000
N
N
N
N
N
N
Postmedia Network Canada Corp
N/A
Postmedia Network Canada Corp
73752W502
56068.00000000
NS
85475.95000000
0.067560574058
Long
EC
CORP
CA
N
1
N
N
N
MOHEGAN GAMING & ENT
549300UB083Z2NRDHC48
Mohegan Gaming & Entertainment
608328BF6
1428000.00000000
PA
USD
1389322.62000000
1.098126827008
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
7.87500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - CLP
000000000
1.00000000
NC
USD
-22487.73000000
-0.01777440260
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-233191.72000000
USD
169157274.00000000
CLP
2019-12-18
-22487.73
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GROUPE CASINO
000000000
1.00000000
NC
16230.84000000
0.012828928696
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CASINO GUICHARD PERRACHO
Casino Guichard Perrachon SA
Y
Default Event
2024-12-20
20212.91
USD
0
USD
210000
EUR
-4014.21
N
N
N
MOSS CREEK RESOURCES HLD
54930037SLMSPWKYIX36
Moss Creek Resources Holdings Inc
61965RAB1
472000.00000000
PA
USD
348264.02000000
0.275269442632
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
10.50000000
N
N
N
N
N
N
Home Partners of America Trust
N/A
Home Partners of America 2017-1 Trust
43730TAL7
500000.00000000
PA
USD
501926.60000000
0.396725034714
Long
ABS-O
CORP
US
N
2
2034-07-17
Floating
5.30150000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
3.65000000
0.000002884976
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-5838.58000000
USD
5294.47000000
EUR
2019-12-18
3.65
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2010-RR1 Trust
05532TAD4
333820.25560000
PA
USD
298213.02000000
0.235708907859
Long
ABS-MBS
CORP
US
N
2
2037-03-26
Variable
4.11022000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GROUPE CASINO
000000000
1.00000000
NC
4637.38000000
0.003665405940
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CASINO GUICHARD PERRACHO
CASINO GUICHARD PERRACHO
Y
Default Event
2024-12-20
5776.99
USD
0
USD
100000
EUR
-1148.79
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS HOVNANIA
000000000
1.00000000
NC
USD
17843.93000000
0.014103922264
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2024-09-20
24416.54
USD
0
USD
68000
USD
-6582.05
N
N
N
JOINT
N/A
FT TRI PARTY
000000000
6982216.47000000
PA
USD
6982216.47000000
5.518775198293
Long
RA
CORP
US
N
2
Repurchase
Y
1.62000000
2019-12-02
5692692.16960000
USD
5805549.11642000
USD
UST
1289524.30100000
USD
1315314.80300000
USD
ADAS
N
N
N
CINCINNATI BELL INC
549300JYVZOCUJOHL272
Cincinnati Bell Inc
171871AP1
163000.00000000
PA
USD
153014.62000000
0.120943441593
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
7.00000000
N
N
N
N
N
N
JP MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
000000000
1500000.00000000
PA
85459.99000000
0.067547959202
Long
SN
CORP
US
N
2
2020-07-09
None
0.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2007-AR5
17311LAH4
135209.21740000
PA
USD
132151.57000000
0.104453193347
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.56643000
N
N
N
N
N
N
J.P. MORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
CDS CMA CGM SA
000000000
1.00000000
NC
-945.22000000
-0.00074710612
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
CMA CGM SA
CMA CGM SA
Y
Default Event
2020-06-20
0
USD
-2684.18
USD
-50000
EUR
1746.61
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS HERTZ CORP
000000000
1.00000000
NC
USD
-65194.86000000
-0.05153030960
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
HERTZ CORP
Hertz Corp/The
Y
Default Event
2021-12-20
0
USD
-57088.44
USD
674000
USD
-8200.03
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
77.86000000
0.000061540893
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-19
0
USD
0
USD
119
USD
77.86
N
N
N
VERITAS US INC/BERMUDA L
N/A
Veritas US Inc / Veritas Bermuda Ltd
92346LAA1
-204000.00000000
PA
USD
-188274.66000000
-0.14881313527
Short
DBT
CORP
US
N
2
2024-02-01
Fixed
10.50000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
549300ZCZ76HYCS0H445
Frontier Communications Corp
35906AAN8
79000.00000000
PA
USD
37130.00000000
0.029347718449
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
7.62500000
N
N
N
N
N
N
TRIUMPH GROUP INC
5493007L6S47Q14SL582
Triumph Group Inc
896818AL5
357000.00000000
PA
USD
358003.88000000
0.282967871638
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
5.25000000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA S
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA
000000000
98020.00000000
PA
USD
5881.20000000
0.004648526844
Long
DBT
CORP
VE
N
2
2022-10-28
Fixed
6.00000000
Y
N
N
N
N
N
ENTERCOM MEDIA CORP
549300S5JUSXRHNCHD80
Entercom Media Corp
29365DAA7
-114000.00000000
PA
USD
-120594.62000000
-0.09531852825
Short
DBT
CORP
US
N
2
2027-05-01
Fixed
6.50000000
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
000000000
200000.00000000
PA
USD
211283.00000000
0.166999030355
Long
DBT
NUSS
PY
N
2
2023-01-25
Fixed
4.62500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS MARUBENI CORP
000000000
1.00000000
NC
-1290.96000000
-0.00102038057
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
MARUBENI CORP
MARUBENI CORP
Y
Default Event
2022-06-20
0
USD
-840.27
USD
6291000
JPY
-452.29
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
TRS INDOGB
000000000
1.00000000
NC
USD
2415.36000000
0.001909111371
N/A
DE
CORP
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Y
2020-06-22
0
USD
0
USD
740000000
USD
2415.36
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAB1
68000.00000000
PA
USD
70288.20000000
0.055556108373
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
4.62500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2006.35000000
0.001585828034
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-12670000.00000000
JPY
118324.62000000
USD
2020-01-31
2006.35
N
N
N
TEREOS FINANCE GROUPE I
969500183Z46A3QF8W69
Tereos Finance Groupe I SA
000000000
-250000.00000000
PA
-268267.76000000
-0.21204004011
Short
DBT
CORP
FR
N
2
2020-03-04
Fixed
4.25000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - PLN
000000000
1.00000000
NC
USD
-1676.25000000
-0.00132491551
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-139806.12000000
USD
540867.95000000
PLN
2019-12-18
-1676.25
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS JAGUAR LAND
000000000
1.00000000
NC
-380.86000000
-0.00030103345
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
JAGUAR LAND ROVER AUTO
JAGUAR LAND ROVER AUTO
Y
Default Event
2024-12-20
240.28
USD
0
USD
26000
EUR
-625.12
N
N
N
Wayfair Inc
54930027N9ZAVYFDHK53
Wayfair Inc
94419L101
-847.00000000
NS
USD
-71927.24000000
-0.05685161293
Short
EC
CORP
US
N
1
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS JFE HOLDINGS
000000000
1.00000000
NC
-1193.00000000
-0.00094295254
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
JFE HOLDINGS INC
JFE HOLDINGS INC
Y
Default Event
2022-06-20
0
USD
-905.32
USD
5746000
JPY
-289.15
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-249.21000000
-0.00019697670
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-20906.75000000
