0001752724-20-146771.txt : 20200728
0001752724-20-146771.hdr.sgml : 20200728
20200728153414
ACCESSION NUMBER: 0001752724-20-146771
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200529
FILED AS OF DATE: 20200728
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: 201053721
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
C000157811
C000157808
C000157810
C000157807
C000157809
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
2020-05-29
N
116985563.05
20714494.38
96271068.67
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
764000.00000000
0.00000000
0.00000000
10462815.52000000
EUR
RUB
USD
MXN
N
Atlas Senior Loan Fund LTD
635400UCHZNUTGTBTH21
Atlas Senior Loan Fund III Ltd
04941GAS7
1334162.77000000
PA
USD
999860.14000000
1.038588387781
Long
ABS-CBDO
CORP
KY
N
2
2027-11-17
Floating
2.98563000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS HEIDELBERGCEMENT
000000000
1.00000000
NC
-9315.99000000
-0.00967683243
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
HEIDELBERGCEMENT AG
HEIDELBERGCEMENT AG
Y
Default Event
2025-06-20
0.00000000
USD
-6885.41000000
USD
43000.00000000
EUR
-2430.58000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
28850.74000000
0.029968234900
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-06-05
0.00000000
MXN
0.00000000
MXN
8325446.00000000
MXN
28850.74000000
N
N
N
REFRESCO GROUP T 03/28/25
N/A
REFRESCO GROUP T 03/28/25
000000000
7292.22000000
PA
7807.62000000
0.008110037738
Long
LON
CORP
GB
N
2
2025-03-28
Floating
0.01000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS SOTBANK GROUP
000000000
1.00000000
NC
4005.52000000
0.004160668470
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2023-12-20
3970.39000000
USD
0.00000000
USD
12747000.00000000
JPY
35.13000000
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
BED BATH & BEYOND INC
000000000
112.00000000
NC
USD
8960.00000000
0.009307053639
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
Bed Bath & Beyond Inc
Bed Bath & Beyond Inc
100.00000000
4.00000000
USD
2021-01-15
XXXX
-4816.87000000
N
N
N
AVIS BUDGET CAR/FINANCE
N/A
Avis Budget Car Rental LLC / Avis Budget Finance Inc
053773BB2
100000.00000000
PA
USD
83114.50000000
0.086333829205
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
6.37500000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
200000.00000000
PA
USD
191518.00000000
0.198936194067
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
154000.00000000
PA
USD
167273.26000000
0.173752366428
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CARNIVAL
000000000
1.00000000
NC
USD
1260.43000000
0.001309251073
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2020-12-20
2121.00000000
USD
0.00000000
USD
21000.00000000
USD
-860.57000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
TRS INDOGB
000000000
1.00000000
NC
USD
-46881.05000000
-0.04869692488
N/A
DE
CORP
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
INDONESIA GOVERNMENT
Indonesia Treasury Bond
Y
2032-06-15
0.00000000
USD
0.00000000
USD
8801000000.00000000
USD
-46881.05000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
323.07000000
0.000335583685
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Y
2021-05-20
0.00000000
USD
0.00000000
USD
368.00000000
USD
323.07000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CDS BEAZER HOMES
000000000
1.00000000
NC
USD
-2465.33000000
-0.00256082126
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BEAZER HOMES USA
Beazer Homes USA Inc
Y
Default Event
2022-12-20
4768.81000000
USD
0.00000000
USD
36000.00000000
USD
-7234.14000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
1399.15000000
0.001453344207
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-398463.12000000
USD
360000.00000000
EUR
2020-06-30
1399.15000000
N
N
N
GS Mortgage Securities Corp.
N/A
GSMSC Pass-Through Trust 2009-4R
36190GAE8
773747.78760000
PA
USD
462124.35000000
0.480024119794
Long
ABS-MBS
CORP
US
N
2
2036-12-26
Floating
0.93725000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CF2
150000.00000000
PA
USD
131087.31000000
0.136164801960
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Variable
3.97762600
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CE0
-17000.00000000
PA
USD
-18533.15000000
-0.01925100682
Short
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - THB
000000000
1.00000000
NC
USD
1050.74000000
0.001091439011
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-341024.93000000
USD
10882105.43000000
THB
2020-06-17
1050.74000000
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2019-2
46650TBA9
587028.62000000
PA
USD
569707.46000000
0.591774317944
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
4.63891500
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS CLEVELAND-CLIFFS
000000000
1.00000000
NC
USD
3351.33000000
0.003481139293
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CLEVELAND-CLIFFS INC
Cleveland-Cliffs Inc
Y
Default Event
2025-06-20
5067.04000000
USD
0.00000000
USD
15000.00000000
USD
-1715.71000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
ENERGY TRANSFER LP
000000000
210.00000000
NC
USD
630.00000000
0.000654402208
N/A
DE
CORP
GB
N
1
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
Energy Transfer LP
Energy Transfer LP
100.00000000
12.00000000
USD
2020-07-17
XXXX
-8610.00000000
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FG9
11000.00000000
PA
USD
12213.97000000
0.012687061823
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
2.80000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
794.13000000
0.000824889565
N/A
DE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-15
0.00000000
USD
0.00000000
USD
1576.00000000
USD
794.13000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZE3
-167000.00000000
PA
USD
-168546.05000000
-0.17507445624
Short
DBT
UST
US
N
2
2027-03-31
Fixed
0.62500000
N
N
N
N
N
N
Suntrust Alternative Loan Trus
N/A
Suntrust Alternative Loan Trust Series 2005-1F
86789MAA5
212497.68160000
PA
USD
171067.75000000
0.177693830933
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.81825000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS AVIS
000000000
1.00000000
NC
USD
8881.41000000
0.009225419560
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
AVIS BUDGET CAR/FINANCE
AVIS BUDGET CAR/FINANCE
Y
Default Event
2024-12-20
5597.55000000
USD
0.00000000
USD
45000.00000000
USD
3283.86000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS CARNIVAL
000000000
1.00000000
NC
USD
13255.49000000
0.013768923710
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2023-06-20
15609.69000000
USD
0.00000000
USD
57000.00000000
USD
-2354.20000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
173.13000000
0.000179835959
N/A
DE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-05
0.00000000
USD
0.00000000
USD
75.00000000
USD
173.13000000
N
N
N
CYTODYN INC
N/A
CYTODYN INC
23283M101
3413.00000000
NS
USD
10102.48000000
0.010493786076
Long
EC
CORP
US
N
1
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AA9
35000.00000000
PA
USD
29158.00000000
0.030287396206
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
1.50000000
N
N
N
N
Y
Cleveland-Cliffs Inc
Cleveland-Cliffs Inc
USD
XXXX
N
N
N
Credit Suisse First Boston Mor
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2002-9
22540VG71
472878.05620000
PA
USD
503954.42000000
0.523474421715
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
7.50000000
N
N
N
N
N
N
NEXTERA ENERGY PARTNERS
5493008F4ZOQFNG3WN54
NextEra Energy Partners LP
65341BAA4
164000.00000000
PA
USD
170135.40000000
0.176725367600
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
1.50000000
N
N
N
N
N
NextEra Energy Partners LP
NextEra Energy Partners LP
USD
XXXX
N
N
N
KREF 2018--FL1 Ltd.
549300N45646UZ8P3S07
KREF 2018-FL1 Ltd
48275PAJ0
300000.00000000
PA
USD
259172.25000000
0.269210941127
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
2.73363000
N
N
N
N
N
N
ONE CALL CORP
549300WUCCV86ZQHG041
One Call Corp
68347TAF2
469056.00000000
PA
USD
450293.76000000
0.467735287683
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
7.50000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2007-HF1
55291YAE7
672093.91090000
PA
USD
457486.53000000
0.475206660028
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
3.37126100
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS K HOVNANIAN
000000000
1.00000000
NC
USD
21747.33000000
0.022589683796
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2024-12-20
11308.40000000
USD
0.00000000
USD
34000.00000000
USD
10438.93000000
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust
939344AM9
291497.98330000
PA
USD
217466.79000000
0.225890075808
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.24825000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS SOTBANK GROUP
000000000
1.00000000
NC
4942.24000000
0.005133671068
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2024-06-20
4026.54000000
USD
0.00000000
USD
12747000.00000000
JPY
915.70000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS TELECOM ITALIA
000000000
1.00000000
NC
15690.47000000
0.016298219409
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TELECOM ITALIA SA
TELECOM ITALIA SA
Y
Default Event
2025-06-20
30400.89000000
USD
0.00000000
USD
213000.00000000
EUR
-14710.42000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-31166.46000000
-0.03237365122
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2021-09-18
0.00000000
USD
-2500.52000000
USD
1500000.00000000
USD
-28665.94000000
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAC6
54000.00000000
PA
USD
60636.58000000
0.062985256980
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.15000000
N
N
N
N
N
N
PETSMART INC
N/A
PetSmart Inc
716768AD8
-33000.00000000
PA
USD
-32855.63000000
-0.03412824896
Short
DBT
CORP
US
N
2
2025-06-01
Fixed
8.87500000
N
N
N
N
N
N
J.P. MORGAN INTERNATIONAL HOLDINGS LLC
RJF2CX2JHNMIUL09B982
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1236.54000000
-0.00128443572
N/A
DFE
CORP
US
N
2
J.P. MORGAN INTERNATIONAL HOLDINGS LLC
RJF2CX2JHNMIUL09B982
-11690000.00000000
JPY
107207.38000000
USD
2020-06-30
-1236.54000000
N
N
N
Hertz Global Holdings Inc
549300NBK3K85MH1EX16
Hertz Global Holdings Inc
42806J106
-13647.00000000
NS
USD
-13647.00000000
-0.01417559832
Short
EC
CORP
US
N
1
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516BZ8
37000.00000000
PA
USD
37911.21000000
0.039379650110
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
1.95000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153AZ5
459000.00000000
PA
USD
487087.96000000
0.505954661903
Long
DBT
CORP
LR
N
2
2025-06-01
Fixed
11.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - ZAR
000000000
1.00000000
NC
USD
-32118.43000000
-0.03336249451
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-418427.96000000
USD
6792550.35000000
ZAR
2020-06-17
-32118.43000000
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2007-AR5
17311LAH4
116386.97740000
PA
USD
104782.65000000
0.108841266070
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.19427000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738BB3
48000.00000000
PA
USD
48940.37000000
0.050836009900
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.25000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS KOHLS CORP
000000000
1.00000000
NC
USD
39938.48000000
0.041485443707
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2024-06-20
2618.07000000
USD
0.00000000
USD
278000.00000000
USD
37320.41000000
N
N
N
ESKOM HOLDINGS SOC LTD
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
222000.00000000
PA
USD
211732.50000000
0.219933675739
Long
DBT
CORP
ZA
N
2
2021-01-26
Fixed
5.75000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS CARNIVAL
000000000
1.00000000
NC
USD
8597.12000000
0.008930117966
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2025-06-20
12098.52000000
USD
0.00000000
USD
33000.00000000
USD
-3501.40000000
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS SOFTBANK GROUP
000000000
1.00000000
NC
9884.49000000
0.010267352525
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2024-06-20
6602.91000000
USD
0.00000000
USD
25494000.00000000
JPY
3281.58000000
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
BOYD GAMING CO 8.625 6/25
103304BS9
68000.00000000
PA
USD
72862.00000000
0.075684212304
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
8.62500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
4.28000000
0.000004445780
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-15
0.00000000
USD
0.00000000
USD
61.00000000
USD
4.28000000
N
N
N
Tesla Inc
54930043XZGB27CTOV49
Tesla Inc
88160R101
-1245.00000000
NS
USD
-1039575.00000000
-1.07984154986
Short
EC
CORP
US
N
1
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GOODYEAR TIRE
000000000
1.00000000
NC
USD
-416.88000000
-0.00043302729
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
GOODYEAR TIRE & RUBBER
Goodyear Tire & Rubber Co/The
Y
Default Event
2025-06-20
902.04000000
USD
0.00000000
USD
45000.00000000
USD
-1318.92000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS BEST BUY CO INC
000000000
1.00000000
NC
USD
-8807.99000000
-0.00914915573
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BEST BUY CO INC
BEST BUY CO INC
Y
Default Event
2024-12-20
0.00000000
USD
-6747.95000000
USD
45000.00000000
USD
-2060.04000000
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS MBIA INC
000000000
1.00000000
NC
USD
1390.40000000
0.001444255287
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
MBIA INC
MBIA INC
Y
Default Event
2024-12-20
0.00000000
USD
-18365.87000000
USD
143000.00000000
USD
19756.27000000
N
N
N
Staniford Street CLO Ltd
549300VQ0AVDB6585K37
STANI 2014-1A D 6/25
854432AD3
1160000.00000000
PA
USD
1069265.73000000
1.110682310658
Long
ABS-CBDO
CORP
KY
N
2
2025-06-15
Floating
4.24050000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-OA3 Trust
93364AAC6
57701.84290000
PA
USD
51399.75000000
0.053390650701
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
2.45052900
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAE1
-138000.00000000
PA
USD
-140389.47000000
-0.14582726871
Short
DBT
CORP
US
N
2
2028-03-15
Fixed
5.25000000
N
N
N
N
N
N
Clearway Energy Inc
549300LHAZ9HA9G3XC48
Clearway Energy Inc
18539C204
16425.00000000
NS
USD
359871.75000000
0.373810901833
Long
EC
CORP
US
N
1
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY
000000000
1.00000000
NC
USD
253.16000000
0.000262965814
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-04-29
0.00000000
USD
0.00000000
USD
194.00000000
USD
253.16000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS SOTBANK GROUP
000000000
1.00000000
NC
2471.31000000
0.002567032893
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2024-06-20
1854.42000000
USD
0.00000000
USD
6374000.00000000
JPY
616.89000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-57363.22000000
-0.05958510775
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-47120359.02000000
RUB
610873.77000000
USD
2020-06-17
-57363.22000000
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS KIMCO REALTY
000000000
1.00000000
NC
USD
-1097.90000000
-0.00114042569
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
KIMCO REALTY CORP
Kimco Realty Corp
Y
Default Event
2024-06-20
223.95000000
USD
0.00000000
USD
121000.00000000
USD
-1321.85000000
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAS4
454000.00000000
PA
USD
512345.81000000
0.532190841005
Long
DBT
CORP
LU
N
2
2022-09-30
Variable
9.50000000
Y
N
N
N
N
N
SOUTHWEST AIRLINES CO
UDTZ87G0STFETI6HGH41
Southwest Airlines Co
844741BH0
68000.00000000
PA
USD
68975.77000000
0.071647454373
Long
DBT
CORP
US
N
2
2023-05-04
Fixed
4.75000000
N
N
N
N
N
N
GAP INC/THE
T2ZG1WRWZ4BUCMQL9224
Gap Inc/The
364760AL2
106000.00000000
PA
USD
113155.00000000
0.117537907871
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
8.37500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
38.07000000
0.000039544590
N/A
DE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-27
0.00000000
USD
0.00000000
USD
61.00000000
USD
38.07000000
N
N
N
MCCLATCHY CO
549300O2Y2UWR3BER320
McClatchy Co/The
579489AL9
134000.00000000
PA
USD
130712.31000000
0.135775276836
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
9.00000000
Y
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CDS BEAZER HOMES
000000000
1.00000000
NC
USD
-2352.11000000
-0.00244321584
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BEAZER HOMES USA
Beazer Homes USA Inc
Y
Default Event
2025-06-20
8048.79000000
USD
0.00000000
USD
36000.00000000
USD
-10400.90000000
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS LLOYDS BANK PLC
000000000
1.00000000
NC
-257.01000000
-0.00026696493
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
LLOYDS BANK PLC
Lloyds Bank PLC
Y
Default Event
2023-12-20
790.67000000
USD
0.00000000
USD
67000.00000000
EUR
-1047.68000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-15530.53000000
-0.01613208434
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-5745281196.00000000
IDR
372224.24000000
USD
2020-09-16
-15530.53000000
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CDS CARNIVAL
000000000
1.00000000
NC
USD
4185.94000000
0.004348076797
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2023-06-20
4995.47000000
USD
0.00000000
USD
18000.00000000
USD
-809.53000000
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAW6
55000.00000000
PA
USD
55216.14000000
0.057354863473
Long
DBT
CORP
KY
N
2
2060-06-03
Fixed
3.29000000
N
N
N
N
N
N
HUGHES SATELLITE SYSTEMS
N/A
Hughes Satellite Systems Corp
444454AD4
183000.00000000
PA
USD
190056.48000000
0.197418064041
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.25000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFK5
48000.00000000
PA
USD
52672.32000000
0.054712512001
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.62500000
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
176640.44000000
0.183482371641
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
0.86825000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS BEST BUY CO INC
000000000
1.00000000
NC
USD
-14092.78000000
-0.01463864502
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
BEST BUY CO INC
BEST BUY CO INC
Y
Default Event
2024-12-20
0.00000000
USD
-10650.62000000
USD
72000.00000000
USD
-3442.16000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
1427.04000000
0.001482314489
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-09
0.00000000
USD
0.00000000
USD
720.00000000
USD
1427.04000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS GROUPE CASINO
000000000
1.00000000
NC
19450.29000000
0.020203671018
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CASINO GUICHARD PERRACHO
CASINO GUICHARD PERRACHO
Y
Default Event
2024-12-20
18923.30000000
USD
0.00000000
USD
244000.00000000
EUR
526.99000000
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2005-3
52520MEB5
76767.88380000
PA
USD
78201.98000000
0.081231029301
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS SIMON PROPERTY GROUP
000000000
1.00000000
NC
USD
24873.25000000
0.025836682134
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
Simon Property Group Inc
Simon Property Group Inc
Y
Default Event
2024-12-20
0.00000000
USD
-10424.85000000
USD
434000.00000000
USD
35298.10000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
572.93000000
0.000595121678
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2020-06-20
816.49000000
USD
0.00000000
USD
53000.00000000
USD
-243.56000000
N
N
N
CoStar Group Inc
N/A
CoStar Group Inc
22160N109
-380.00000000
NS
USD
-249584.00000000
-0.25925130306
Short
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS AVIS
000000000
1.00000000
NC
USD
5328.84000000
0.005535245503
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AVIS BUDGET CAR/FINANCE
AVIS BUDGET CAR/FINANCE
Y
Default Event
2024-12-20
3227.50000000
USD
0.00000000
USD
27000.00000000
USD
2101.34000000
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2006-AR13 Trust
94984DAB0
156984.23430000
PA
USD
143158.84000000
0.148703906560
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
4.69436400
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS MARUBENI CORP
000000000
1.00000000
NC
-603.24000000
-0.00062660569
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
MARUBENI CORP
MARUBENI CORP
Y
Default Event
2025-06-20
622.23000000
USD
0.00000000
USD
2404000.00000000
JPY
-1225.47000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GOODYEAR TIRE
000000000
1.00000000
NC
USD
-333.50000000
-0.00034641767
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
GOODYEAR TIRE & RUBBER
Goodyear Tire & Rubber Co/The
Y
Default Event
2025-06-20
1949.75000000
USD
0.00000000
USD
36000.00000000
USD
-2283.25000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-20863.56000000
-0.02167168214
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-9216642460.11000000
IDR
601176.86000000
USD
2020-09-16
-20863.56000000
N
N
N
GSAA Home Equity Trust
N/A
GSAA Trust
362334NC4
262679.75150000
PA
USD
150150.98000000
0.155966877769
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Variable
6.22000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
12000.00000000
PA
USD
12656.54000000
0.013146774181
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
36708.32000000
0.038130167772
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-4904259.79000000
ZAR
315625.99000000
USD
2020-06-17
36708.32000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
57820.03000000
0.060059611676
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-1918154.20000000
USD
139334720.90000000
RUB
2020-06-17
57820.03000000
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BR1
63000.00000000
PA
USD
58166.01000000
0.060418992749
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.75000000
N
N
N
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
UNITED AIRLINES HOLDINGS INC
000000000
42.00000000
NC
USD
840.00000000
0.000872536278
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
United Airlines Holdings Inc
United Airlines Holdings Inc
100.00000000
18.00000000
USD
2020-06-19
XXXX
-4241.91000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS LLOYDS OPCO SUB
000000000
1.00000000
NC
-1297.56000000
-0.00134781925
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
0.00000000
USD
-1272.18000000
USD
196000.00000000
EUR
-25.38000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBG6
135000.00000000
PA
USD
127999.58000000
0.132957472861
Long
DBT
CORP
MX
N
2
2023-01-30
Fixed
3.50000000
N
N
N
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
CDS SOAF
000000000
1.00000000
NC
USD
87309.44000000
0.090691254606
N/A
DCR
CORP
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2024-12-20
26642.22000000
USD
0.00000000
USD
903000.00000000
USD
60667.22000000
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
71376LAB6
-51000.00000000
PA
USD
-51058.40000000
-0.05303607896
Short
DBT
CORP
US
N
2
2024-06-01
Fixed
5.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS HOVNANIAN ENTERPRISES
000000000
1.00000000
NC
USD
23761.07000000
0.024681423327
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K Hovnanian Enterprises Inc
Y
Default Event
2024-06-20
13079.07000000
USD
0.00000000
USD
38000.00000000
USD
10682.00000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
125774.35000000
0.130646051547
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
18621.10000000
USD
0.00000000
USD
239000.00000000
USD
107153.25000000
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
AMERICAN AIRLINES GROUP INC
000000000
3.00000000
NC
USD
486.00000000
0.000504824561
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
American Airlines Group Inc
American Airlines Group Inc
100.00000000
5.00000000
USD
2021-01-15
XXXX
-232.76000000
N
N
N
DEUTSCHE BRSE AKTIENGESELLSCHAFT
529900G3SW56SHYNPR95
CASINO GUICHARD PERRACHON
000000000
13.00000000
NC
2222.32000000
0.002308398598
N/A
DE
CORP
DE
N
1
DEUTSCHE BRSE AKTIENGESELLSCHAFT
529900G3SW56SHYNPR95
Put
Purchased
Casino Guichard Perrachon SA
Casino Guichard Perrachon SA
100.00000000
26.00000000
EUR
2020-12-19
XXXX
-1571.99000000
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2004-12
07386HPG0
295376.45000000
PA
USD
266933.88000000
0.277273207504
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
3.67947400
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS MBIA INC
000000000
1.00000000
NC
USD
-6126.76000000
-0.00636407186
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
MBIA INC
MBIA INC
Y
Default Event
2021-06-20
0.00000000
USD
-9000.31000000
USD
269000.00000000
USD
2873.55000000
N
N
N
FRONTIER COMMUNICATIONS
549300ZCZ76HYCS0H445
Frontier Communications Corp
35906AAQ1
32000.00000000
PA
USD
10116.64000000
0.010508494545
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
6.87500000
Y
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS CLEVELAND-CLIFFS
000000000
1.00000000
NC
USD
2904.48000000
0.003016981155
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CLEVELAND-CLIFFS INC
Cleveland-Cliffs Inc
Y
Default Event
2025-06-20
4446.44000000
USD
0.00000000
USD
13000.00000000
USD
-1541.96000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-970.47000000
-0.00100805985
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-10882105.43000000
THB
341024.93000000
USD
2020-09-16
-970.47000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-1F
3622MPAJ7
218741.76000000
PA
USD
241775.05000000
0.251139883809
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.00000000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BKY6
126658.58030000
PA
USD
120580.55000000
0.125251076637
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Variable
4.31086200
N
N
N
N
N
N
TELECOM ITALIA SPA
549300W384M3RI3VXU42
Telecom Italia SpA/Milano
000000000
100000.00000000
PA
107195.35000000
0.111347418784
Long
DBT
CORP
IT
N
2
2022-03-26
Fixed
1.12500000
N
N
N
N
N
Telecom Italia SpA/Milano
Telecom Italia SpA/Milano
EUR
XXXX
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS MITSUI OSK LINES
000000000
1.00000000
NC
-1206.57000000
-0.00125330487
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
0.00000000
USD
-304.99000000
USD
9678000.00000000
JPY
-901.58000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC53
88000.00000000
PA
USD
91601.25000000
0.095149302137
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.97600000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-60.26000000
-0.00006259409
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-121015.97000000
ZAR
6822.22000000
USD
2020-06-17
-60.26000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CDS KOHLS
000000000
1.00000000
NC
USD
36469.46000000
0.037882055849
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2024-12-20
3814.17000000
USD
0.00000000
USD
221000.00000000
USD
32655.29000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS STAPLES
000000000
1.00000000
NC
USD
49268.00000000
0.051176330210
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
STAPLES INC
Staples Inc
Y
Default Event
2025-06-20
4466.81000000
USD
0.00000000
USD
180000.00000000
USD
44801.19000000
N
N
N
STAPLES INC
XQM2JINI1UL7642TU573
Staples Inc
855030AN2
423000.00000000
PA
USD
370501.47000000
0.384852349847
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
7.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
18906.17000000
0.019638475256
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2024-12-20
8764.46000000
USD
0.00000000
USD
39000.00000000
USD
10141.71000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS HOVNANIAN
000000000
1.00000000
NC
USD
2606.05000000
0.002706991867
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K Hovnanian Enterprises Inc
Y
Default Event
2025-06-20
2499.87000000
USD
0.00000000
USD
4000.00000000
USD
106.18000000
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAN0
20000.00000000
PA
USD
20115.90000000
0.020895062533
Long
DBT
CORP
N/A
N
2
2026-08-15
Fixed
4.12500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS HEIDELBERGCEMENT
000000000
1.00000000
NC
-7799.43000000
-0.00810153050
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
HEIDELBERGCEMENT AG
HEIDELBERGCEMENT AG
Y
Default Event
2025-06-20
0.00000000
USD
-5827.41000000
USD
36000.00000000
EUR
-1972.02000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A2
46630PAE5
195299.26010000
PA
USD
170444.95000000
0.177046907606
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.02140000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
200.44000000
0.000208203775
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-08
0.00000000
USD
0.00000000
USD
97.00000000
USD
200.44000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
1.00000000
NC
USD
-8906.87000000
-0.00925186571
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2020-06-20
31746.02000000
USD
0.00000000
USD
1500000.00000000
USD
-40652.89000000
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CX6
128000.00000000
PA
USD
126393.40000000
0.131289079622
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.60000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS AVIS
000000000
1.00000000
NC
USD
5328.84000000
0.005535245503
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AVIS BUDGET CAR/FINANCE
AVIS BUDGET CAR/FINANCE
Y
Default Event
2024-12-20
2840.20000000
USD
0.00000000
USD
27000.00000000
USD
2488.64000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS CLEVELAND-CLIFFS
000000000
1.00000000
NC
USD
893.68000000
0.000928295501
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CLEVELAND-CLIFFS INC
Cleveland-Cliffs Inc
Y
Default Event
2025-06-20
1272.41000000
USD
0.00000000
USD
4000.00000000
USD
-378.73000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YH7
56900.00000000
PA
USD
59926.15000000
0.062247309423
Long
DBT
UST
US
N
2
2024-09-30
Fixed
1.50000000
N
N
N
N
N
N
B&G FOODS INC
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508WAB1
-58000.00000000
PA
USD
-59655.03000000
-0.06196568795
Short
DBT
CORP
US
N
2
2027-09-15
Fixed
5.25000000
N
N
N
N
N
N
TELEPERFORMANCE
9695004GI61FHFFNRG61
Teleperformance
000000000
-100000.00000000
PA
-112529.28000000
-0.11688795144
Short
DBT
CORP
FR
N
2
2025-07-02
Fixed
1.87500000
N
N
N
N
N
N
JFIN CLO Ltd
254900BHRGJCLMGCWF45
JFIN CLO 2015 Ltd
46617YAZ6
650000.00000000
PA
USD
512226.46000000
0.532066868142
Long
ABS-CBDO
CORP
KY
N
2
2026-03-15
Floating
3.39050000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FK0
48000.00000000
PA
USD
60442.53000000
0.062783690713
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
3.60000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
CDS SOAF
000000000
1.00000000
NC
USD
87019.37000000
0.090389949132
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2024-12-20
26654.02000000
USD
0.00000000
USD
900000.00000000
USD
60365.35000000
N
N
N
Delta Funding Home Equity Loan
N/A
Delta Funding Home Equity Loan Trust 2000-2
24763LGX2
300894.59330000
PA
USD
265805.89000000
0.276101526317
Long
ABS-MBS
CORP
US
N
2
2030-08-15
Variable
8.86000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAK6
200000.00000000
PA
USD
217000.00000000
0.225405205320
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
CEDAR FAIR/CAN/MAGNUM/MI
N/A
Cedar Fair LP / Canada's Wonderland Co / Magnum Management Corp / Millennium Op
150190AF3
183000.00000000
PA
USD
186660.00000000
0.193890025922
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
United Airlines Holdings Inc
98450079DA0B78DD6764
United Airlines Holdings Inc
910047109
-1033.00000000
NS
USD
-28965.32000000
-0.03008725300
Short
EC
CORP
US
N
1
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
249.61000000
0.000259278310
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-10
0.00000000
USD
0.00000000
USD
395.00000000
USD
249.61000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS HOVNANIAN
000000000
1.00000000
NC
USD
11727.26000000
0.012181499761
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K Hovnanian Enterprises Inc
Y
Default Event
2025-06-20
7853.13000000
USD
0.00000000
USD
18000.00000000
USD
3874.13000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-840.99000000
-0.00087356462
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-559524402.50000000
IDR
37363.90000000
USD
2020-06-17
-840.99000000
N
N
N
Liberty Global PLC
549300BSGXG3QLIQYT84
Liberty Global PLC
000000000
6944.00000000
NS
USD
143254.72000000
0.148803500344
Long
EC
CORP
GB
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - ZAR
000000000
1.00000000
NC
USD
-26933.21000000
-0.02797643193
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-411557.63000000
USD
6762920.81000000
ZAR
2020-06-17
-26933.21000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDA7
101000.00000000
PA
USD
78991.09000000
0.082050704423
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
RIVERBED TECH TL 04/24/22
N/A
RIVERBED TECH TL 04/24/22
000000000
12.26780000
PA
USD
10.67000000
0.000011083288
Long
LON
CORP
US
N
2
2022-04-24
Floating
0.10000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS US STEEL CORP
000000000
1.00000000
NC
USD
10858.07000000
0.011278642846
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
UNITED STATES STEEL CORP
United States Steel Corp
Y
Default Event
2025-06-20
9618.48000000
USD
0.00000000
USD
36000.00000000
USD
1239.59000000
N
N
N
FLEX ACQUISITION 12/29/23
N/A
FLEX ACQUISITION 12/29/23
000000000
2996.86000000
PA
USD
2893.84000000
0.003005929029
Long
LON
CORP
US
N
2
2023-12-29
Floating
4.43337840
N
N
N
N
N
N
GOODYEAR TIRE & 03/03/25
N/A
GOODYEAR TIRE & 03/03/25
000000000
14946.00000000
PA
USD
14107.96000000
0.014654412997
Long
LON
CORP
US
N
2
2025-03-03
Floating
3.20000040
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
192000.00000000
PA
201769.86000000