USD
18720.70000000
EUR
2019-12-18
-249.21
N
N
N
HUGHES SATELLITE SYSTEMS
N/A
Hughes Satellite Systems Corp
444454AF9
-183000.00000000
PA
USD
-201363.59000000
-0.15915868422
Short
DBT
CORP
US
N
2
2026-08-01
Fixed
6.62500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS DISH DBS CORP
000000000
1.00000000
NC
USD
-22652.66000000
-0.01790476401
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
DISH DBS CORP
DISH DBS Corp
Y
Default Event
2024-12-20
0
USD
-2037.19
USD
365000
USD
-20666.16
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA2 Trust
76110HT82
5416.49980000
PA
USD
5022.23000000
0.003969593106
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
4.21156500
N
N
N
N
N
N
SCE TRUST VI
N/A
SCE Trust VI
78410V200
3162.00000000
NS
USD
73358.40000000
0.057982808216
Long
EP
CORP
US
N
1
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HERTZ CORP
000000000
1.00000000
NC
USD
-6577.53000000
-0.00519890919
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
HERTZ CORP
Hertz Corp/The
Y
Default Event
2021-12-20
1086.65
USD
0
USD
68000
USD
-7673.62
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDS SOTBANK GROUP
000000000
1.00000000
NC
5035.26000000
0.003979892076
N/A
DCR
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2024-06-20
3977.62
USD
0
USD
12746000
JPY
1054.41
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
36899.00000000
PA
15652.23000000
0.012371592758
Long
DBT
NUSS
AR
N
2
2038-12-31
Variable
3.38000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
549300ZCZ76HYCS0H445
Frontier Communications Corp
35906ABC1
920000.00000000
PA
USD
952036.70000000
0.752494075541
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
8.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS ENERGY TRANSFER LP
000000000
1.00000000
NC
USD
4813.00000000
0.003804216776
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2020-11-16
0
USD
0
USD
8800
USD
4813
N
N
N
Suntrust Adjustable Rate Mortg
N/A
STARM Mortgage Loan Trust 2007-2
78473TAJ9
88077.98220000
PA
USD
69693.98000000
0.055086434221
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.83112700
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HOVNANIAN ENTERPRISES
000000000
1.00000000
NC
USD
-2715.45000000
-0.00214630385
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K Hovnanian Enterprises Inc
Y
Default Event
2023-12-20
0
USD
-4260.74
USD
-12000
USD
1546.96
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CH3
-978000.00000000
PA
USD
-1050491.81000000
-0.83031343584
Short
DBT
CORP
US
N
2
2029-06-15
Fixed
5.25000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS ALTICE LUX
000000000
1.00000000
NC
-17258.21000000
-0.01364096655
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
ALTICE LUXEMBOURG SA
Altice Luxembourg SA
Y
Default Event
2024-12-20
0
USD
-12165.35
USD
132000
EUR
-5113.06
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-WF1
17307G4K1
465091.26300000
PA
USD
323744.45000000
0.255889064585
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
4.86555200
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
TRS INDOGB
000000000
1.00000000
NC
USD
2653.61000000
0.002097425239
N/A
DE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
INDONESIA GOVERNMENT
Indonesia Treasury Bond
Y
2020-04-15
0
USD
0
USD
5758000000
USD
2653.61
N
N
N
FTR TL B 1L 06/15/24
N/A
FTR TL B 1L 06/15/24
000000000
221402.00000000
PA
USD
221085.62000000
0.174747065147
Long
LON
CORP
US
N
2
2024-06-15
Floating
0.01000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ALTICE LUX
000000000
1.00000000
NC
-9429.57000000
-0.00745317439
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ALTICE LUXEMBOURG SA
Altice Luxembourg SA
Y
Default Event
2022-12-20
677.39
USD
0
USD
74000
EUR
-10118.29
N
N
N
VERITAS US TLB L 01/27/23
N/A
VERITAS US TLB L 01/27/23
000000000
90743.57320000
PA
USD
85034.26000000
0.067211460301
Long
LON
CORP
US
N
2
2023-01-27
Floating
6.82988040
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AS1
227000.00000000
PA
USD
219338.75000000
0.173366331268
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.12500000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-4
007036KD7
70498.56500000
PA
USD
70760.29000000
0.055929250425
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.93474400
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VA4
800000.00000000
PA
USD
837438.88000000
0.661915444886
Long
ABS-MBS
CORP
US
N
2
2043-04-25
Floating
5.45800000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GROUPE CASINO
000000000
1.00000000
NC
4250.93000000
0.003359954128
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CASINO GUICHARD PERRACHO
Casino Guichard Perrachon SA
Y
Default Event
2024-12-20
5451.98
USD
0
USD
55000
EUR
-1209.47
N
N
N
RR DONNELLEY & SONS CO
SU4X0P4WWRGOQDTSV032
RR Donnelley & Sons Co
257867BB6
447000.00000000
PA
USD
462459.50000000
0.365530061948
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
6.00000000
N
N
N
N
N
N
ZAIS CLO 1 LTD
549300WI0XKEGSMH8O21
Zais CLO 1 Ltd
98886MAU8
500000.00000000
PA
USD
477513.50000000
0.377428811033
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
5.41088000
N
N
N
N
N
N
FANNIE MAE
N/A
Fannie Mae REMICS
3136A2HY2
2335598.06000000
PA
USD
482589.91000000
0.381441228254
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
4.74200000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GROUPE CASINO
000000000
1.00000000
NC
3091.59000000
0.002443606595
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CASINO GUICHARD PERRACHO
CASINO GUICHARD PERRACHO
Y
Default Event
2024-12-20
3631.26
USD
0
USD
100000
EUR
-545.8
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ALTICE LUX
000000000
1.00000000
NC
-11978.10000000
-0.00946754393
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ALTICE LUXEMBOURG SA
Altice Luxembourg SA
Y
Default Event
2022-12-20
1416.75
USD
0
USD
94000
EUR
-13409.24
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
120.61000000
0.000095330684
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-08
0
USD
0
USD
133
USD
120.61
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-OA3 Trust
93364AAC6
65184.53290000
PA
USD
65785.89000000
0.051997462365
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
3.08644500
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAB2
118000.00000000
PA
USD
126153.51000000
0.099712299834
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
FLEX ACQUISITION CO INC
549300HHED2KGPBEDW39
Flex Acquisition Co Inc
33936YAC9
-22000.00000000
PA
USD
-21061.10000000
-0.01664678785
Short
DBT
CORP
US
N
2
2026-07-15
Fixed
7.87500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
16.26000000
0.000012851976
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-14
0
USD
0
USD
19
USD
16.26
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
3086.50000000
0.002439583436
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-230000.00000000
EUR
257663.02000000
USD
2020-01-31
3086.5
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1805.59000000
0.001427146430