0.209585146178
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
4.37500000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EZ7
22000.00000000
PA
USD
22243.87000000
0.023105456610
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
1.62500000
N
N
N
N
N
N
UNITED STATES STEEL CORP
JNLUVFYJT1OZSIQ24U47
United States Steel Corp
912909AQ1
106000.00000000
PA
USD
79823.39000000
0.082915242453
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
5.00000000
N
N
N
N
Y
United States Steel Corp
United States Steel Corp
USD
XXXX
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS CARNIVAL
000000000
1.00000000
NC
USD
1260.43000000
0.001309251073
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2020-12-20
1015.80000000
USD
0.00000000
USD
21000.00000000
USD
244.63000000
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAL6
11000.00000000
PA
USD
11539.10000000
0.011986051634
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
1.90000000
N
N
N
N
N
N
PETSMART CONSENT 03//22
N/A
PETSMART CONSENT 03//22
000000000
77963.01000000
PA
USD
76842.29000000
0.079818673524
Long
LON
CORP
US
N
2
2022-03-11
Floating
5.00000040
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CDS US STEEL CORP
000000000
1.00000000
NC
USD
4524.20000000
0.004699438847
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
UNITED STATES STEEL CORP
United States Steel Corp
Y
Default Event
2025-06-20
5370.89000000
USD
0.00000000
USD
15000.00000000
USD
-846.69000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS KOHLS
000000000
1.00000000
NC
USD
6657.44000000
0.006915307051
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2025-06-20
7250.41000000
USD
0.00000000
USD
36000.00000000
USD
-592.97000000
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400FZ1
25000.00000000
PA
USD
29182.86000000
0.030313219125
Long
DBT
CORP
US
N
2
2043-10-01
Fixed
4.65000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS SOFTBANK GROUP
000000000
1.00000000
NC
4005.52000000
0.004160668470
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2023-12-20
3734.07000000
USD
0.00000000
USD
12747000.00000000
JPY
271.45000000
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-73CB
12668AT70
174193.44110000
PA
USD
175950.36000000
0.182765562313
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6.25000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
98.08000000
0.000101878997
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-21
0.00000000
USD
0.00000000
USD
69.00000000
USD
98.08000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
3985.63000000
0.004140008057
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-2183492.96000000
MXN
102199.53000000
USD
2020-06-17
3985.63000000
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS OCCIDENTAL PETRO
000000000
1.00000000
NC
USD
-14583.63000000
-0.01514850743
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
OCCIDENTAL PETROLEUM COR
Occidental Petroleum Corp
Y
Default Event
2021-09-20
0.00000000
USD
-38922.64000000
USD
-167000.00000000
USD
24339.01000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAK2
52000.00000000
PA
USD
60954.37000000
0.063315356152
Long
DBT
CORP
US
N
2
2048-07-24
Fixed
4.03200000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
-49.33000000
-0.00005124073
N/A
DE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Clearway Energy Inc
Clearway Energy Inc
Y
2021-01-18
0.00000000
USD
0.00000000
USD
155.00000000
USD
-49.33000000
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599105
-4213.00000000
NS
USD
-54558.35000000
-0.05667159485
Short
EC
CORP
US
N
1
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
43267000.00000000
PA
675476.96000000
0.701640658332
Long
DBT
NUSS
RU
N
2
2025-11-12
Fixed
7.15000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8
46649JAQ1
4000000.00000000
PA
USD
2684370.40000000
2.788345904003
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Floating
4.18363000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
125.58000000
0.000130444173
N/A
DE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-11
0.00000000
USD
0.00000000
USD
105.00000000
USD
125.58000000
N
N
N
VERITAS US INC/BERMUDA L
N/A
Veritas US Inc / Veritas Bermuda Ltd
92346LAA1
-312000.00000000
PA
USD
-285057.24000000
-0.29609855166
Short
DBT
CORP
US
N
2
2024-02-01
Fixed
10.50000000
N
N
N
N
N
N
ACOSTA EXIT COMMON STOCK
N/A
ACOSTA EXIT COMMON STOCK
000000000
923.00000000
NS
USD
8143.98000000
0.008459426193
Long
EC
CORP
US
Y
3
N
N
N
TESLA INC
54930043XZGB27CTOV49
Tesla Inc
88160RAC5
461000.00000000
PA
USD
1080657.25000000
1.122515065979
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
1.25000000
N
N
N
N
Y
Tesla Inc
Tesla Inc
USD
XXXX
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2010-RR1 Trust
05532TAD4
278840.61000000
PA
USD
231304.62000000
0.240263895680
Long
ABS-MBS
CORP
US
N
2
2037-03-26
Variable
3.63543000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBX2
104000.00000000
PA
USD
116405.03000000
0.120913823444
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.60000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS PETROLEO BRASILEIRO
000000000
1.00000000
NC
USD
7058.69000000
0.007332098934
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
PETROBRAS GLOBAL FINANCE
Petrobras Global Finance BV
Y
Default Event
2025-06-20
9107.61000000
USD
0.00000000
USD
49000.00000000
USD
-2048.92000000
N
N
N
AMBAC LSNI LLC
N/A
Ambac LSNI LLC
02315QAA6
7.18000000
PA
USD
6.92000000
0.000007188036
Long
DBT
CORP
KY
N
2
2023-02-12
Floating
6.45013000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBW1
53000.00000000
PA
USD
45250.34000000
0.047003051513
Long
DBT
CORP
MX
N
2
2026-01-23
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS BEST BUY CO INC
000000000
1.00000000
NC
USD
-8807.99000000
-0.00914915573
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BEST BUY CO INC
BEST BUY CO INC
Y
Default Event
2024-12-20
0.00000000
USD
-6973.94000000
USD
45000.00000000
USD
-1834.05000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828XT2
-101000.00000000
PA
USD
-108052.25000000
-0.11223750966
Short
DBT
UST
US
N
2
2024-05-31
Fixed
2.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
4819.63000000
0.005006311934
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-10882105.43000000
THB
346895.30000000
USD
2020-06-17
4819.63000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZB9
-60000.00000000
PA
USD
-62572.27000000
-0.06499592334
Short
DBT
UST
US
N
2
2027-02-28
Fixed
1.12500000
N
N
N
N
N
N
FOODCO BONDCO SAU
N/A
Foodco Bondco SL
000000000
100000.00000000
PA
50507.29000000
0.052463622454
Long
DBT
CORP
ES
N
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
SCE TRUST VI
N/A
SCE Trust VI
78410V200
3404.00000000
NS
USD
74411.44000000
0.077293667794
Long
EP
CORP
US
N
1
N
N
N
FRONTIER COMMUNICATIONS
549300ZCZ76HYCS0H445
Frontier Communications Corp
35906AAM0
125000.00000000
PA
USD
39609.38000000
0.041143596458
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
7.12500000
Y
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BK2
228000.00000000
PA
USD
247380.00000000
0.256961934065
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
8.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
4088.62000000
0.004246987237
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2023-12-20
5001.58000000
USD
0.00000000
USD
63000.00000000
USD
-912.96000000
N
N
N
CMA CGM SA
969500BZJ49IICIBZZ08
CMA CGM SA
000000000
-82000.00000000
PA
-75550.03000000
-0.07847635955
Short
DBT
CORP
FR
N
2
2022-07-15
Fixed
6.50000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
200000.00000000
PA
USD
195768.20000000
0.203351019890
Long
DBT
NUSS
EG
N
2
2049-03-01
Fixed
8.70020000
N
N
N
N
N
N
CASINO GUICHARD PERRACHO
969500VHL8F83GBL6L29
Casino Guichard Perrachon SA
000000000
100000.00000000
PA
92411.70000000
0.095991143836
Long
DBT
CORP
FR
N
2
2026-08-05
Variable
4.04800000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-3
35563PCE7
40000.00000000
PA
USD
38905.10000000
0.040412037112
Long
ABS-MBS
CORP
US
N
2
2056-07-25
Variable
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
707.91000000
0.000735329948
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-07
0.00000000
USD
0.00000000
USD
345.00000000
USD
707.91000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS&ELEC 3.3 3/27
694308HS9
46000.00000000
PA
USD
47065.13000000
0.048888134981
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.30000000
Y
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
69346VAA7
-84000.00000000
PA
USD
-82595.94000000
-0.08579518347
Short
DBT
CORP
US
N
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
VERISURE HOLDING 10/21/22
N/A
VERISURE HOLDING 10/21/22
000000000
1321.34000000
PA
1427.64000000
0.001482937729
Long
LON
CORP
SE
N
2
2022-10-21
Floating
0.01000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
94000.00000000
PA
110125.22000000
0.114390773387
Long
DBT
NUSS
DE
N
2
2025-02-15
Fixed
0.50000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CG4
-80000.00000000
PA
USD
-81600.00000000
-0.08476066706
Short
DBT
CORP
US
N
2
2025-05-01
Fixed
6.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
33047.94000000
0.034328007839
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-20972246948.54000000
IDR
1465053.93000000
USD
2020-06-17
33047.94000000
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630BD9
24513.16370000
PA
USD
22982.85000000
0.023873060014
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
3.65315000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
923.50000000
0.000959270539
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-11
0.00000000
USD
0.00000000
USD
1278.00000000
USD
923.50000000
N
N
N
BROOKFIELD PPTY REIT INC
N/A
Brookfield Property REIT Inc / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL
11284DAA3
-131000.00000000
PA
USD
-99866.54000000
-0.10373473711
Short
DBT
CORP
US
N
2
2026-05-15
Fixed
5.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
73000.00000000
PA
USD
90163.82000000
0.093656195205
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAK1
-174000.00000000
PA
USD
-155751.30000000
-0.16178411868
Short
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.87500000
N
N
N
N
N
N
MASTR Seasoned Securitization
N/A
MASTR Seasoned Securitization Trust 2004-1
55265WBD4
61112.42200000
PA
USD
58907.68000000
0.061189390347
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Variable
4.46428000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS STEEL CORP
000000000
1.00000000
NC
USD
6635.48000000
0.006892496459
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
UNITED STATES STEEL CORP
United States Steel Corp
Y
Default Event
2025-06-20
6699.11000000
USD
0.00000000
USD
22000.00000000
USD
-63.63000000
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS TRANSOCEAN
000000000
1.00000000
NC
USD
70287.27000000
0.073009753575
N/A
DCR
CORP
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2025-06-20
85045.71000000
USD
0.00000000
USD
132000.00000000
USD
-14758.44000000
N
N
N
QUALCOMM INC
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525BJ1
35000.00000000
PA
USD
37509.73000000
0.038962619318
Long
DBT
CORP
US
N
2
2050-05-20
Fixed
3.25000000
N
N
N
N
N
N
AVIS BUDGET CAR/FINANCE
N/A
Avis Budget Car Rental LLC / Avis Budget Finance Inc
053773BA4
50000.00000000
PA
USD
40250.00000000
0.041809030019
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
5.25000000
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
Credit Suisse First Boston Mortgage Securities Corp
22541SEJ3
133842.28190000
PA
USD
120503.43000000
0.125170969497
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
3.77578500
N
N
N
N
N
N
SOFTBANK GROUP CORP
5493003BZYYYCDIO0R13
SoftBank Group Corp
000000000
-300000.00000000
PA
USD
-299258.30000000
-0.31084967076
Short
DBT
CORP
JP
N
2
2027-09-19
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2016-1
35563PAE9
500000.00000000
PA
USD
400502.65000000
0.416015585505
Long
ABS-MBS
CORP
US
N
2
2055-09-25
Variable
3.75000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS SUEDZUCKER
000000000
1.00000000
NC
1574.03000000
0.001634997950
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
SUDZUCKER INT FINANCE
SUDZUCKER INT FINANCE
Y
Default Event
2025-06-20
5060.24000000
USD
0.00000000
USD
109000.00000000
EUR
-3486.21000000
N
N
N
GOLDMAN SACHS & CO LLC
FOR8UP27PHTHYVLBNG30
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
105.04000000
0.000109108584
N/A
DE
CORP
US
N
2
GOLDMAN SACHS & CO LLC
FOR8UP27PHTHYVLBNG30
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-26
0.00000000
USD
0.00000000
USD
98.00000000
USD
105.04000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAE5
-207000.00000000
PA
USD
-171043.20000000
-0.17766833002
Short
DBT
CORP
IE
N
2
2028-01-23
Fixed
3.87500000
N
N
N
N
N
N
AREAS TL B1 E+47 07/01/26
N/A
AREAS TL B1 E+47 07/01/26
000000000
34447.00000000
PA
30074.12000000
0.031239000891
Long
LON
CORP
ES
N
2
2026-07-01
Floating
0.01000000
N
N
N
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
MGM RESORTS INTERNATIONAL
000000000
-22.00000000
NC
USD
-8250.00000000
-0.00856955273
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Call
Written
MGM Resorts International
MGM Resorts International
100.00000000
18.00000000
USD
2021-01-15
XXXX
-2994.59000000
N
N
N
SOUTHWEST AIRLINES CO
UDTZ87G0STFETI6HGH41
Southwest Airlines Co
844741BJ6
204000.00000000
PA
USD
206861.86000000
0.214874378001
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
5.25000000
N
N
N
N
N
N
CENTURYLINK INC
N/A
CENTURYLINK INC
000000000
569935.95000000
PA
USD
548970.29000000
0.570233921347
Long
LON
CORP
US
N
2
2027-03-15
Floating
3.85337880
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS MBIA AA
000000000
1.00000000
NC
USD
-369.02000000
-0.00038331349
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
MBIA INC
MBIA INC
Y
Default Event
2022-06-20
0.00000000
USD
-557.64000000
USD
23000.00000000
USD
188.62000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS BEST BUY CO INC
000000000
1.00000000
NC
USD
-5284.79000000
-0.00548948928
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
BEST BUY CO INC
BEST BUY CO INC
Y
Default Event
2024-12-20
0.00000000
USD
-3983.13000000
USD
27000.00000000
USD
-1301.66000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-44.67000000
-0.00004640023
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-490000.00000000
JPY
4500.88000000
USD
2020-06-30
-44.67000000
N
N
N
Progress Residential Trust
N/A
Progress Residential 2017-SFR2 Trust
74333KAE8
350000.00000000
PA
USD
351978.69000000
0.365612114690
Long
ABS-O
CORP
US
N
2
2034-12-17
Fixed
3.39500000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-8
45254NRY5
127255.93540000
PA
USD
116465.85000000
0.120976999226
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.41825000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - THB
000000000
1.00000000
NC
USD
783.34000000
0.000813681629
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-341212.06000000
USD
10882105.43000000
THB
2020-09-16
783.34000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
-8757.84000000
-0.00909706324
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2020-12-20
0.00000000
USD
-6660.78000000
USD
-36000.00000000
USD
-2097.06000000
N
N
N
MEREDITH CORP
549300YC8BC386CCTS24
Meredith Corp
589433AB7
-77000.00000000
PA
USD
-71544.94000000
-0.07431613774
Short
DBT
CORP
US
N
2
2026-02-01
Fixed
6.87500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS OCCIDENTAL
000000000
1.00000000
NC
USD
-3143.78000000
-0.00326555012
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
OCCIDENTAL PETROLEUM COR
Occidental Petroleum Corp
Y
Default Event
2021-09-20
0.00000000
USD
-7126.50000000
USD
-36000.00000000
USD
3982.72000000
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AN7
74000.00000000
PA
USD
83636.81000000
0.086876370186
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.75000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BJ4
35000.00000000
PA
USD
46134.06000000
0.047921001228
Long
DBT
CORP
US
N
2
2047-08-22
Fixed
4.05000000
N
N
N
N
N
N
ORTHO-CLINICAL INC/SA
N/A
ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA
68752DAC2
46000.00000000
PA
USD
47150.00000000
0.048976292308
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
7.37500000
N
N
N
N
N
N
UNITED STATES STEEL CORP
JNLUVFYJT1OZSIQ24U47
United States Steel Corp
912909AR9
362000.00000000
PA
USD
362452.50000000
0.376491613739
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
12.00000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
100000.00000000
PA
USD
101322.30000000
0.105246884032
Long
DBT
NUSS
UA
N
2
2022-09-01
Fixed
7.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
29000.00000000
PA
USD
34431.00000000
0.035764638822
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-4035.39000000
-0.00419169544