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-280000.00000000
EUR
311724.84000000
USD
2020-01-31
1805.59
N
N
N
BED BATH & BEYOND INC
529900ZBUWWUV7BKGX39
Bed Bath & Beyond Inc
075896AB6
-15000.00000000
PA
USD
-10661.43000000
-0.00842684206
Short
DBT
CORP
US
N
2
2034-08-01
Fixed
4.91500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-2556.13000000
-0.00202037661
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2021-09-18
0
USD
-2500.52
USD
1500000
USD
-38.7
N
N
N
AMERICAN ENERGY PERMIAN
5493006OY0UV1LRA5K84
American Energy- Permian Basin LLC
02563LAJ7
962000.00000000
PA
USD
601250.00000000
0.475230695328
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
12.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HERTZ CORPORATION
000000000
1.00000000
NC
USD
-6577.53000000
-0.00519890919
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
HERTZ CORP
Hertz Corp/The
Y
Default Event
2021-12-20
0
USD
-988.95
USD
68000
USD
-5598.02
N
N
N
KCA DEUTAG UK FINANCE PL
529900T5G3VI71LSI184
KCA Deutag UK Finance PLC
48244LAE8
100000.00000000
PA
USD
66781.20000000
0.052784159851
Long
DBT
CORP
GB
N
2
2023-04-01
Fixed
9.62500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS HERTZ CORP
000000000
1.00000000
NC
USD
-33266.20000000
-0.02629375360
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
HERTZ CORP
Hertz Corp/The
Y
Default Event
2024-12-20
0
USD
-25637.11
USD
280000
USD
-7667.98
N
N
N
Liberty Global PLC
549300BSGXG3QLIQYT84
Liberty Global PLC
000000000
3816.00000000
NS
USD
82044.00000000
0.064847945393
Long
EC
CORP
GB
N
1
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS LLOYDS OPCO SUB
000000000
1.00000000
NC
-4072.81000000
-0.00321916728
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
LLOYDS BANK PLC
Lloyds Bank PLC
Y
Default Event
2022-12-20
0
USD
-1628.35
USD
196000
EUR
-2450.45
N
N
N
RIVERBED TECH TL 04/24/22
N/A
RIVERBED TECH TL 04/24/22
000000000
26327.94350000
PA
USD
21114.06000000
0.016688647675
Long
LON
CORP
US
N
2
2022-04-24
Floating
0.10000000
N
N
N
N
N
N
CVP Cascade CLO Ltd
254900WPOZSM5XGTH559
CVP Cascade CLO-2 Ltd
126611AG7
700000.00000000
PA
USD
693641.97000000
0.548257722598
Long
ABS-CBDO
CORP
KY
N
2
2026-07-18
Floating
5.80325000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE I LI
N/A
SAPPHIRE AVIATION FINANCE I LTD
80306AAB6
794219.40000000
PA
USD
820705.19000000
0.648689061294
Long
ABS-O
CORP
KY
N
2
2040-03-15
Fixed
5.92600000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-95.58000000
-0.00007554686
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-24013.68000000
USD
21675.55000000
EUR
2019-12-18
-95.58
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
24043000.00000000
PA
392832.88000000
0.310496869372
Long
DBT
NUSS
RU
N
2
2024-07-17
Fixed
7.40000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CE0
-17000.00000000
PA
USD
-18402.93000000
-0.01454575837
Short
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS LLOYDS BK GR PLC
000000000
1.00000000
NC
-122.08000000
-0.00009649257
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Lloyds Banking Group PLC
Lloyds Banking Group PLC
Y
Default Event
2024-12-20
3676.56
USD
0
USD
121000
EUR
-3802.34
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS HERTZ CORP
000000000
1.00000000
NC
USD
-73718.70000000
-0.05826759095
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
HERTZ CORP
Hertz Corp/The
Y
Default Event
2024-12-20
0
USD
-62512.36
USD
719000
USD
-11306.2
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CM0
200000.00000000
PA
USD
171568.60000000
0.135608590560
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
5.75000000
N
N
N
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CV0
200000.00000000
PA
USD
207664.60000000
0.164139030774
Long
DBT
NUSS
TR
N
2
2024-08-10
Fixed
6.35000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS SIMON PROPERTY GROUP
000000000
1.00000000
NC
USD
-16051.07000000
-0.01268683768
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
Simon Property Group Inc
Simon Property Group Inc
Y
Default Event
2024-12-20
0
USD
-13019.05
USD
542000
USD
-3047.08
N
N
N
Carlyle Global Market Strategi
549300N3CJKPCWZ7KX23
Carlyle Global Market Strategies CLO 2016-1 Ltd
14312HAQ9
2500000.00000000
PA
USD
2376898.25000000
1.878711032138
Long
ABS-CBDO
CORP
KY
N
2
2027-04-20
Floating
4.71588000
N
N
N
N
N
N
GoldenTree Loan Management US
549300MI5PVR6JHGVV87
Goldentree Loan Management US Clo 6 Ltd
38137WAJ4
1000000.00000000
PA
USD
1000000.00000000
0.790404482875
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
0.01000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1618.26000000
0.001279079958
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-187011.35000000
EUR
207977.75000000
USD
2019-12-18
1618.26
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YH7
56900.00000000
PA
USD
56537.71000000
0.044687659435
Long
DBT
UST
US
N
2
2024-09-30
Fixed
1.50000000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2004-OP2
81375WBM7
199024.13160000
PA
USD
194415.65000000
0.153667001301
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
2.40800000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
-455000.00000000
PA
-686191.88000000
-0.54236913806
Short
DBT
NUSS
IT
N
2
2029-11-01
Fixed
5.25000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
2460.37000000
0.001944687477
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2023-06-20
0
USD
-1583.31
USD
34000
USD
4038.96
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust Series 2006-4
12637HAY4
819675.60970000
PA
USD
467300.59000000
0.369356481186
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.50000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS
82VOJDD5PTRDMVVMGV31
Citigroup Global Markets Holdings Inc/United States
173074FA8
5000000.00000000
PA
304900.74000000
0.240994911727
Long
SN
CORP
US
N
3
2020-01-09
None
0.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS SOTBANK GROUP
000000000
1.00000000
NC
5035.65000000
0.003980200334
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2024-06-20
4531.07
USD
0
USD
12747000
JPY
501.35
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CDS CDX.NA.HY.32.V2
000000000
1.00000000
NC
USD
-142184.81000000
-0.11238351122
N/A
DCR
CORP
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
IHS MARKIT LTD
CDX.NA.HY.32.V2
Y
Default Event
2024-06-20
0
USD
-104621.07
USD
1762200
USD
-37808.49
N
N
N
TESLA INC
54930043XZGB27CTOV49
Tesla Inc
88160RAE1
931000.00000000
PA
USD
894914.44000000
0.707344385165
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.30000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS ITALY
000000000
1.00000000
NC
USD
2245.59000000
0.001774924402
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2024-06-20
2175.62
USD
0
USD
218000
USD
63.91
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS KOHLS
000000000
1.00000000
NC
USD
149.50000000
0.000118165470
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2024-06-20
793.55
USD
0
USD
24000
USD
-644.72
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - ZAR
000000000
1.00000000
NC
USD
1559.32000000
0.001232493518
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-205320.68000000
USD
3038930.88000000
ZAR
2019-12-18
1559.32
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS LLOYDS BANKING
000000000
1.00000000
NC
-544.81000000
-0.00043062026
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
LLOYDS BANKING GROUP PLC
Lloyds Banking Group PLC
Y
Default Event
2024-12-20
2374.92
USD
0
USD
540000
EUR
-2936.26
N
N
N
HARLAND CLARKE HOLDINGS
549300J73P7FL8TVF308
Harland Clarke Holdings Corp
412690AE9
2349500.00000000
PA
USD
2185974.80000000
1.727804281372
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
9.25000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-8
45254NRY5
145930.83540000
PA
USD
144436.59000000
0.114163328227
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
3.95800000
N
N
N
N
N
N
FLUOR CORP
CQ7WZ4NOFWT7FAE6Q943
Fluor Corp
343412AC6
-281000.00000000
PA
USD
-279175.03000000
-0.22066119521
Short
DBT
CORP
US
N
2
2024-12-15
Fixed
3.50000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-10
576433TB2
551347.56470000
PA
USD
347359.83000000
0.274554766802
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
4.15140700
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AD4
-170000.00000000
PA
USD
-181695.15000000
-0.14361266107
Short
DBT
CORP
US
N
2
2028-11-15
Fixed
6.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CDS TURKEY
000000000
1.00000000
NC
USD
203.33000000
0.000160712943
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
REPUBLIC OF TURKEY
Turkey Government International Bond
Y
Default Event
2022-06-20
315.69
USD
0
USD
6000
USD
-112.53
N
N
N
ICBC STANDARD BANK PLC
F01VVKN4DRF2NWKGQ283
ICBC Standard Bank PLC
85312ED34
5336000.00000000
PA
234579.07000000
0.185412348516
Long
DBT
CORP
GB
N
3
2021-10-01
Fixed
15.36000000
N
N
N
N
N
N
POLAND GOVERNMENT BOND
259400R9L8QEP0TPXS31
Republic of Poland Government Bond
000000000
687000.00000000
PA
187265.54000000
0.148015522304
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-190.16000000
-0.00015030331
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-2024075.83000000
PLN
516729.60000000
USD
2019-12-18
-190.16
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US LONG BOND
000000000
1.00000000
NC
USD
162.39000000
0.000128353783
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
158806.36
USD
162.39
N
N
N
HOUSE OF FINANCE NV/THE
549300XE7YFOWVZ4GM04
House of Finance NV/The
000000000
-100000.00000000
PA
-110745.74000000
-0.08753392935
Short
DBT
CORP
BE
N
2
2026-07-15
Fixed
4.37500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS
82VOJDD5PTRDMVVMGV31
Citigroup Global Markets Holdings Inc/United States
173074FK6
3848385.00000000
PA
228052.62000000
0.180253813179
Long
DBT
CORP
US
N
3
2020-03-19
None
0.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS TRANSOCEAN
000000000
1.00000000
NC
USD
542.05000000
0.000428438749
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
677.07
USD
0
USD
4000
USD
-135.58
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDS SOAF 5.5% 09 MAR 2020
000000000
1.00000000
NC
USD
-1704.90000000
-0.00134756060
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2022-12-20
0
USD
-3411.75
USD
-184000
USD
1711.96
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
Carvana Co
146869AA0
693000.00000000
PA
USD
719846.82000000
0.568970153511
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
8.87500000
N
N
N
N
N
N
JAGUAR LAND ROVER AUTOMO
529900L73GEWN1O5NH84
Jaguar Land Rover Automotive PLC
000000000
-107000.00000000
PA
USD
-107801.43000000
-0.08520673353
Short
DBT
CORP
GB
N
2
2023-02-01
Fixed
5.62500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS K HOVNANIAN
000000000
1.00000000
NC
USD
98149.72000000
0.077577978680
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
K HOVNANIAN ENTERPRISES
K Hovnanian Enterprises Inc
Y
Default Event
2024-12-20
104117.99
USD
0
USD
360000
USD
-6018.27
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2004-6F
36228F2K1
214538.90340000
PA
USD
222861.47000000
0.176150704948
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Fixed
5.50000000
N
N
N
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust Series 2003-4
64352VDK4
568295.53280000
PA
USD
572269.51000000
0.452324386116
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
2.83300000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-14544.39000000
-0.01149595105
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-9665582.79000000
ZAR
643455.35000000
USD
2019-12-18
-14544.39
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1DF1
250000.00000000
PA
USD
184172.46000000
0.145570738006
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.15571500
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HD2
83000.00000000
PA
USD
82662.61000000
0.065336897510
Long
DBT
CORP
US
N
2
2043-06-15
Fixed
4.60000000
Y
N
N
N
N
N
ESKOM HOLDINGS SOC LTD
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
200000.00000000
PA
USD
213298.00000000
0.168591695388
Long
DBT
CORP
ZA
N
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ITOCHU
000000000
1.00000000
NC
-950.45000000
-0.00075123994
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ITOCHU CORP
ITOCHU CORP
Y
Default Event
2022-06-20
0
USD
-678.63
USD
4307000
JPY
-272.91
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2006-2
07388DAF5
56897.44510000
PA
USD
53123.69000000
0.041989202722
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
4.12956100
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HN0
24000.00000000
PA
USD
23662.44000000
0.018702898651
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
4.25000000
Y
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308GJ0
458000.00000000
PA
USD
477510.80000000
0.377426676941
Long
DBT
CORP
US
N
2
2037-03-01
Fixed
5.80000000
Y
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
2400.10000000
0.001897049799
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2024-06-20
2226.12
USD
0
USD
233000
USD
167.51
N
N
N
HUGHES SATELLITE SYSTEMS
N/A
Hughes Satellite Systems Corp
444454AD4
183000.00000000
PA
USD
199076.09000000
0.157350633969
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.25000000
N
N
N
N
N
N
Suntrust Alternative Loan Trus
N/A
Suntrust Alternative Loan Trust Series 2005-1F
86789MAA5
240768.03160000
PA
USD
204291.07000000
0.161472577539
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.35800000
N
N
N
N
N
N
GROUPE CASINO TL 01/05/24
N/A
GROUPE CASINO TL 01/05/24
000000000
114184.00000000
PA
127695.45000000
0.100931056122
Long
LON
CORP
US
N
2
2024-01-05
Floating
0.01000000
N
N
N
N
N
N
TPG Real Estate Finance
N/A
TPG Real Estate Finance 2018-FL2 Issuer LTD
87275QAJ6
300000.00000000
PA
USD
301327.50000000
0.238170606813
Long
ABS-CBDO
CORP
KY
N
2
2037-11-15
Floating
4.46250000
N
N
N
N
N
N
CBOE GLOBAL MARKETS, INC.
529900RLNSGA90UPEH54
CLEARWAY ENERGY INC
000000000
28.00000000
NC
USD
2520.00000000
0.001991819296
N/A
DE
CORP
US
N
1
CBOE GLOBAL MARKETS, INC.