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-7926785.20000000
RUB
108378.25000000
USD
2020-06-17
-4035.39000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2H5
56000.00000000
PA
USD
57536.64000000
0.059765244943
Long
DBT
CORP
US
N
2
2025-10-30
Fixed
2.40600000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1124.58000000
-0.00116813910
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-88370.55000000
EUR
97200.45000000
USD
2020-09-16
-1124.58000000
N
N
N
VERICAST CORP
549300J73P7FL8TVF308
Vericast Corp
412690AE9
1082500.00000000
PA
USD
1080470.31000000
1.122320885107
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
9.25000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
279.71000000
0.000290544193
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-18
0.00000000
USD
0.00000000
USD
184.00000000
USD
279.71000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
272.55000000
0.000283106860
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-08
0.00000000
USD
0.00000000
USD
133.00000000
USD
272.55000000
N
N
N
CITIGROUP GLOBAL MARKETS
82VOJDD5PTRDMVVMGV31
Citigroup Global Markets Holdings Inc/United States
173074FT7
5615461.00000000
PA
203860.54000000
0.211756805877
Long
SN
CORP
US
N
2
2020-06-12
Fixed
14.64000000
N
N
N
N
N
N
TUI AG
529900SL2WSPV293B552
TUI AG
000000000
100000.00000000
PA
95086.14000000
0.098769174699
Long
DBT
CORP
DE
N
2
2021-10-26
Fixed
2.12500000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CH3
-356000.00000000
PA
USD
-388864.14000000
-0.40392627335
Short
DBT
CORP
US
N
2
2029-06-15
Fixed
5.25000000
N
N
N
N
N
N
CLEARWAY ENERGY INC
549300LHAZ9HA9G3XC48
Clearway Energy Inc
62942XAD0
68000.00000000
PA
USD
67980.86000000
0.070614007862
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
CSN ISLANDS XI CORP
222100R8R68DM7VM3661
CSN Islands XI Corp
12642KAB0
200000.00000000
PA
USD
157000.00000000
0.163081185416
Long
DBT
CORP
KY
N
2
2028-01-28
Fixed
6.75000000
N
N
N
N
N
N
TPC GROUP INC
549300K276KVW5JD1583
TPC Group Inc
89236YAB0
216000.00000000
PA
USD
185782.68000000
0.192978724103
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
10.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A5
46629CAT4
290755.11930000
PA
USD
251326.20000000
0.261060984854
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
3.65637100
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
24238.69000000
0.025177543300
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2024-12-20
6913.27000000
USD
0.00000000
USD
50000.00000000
USD
17325.42000000
N
N
N
SCE TRUST IV
N/A
SCE Trust IV
78409G206
4637.00000000
NS
USD
102663.18000000
0.106639701229
Long
EP
CORP
US
N
1
N
N
N
Cutwater Ltd
254900ANNY7OR6XQT028
Cutwater 2014-II Ltd
23222XAQ4
1000000.00000000
PA
USD
855904.30000000
0.889056610489
Long
ABS-CBDO
CORP
KY
N
2
2027-01-15
Floating
4.96888000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CARNIVAL
000000000
1.00000000
NC
USD
8139.34000000
0.008454606469
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2023-06-20
9738.96000000
USD
0.00000000
USD
35000.00000000
USD
-1599.62000000
N
N
N
RIVERBED TECH TL 04/24/22
N/A
RIVERBED TECH TL 04/24/22
000000000
550936.51730000
PA
USD
479019.47000000
0.497573649714
Long
LON
CORP
US
N
2
2022-04-24
Floating
5.74999920
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-2
45254NNN3
106515.62690000
PA
USD
98301.05000000
0.102108609946
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
2.64325000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS KOREA
000000000
1.00000000
NC
USD
-14300.96000000
-0.01485488859
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
REPUBLIC OF KOREA
Korea International Bond
Y
Default Event
2024-12-20
0.00000000
USD
-12919.41000000
USD
395000.00000000
USD
-1381.55000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS HOVNANIAN
000000000
1.00000000
NC
USD
3257.58000000
0.003383758012
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K Hovnanian Enterprises Inc
Y
Default Event
2025-06-20
3137.09000000
USD
0.00000000
USD
5000.00000000
USD
120.49000000
N
N
N
Hull Street CLO Ltd
549300W5TZ4WI4ZLP434
HULLS 2014-1A D 10/26
444838AG1
1130000.00000000
PA
USD
771045.10000000
0.800910502658
Long
ABS-CBDO
CORP
KY
N
2
2026-10-18
Floating
4.73525000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
4088.62000000
0.004246987237
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2023-12-20
4867.92000000
USD
0.00000000
USD
63000.00000000
USD
-779.30000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS OCCIDENTAL PETRO
000000000
1.00000000
NC
USD
-1723.12000000
-0.00178986275
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
OCCIDENTAL PETROLEUM COR
Occidental Petroleum Corp
Y
Default Event
2021-06-20
0.00000000
USD
-4810.93000000
USD
-25000.00000000
USD
3087.81000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
753.74000000
0.000782935112
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-110000.00000000
EUR
122901.55000000
USD
2020-06-17
753.74000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
156.92000000
0.000162998086
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-16
0.00000000
USD
0.00000000
USD
78.00000000
USD
156.92000000
N
N
N
ESKOM HOLDINGS SOC LTD
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
200000.00000000
PA
USD
181950.00000000
0.188997590359
Long
DBT
CORP
ZA
N
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-8085.32000000
-0.00839849407
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-4604280.12000000
RUB
57210.24000000
USD
2020-06-17
-8085.32000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
S&P500 EMINI
000000000
-3.00000000
NC
USD
-95833.26000000
-0.09954523339
N/A
DE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
STANDARD & POOR'S FINANCIAL SERVICES LLC
STANDARD & POORS'S 500
2020-06-19
-360466.74000000
USD
-95833.26000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS CLEVELAND
000000000
1.00000000
NC
USD
893.68000000
0.000928295501
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CLEVELAND-CLIFFS INC
Cleveland-Cliffs Inc
Y
Default Event
2025-06-20
1092.76000000
USD
0.00000000
USD
4000.00000000
USD
-199.08000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
23084.07000000
0.023978200635
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2025-06-20
13883.50000000
USD
0.00000000
USD
47000.00000000
USD
9200.57000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CDS AVIS
000000000
1.00000000
NC
USD
3552.56000000
0.003690163669
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
AVIS BUDGET CAR/FINANCE
AVIS BUDGET CAR/FINANCE
Y
Default Event
2024-12-20
1893.47000000
USD
0.00000000
USD
18000.00000000
USD
1659.09000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS UNISYS
000000000
1.00000000
NC
USD
-1894.88000000
-0.00196827564
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
UNISYS CORP
UNISYS CORP
Y
Default Event
2024-12-20
0.00000000
USD
-2925.76000000
USD
19000.00000000
USD
1030.88000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS BEST BUY CO
000000000
1.00000000
NC
USD
-26423.97000000
-0.02744746720
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
BEST BUY CO INC
BEST BUY CO INC
Y
Default Event
2024-12-20
0.00000000
USD
-23452.33000000
USD
135000.00000000
USD
-2971.64000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
111.47000000
0.000115787641
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-19
0.00000000
USD
0.00000000
USD
133.00000000
USD
111.47000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS MARUBENI CORP
000000000
1.00000000
NC
-1206.23000000
-0.00125295170
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
MARUBENI CORP
MARUBENI CORP
Y
Default Event
2025-06-20
1445.53000000
USD
0.00000000
USD
4807000.00000000
JPY
-2651.76000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS SIMON PROP GP
000000000
1.00000000
NC
USD
19485.96000000
0.020240722648
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SIMON PROPERTY GROUP LP
SIMON PROPERTY GROUP LP
Y
Default Event
2024-12-20
0.00000000
USD
-7574.47000000
USD
340000.00000000
USD
27060.43000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
14243.36000000
0.014795057535
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2025-06-20
6977.70000000
USD
0.00000000
USD
29000.00000000
USD
7265.66000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS CLEVELAND-CLIFFS
000000000
1.00000000
NC
USD
223.42000000
0.000232073875
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CLEVELAND-CLIFFS INC
Cleveland-Cliffs Inc
Y
Default Event
2025-06-20
276.11000000
USD
0.00000000
USD
1000.00000000
USD
-52.69000000
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
CDS SOAF
000000000
1.00000000
NC
USD
-17790.63000000
-0.01847972630
N/A
DCR
CORP
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2024-12-20
0.00000000
USD
-5367.16000000
USD
-184000.00000000
USD
-12423.47000000
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR29
45662DAB1
152482.30370000
PA
USD
134967.39000000
0.140195171679
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.24825000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
HERTZ GLOBAL HOLDINGS INC
000000000
42.00000000
NC
USD
126.00000000
0.000130880441
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
Hertz Global Holdings Inc
Hertz Global Holdings Inc
100.00000000
15.00000000
USD
2020-07-17
XXXX
-5544.00000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
38.07000000
0.000039544590
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-14
0.00000000
USD
0.00000000
USD
19.00000000
USD
38.07000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
232.32000000
0.000241318605
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-04-28
0.00000000
USD
0.00000000
USD
147.00000000
USD
232.32000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CDS US STEEL CORP
000000000
1.00000000
NC
USD
6635.48000000
0.006892496459
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
UNITED STATES STEEL CORP
United States Steel Corp
Y
Default Event
2025-06-20
7020.97000000
USD
0.00000000
USD
22000.00000000
USD
-385.49000000
N
N
N
Provident Funding Mortgage Loa
N/A
Provident Funding Mortgage Loan Trust 2003-1
743873AB7
46485.02780000
PA
USD
42025.20000000
0.043652990021
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
4.23216000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YY0
11000.00000000
PA
USD
11734.98000000
0.012189518784
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAQ2
257000.00000000
PA
USD
299999.96000000
0.311620057972
Long
DBT
CORP
NL
N
2
2026-05-23
Fixed
8.75000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833AL4
140000.00000000
PA
USD
172863.33000000
0.179558960327
Long
DBT
CORP
US
N
2
2043-05-04
Fixed
3.85000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS TRANSOCEAN
000000000
1.00000000
NC
USD
52625.25000000
0.054663618807
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRANSOCEAN INC
TRANSOCEAN INC
Y
Default Event
2024-12-20
55512.75000000
USD
0.00000000
USD
100000.00000000
USD
-2887.50000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS REPUBLIC OF BRAZIL
000000000
1.00000000
NC
USD
14742.84000000
0.015313884226
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
FED REPUBLIC OF BRAZIL
Brazilian Government International Bond
Y
Default Event
2025-06-20
21434.12000000
USD
0.00000000
USD
182000.00000000
USD
-6691.28000000
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550BG5
75000.00000000
PA
USD
69201.38000000
0.071881803075
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.87500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS HEIDELBERGCEMENT
000000000
1.00000000
NC
-18415.32000000
-0.01912861283
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
HEIDELBERGCEMENT AG
HEIDELBERGCEMENT AG
Y
Default Event
2025-06-20
0.00000000
USD
-12588.93000000
USD
85000.00000000
EUR
-5826.39000000
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS GOODYEAR TIRE
000000000
1.00000000
NC
USD
-363.84000000
-0.00037793285
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
GOODYEAR TIRE & RUBBER
Goodyear Tire & Rubber Co/The
Y
Default Event
2024-12-20
804.62000000
USD
0.00000000
USD
18000.00000000
USD
-1168.46000000
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
AMERICAN AIRLINES GROUP INC
000000000
27.00000000
NC
USD
2214.00000000
0.002299756334
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
American Airlines Group Inc
American Airlines Group Inc
100.00000000
6.00000000
USD
2020-08-21
XXXX
-1209.27000000
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
465410BX5
373000.00000000
PA
USD
373378.41000000
0.387840724278
Long
DBT
NUSS
IT
N
2
2024-10-17
Fixed
2.37500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS BOYD GAMING CO
000000000
1.00000000
NC
USD
-1151.09000000
-0.00119567593
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BOYD GAMING CORP
Boyd Gaming Corp
Y
Default Event
2025-06-20
792.07000000
USD
0.00000000
USD
21000.00000000
USD
-1943.16000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZF0
38000.00000000
PA
USD
38366.64000000
0.039852720583
Long
DBT
UST
US
N
2
2025-03-31
Fixed
0.50000000
N
N
N
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
AMERICAN AIRLINES GROUP INC
000000000
234.00000000
NC
USD
37908.00000000
0.039376315775
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
American Airlines Group Inc
American Airlines Group Inc
100.00000000
5.00000000
USD
2021-01-15
XXXX
5146.18000000
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAQ2
221000.00000000
PA
USD
220462.97000000
0.229002308840
Long
DBT
NUSS
SA
N
2
2032-02-03
Fixed
2.75000000
N
N
N
N
N
N
TRIUMPH GROUP INC
5493007L6S47Q14SL582
Triumph Group Inc
896818AQ4
349000.00000000
PA
USD
300176.65000000
0.311803591823
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
6.25000000
N
N
N
N
N
N
SCE TRUST II
N/A
SCE Trust II
78407R204
2725.00000000
NS
USD
65699.75000000
0.068244542111
Long
EP
CORP
US
N
1
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CDS UNISYS
000000000
1.00000000
NC
USD
-1894.88000000
-0.00196827564
N/A
DCR
CORP
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
UNISYS CORP
UNISYS CORP
Y
Default Event
2024-12-20
0.00000000
USD
-2793.59000000
USD
19000.00000000
USD
898.71000000
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS K HOVNANIAN
000000000
1.00000000
NC
USD
36458.75000000
0.037870931011
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2024-12-20
17190.74000000
USD
0.00000000
USD
57000.00000000
USD
19268.01000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
521.71000000
0.000541917740
N/A
DE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-05
0.00000000
USD
0.00000000
USD
717.00000000
USD
521.71000000
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS CARNIVAL
000000000
1.00000000
NC
USD
8371.89000000
0.008696163983
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2023-06-20
9815.66000000
USD
0.00000000
USD
36000.00000000
USD
-1443.77000000
N
N
N
MACY'S INC
529900NZQ81TIOW3CW52
Macy's Inc
55616PAA2
225000.00000000
PA
USD
228656.25000000
0.237512944604
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
8.37500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CDS CARNIVAL
000000000
1.00000000
NC
USD
3386.74000000
0.003517920852
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2025-06-20
3922.48000000
USD
0.00000000
USD
13000.00000000
USD
-535.74000000
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR12
45661VAA4
117532.16120000
PA
USD
101000.89000000
0.104913024645
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.35825000
N
N
N
N
N
N
Mountain View CLO 2014-1 Ltd
549300XBX1AOMDRAHZ12
MVW 2014-1A DRR 10/26
62431XBA3
1290000.00000000
PA
USD
1079925.18000000
1.121754640225
Long
ABS-CBDO
CORP
KY
N
2
2026-10-15
Floating
4.86888000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS K HOVNANIAN
000000000
1.00000000
NC
USD
61404.22000000
0.063782630491
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2024-12-20
18995.20000000
USD
0.00000000
USD
96000.00000000
USD
42409.02000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
22592.93000000
0.023468036983
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2025-06-20
11289.44000000
USD
0.00000000
USD
46000.00000000
USD
11303.49000000
N
N
N
UNITED PARCEL SERVICE
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312BW5
83000.00000000
PA
USD
117723.81000000
0.122283684627
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
5.30000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS LLOYDS BK GR PLC
000000000
1.00000000
NC
3268.25000000
0.003394841300
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
3312.76000000
USD
0.00000000
USD
121000.00000000
EUR
-44.51000000
N
N
N
REPSOL INTL FINANCE
5493002YCY6HTK0OUR29
Repsol International Finance BV
000000000
-75000.00000000
PA
-83374.16000000
-0.08660354678
Short
DBT
CORP
NL
N
2
N/A
Fixed
3.87500000
N
N
N
N
N
N
AMERICAN NEWS COMPANY
N/A
American News Co LLC
02862PAA5
261209.00000000
PA
USD
285492.29000000
0.296550452741
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
8.50000000
N
N
N
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
HERTZ GLOBAL HOLDINGS INC
000000000
-84.00000000
NC
USD
-252.00000000
-0.00026176088
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Call
Written
Hertz Global Holdings Inc
Hertz Global Holdings Inc
100.00000000
15.00000000
USD
2020-07-17
XXXX
5521.98000000
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS MEXICAN 4.15 MARCH 2027
000000000
1.00000000
NC
USD
827.81000000
0.000859874115
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
0.00000000
USD
-26.14000000
USD
186000.00000000
USD
853.95000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
43.76000000
0.000045454985
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-4409.03000000
USD
480000.00000000
JPY
2020-06-30
43.76000000
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FQ5
48000.00000000
PA
USD
60610.32000000
0.062957979834
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
3.95000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-4
007036KD7
68812.50500000
PA
USD
65847.20000000
0.068397703390
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.23668100
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS MBIA AA
000000000
1.00000000
NC
USD
171.71000000
0.000178360957
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
MBIA INC
MBIA INC
Y
Default Event
2025-06-20
300.66000000
USD
0.00000000
USD
10000.00000000
USD
-128.95000000
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
BOEING CO/THE
000000000
16.00000000
NC
USD
15648.00000000
0.016254104391
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
Boeing Co/The
Boeing Co/The
100.00000000
100.00000000
USD
2021-01-15
XXXX
-9076.76000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS DEVON ENERGY
000000000
1.00000000
NC
USD
1145.62000000
0.001189994061
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2025-06-20
7531.22000000
USD
0.00000000
USD
73000.00000000
USD
-6385.60000000
N
N
N
Banc of America Mortgage Secur
N/A
Banc of America Mortgage 2005-L Trust
05949CPD2
135917.88630000
PA
USD
120042.95000000
0.124692653419
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
3.74267700
N
N
N
N
N
N
PETSMART CONSENT 03//22
N/A
PETSMART CONSENT 03//22
000000000
225521.01600000
PA
USD
222279.15000000
0.230888836148
Long
LON
CORP
US
N
2
2022-03-11
Floating
5.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KBV4
788775.44000000
PA
USD
23116.37000000
0.024011751733
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
0.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZC7
-576000.00000000
PA
USD
-598972.50000000
-0.62217290020
Short
DBT
UST
US
N
2
2025-02-28
Fixed
1.12500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS LLOYDS BANK PLC
000000000
1.00000000
NC
-805.56000000
-0.00083676229
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
LLOYDS BANK PLC
Lloyds Bank PLC
Y
Default Event
2023-12-20
255.21000000
USD
0.00000000
USD
210000.00000000
EUR
-1060.77000000
N
N
N
INTELSAT JACKSON 01/02/24
N/A
INTELSAT JACKSON 01/02/24
000000000
329824.15000000
PA
USD
332957.48000000
0.345854143513
Long
LON
CORP
US
N
2
2024-01-02
Floating
6.62500080
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
235000.00000000
PA
USD
266597.72000000
0.276924026795
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - ZAR
000000000
1.00000000
NC
USD
1448.94000000
0.001505062756
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-277468.73000000
USD
4904259.79000000
ZAR
2020-06-17
1448.94000000
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738BC1
48000.00000000
PA
USD
49462.55000000
0.051378415845
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CDS GOODYEAR TIRE
000000000
1.00000000
NC
USD
-909.61000000
-0.00094484252
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
GOODYEAR TIRE & RUBBER
Goodyear Tire & Rubber Co/The
Y
Default Event
2024-12-20
0.00000000
USD
-859.15000000
USD
45000.00000000
USD
-50.46000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS UNISYS
000000000
1.00000000
NC
USD
-1894.88000000
-0.00196827564
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
UNISYS CORP
UNISYS CORP
Y
Default Event
2024-12-20
0.00000000
USD
-2836.94000000
USD
19000.00000000
USD
942.06000000
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-ASHF
04410RAN6
1250000.00000000
PA
USD
967136.13000000
1.004596856938
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
3.28363000
N
N
N
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
AMERICAN AIRLINES GROUP INC
000000000
3.00000000
NC
USD
276.00000000
0.000286690491
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
American Airlines Group Inc
American Airlines Group Inc
100.00000000
4.00000000
USD
2020-11-20
XXXX
-210.11000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
9335.66000000
0.009697264327
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
462.83000000
USD
0.00000000
USD
23000.00000000
USD
8872.83000000
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CDS TURKEY
000000000
1.00000000
NC
USD
-13814.34000000
-0.01434942001
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
0.00000000
USD
-6150.00000000
USD
-136000.00000000
USD
-7664.34000000
N
N
N
GPMT Ltd.
N/A
GPMT 2019-FL2 Ltd
36259BAJ6
1000000.00000000
PA
USD
853430.20000000
0.886486679529
Long
ABS-CBDO
CORP
KY
N
2
2036-02-22
Floating
3.13363000
N
N
N
N
N
N
Postmedia Network Canada Corp
N/A
Postmedia Network Canada Corp
73752W502
56068.00000000
NS
79000.56000000
0.082060541231
Long
EC
CORP
CA
N
1
N
N
N
Altice Europe NV
724500354ATKLCM6EW21
Altice Europe NV
000000000
6827.00000000
NS
26968.01000000
0.028012579867
Long
EC
CORP
NL
N
2
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
5775.98000000
0.005999704874
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2023-12-20
6971.46000000
USD
0.00000000
USD
89000.00000000
USD
-1195.48000000
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2007-SA2 Trust
74958XAE4
1105117.17840000
PA
USD
509399.78000000
0.529130700466
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.87031000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS K HOVNANIAN
000000000
1.00000000
NC
USD
72277.89000000
0.075077477583
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2024-12-20
34079.88000000
USD
0.00000000
USD
113000.00000000
USD
38198.01000000
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAC0
48000.00000000
PA
USD
48403.61000000
0.050278459218
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
2.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS UNITED MEXICAN STATES
000000000
1.00000000
NC
USD
160.29000000
0.000166498619
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
UNITED MEXICAN STATES
Mexico Government International Bond
Y
Default Event
2023-12-20
0.00000000
USD
-232.36000000
USD
15000.00000000
USD
392.65000000
N
N
N
UNITED AIRLINES HOLDINGS
98450079DA0B78DD6764
United Airlines Holdings Inc
910047AK5
8000.00000000
PA
USD
5630.84000000
0.005848943070
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.87500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHZ5
69000.00000000
PA
USD
70411.48000000
0.073138774683
Long
DBT
CORP
US
N
2
2031-02-13
Fixed
2.49600000
N
N
N
N
N
N
GAP INC/THE
T2ZG1WRWZ4BUCMQL9224
Gap Inc/The
364760AN8
164000.00000000
PA
USD
172610.00000000
0.179295817928
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
8.87500000
N
N
N
N
N
N
ACIS CLO 2014-5 Ltd
549300X2WQBVC4DIH963
ACIS 2014-5A D 11/26
00102DAJ7
1120000.00000000
PA
USD
979658.18000000
1.017603931829
Long
ABS-CBDO
CORP
KY
N
2
2026-11-01
Floating
5.02663000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
95.54000000
0.000099240614
N/A
DE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-10
0.00000000
USD
0.00000000
USD
60.00000000
USD
95.54000000
N
N
N
Washington Mutual MSC Mortgage
N/A
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR3 Trust
939336H30
258242.30350000
PA
USD
228824.19000000
0.237687389535
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Variable
3.70560300
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
8366.36000000
0.008690419786
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-682087.02000000
USD
10111940140.00000000
IDR
2020-06-17
8366.36000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS OCCIDENTAL PETRO
000000000
1.00000000
NC
USD
-1378.49000000
-0.00143188396
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
OCCIDENTAL PETROLEUM COR
Occidental Petroleum Corp
Y
Default Event
2021-06-20
0.00000000
USD
-3156.16000000
USD
-20000.00000000
USD
1777.67000000
N
N
N
RIVERBED TECHNOLOGY INC
XWT9B0BASIY6FJ5R7M02
Riverbed Technology Inc
74339KAA0
291000.00000000
PA
USD
174600.00000000
0.181362897921
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
8.87500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
14543.21000000
0.015106521825
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2024-12-20
4004.93000000
USD
0.00000000
USD
30000.00000000
USD
10538.28000000
N
N
N
K HOVNANIAN ENTERPRISES
549300JJCQ0KAI7CJG32
K Hovnanian Enterprises Inc
48251UAH1
559000.00000000
PA
USD
192855.00000000
0.200324980977
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
10.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
25260.12000000
0.026238537027
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
6608.66000000
USD
0.00000000
USD
48000.00000000
USD
18651.46000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
17.39000000
0.000018063578
N/A
DE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Clearway Energy Inc
Clearway Energy Inc
Y
2021-01-18
0.00000000
USD
0.00000000
USD
94.00000000
USD
17.39000000
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
ISHARES MSCI EMERGING MARKETS ETF
000000000
68.00000000
NC
USD
10200.00000000
0.010595083383
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Call
Purchased
iShares MSCI Emerging Markets ETF
iShares MSCI Emerging Markets ETF
100.00000000
39.00000000
USD
2020-09-18
XXXX
1561.43000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
213.32000000
0.000221582665
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-19
0.00000000
USD
0.00000000
USD
119.00000000
USD
213.32000000
N
N
N
SAIPEM FINANCE INTL BV
724500V4QZAOY63SY989
Saipem Finance International BV
000000000
-100000.00000000
PA
-108802.81000000
-0.11301714160
Short
DBT
CORP
NL
N
2
2025-01-07
Fixed
2.62500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CC7
104000.00000000
PA
USD
97899.36000000
0.101691361021
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
3.12500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
78.34000000
0.000081374395
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-09
0.00000000
USD
0.00000000
USD
44.00000000
USD
78.34000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
39.51000000
0.000041040367
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-24
0.00000000
USD
0.00000000
USD
46.00000000
USD
39.51000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
378.37000000
0.000393025656
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-21
0.00000000
USD
0.00000000
USD
368.00000000
USD
378.37000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF TURKEY
000000000
1.00000000
NC
USD
490.73000000
0.000509737771
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
315.69000000
USD
0.00000000
USD
6000.00000000
USD
175.04000000
N
N
N
SINCLAIR TELEVISION GROU
549300CQGEN0CH65UD62
Sinclair Television Group Inc
829259AU4
-44000.00000000
PA
USD
-43221.64000000
-0.04489577252
Short
DBT
CORP
US
N
2
2026-03-15
Fixed
5.87500000
N
N
N
N
N
N
INTELSAT JACKSON 01/02/24
N/A
INTELSAT JACKSON 01/02/24
000000000
16979.00000000
PA
USD
17140.30000000
0.017804206639
Long
LON
CORP
US
N
2
2024-01-02
Floating
6.43200120
N
N
N
N
N
N
L BRANDS INC
GR3KVMWVCR54YWQNXU90
L Brands Inc
532716AU1
26000.00000000
PA
USD
25407.85000000
0.026391989152
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
5.62500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS PETROLEO BRASILEIRO
000000000
1.00000000
NC
USD
10516.01000000
0.010923333609
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
PETROBRAS GLOBAL FINANCE
Petrobras Global Finance BV
Y
Default Event
2025-06-20
13568.48000000
USD
0.00000000
USD
73000.00000000
USD
-3052.47000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS MARUBENI CORP
000000000
1.00000000
NC
-4732.31000000
-0.00491560971
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
MARUBENI CORP
MARUBENI CORP
Y
Default Event
2022-06-20
0.00000000
USD
-2768.04000000
USD
27269000.00000000
JPY
-1964.27000000
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AR8
44000.00000000
PA
USD
48028.21000000
0.049888518600
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.95000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS CDX.NA.HY.34.V3
000000000
1.00000000
NC
USD
23619.73000000
0.024534608710
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDX.NA.HY.34.V3
CDX.NA.HY.34.V3
Y
Default Event
2025-06-20
68600.00000000
USD
0.00000000
USD
2450000.00000000
USD
-44980.27000000
N
N
N
Wells Fargo Commercial Mortgag
549300REQJRID6TODX95
Wells Fargo Commercial Mortgage Trust 2018-C48
95001RBC2
900000.00000000
PA
USD
871203.06000000
0.904947947535
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Variable
5.12046400
N
N
N
N
N
N
VERITAS US TLB L 01/27/23
N/A
VERITAS US TLB L 01/27/23
000000000
217661.22000000
PA
USD
203921.36000000
0.211819981659
Long
LON
CORP
US
N
2
2023-01-27
Floating
6.90238080
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
115644.64000000
0.120123980753
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-140546405.21000000
RUB
2108802.36000000
USD
2020-06-17
115644.64000000
N
N
N
VERITAS US TLB L 01/27/23
N/A
VERITAS US TLB L 01/27/23
000000000
89950.76320000
PA
USD
84272.62000000
0.087536807437
Long
LON
CORP
US
N
2
2023-01-27
Floating
6.82988040
N
N
N
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
COSTAR GROUP INC
000000000
10.00000000
NC
USD
16000.00000000
0.016619738641
N/A
DE
CORP
US
N
2
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
CoStar Group Inc
CoStar Group Inc
100.00000000
500.00000000
USD
2020-10-16
XXXX
-25650.00000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BM7
93000.00000000
PA
USD
127863.37000000
0.132815986948
Long
DBT
CORP
US
N
2
2057-08-22
Fixed
4.25000000
N
N
N
N
N
N
JOINT
N/A
FT TRI PARTY
000000000
3789754.83000000
PA
USD
3789754.83000000
3.936545924290
Long
RA
CORP
US
N
2
Repurchase
Y
0.04828500
2020-06-01
784953.99771000
USD
800653.20740000
USD
ADAS
3004800.83610000
USD
3067052.56980000
USD
UST
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
324.30000000
0.000336861327
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2020-06-20
370.13000000
USD
0.00000000
USD
30000.00000000
USD
-45.83000000
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
200000.00000000
PA
USD
213985.20000000
0.222273631067
Long
DBT
NUSS
BH
N
2
2026-01-26
Fixed
7.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
4088.62000000
0.004246987237
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CENTURYLINK INC
CenturyLink Inc
Y
Default Event
2023-12-20
4917.60000000
USD
0.00000000
USD
63000.00000000
USD
-828.98000000
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-10
576433TB2
540389.70470000
PA
USD
454919.72000000
0.472540428069
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
3.94147500
N
N
N
N
N
N
Provident Funding Mortgage Loa
N/A
Provident Funding Mortgage Loan Trust 2004-1
743873AP6
28844.85380000
PA
USD
25273.03000000
0.026251947079
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
3.98798900
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS CARNIVAL
000000000
1.00000000
NC
USD
8597.12000000
0.008930117966
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2025-06-20
9957.06000000
USD
0.00000000
USD
33000.00000000
USD
-1359.94000000
N
N
N
Westchester CLO Ltd
N/A
Westchester CLO Ltd
95736XAG3
671844.50530000
PA
USD
673575.85000000
0.699665911374
Long
ABS-CBDO
CORP
KY
N
2
2022-08-01
Floating
4.98663000
N
N
N
N
N
N
PACIFIC GAS & EL 04/27/22
N/A
PACIFIC GAS & EL 04/27/22
000000000
105116.00000000
PA
USD
108663.67000000
0.112872612199
Long
LON
CORP
US
N
2
2022-04-27
Floating
0.01000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS NRG ENERGY INC
000000000
1.00000000
NC
USD
-3929.45000000
-0.00408165200
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
NRG ENERGY INC
NRG Energy Inc
Y
Default Event
2024-06-20
0.00000000
USD
-3391.05000000
USD
24000.00000000
USD
-538.40000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS CARNIVAL
000000000
1.00000000
NC
USD
8371.89000000
0.008696163983
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2023-06-20
9858.75000000
USD
0.00000000
USD
36000.00000000
USD
-1486.86000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
CDS CDX.NA.HY.25