529900RLNSGA90UPEH54
Call
Purchased
Clearway Energy Inc
Clearway Energy Inc
100.00000000
20
USD
2020-02-21
XXXX
1064
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1818.89000000
0.001437658809
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-80407721.00000000
CLP
101975.55000000
USD
2019-12-18
1818.89
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
-907.64000000
-0.00071740272
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-221956.42000000
USD
14257814.40000000
RUB
2019-12-18
-907.64
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-14.52000000
-0.00001147667
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-3866.42000000
USD
3490.75000000
EUR
2019-12-18
-14.52
N
N
N
VERITAS US TLB L 01/27/23
N/A
VERITAS US TLB L 01/27/23
000000000
254063.59000000
PA
USD
238078.67000000
0.188178448044
Long
LON
CORP
US
N
2
2023-01-27
Floating
6.90238080
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR6
362341SG5
631281.13660000
PA
USD
586532.33000000
0.463597782983
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.67102100
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AN9
-526000.00000000
PA
USD
-458290.65000000
-0.36223498421
Short
DBT
CORP
US
N
2
2027-10-01
Fixed
7.75000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - CLP
000000000
1.00000000
NC
USD
-21212.21000000
-0.01676622587
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-218834.34000000
USD
158654897.00000000
CLP
2019-12-18
-21212.21
N
N
N
Wachovia Mortgage Loan Trust,
N/A
Wachovia Mortgage Loan Trust LLC Series 2005-B Trust
92977YBN0
545512.67220000
PA
USD
542293.71000000
0.428631379419
Long
ABS-MBS
CORP
US
N
2
2035-10-20
Variable
4.25339900
N
N
N
N
N
N
VICI Properties Inc
254900RKH6RY9KCJQH63
VICI Properties Inc
925652109
31543.00000000
NS
USD
780058.39000000
0.616561648360
Long
EC
CORP
US
N
1
N
N
N
Residential Asset Securitizati
N/A
Residential Asset Securitization Trust 2006-A1
45660L6H7
428650.11490000
PA
USD
311117.38000000
0.245908571852
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
32.67000000
0.000025822514
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-09
0
USD
0
USD
44
USD
32.67
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2006-OA1
576433G42
374108.36200000
PA
USD
344609.28000000
0.272380719752
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
1.91800000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
1430.82000000
0.001130926542
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2023-12-20
5707.28
USD
0
USD
63000
USD
-4278.21
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
6.61000000
0.000005224573
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
INTERCONTENTIAL EXCHANGE
1 MONTH US DOLLAR LIBOR
Y
2020-10-23
0
USD
0
USD
52
USD
6.61
N
N
N
GANNETT CO INC
549300S74UKH4O12NI89
Gannett Media Corp
36473HAB0
746000.00000000
PA
USD
749207.80000000
0.592177203725
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.75000000
N
N
N
N
Y
Gannett Co Inc
Gannett Co Inc
USD
XXXX
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS INTRUM JUSTITIA
000000000
1.00000000
NC
-21360.68000000
-0.01688357722
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
INTRUM AB
Intrum AB
Y
Default Event
2024-12-20
0
USD
-16970.96
USD
169000
EUR
-4415.58
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
-368.45000000
-0.00029122453
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2024-12-18
0
CNY
0
CNY
2247088
CNY
-368.45
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2007-SA2 Trust
74958XAE4
1249385.32840000
PA
USD
584904.99000000
0.462311526152
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.27229600
N
N
N
N
N
N
APX GROUP INC
549300OMQVKPRU98OE64
APX Group Inc
00213MAS3
-29000.00000000
PA
USD
-25387.04000000
-0.02006603022
Short
DBT
CORP
US
N
2
2023-09-01
Fixed
7.62500000
N
N
N
N
N
N
SCE TRUST IV
N/A
SCE Trust IV
78409G206
4659.00000000
NS
USD
111629.64000000
0.088232567877
Long
EP
CORP
US
N
1
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS NRG ENERGY INC
000000000
1.00000000
NC
USD
-57009.77000000
-0.04506077777
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
NRG ENERGY INC
NRG Energy Inc
Y
Default Event
2024-06-20
0
USD
-53443.73
USD
288000
USD
-3606.04
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
1.00000000
NC
USD
733.30000000
0.000579603607
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2020-03-21
6760.3
USD
0
USD
1012000
USD
-6016.19
N
N
N
Nordstrom Inc
549300S3IZB5P35KNV16
Nordstrom Inc
655664100
3640.00000000
NS
USD
138938.80000000
0.109817850365
Long
EC
CORP
US
N
1
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF TURKEY
000000000
1.00000000
NC
USD
39147.38000000
0.030942264644
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TURKEY GOVERNMENT INTERNATIONAL BOND
TURKEY GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2024-06-20
46374.64
USD
0
USD
462000
USD
-7240.09
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
2388.70000000
0.001888039188
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2023-01-02
0
BRL
0
BRL
3144633
BRL
2388.7
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46591KBV4
796462.35000000
PA
USD
32416.02000000
0.025621767524
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
0.75000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1DC8
400000.00000000
PA
USD
402367.84000000
0.318033344500
Long
ABS-MBS
USGSE
US
N
2
2048-08-25
Variable
4.15571500
N
N
N
N
N
N
Casino Guichard Perrachon SA
969500VHL8F83GBL6L29
CASINO GUICHARD 3.992
000000000
300000.00000000
PA
197907.91000000
0.156427299260
Long
DBT
CORP
FR
N
2
N/A
Floating
3.99200000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-363.03000000
-0.00028694053
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-354846.44000000
ZAR
23793.70000000
USD
2019-12-18
-363.03
N
N
N
FRONTIER COMMUNICATIONS
549300ZCZ76HYCS0H445
Frontier Communications Corp
35906AAM0
125000.00000000
PA
USD
57656.25000000
0.045571758465
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
7.12500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS UNITED MEXICAN
000000000
1.00000000
NC
USD
-3031.68000000
-0.00239625346
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
UNITED MEXICAN STATES
Mexico Government International Bond
Y
Default Event
2024-06-20
1504.18
USD
0
USD
301000
USD
-4544.22
N
N
N
MALLINCKRODT FIN/SB
N/A
Mallinckrodt International Finance SA / Mallinckrodt CB LLC
561233AA5
290000.00000000
PA
USD
101318.75000000
0.080082794199
Long
DBT
CORP
LU
N
2
2022-08-01
Fixed
5.75000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
2021.32000000
0.001597660389
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2023-12-20
7955.1
USD
0
USD
89000
USD
-5936.25
N
N
N
CBOE GLOBAL MARKETS, INC.
529900RLNSGA90UPEH54
AT HOME GROUP INC
000000000
59.00000000
NC
USD
1770.00000000
0.001399015934
N/A
DE
CORP
US
N
1
CBOE GLOBAL MARKETS, INC.