000000000
1.00000000
NC
USD
35709.04000000
0.037092181995
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
26462.49000000
USD
0.00000000
USD
1314000.00000000
USD
9246.55000000
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
Transocean Inc
893830BK4
164000.00000000
PA
USD
92660.00000000
0.096249061405
Long
DBT
CORP
KY
N
2
2025-11-01
Fixed
7.25000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ITOCHU
000000000
1.00000000
NC
-3275.94000000
-0.00340282916
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ITOCHU CORP
ITOCHU CORP
Y
Default Event
2022-06-20
0.00000000
USD
-2122.69000000
USD
17300000.00000000
JPY
-1153.25000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
1.00000000
NC
USD
-158422.21000000
-0.16455848282
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2028-06-20
75058.57000000
USD
0.00000000
USD
1100000.00000000
USD
-233480.78000000
N
N
N
VERICAST CORP/HARLAND
N/A
Vericast Corp/Harland Clarke/Checks in the Mail/Valassis Comm/Valassis Direct
92346BAA3
1383830.00000000
PA
USD
1414966.18000000
1.469773006104
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
12.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CP8
-194000.00000000
PA
USD
-178421.80000000
-0.18533273024
Short
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
Banc of America Mortgage Secur
N/A
Banc of America Mortgage 2005-L Trust
05949CPM2
290652.89130000
PA
USD
257679.95000000
0.267660838879
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
3.99628600
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HL7
127000.00000000
PA
USD
46704.25000000
0.048513276776
Long
DBT
NUSS
AR
N
2
2027-01-26
Fixed
6.87500000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
10525.05000000
0.010932723761
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
2877.93000000
USD
0.00000000
USD
20000.00000000
USD
7647.12000000
N
N
N
PAPER INDUSTRIES FRN 3/25
222100X9KI2QKRFRDO96
PAPER INDUSTRIES FRN 3/25
000000000
52666.00000000
PA
44138.75000000
0.045848405559
Long
DBT
CORP
LU
N
2
2025-03-01
Fixed
6.00000000
N
N
N
N
N
N
Suntrust Adjustable Rate Mortg
N/A
STARM Mortgage Loan Trust 2007-2
78473TAJ9
80102.87220000
PA
USD
59366.72000000
0.061666210648
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
3.85756300
N
N
N
N
N
N
UNITED AIRLINES HOLDINGS
98450079DA0B78DD6764
United Airlines Holdings Inc
910047AJ8
188000.00000000
PA
USD
151164.22000000
0.157019364268
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
4.25000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
540.50000000
0.000561435545
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2020-06-20
740.26000000
USD
0.00000000
USD
50000.00000000
USD
-199.76000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HQ6
291000.00000000
PA
USD
106959.96000000
0.111102911266
Long
DBT
NUSS
AR
N
2
2028-01-11
Fixed
5.87500000
N
N
N
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust Series 2003-4
64352VDK4
537690.38280000
PA
USD
522088.70000000
0.542311108843
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
1.29325000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BP1
2000.00000000
PA
USD
2280.31000000
0.002368634763
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.65000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
1081.00000000
0.001122871091
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2020-06-20
1480.52000000
USD
0.00000000
USD
100000.00000000
USD
-399.52000000
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
AMERICAN AIRLINES GROUP INC
000000000
3.00000000
NC
USD
246.00000000
0.000255528481
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
American Airlines Group Inc
American Airlines Group Inc
100.00000000
3.00000000
USD
2021-01-15
XXXX
-173.36000000
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust 2005-1
02660VAA6
139676.33350000
PA
USD
118353.04000000
0.122937287011
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.95774000
N
N
N
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514LB89
225000.00000000
PA
USD
125156.25000000
0.130004010269
Long
DBT
MUN
US
N
2
2041-07-01
Fixed
5.00000000
Y
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
1073.36000000
0.001114935166
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-73238.17000000
USD
1088319232.00000000
IDR
2020-06-17
1073.36000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS BEST BUY CO INC
000000000
1.00000000
NC
USD
-3718.93000000
-0.00386297778
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
BEST BUY CO INC
BEST BUY CO INC
Y
Default Event
2024-12-20
0.00000000
USD
-2663.20000000
USD
19000.00000000
USD
-1055.73000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CK9
104000.00000000
PA
USD
95420.00000000
0.099115966321
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
2.60000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GG2
50000.00000000
PA
USD
55294.49000000
0.057436248255
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS US STEEL CORP
000000000
1.00000000
NC
USD
10858.07000000
0.011278642846
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
UNITED STATES STEEL CORP
United States Steel Corp
Y
Default Event
2025-06-20
9942.07000000
USD
0.00000000
USD
36000.00000000
USD
916.00000000
N
N
N
TRIUMPH GROUP INC
5493007L6S47Q14SL582
Triumph Group Inc
896818AP6
-170000.00000000
PA
USD
-111119.65000000
-0.11542372130
Short
DBT
CORP
US
N
2
2025-08-15
Fixed
7.75000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
261000.00000000
PA
290104.14000000
0.301340936594
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
6.25000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS KOREA
000000000
1.00000000
NC
USD
-20527.03000000
-0.02132211710
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
0.00000000
USD
-20613.71000000
USD
602327.00000000
USD
86.68000000
N
N
N
J.P. MORGAN INTERNATIONAL HOLDINGS LLC
RJF2CX2JHNMIUL09B982
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-11383.70000000
-0.01182463242
N/A
DFE
CORP
US
N
2
J.P. MORGAN INTERNATIONAL HOLDINGS LLC
RJF2CX2JHNMIUL09B982
-1970000.00000000
EUR
2176751.50000000
USD
2020-06-30
-11383.70000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
7728.32000000
0.008027666158
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-4800285182.10000000
IDR
335496.59000000
USD
2020-06-17
7728.32000000
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516CA2
49000.00000000
PA
USD
51541.64000000
0.053538036621
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.80000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
TRS REPUBLIC OF UKRAINE
000000000
1.00000000
NC
USD
364406.67000000
0.378521475905
N/A
DE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
UKRAINE GOVERNMENT
Ukraine Government International Bond
Y
2020-07-08
412878.98000000
USD
0.00000000
USD
9782000.00000000
USD
-48472.31000000
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR14
45660LAC3
617531.30560000
PA
USD
504297.49000000
0.523830780074
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
0.88825000
N
N
N
N
N
N
Telecom Italia SpA/Milano
549300W384M3RI3VXU42
Telecom Italia SpA/Milano
000000000
140194.00000000
NS
52042.63000000
0.054058431799
Long
EC
CORP
IT
N
2
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
AMERICAN AIRLINES GROUP INC
000000000
3.00000000
NC
USD
183.00000000
0.000190088260
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
American Airlines Group Inc
American Airlines Group Inc
100.00000000
3.00000000
USD
2020-11-20
XXXX
-144.08000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS BOYD GAMING CO
000000000
1.00000000
NC
USD
-1151.09000000
-0.00119567593
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BOYD GAMING CORP
Boyd Gaming Corp
Y
Default Event
2025-06-20
792.07000000
USD
0.00000000
USD
21000.00000000
USD
-1943.16000000
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GK3
25000.00000000
PA
USD
28316.81000000
0.029413623834
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.12500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
301000.00000000
PA
USD
224905.70000000
0.233617122056
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
HUGHES SATELLITE SYSTEMS
N/A
Hughes Satellite Systems Corp
444454AF9
-183000.00000000
PA
USD
-191602.83000000
-0.19902430984
Short
DBT
CORP
US
N
2
2026-08-01
Fixed
6.62500000
N
N
N
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
Carvana Co
146869AA0
579000.00000000
PA
USD
587317.34000000
0.610066293138
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
8.87500000
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
000000000
421000.00000000
PA
USD
439945.00000000
0.456985682280
Long
DBT
NUSS
PY
N
2
2023-01-25
Fixed
4.62500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-773.16000000
-0.00080310732
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-161344.30000000
USD
130000.00000000
GBP
2020-06-30
-773.16000000
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS AVIS
000000000
1.00000000
NC
USD
5328.84000000
0.005535245503
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
AVIS BUDGET CAR/FINANCE
AVIS BUDGET CAR/FINANCE
Y
Default Event
2024-12-20
2904.75000000
USD
0.00000000
USD
27000.00000000
USD
2424.09000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAP6
85000.00000000
PA
USD
88685.13000000
0.092120230122
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
GoldenTree Loan Management US
549300MI5PVR6JHGVV87
Goldentree Loan Management US Clo 6 Ltd
38137WAJ4
1000000.00000000
PA
USD
995417.80000000
1.033973979672
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
3.73525000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
9331.86000000
0.009693317139
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2025-06-20
5860.82000000
USD
0.00000000
USD
19000.00000000
USD
3471.04000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS MITSUI OSK LINES
000000000
1.00000000
NC
-451.06000000
-0.00046853120
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
0.00000000
USD
-113.95000000
USD
3618000.00000000
JPY
-337.11000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS K HOVNANIAN
000000000
1.00000000
NC
USD
61404.22000000
0.063782630491
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2024-12-20
19878.69000000
USD
0.00000000
USD
96000.00000000
USD
41525.53000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
14099.45000000
0.014645573374
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-615222.11000000
USD
9216642460.11000000
IDR
2020-06-17
14099.45000000
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
Transocean Inc
893830BL2
100000.00000000
PA
USD
55500.00000000
0.057649718411
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
8.00000000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAD3
-224000.00000000
PA
USD
-200949.28000000
-0.20873278210
Short
DBT
CORP
US
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
HERTZ GLOBAL HOLDINGS INC
000000000
42.00000000
NC
USD
126.00000000
0.000130880441
N/A
DE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
Hertz Global Holdings Inc
Hertz Global Holdings Inc
100.00000000
15.00000000
USD
2020-07-17
XXXX
-6426.00000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
100556.73000000
0.104451660700
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-13434455.19000000
ZAR
864608.20000000
USD
2020-06-17
100556.73000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
110000.00000000
PA
100404.09000000
0.104293108393
Long
DBT
NUSS
UA
N
2
2030-01-27
Fixed
4.37500000
N
N
N
N
N
N
VICI Properties Inc
254900RKH6RY9KCJQH63
VICI Properties Inc
925652109
33532.00000000
NS
USD
657897.84000000
0.683380634586
Long
EC
CORP
US
N
1
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
1179.57000000
0.001225259069
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-15
0.00000000
USD
0.00000000
USD
475.00000000
USD
1179.57000000
N
N
N
SCE TRUST V
N/A
SCE Trust V
78409W201
1605.00000000
NS
USD
36465.60000000
0.037878046337
Long
EP
CORP
US
N
1
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
21199.18000000
0.022020301937
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2023-06-20
0.00000000
USD
-877.33000000
USD
43000.00000000
USD
22076.51000000
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 4 Ltd
67098DAJ2
1500000.00000000
PA
USD
1499474.70000000
1.557554850813
Long
ABS-CBDO
CORP
KY
N
2
2032-10-22
Floating
3.74763000
N
N
N
N
N
N
CISCO SYSTEMS INC
8E6NF1YAL0WT6CWXXV93
Cisco Systems Inc
17275RAF9
48000.00000000
PA
USD
69246.58000000
0.071928753837
Long
DBT
CORP
US
N
2
2040-01-15
Fixed
5.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS MBIA AA
000000000
1.00000000
NC
USD
-577.61000000
-0.00059998295
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
MBIA INC
MBIA INC
Y
Default Event
2022-06-20
0.00000000
USD
-2422.73000000
USD
36000.00000000
USD
1845.12000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
76.03000000
0.000078974920
N/A
DE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-07
0.00000000
USD
0.00000000
USD
37.00000000
USD
76.03000000
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS UNITED MEXICAN STATES
000000000
1.00000000
NC
USD
10376.60000000
0.010778523748
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
0.00000000
USD
-3880.98000000
USD
966000.00000000
USD
14257.58000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS STAPLES
000000000
1.00000000
NC
USD
6398.83000000
0.006646680138
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
STAPLES INC
Staples Inc
Y
Default Event
2024-12-20
1171.29000000
USD
0.00000000
USD
25000.00000000
USD
5227.54000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
340000.00000000
PA
USD
292581.56000000
0.303914316151
Long
DBT
NUSS
UA
N
2
2040-05-31
Variable
0.01000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2006-2
07388DAF5
51129.05510000
PA
USD
44450.43000000
0.046172158067
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
3.97067600
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
34000.00000000
PA
USD
44036.53000000
0.045742226203
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48400000
N
N
N
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA3 Trust
94985GAF3
163965.28060000
PA
USD
160287.77000000
0.166496302798
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
AMERICAN AIRLINES GROUP INC
000000000
3.00000000
NC
USD
360.00000000
0.000373944119
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
American Airlines Group Inc
American Airlines Group Inc
100.00000000
4.00000000
USD
2021-01-15
XXXX
-201.11000000
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DW7
71000.00000000
PA
USD
73201.78000000
0.076037153229
Long
DBT
CORP
US
N
2
2050-05-11
Fixed
2.65000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
29540000.00000000
PA
439365.64000000
0.456383881543
Long
DBT
NUSS
RU
N
2
2027-10-06
Fixed
6.00000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA8 Trust
761118BU1
69599.98200000
PA
USD
59498.44000000
0.061803032647
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.92787500
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS BEST BUY CO
000000000
1.00000000
NC
USD
-8807.99000000
-0.00914915573
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
BEST BUY CO INC
BEST BUY CO INC
Y
Default Event
2024-12-20
0.00000000
USD
-7636.12000000
USD
45000.00000000
USD
-1171.87000000
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CD8
35000.00000000
PA
USD
46144.96000000
0.047932323425
Long
DBT
CORP
US
N
2
2049-10-26
Fixed
4.25000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS KOHLS
000000000
1.00000000
NC
USD
3447.92000000
0.003581470578
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
745.32000000
USD
0.00000000
USD
24000.00000000
USD
2702.60000000
N
N
N
Banc of America Mortgage Secur
N/A
Banc of America Mortgage 2005-K Trust
05949CMS2
211380.78880000
PA
USD
191723.33000000
0.199149477250
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
3.79717400
N
N
N
N
N
N
ACOSTA SRS A CVT PREF ST
N/A
ACOSTA SRS A CVT PREF ST
000000000
745.00000000
NS
USD
50261.47000000
0.052208280945
Long
EP
CORP
US
Y
3
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
-62.02000000
-0.00006442226
N/A
DE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-11
0.00000000
USD
0.00000000
USD
639.00000000
USD
-62.02000000
N
N
N
WEBUILD SPA
549300UKR289DF4UXQ47
Webuild SpA
000000000
-82000.00000000
PA
-79614.71000000
-0.08269847951
Short
DBT
CORP
IT
N
2
2024-10-26
Fixed
1.75000000
N
N
N
N
N
N
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
76832.86000000
0.079808878265
N/A
DCR
CORP
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
85664.62000000
USD
0.00000000
USD
146000.00000000
USD
-8831.76000000
N
N
N
Citimortgage Alternative Loan
N/A
CitiMortgage Alternative Loan Trust Series 2007-A1
12566QAR4
31037.95940000
PA
USD
30522.98000000
0.031705246884
Long
ABS-MBS
CORP
US
N
2
2022-01-25
Fixed
5.50000000
N
N
N
N
N
N
GS Mortgage Securities Corp.