529900RLNSGA90UPEH54
Call
Purchased
At Home Group Inc
At Home Group Inc
100.00000000
10
USD
2019-12-20
XXXX
-5533.24
N
N
N
DIGICEL 5/17 COV 05/27/24
N/A
DIGICEL 5/17 COV 05/27/24
000000000
283049.42000000
PA
USD
238646.04000000
0.188626899836
Long
LON
CORP
US
N
2
2024-05-27
Floating
5.87999880
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
7887.68000000
0.006234457631
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2023-06-20
0
USD
-1843.68
USD
109000
USD
9716.22
N
N
N
MASTR Seasoned Securitization
N/A
MASTR Seasoned Securitization Trust 2004-1
55265WBD4
63193.52200000
PA
USD
65610.91000000
0.051859157389
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Variable
4.46583200
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
-570.03000000
-0.00045055426
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-127546.66000000
USD
8190089.60000000
RUB
2019-12-18
-570.03
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS ALTICE LUX
000000000
1.00000000
NC
-16735.23000000
-0.01322760081
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
ALTICE LUXEMBOURG SA
Altice Luxembourg SA
Y
Default Event
2024-12-20
0
USD
-14239.83
USD
128000
EUR
-2514.99
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS INTRUM JUSTITIA
000000000
1.00000000
NC
-23130.21000000
-0.01828222167
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
INTRUM AB
Intrum AB
Y
Default Event
2024-12-20
0
USD
-18859.34
USD
183000
EUR
-4298.87
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS SOFTBANK GROUP
000000000
1.00000000
NC
10071.31000000
0.007960408572
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2024-06-20
7449.71
USD
0
USD
25494000
JPY
2615.13
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS SOFTBANK GROUP
000000000
1.00000000
NC
3489.91000000
0.002758440508
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2023-12-20
4459.13
USD
0
USD
12747000
JPY
-972.45
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS TELECOM ITALIA
000000000
1.00000000
NC
2504.36000000
0.001979457370
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TELECOM ITALIA SPA/MILANO
TELECOM ITALIA SPA/MILANO
Y
Default Event
2024-12-20
3384.59
USD
0
USD
122000
EUR
-883.97
N
N
N
Petco Anima 01/26/23
N/A
Petco Anima 01/26/23
000000000
311563.14000000
PA
USD
247381.13000000
0.195531154130
Long
LON
CORP
US
N
2
2023-01-26
Floating
5.99438160
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HERTZ CORP
000000000
1.00000000
NC
USD
-2124.67000000
-0.00167934869
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
HERTZ CORP
Hertz Corp/The
Y
Default Event
2020-06-20
0
USD
0
USD
59000
USD
-2132.86
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-11.30000000
-0.00000893157
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-30007.91000000
USD
27184.15000000
EUR
2019-12-18
-11.3
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Re-REMIC Trust 2013-R8
61762UAH6
995050.07590000
PA
USD
708392.77000000
0.559916821044
Long
ABS-MBS
CORP
US
N
2
2036-09-26
Floating
2.66275000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK9
06540RAU8
1100000.00000000
PA
USD
969564.53000000
0.766348150948
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2016-1
35563PAE9
500000.00000000
PA
USD
480882.65000000
0.380091802296
Long
ABS-MBS
CORP
US
N
2
2055-09-25
Variable
3.75000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CB4
200000.00000000
PA
USD
193458.00000000
0.152910070448
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS SIMON PROP GP
000000000
1.00000000
NC
USD
-15991.84000000
-0.01264002202
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SIMON PROPERTY GROUP
SIMON PROPERTY GROUP
Y
Default Event
2024-12-20
0
USD
-14607.45
USD
540000
USD
-1399.39
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514LB89
225000.00000000
PA
USD
144000.00000000
0.113818245534
Long
DBT
MUN
PR
N
2
2041-07-01
Fixed
5.00000000
Y
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
-1.16000000
-0.00000091686
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-26
0
USD
0
USD
19
USD
-1.16
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
2710.22000000
0.002142170037
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
3194.62
USD
0
USD
20000
USD
-487.18
N
N
N
ALTICE LUXEMBOURG SA
2221006ZDZREFLFIFQ42
Altice Luxembourg SA
02154VAB7
-358000.00000000
PA
USD
-373662.50000000
-0.29534451508
Short
DBT
CORP
LU
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
MCCLATCHY CO
549300O2Y2UWR3BER320
McClatchy Co/The
579489AK1
566000.00000000
PA
USD
454215.00000000
0.359013572189
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
6.87500000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-IM1
12668A4B8
165737.13890000
PA
USD
163206.98000000
0.128999528628
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.30800000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HH3
329000.00000000
PA
USD
332322.90000000
0.262669509922
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
4.75000000
Y
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HS9
186000.00000000
PA
USD
181354.65000000
0.143343528350
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.30000000
Y
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CT2
350000.00000000
PA
USD
340016.74000000
0.268750755548
Long
ABS-MBS
CORP
US
N
2
2048-05-25
Variable
3.81430200
N
N
N
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
465410BX5
373000.00000000
PA
USD
365656.60000000
0.289016615832
Long
DBT
NUSS
IT
N
2
2024-10-17
Fixed
2.37500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HG5
194000.00000000
PA
USD
192625.51000000
0.152252066620
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.75000000
Y
N
N
N
N
N
MALLINCKRODT TL 09/24/24
N/A
MALLINCKRODT TL 09/24/24
000000000
179382.43000000
PA
USD
140516.18000000
0.111064618588
Long
LON
CORP
US
N
2
2024-09-24
Floating
0.01000000
N
N
N
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA3 Trust
94985GAF3
187836.38060000
PA
USD
187939.24000000
0.148548017804
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
-1062000.00000000
PA
USD
-1037823.57000000
-0.82030040216
Short
DBT
CORP
US
N
2
2027-08-15
Fixed
6.62500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A5
46629CAT4
339778.01930000
PA
USD
314724.18000000
0.248759402741
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
3.92888000
N
N
N
N
N
N
Clearway Energy Inc
549300LHAZ9HA9G3XC48
Clearway Energy Inc
18539C204
11144.00000000
NS
USD
220985.52000000
0.174667945658
Long
EC
CORP
US
N
1
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-J10
12668ABU8
439235.02790000
PA
USD
327150.99000000
0.258581609073
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Fixed
6.00000000
N
N
N
N
N
N
TEREOS FINANCE GROUPE I
969500183Z46A3QF8W69
Tereos Finance Groupe I SA
000000000
-100000.00000000
PA
-83259.33000000
-0.06580854767
Short
DBT
CORP
FR
N
2
2023-06-16
Fixed
4.12500000
N
N
N
N
N
N
Simon Property Group Inc
529900GQL5X8H7AO3T64
Simon Property Group Inc
828806109
-759.00000000
NS
USD
-114768.39000000
-0.09071344994
Short
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CF2
150000.00000000
PA
USD
148672.73000000
0.117511592273
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Variable
3.98010900
N
N
N
N
N
N
WAYFAIR INC
54930027N9ZAVYFDHK53
Wayfair Inc
94419LAB7
144000.00000000
PA
USD
151830.00000000
0.120007112634
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
0.37500000
N
N
N
N
Y
Wayfair Inc
Wayfair Inc
USD
XXXX
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
816.88000000
0.000645665613
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-609872.43000000
USD
2590067.22000000
BRL
2020-01-03
816.88
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-7730.64000000
-0.00611033251
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-14319101885.12000000
IDR
1005660.84000000
USD
2019-12-18
-7730.64
N
N
N
RIVERBED TECHNOLOGY INC
XWT9B0BASIY6FJ5R7M02
Riverbed Technology Inc
74339KAA0
298000.00000000
PA
USD
137080.00000000
0.108348646512
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
8.87500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-34919.59000000
-0.02760060047
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-646595.40000000
USD
2590067.22000000
BRL
2019-12-03
-34919.59
N
N
N
SCE TRUST V
N/A
SCE Trust V
78409W201
1849.00000000
NS
USD
44893.72000000
0.035484197540
Long
EP
CORP
US
N
1
N
N
N
RR DONNELLEY & SONS CO
SU4X0P4WWRGOQDTSV032
RR Donnelley & Sons Co
257867BA8
263000.00000000
PA
USD
271656.65000000
0.214718633962
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
6.50000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - PLN
000000000
1.00000000
NC
USD
3.81000000
0.000003011441
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-11901.84000000
USD
46618.32000000
PLN
2019-12-18
3.81
N
N
N
CBOE GLOBAL MARKETS, INC.
529900RLNSGA90UPEH54
ENERGY TRANSFER LP
000000000
90.00000000
NC
USD
630.00000000
0.000497954824
N/A
DE
CORP
US
N
1
CBOE GLOBAL MARKETS, INC.
529900RLNSGA90UPEH54
Call
Purchased
Energy Transfer LP
Energy Transfer LP
100.00000000
14
USD
2020-01-17
XXXX
-6303.41
N
N
N
Delta Funding Home Equity Loan
N/A
Delta Funding Home Equity Loan Trust 2000-2
24763LGX2
323920.70330000
PA
USD
286195.08000000
0.226209874208
Long
ABS-MBS
CORP
US
N
2
2030-08-15
Variable
8.86000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAC5
130000.00000000
PA
USD
125970.00000000
0.099567252707
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
2.20000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-73CB
12668AT70
192641.17110000
PA
USD
201165.23000000
0.159001899590
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6.25000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS KOHLS CORP
000000000
1.00000000
NC
USD
5687.15000000
0.004495148854
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2024-06-20
9445.53
USD
0
USD
913000
USD
-3783.74
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS NORDSTROM INC
000000000
1.00000000
NC
USD
130.89000000
0.000103456042
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
NORDSTROM INC
NORDSTROM INC
Y
Default Event
2024-06-20
1050.47
USD
0
USD
22000
USD
-920.19
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HE0
11000.00000000
PA
USD
10839.57000000
0.008567644720
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
3.85000000
Y
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS ENERGY TRANSFER LP
000000000
1.00000000
NC
USD
-8960.20000000
-0.00708218224
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2020-12-31
0
USD
0
USD
28428
USD
-8960.2
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS SOTBANK GROUP
000000000
1.00000000
NC
2518.02000000
0.001990254295
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2024-06-20
1854.42
USD
0
USD
6374000
JPY
661.98
N
N
N
GOLDMAN SACHS & CO LLC
FOR8UP27PHTHYVLBNG30
TRS EGYTB
000000000
1.00000000
NC
USD
1498.97000000
0.001184792607
N/A
DE
CORP
US
N
2
GOLDMAN SACHS & CO LLC
FOR8UP27PHTHYVLBNG30
EGYPT TREASURY BILLS
EGYPT TREASURY BILLS
Y
2020-05-12
0
USD
0
USD
2150000
USD
1498.97
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AL3
158000.00000000
PA
USD
137856.58000000
0.108962458825
Long
DBT
CORP
US
N
2
2025-01-23
Variable
6.20000000
N
N
N
N
N
N
Castlelake Aircraft Structured
N/A
Castlelake Aircraft Securitization Trust 2018-1
14856CAA7
593568.22000000
PA
USD
605419.70000000
0.478526444900
Long
ABS-O
CORP
US
N
2
2043-06-15
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
2170000.00000000
PA
USD
2198274.67000000
1.737526153759
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
B&G FOODS INC
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508RAE6
-116000.00000000
PA
USD
-117450.00000000
-0.09283300651
Short
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
3098.15000000
0.002448791648
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-83141518.00000000
CLP
106660.06000000
USD
2019-12-18
3098.15
N
N
N
GS Mortgage Securities Corp.
N/A
GSMSC Pass-Through Trust 2009-4R
36190GAE8
818557.99760000
PA
USD
470447.02000000
0.371843433563
Long
ABS-MBS
CORP
US
N
2
2036-12-26
Floating
2.27275000
N
N
N
N
N
N
KAR AUCTION SERVICES INC
5493004HKD20LBSG7D03
KAR Auction Services Inc
48238TAA7
-289000.00000000
PA
USD
-294415.86000000
-0.23270761557
Short
DBT
CORP
US
N
2
2025-06-01
Fixed
5.12500000
N
N
N
N
N
N
INTRUM AB
549300UNCO2FCUWXX470
Intrum AB
000000000
-251000.00000000
PA
-280720.88000000
-0.22188304198
Short
DBT
CORP
SE
N
2
2024-07-15
Fixed
3.12500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HL4
44000.00000000
PA
USD
43381.14000000
0.034288647528
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.30000000
Y
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
200000.00000000
PA
USD
176562.40000000
0.139555712467
Long
DBT
NUSS
EC
N
2
2022-03-28
Fixed
10.75000000
N
N
N
N
N
N
Dean Foods Co
5RGFDMYH829UYJH0KY29
Dean Foods Co
242370203
46977.00000000
NS
USD
4871.51000000
0.003850463342
Long
EC
CORP
US
N
1
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-4
45254NPN1
172012.08820000
PA
USD
162616.74000000
0.128533000286
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.45800000
N
N
N
N
N
N
MOSS CREEK RESOURCES HLD
54930037SLMSPWKYIX36
Moss Creek Resources Holdings Inc
61965RAA3
20000.00000000
PA
USD
13356.95000000
0.010557393157
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
INTELSAT B3 11/27/23
N/A
INTELSAT B3 11/27/23
000000000
231011.26000000
PA
USD
227979.24000000
0.180195813298
Long
LON
CORP
US
N
2
2023-11-27
Floating
0.01000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
EMINI S&P 500
000000000
-2.00000000
NC
USD
-13528.34000000
-0.01069286058
N/A
DE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
STANDARD & POOR'S FINANCIAL SERVICES LLC
STANDARD & POORS'S 500
2019-12-20
-300841.66
USD
-13528.34
N
N
N
Banc of America Mortgage Secur
N/A
Banc of America Mortgage 2005-K Trust
05949CMS2
224906.57880000
PA
USD
223673.01000000
0.176792149802
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
3.97838200
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
41.74000000
0.000032991483
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-49195.70000000
USD
44620.97000000
EUR
2019-12-18
41.74
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
67.94000000
0.000053700080
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-16
0
USD
0
USD
78
USD
67.94
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS DISH DBS CORP
000000000
1.00000000
NC
USD
-24762.77000000
-0.01957260441
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
DISH DBS CORP
DISH DBS Corp
Y
Default Event
2024-12-20
0
USD
-19277.78
USD
399000
USD
-5540.41
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ALTICE LUX
000000000
1.00000000
NC
-2293.68000000
-0.00181293495
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ALTICE LUXEMBOURG SA
Altice Luxembourg SA
Y
Default Event
2022-12-20
218.3
USD
0
USD
18000
EUR
-2514.73
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
694308HP5
197000.00000000
PA
USD
192049.88000000
0.151797086087
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
2.95000000
Y
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS CMA CGM SA
000000000
1.00000000
NC
-1096.46000000
-0.00086664689
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CMA CGM SA
CMA CGM SA
Y
Default Event
2020-06-20
0
USD
-4063.18
USD
-58000
EUR
2975.6
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS LLOYDS BANK PLC