N/A
GSMSC Pass-Through Trust 2009-5R
36190BAF6
207281.85000000
PA
USD
197456.63000000
0.205104848972
Long
ABS-MBS
CORP
US
N
2
2035-10-26
Variable
5.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BV5
126000.00000000
PA
USD
122126.49000000
0.126856896560
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.70000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MS7
103000.00000000
PA
USD
103042.88000000
0.107034108401
Long
DBT
CORP
US
N
2
2031-06-03
Variable
2.57200000
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
509643.17000000
0.529383517853
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
1.17325000
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
335332.88000000
0.348321551461
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
3.01825000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
-141000.00000000
PA
USD
-85166.12000000
-0.08846491596
Short
DBT
CORP
US
N
2
2027-08-15
Fixed
6.62500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDS SOTBANK GROUP
000000000
1.00000000
NC
4941.85000000
0.005133265962
N/A
DCR
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2024-06-20
3977.62000000
USD
0.00000000
USD
12746000.00000000
JPY
964.23000000
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2004-8
45254NKW6
129208.89380000
PA
USD
120830.21000000
0.125510406884
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
2.79325000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
85200.00000000
PA
USD
97429.20000000
0.101202990001
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
Wachovia Mortgage Loan Trust,
N/A
Wachovia Mortgage Loan Trust LLC Series 2005-B Trust
92977YBN0
411914.50220000
PA
USD
390477.52000000
0.405602145477
Long
ABS-MBS
CORP
US
N
2
2035-10-20
Variable
4.25565300
N
N
N
N
N
N
Thunderbolt Aircraft Lease Lim
N/A
Thunderbolt II Aircraft Lease Ltd
886065AA9
2664116.28000000
PA
USD
2325982.11000000
2.416075922012
Long
ABS-O
CORP
KY
N
2
2038-09-15
Variable
4.14700000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-J10
12668ABU8
439163.92790000
PA
USD
311866.25000000
0.323945972874
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Fixed
6.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS TUI AG
000000000
1.00000000
NC
20121.31000000
0.020900682082
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
TUI AG
TUI AG
Y
Default Event
2021-12-20
6193.79000000
USD
0.00000000
USD
100000.00000000
EUR
13927.52000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KBP7
820417.42000000
PA
USD
40553.81000000
0.042124607693
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
1.25000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAA4
157000.00000000
PA
USD
125182.38000000
0.130031152379
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.37500000
N
N
N
N
N
N
AMBAC ASSURANCE CORP
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
2.42000000
PA
USD
3.24000000
0.000003365497
Long
DBT
CORP
US
N
2
2020-06-07
Fixed
5.10000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZL7
179000.00000000
PA
USD
179632.79000000
0.186590626323
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.37500000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
549300ZCZ76HYCS0H445
Frontier Communications Corp
35906AAN8
69000.00000000
PA
USD
22468.13000000
0.023338403022
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
7.62500000
Y
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
5018.02000000
0.005212386306
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-88085573.00000000
HUF
258179.18000000
EUR
2020-06-17
5018.02000000
N
N
N
Continental Resources Inc/OK
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015101
-1742.00000000
NS
USD
-21304.66000000
-0.02212986756
Short
EC
CORP
US
N
1
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CDS AMERICAN AIRLINE
000000000
1.00000000
NC
USD
-8757.84000000
-0.00909706324
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2020-12-20
0.00000000
USD
-6895.86000000
USD
-36000.00000000
USD
-1861.98000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
12905.56000000
0.013405439638
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-90893.24000000
USD
7319314.49000000
RUB
2020-06-17
12905.56000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
15.70000000
0.000016308118
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-490000.00000000
JPY
4561.25000000
USD
2020-06-30
15.70000000
N
N
N
FLUOR CORP
CQ7WZ4NOFWT7FAE6Q943
Fluor Corp
343412AC6
-233000.00000000
PA
USD
-211590.28000000
-0.21978594703
Short
DBT
CORP
US
N
2
2024-12-15
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS CLEVELAND-CLIFFS
000000000
1.00000000
NC
USD
5362.12000000
0.005569814560
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CLEVELAND-CLIFFS INC
Cleveland-Cliffs Inc
Y
Default Event
2025-06-20
7096.15000000
USD
0.00000000
USD
24000.00000000
USD
-1734.03000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
-3.16000000
-0.00000328239
N/A
DE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Clearway Energy Inc
Clearway Energy Inc
Y
2021-01-18
0.00000000
USD
0.00000000
USD
11.00000000
USD
-3.16000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS RUSSIAN FEDERATION
000000000
1.00000000
NC
USD
520.02000000
0.000540162280
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
RUSSIAN FEDERATION
RUSSIAN FEDERATION
Y
Default Event
2025-06-20
2868.35000000
USD
0.00000000
USD
72000.00000000
USD
-2348.33000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS JFE HOLDINGS
000000000
1.00000000
NC
-605.01000000
-0.00062844425
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
JFE HOLDINGS INC
JFE HOLDINGS INC
Y
Default Event
2022-06-20
0.00000000
USD
-488.62000000
USD
3802000.00000000
JPY
-116.39000000
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
AMERICAN AIRLINES GROUP INC
000000000
135.00000000
NC
USD
17820.00000000
0.018510233911
N/A
DE
CORP
US
N
2
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
American Airlines Group Inc
American Airlines Group Inc
100.00000000
5.00000000
USD
2020-11-20
XXXX
3105.00000000
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CP3
17000.00000000
PA
USD
21163.60000000
0.021983343794
Long
DBT
CORP
US
N
2
2040-03-25
Fixed
4.12500000
N
N
N
N
N
N
TOPCO - PAPER INDUSTRIES
N/A
TOPCO - PAPER INDUSTRIES
000000000
100439.00000000
NS
0.00000000
0.000000
Long
EC
CORP
GB
Y
3
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAU0
206000.00000000
PA
USD
205996.81000000
0.213975821444
Long
DBT
CORP
KY
N
2
2030-06-03
Fixed
2.39000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS KOHLS
000000000
1.00000000
NC
USD
6657.44000000
0.006915307051
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2025-06-20
6495.97000000
USD
0.00000000
USD
36000.00000000
USD
161.47000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
-137.10000000
-0.00014241038
N/A
DE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-15
0.00000000
USD
0.00000000
USD
681.00000000
USD
-137.10000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
241.25000000
0.000250594496
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-04
0.00000000
USD
0.00000000
USD
330.00000000
USD
241.25000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABE4
164000.00000000
PA
USD
178609.12000000
0.185527305832
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HW0
144000.00000000
PA
USD
149134.32000000
0.154910838801
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.30000000
Y
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS HOVNANIA
000000000
1.00000000
NC
USD
43032.10000000
0.044698890948
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2024-09-20
21870.54000000
USD
0.00000000
USD
68000.00000000
USD
21161.56000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBH8
60000.00000000
PA
USD
61208.23000000
0.063579049080
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
2.00500000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
TRS INDOGB
000000000
1.00000000
NC
USD
4150.63000000
0.004311399112
N/A
DE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
INDONESIA GOVERNMENT
Indonesia Treasury Bond
Y
2021-05-18
0.00000000
USD
0.00000000
USD
5748000000.00000000
USD
4150.63000000
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CA0
271000.00000000
PA
USD
367925.93000000
0.382177049743
Long
DBT
CORP
US
N
2
2047-02-06
Fixed
4.25000000
N
N
N
N
N
N
Washington Mutual MSC Mortgage
N/A
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR2 Trust
939336E90
941088.85420000
PA
USD
846916.63000000
0.879720815090
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Variable
3.21315400
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
306000.00000000
PA
USD
236903.67000000
0.246079817408
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-20572.59000000
-0.02136944181
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-29908363.80000000
RUB
403572.63000000
USD
2020-06-17
-20572.59000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
-63000.00000000
PA
-93064.83000000
-0.09666957195
Short
DBT
NUSS
IT
N
2
2029-11-01
Fixed
5.25000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GN7
125000.00000000
PA
USD
137113.89000000
0.142424813491
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.70000000
N
N
N
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514LB71
155000.00000000
PA
USD
89706.25000000
0.093180901842
Long
DBT
MUN
US
N
2
2039-07-01
Fixed
5.50000000
Y
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAM4
37000.00000000
PA
USD
38830.49000000
0.040334537194
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.05000000
N
N
N
N
N
N
KOHL'S CORPORATION
549300JF6LPRTRJ0FH50
Kohl's Corp
500255AW4
362000.00000000
PA
USD
385184.74000000
0.400104356710
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
9.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAL4
200000.00000000
PA
USD
215500.00000000
0.223847104823
Long
DBT
NUSS
MX
N
2
2051-04-27
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CARNIVAL
000000000
1.00000000
NC
USD
1260.43000000
0.001309251073
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2020-12-20
2447.31000000
USD
0.00000000
USD
21000.00000000
USD
-1186.88000000
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-4
45254NPS0
141087.11830000
PA
USD
128720.34000000
0.133706150537
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.64325000
N
N
N
N
N
N
Clearway Energy Inc
549300LHAZ9HA9G3XC48
Clearway Energy Inc
18539C105
30417.00000000
NS
USD
617160.93000000
0.641065834758
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
20.54000000
0.000021335589
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-26
0.00000000
USD
0.00000000
USD
19.00000000
USD
20.54000000
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAV8
68000.00000000
PA
USD
67907.53000000
0.070537837522
Long
DBT
CORP
KY
N
2
2050-06-03
Fixed
3.24000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AM9
68000.00000000
PA
USD
70758.17000000
0.073498893257
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.12500000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR21
45660LYF0
341949.56850000
PA
USD
308395.87000000
0.320341172338
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.66555700
N
N
N
N
N
N
FTR TL B 1L 06/17/24
N/A
FTR TL B 1L 06/17/24
000000000
273993.29690000
PA
USD
270054.64000000
0.280514845976
Long
LON
CORP
US
N
2
2024-06-17
Floating
5.65999920
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2008-RR1
173145AA1
670257.21950000
PA
USD
582113.84000000
0.604661242512
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.23825000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
37531000.00000000
PA
583273.12000000
0.605865425675
Long
DBT
NUSS
RU
N
2
2024-07-17
Fixed
7.40000000
N
N
N
N
N
N
SCE TRUST III
N/A
SCE Trust III
78409B207
1342.00000000
NS
USD
31067.30000000
0.032270650392
Long
EP
CORP
US
N
1
N
N
N
EL PASO ENERGY CAP TRST
N/A
El Paso Energy Capital Trust I
000000000
3820.78000000
NS
USD
427927.36000000
0.444502555037
Long
EP
CORP
US
N
3
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS LLOYDS OPCO
000000000
1.00000000
NC
-3368.44000000
-0.00349891202
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
LLOYDS BANK PLC
Lloyds Bank PLC
Y
Default Event
2024-06-20
806.68000000
USD
0.00000000
USD
127000.00000000
EUR
-4175.12000000
N
N
N
ZAIS CLO 1 LTD
549300WI0XKEGSMH8O21
Zais CLO 1 Ltd
98886MAU8
500000.00000000
PA
USD
392373.75000000
0.407571823415
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
4.62888000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
8509.10000000
0.008838688629
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-15
0.00000000
USD
0.00000000
USD
2671.00000000
USD
8509.10000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206R102
-3742.00000000
NS
USD
-115478.12000000
-0.11995101082
Short
EC
CORP
US
N
1
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CDS TURKEY
000000000
1.00000000
NC
USD
72992.93000000
0.075820213703
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
46374.64000000
USD
0.00000000
USD
462000.00000000
USD
26618.29000000
N
N
N
FRONTIER COMMUNICATIONS
549300ZCZ76HYCS0H445
Frontier Communications Corp
35906ABC1
849000.00000000
PA
USD
875374.19000000
0.909280640688
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
8.00000000
Y
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
20533.11000000
0.021328432605
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-522595.43000000
USD
38298405.90000000
RUB
2020-06-17
20533.11000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MM0
51000.00000000
PA
USD
66734.37000000
0.069319236736
Long
DBT
CORP
US
N
2
2041-03-26
Fixed
5.31600000
N
N
N
N
N
N
PAPER INDUSTRIES FNC
N/A
Paper Industries Financing SARL
000000000
33479.00000000
PA
3530.53000000
0.003667280366
Long
DBT
CORP
LU
N
2
2028-02-04
Fixed
0.25000000
N
N
N
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
MGM RESORTS INTERNATIONAL
000000000
-48.00000000
NC
USD
-25200.00000000
-0.02617608835
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Call
Written
MGM Resorts International
MGM Resorts International
100.00000000
15.00000000
USD
2021-01-15
XXXX
-14909.65000000
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA8 Trust
761118BW7
1314.35130000
PA
USD
1019.97000000
0.001059477176
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.90908900
N
N
N
N
N
N
VERICAST CORP
549300J73P7FL8TVF308
Vericast Corp
412690AF6
523000.00000000
PA
USD
399318.35000000
0.414785413226
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
8.37500000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR6
362341SG5
620011.06660000
PA
USD
529434.21000000
0.549941137367
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.24184600
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS KOHLS
000000000
1.00000000
NC
USD
8876.60000000
0.009220423251
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2025-06-20
8261.29000000
USD
0.00000000
USD
48000.00000000
USD
615.31000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
-88000.00000000
PA
-116105.67000000
-0.12060286813
Short
DBT
NUSS
IT
N
2
2025-03-01
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
7203.28000000
0.007482289434
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-100986.78000000
USD
1584482627.03000000
IDR
2020-06-17
7203.28000000
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550BF7
191000.00000000
PA
USD
177101.89000000
0.183961695290
Long
DBT
CORP
US
N
2
2026-05-31
Fixed
5.00000000
N
N
N
N
N
N
ADVANTAGE SALES 07/23/21
N/A
ADVANTAGE SALES 07/23/21
000000000
276371.06540000
PA
USD
250737.65000000
0.260449638156
Long
LON
CORP
US
N
2
2021-07-23
Floating
5.74887960
N
N
N
N
N
N
Terwin Mortgage Trust
N/A
Terwin Mortgage Trust Series TMTS 2003-6HE
881561CJ1
144755.76010000
PA
USD
134169.90000000
0.139366791969
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Floating
2.79325000
N
N
N
N
N
N
CASINO GUICHARD PERRACHO
969500VHL8F83GBL6L29
Casino Guichard Perrachon SA
000000000
500000.00000000
PA
246986.21000000
0.256552891135
Long
DBT
CORP
FR
N
2
N/A
Fixed
3.99200000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
16762.14000000
0.017411399116
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2023-06-20
0.00000000
USD
-1359.91000000
USD
34000.00000000
USD
18122.05000000
N
N
N
FLEX ACQUISITION CO INC
549300HHED2KGPBEDW39
Flex Acquisition Co Inc
33936YAC9
-18000.00000000
PA