000000000
1.00000000
NC
-4321.80000000
-0.00341597009
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
LLOYDS BANK PLC
Lloyds Bank PLC
Y
Default Event
2023-12-20
289.15
USD
0
USD
210000
EUR
-4617.37
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
101562000.00000000
PA
1678973.09000000
1.327067856962
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS MBIA INC
000000000
1.00000000
NC
USD
-33259.35000000
-0.02628833933
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
MBIA INC
MBIA INC
Y
Default Event
2024-12-20
0
USD
-24806.43
USD
174000
USD
-8477.09
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2008-RR1
173145AA1
722343.91950000
PA
USD
671795.59000000
0.530990245911
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.77800000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-8136.50000000
-0.00643112607
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-24209204.59000000
RUB
367195.58000000
USD
2019-12-18
-8136.5
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HERTZ CORPORATION
000000000
1.00000000
NC
USD
-6577.53000000
-0.00519890919
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
HERTZ CORP
Hertz Corp/The
Y
Default Event
2021-12-20
608.88
USD
0
USD
68000
USD
-7195.85
N
N
N
BX Trust
N/A
BX Trust 2017-SLCT
05607DAN7
637500.00000000
PA
USD
639849.51000000
0.505739921069
Long
ABS-MBS
CORP
US
N
2
2034-07-15
Floating
4.91538000
N
N
N
N
N
N
AMBAC LSNI LLC
N/A
Ambac LSNI LLC
02315QAA6
8.12000000
PA
USD
8.20000000
0.000006481316
Long
DBT
CORP
KY
N
2
2023-02-12
Floating
7.10438000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
1.00000000
NC
USD
1077.93000000
0.000852000704
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2020-06-20
31746.02
USD
0
USD
1500000
USD
-30652.06
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
TRS INDOGB
000000000
1.00000000
NC
USD
7641.21000000
0.006039646638
N/A
DE
CORP
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
INDONESIA GOVERNMENT
Indonesia Treasury Bond
Y
2032-06-15
0
USD
0
USD
6096000000
USD
7641.21
N
N
N
ADVANTAGE SALES 07/23/21
N/A
ADVANTAGE SALES 07/23/21
000000000
32921.57000000
PA
USD
31022.69000000
0.024520473246
Long
LON
CORP
US
N
2
2021-07-23
Floating
0.01000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
TRS INDOGB
000000000
1.00000000
NC
USD
3247.24000000
0.002566633052
N/A
DE
CORP
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Y
2024-05-15
0
USD
0
USD
1001000000
USD
3247.24
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
1430.82000000
0.001130926542
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2023-12-20
5665.44
USD
0
USD
63000
USD
-4236.37
N
N
N
El Paso Electric Co
OZ8GM8L4AHPKSWZMW205
El Paso Electric Co
000000000
946.52000000
NS
USD
113544.54000000
0.089746113422
Long
EC
CORP
US
N
1
N
N
N
DIGICEL INTL FINANCE LTD
N/A
Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd
25381VAA5
37000.00000000
PA
USD
35412.15000000
0.027989922108
Long
DBT
CORP
LC
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-1007.42000000
-0.00079626928
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-219088.92000000
USD
4278916.15000000
MXN
2019-12-18
-1007.42
N
N
N
AMSR 2019-SFR1 Trust
N/A
AMSR 2019-SFR1 I 1/27
00178XAJ2
750000.00000000
PA
USD
749968.20000000
0.592778227293
Long
ABS-O
CORP
US
N
2
2027-01-17
Fixed
8.97600000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR14
45660LAC3
636584.64560000
PA
USD
548886.13000000
0.433842057740
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.42800000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS THE HERTZ CORPORATION
000000000
1.00000000
NC
USD
-2232.70000000
-0.00176473608
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
HERTZ CORP
Hertz Corp/The
Y
Default Event
2020-06-20
0
USD
-86.49
USD
62000
USD
-2154.82
N
N
N
GARRET LX I / BORROWING
N/A
Garrett LX I Sarl / Garrett Borrowing LLC
000000000
-100000.00000000
PA
-109104.68000000
-0.08623682817
Short
DBT
CORP
LU
N
2
2026-10-15
Fixed
5.12500000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA8 Trust
761118BW7
9192.89130000
PA
USD
7361.39000000
0.005818475656
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.58493600
N
N
N
N
N
N
CLEARWAY ENERGY INC
549300LHAZ9HA9G3XC48
Clearway Energy Inc
62942XAD0
68000.00000000
PA
USD
66854.77000000
0.052842309909
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
3.25000000
N
N
N
N
N
Clearway Energy Inc
Clearway Energy Inc
USD
XXXX
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS K HOVNANIAN
000000000
1.00000000
NC
USD
15540.38000000
0.012283186017
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2024-12-20
19082.44
USD
0
USD
57000
USD
-3549.98
N
N
N
COMMONWEALTH OF PUERTO RICO
549300X44HXPLJU48U63
PUERTO RICO-A
74514LE86
1330000.00000000
PA
USD
824600.00000000
0.651767536578
Long
DBT
MUN
PR
N
2
2035-07-01
Fixed
8.00000000
Y
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS MITSUI OSK LINES
000000000
1.00000000
NC
-1541.00000000
-0.00121801330
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
MITSUI OSK LINES LTD
MITSUI OSK LINES LTD
Y
Default Event
2022-06-20
0
USD
-379.71
USD
9678000
JPY
-1163.75
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-67.58000000
-0.00005341553
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-25155.96000000
USD
22736.11000000
EUR
2019-12-18
-67.58
N
N
N
TEVA PHARM FIN CO LLC
5493006PITD7MU7WW480
Teva Pharmaceutical Finance Co LLC
88163VAE9
78000.00000000
PA
USD
74716.31000000
0.059056106367
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.25000000
N
N
N
N
N
Teva Pharmaceutical Industries
Teva Pharmaceutical Industries Ltd
USD
XXXX
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2004-4
45254NJF5
174681.76690000
PA
USD
187802.87000000
0.148440230344
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
4.83947300
N
N
N
N
N
N
GOLDMAN SACHS & CO LLC
FOR8UP27PHTHYVLBNG30
TRS EGYTB
000000000
1.00000000
NC
USD
1540.10000000
0.001217301944
N/A
DE
CORP
US
N
2
GOLDMAN SACHS & CO LLC
FOR8UP27PHTHYVLBNG30
EGYPT TREASURY BILLS
EGYPT TREASURY BILLS
Y
2020-05-12
0
USD
0
USD
2200000
USD
1540.1
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
1.00000000
NC
USD
-52143.94000000
-0.04121480393
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2028-06-20
75058.57
USD
0
USD
1100000
USD
-127206.03
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46591KBS1
1242668.97000000
PA
USD
67104.12000000
0.053039397267
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
1.00000000
N
N
N
N
N
N
2020-01-23
Franklin Alternative Strategies Funds
Betsy Thomas
Betsy Thomas
Assistant Treasurer