USD
-18052.29000000
-0.01875152135
Short
DBT
CORP
US
N
2
2026-07-15
Fixed
7.87500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZN3
4000.00000000
PA
USD
4002.58000000
0.004157614593
Long
DBT
UST
US
N
2
2027-04-30
Fixed
0.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
65.60000000
0.000068140928
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-23
0.00000000
USD
0.00000000
USD
52.00000000
USD
65.60000000
N
N
N
FIDELITY INSTL MMKT GOVT
N/A
FIDELITY INSTL MMKT GOVT
000000000
5035359.12000000
NS
USD
5035359.12000000
5.230397033671
Long
STIV
RF
US
N
1
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS MBIA AA
000000000
1.00000000
NC
USD
240.39000000
0.000249701185
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
MBIA INC
MBIA INC
Y
Default Event
2025-06-20
0.00000000
USD
-58.06000000
USD
14000.00000000
USD
298.45000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
1119.00000000
0.001162342971
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-97010.72000000
USD
88370.55000000
EUR
2020-06-17
1119.00000000
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GT4
141000.00000000
PA
USD
149709.77000000
0.155508578089
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.65000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2K8
44000.00000000
PA
USD
44652.62000000
0.046382179627
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
2.16400000
N
N
N
N
N
N
BED BATH & BEYOND INC
529900ZBUWWUV7BKGX39
Bed Bath & Beyond Inc
075896AC4
203000.00000000
PA
USD
104291.25000000
0.108330832347
Long
DBT
CORP
US
N
2
2044-08-01
Fixed
5.16500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
59000.00000000
PA
USD
59147.56000000
0.061438561778
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
158000.00000000
PA
170033.37000000
0.176619385604
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
3.37500000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2004-4
86359BPE5
445503.26890000
PA
USD
391334.26000000
0.406492070158
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
3.89600500
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
376.08000000
0.000390646956
N/A
DE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-03
0.00000000
USD
0.00000000
USD
294.00000000
USD
376.08000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ITOCHU
000000000
1.00000000
NC
-815.58000000
-0.00084717040
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ITOCHU CORP
ITOCHU CORP
Y
Default Event
2022-06-20
0.00000000
USD
-545.18000000
USD
4307000.00000000
JPY
-270.40000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z94
-605300.00000000
PA
USD
-654409.69000000
-0.67975737575
Short
DBT
UST
US
N
2
2030-02-15
Fixed
1.50000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2019-SFR1 Trust
00178XAH6
750000.00000000
PA
USD
615485.40000000
0.639325405340
Long
ABS-O
CORP
US
N
2
2039-01-19
Variable
6.04000000
N
N
N
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
200000.00000000
PA
USD
269900.00000000
0.280354216202
Long
DBT
NUSS
RU
N
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2D4
9000.00000000
PA
USD
10297.28000000
0.010696131394
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-2 Ltd
69689PAE7
1000000.00000000
PA
USD
978116.60000000
1.016002640785
Long
ABS-CBDO
CORP
KY
N
2
2027-04-20
Floating
3.38525000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
57.18000000
0.000059394790
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-2760.00000000
USD
2537.01000000
EUR
2020-06-17
57.18000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
2466.14000000
0.002561662640
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2023-12-20
2914.03000000
USD
0.00000000
USD
38000.00000000
USD
-447.89000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GOODYEAR TIRE
000000000
1.00000000
NC
USD
-250.13000000
-0.00025981845
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
GOODYEAR TIRE & RUBBER
Goodyear Tire & Rubber Co/The
Y
Default Event
2025-06-20
1060.85000000
USD
0.00000000
USD
27000.00000000
USD
-1310.98000000
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
MGM RESORTS INTERNATIONAL
000000000
-21.00000000
NC
USD
-6111.00000000
-0.00634770142
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Call
Written
MGM Resorts International
MGM Resorts International
100.00000000
20.00000000
USD
2021-01-15
XXXX
-1385.53000000
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS BEAZER HOMES
000000000
1.00000000
NC
USD
-2286.78000000
-0.00237535537
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
BEAZER HOMES USA
Beazer Homes USA Inc
Y
Default Event
2025-06-20
6967.30000000
USD
0.00000000
USD
35000.00000000
USD
-9254.08000000
N
N
N
AMERICAN ENERGY PERMIAN
5493006OY0UV1LRA5K84
American Energy- Permian Basin LLC
02563LAJ7
962000.00000000
PA
USD
120250.00000000
0.124907723224
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
12.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS JFE HOLDINGS
000000000
1.00000000
NC
-914.35000000
-0.00094976612
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
JFE HOLDINGS INC
JFE HOLDINGS INC
Y
Default Event
2022-06-20
0.00000000
USD
-727.15000000
USD
5746000.00000000
JPY
-187.20000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - HUF
000000000
1.00000000
NC
USD
-7835.21000000
-0.00813869639
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-260716.19000000
EUR
88085573.00000000
HUF
2020-06-17
-7835.21000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CL9
693000.00000000
PA
USD
569122.65000000
0.591166856110
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.72683200
N
N
N
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
AMERICAN AIRLINES GROUP INC
000000000
3.00000000
NC
USD
396.00000000
0.000411338531
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
American Airlines Group Inc
American Airlines Group Inc
100.00000000
5.00000000
USD
2020-11-20
XXXX
-224.39000000
N
N
N
CVP Cascade CLO Ltd
254900WPOZSM5XGTH559
CVP Cascade CLO-2 Ltd
126611AG7
700000.00000000
PA
USD
578511.08000000
0.600918934413
Long
ABS-CBDO
CORP
KY
N
2
2026-07-18
Floating
4.93525000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1DF1
249967.16000000
PA
USD
90869.98000000
0.094389707370
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.14496000
N
N
N
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Re-REMIC Trust 2013-R8
61762UAH6
1008595.17590000
PA
USD
618325.93000000
0.642275959478
Long
ABS-MBS
CORP
US
N
2
2036-09-26
Floating
1.32725000
N
N
N
N
N
N
Greywolf CLO II Ltd
549300DX0ZYWEZ6TY764
GWOLF 2013-1A BR 10/29
398079AQ6
750000.00000000
PA
USD
699375.00000000
0.726464357009
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
3.36888000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
326.31000000
0.000338949182
N/A
DE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-04
0.00000000
USD
0.00000000
USD
135.00000000
USD
326.31000000
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2004-4
45254NJF5
165181.91690000
PA
USD
176832.08000000
0.183681434560
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
4.86364600
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAB1
-174000.00000000
PA
USD
-144917.81000000
-0.15053100791
Short
DBT
CORP
IE
N
2
2027-07-21
Fixed
3.65000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS TRANSDIGM
000000000
1.00000000
NC
USD
-2961.84000000
-0.00307656291
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRANSDIGM INC
TransDigm Inc
Y
Default Event
2025-06-20
735.25000000
USD
0.00000000
USD
49000.00000000
USD
-3697.09000000
N
N
N
Vedanta Ltd
335800XDKX9KB5EMCO07
Vedanta Ltd
92242Y100
3457.00000000
NS
USD
16870.16000000
0.017523603127
Long
EC
CORP
IN
N
1
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS DEVON ENERGY
000000000
1.00000000
NC
USD
1145.62000000
0.001189994061
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2025-06-20
7094.44000000
USD
0.00000000
USD
73000.00000000
USD
-5948.82000000
N
N
N
INTELSAT B3 11/27/23
N/A
INTELSAT B3 11/27/23
000000000
281119.97000000
PA
USD
282524.16000000
0.293467356188
Long
LON
CORP
US
N
2
2023-11-27
Floating
5.68199880
N
N
N
N
N
N
WESCO International Inc
529900TXOGREY3WNJ434
WESCO International Inc
95082P105
155.00000000
NS
USD
5161.50000000
0.005361423812
Long
EC
CORP
US
N
1
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBK1
48000.00000000
PA
USD
49177.76000000
0.051082594884
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
VERISURE HOLDING 10/21/22
N/A
VERISURE HOLDING 10/21/22
000000000
67634.87000000
PA
73076.01000000
0.075906511696
Long
LON
CORP
SE
N
2
2022-10-21
Floating
0.01000000
N
N
N
N
N
N
MOSS CREEK RESOURCES HLD
54930037SLMSPWKYIX36
Moss Creek Resources Holdings Inc
61965RAB1
191000.00000000
PA
USD
110027.46000000
0.114289226784
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
10.50000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2002-11
07384MSJ2
4638.50260000
PA
USD
4014.99000000
0.004170505277
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Variable
3.75387400
N
N
N
N
N
N
Castlelake Aircraft Structured
N/A
Castlelake Aircraft Securitization Trust 2018-1
14856CAA7
567761.64000000
PA
USD
465082.97000000
0.483097337990
Long
ABS-O
CORP
US
N
2
2043-06-15
Fixed
4.12500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS US STEEL CORP
000000000
1.00000000
NC
USD
22017.76000000
0.022870588541
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
UNITED STATES STEEL CORP
United States Steel Corp
Y
Default Event
2025-06-20
18735.71000000
USD
0.00000000
USD
73000.00000000
USD
3282.05000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
1.00000000
NC
USD
-30724.56000000
-0.03191463481
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2022-03-18
0.00000000
USD
-1613.70000000
USD
1100000.00000000
USD
-29110.86000000
N
N
N
ENVISION HEALTHCARE CORP
549300OL60X0LPKY8N60
Envision Healthcare Corp
29373TAA2
177000.00000000
PA
USD
78510.12000000
0.081551104692
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
8.75000000
N
N
N
N
N
N
ADVANTAGE SALES 07/23/21
N/A
ADVANTAGE SALES 07/23/21
000000000
479441.63850000
PA
USD
434973.43000000
0.451821545152
Long
LON
CORP
US
N
2
2021-07-23
Floating
4.70013120
N
N
N
N
N
N
Credit Acceptance Corp
N/A
Credit Acceptance Corp
225310101
-139.00000000
NS
USD
-51404.98000000
-0.05339608327
Short
EC
CORP
US
N
1
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS KIMCO REALTY
000000000
1.00000000
NC
USD
51.00000000
0.000052975416
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
KIMCO REALTY CORP
Kimco Realty Corp
Y
Default Event
2025-06-20
1817.91000000
USD
0.00000000
USD
109000.00000000
USD
-1766.91000000
N
N
N
CHINA ZHESHANG BANK
300300C1031633000208
China Zheshang Bank Co Ltd
000000000
-72000.00000000
PA
USD
-71985.60000000
-0.07477386612
Short
DBT
CORP
CN
N
2
N/A
Fixed
5.45000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
14000.00000000
PA
USD
16298.73000000
0.016930039548
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS SOFTBANK GROUP
000000000
1.00000000
NC
4005.52000000
0.004160668470
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SOFTBANK GROUP CORP
SOFTBANK GROUP CORP
Y
Default Event
2023-12-20
3892.34000000
USD
0.00000000
USD
12747000.00000000
JPY
113.18000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GOODYEAR TIRE
000000000
1.00000000
NC
USD
-463.19000000
-0.00048113104
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
GOODYEAR TIRE & RUBBER
Goodyear Tire & Rubber Co/The
Y
Default Event
2025-06-20
1786.73000000
USD
0.00000000
USD
50000.00000000
USD
-2249.92000000
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
2170000.00000000
PA
USD
2043290.23000000
2.122434349413
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
7030.18000000
0.007302484637
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
1981.15000000
USD
0.00000000
USD
233000.00000000
USD
5049.03000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CENTURYLINK INC
000000000
1.00000000
NC
USD
4088.62000000
0.004246987237
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
K HOVNANIAN ENTERPRISES
K HOVNANIAN ENTERPRISES
Y
Default Event
2023-12-20
4964.92000000
USD
0.00000000
USD
63000.00000000
USD
-876.30000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBD0
153000.00000000
PA
USD
152735.31000000
0.158651308342
Long
DBT
CORP
NL
N
2
2049-03-19
Fixed
6.90000000
N
N
N
N
N
N
Petco Anima 01/26/23
N/A
Petco Anima 01/26/23
000000000
275948.60000000
PA
USD
193952.41000000
0.201464897688
Long
LON
CORP
US
N
2
2023-01-26
Floating
5.99438160
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A7
46629DAL9
132697.02200000
PA
USD
118011.44000000
0.122582455591
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
3.79775000
N
N
N
N
N
N
CLARK EQUIPMENT CO
549300X1FKNY520VPF71
Clark Equipment Co
181396AE2
34000.00000000
PA
USD
35232.50000000
0.036597183854
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.87500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
3201.24000000
0.003325235757
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-11-03
0.00000000
USD
0.00000000
USD
1087.00000000
USD
3201.24000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust Series 2006-4
12637HAY4
813276.06970000
PA
USD
435540.16000000
0.452410226682
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.50000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
72622.84000000
0.075435788761
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
21077.24000000
USD
0.00000000
USD
138000.00000000
USD
51545.60000000
N
N
N
AMSR Trust
N/A
AMSR 2019-SFR1 Trust
00178XAJ2
750000.00000000
PA
USD
615986.40000000
0.639845810906
Long
ABS-O
CORP
US
N
2
2039-01-19
Variable
8.97600000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS GROUPE CASINO
000000000
1.00000000
NC
904.58000000
0.000939617698
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CASINO GUICHARD PERRACHO
CASINO GUICHARD PERRACHO
Y
Default Event
2022-06-20
7136.72000000
USD
0.00000000
USD
71000.00000000
EUR
-6232.14000000
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-4CB
12668BPX5
77584.22650000
PA
USD
72933.87000000
0.075758866092
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
5.50000000
N
N
N
N
N
N
MOSS CREEK RESOURCES HLD
54930037SLMSPWKYIX36
Moss Creek Resources Holdings Inc
61965RAA3
20000.00000000
PA
USD
10589.20000000
0.010999358526
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-IM1
12668A4B8
151819.49890000
PA
USD
134526.67000000
0.139737380979
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.76825000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZQ6
259000.00000000
PA
USD
258306.97000000
0.268312145661
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.62500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS AVIS
000000000
1.00000000
NC
USD
3552.56000000
0.003690163669
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
AVIS BUDGET CAR/FINANCE
AVIS BUDGET CAR/FINANCE
Y
Default Event
2024-12-20
2239.02000000
USD
0.00000000
USD
18000.00000000
USD
1313.54000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS TRANSOCEAN INC
000000000
1.00000000
NC
USD
811.79000000
0.000843233601
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
32.05000000
USD
0.00000000
USD
2000.00000000
USD
779.74000000
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VB2
3038769.19000000
PA
USD
1581320.18000000
1.642570506223
Long
ABS-MBS
CORP
US
N
2
2043-04-25
Floating
11.91825000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2007-CH2
46630MAC6
175125.41570000
PA
USD
125270.24000000
0.130122415519
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
4.63235600
N
N
N
N
N
N
RR DONNELLEY & SONS CO
SU4X0P4WWRGOQDTSV032
RR Donnelley & Sons Co
257867BB6
297000.00000000
PA
USD
274322.57000000
0.284948088548
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SK5
-1742600.00000000
PA
USD
-2148094.85000000
-2.23129843646
Short
DBT
UST
US
N
2
2049-11-15
Fixed
2.37500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAA4
425000.00000000
PA
USD
416467.23000000
0.432598532200
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.16363000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS CARNIVAL
000000000
1.00000000
NC
USD
8371.89000000
0.008696163983
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2023-06-20
9377.47000000
USD
0.00000000
USD
36000.00000000
USD
-1005.58000000
N
N
N
ICBC STANDARD BANK PLC
F01VVKN4DRF2NWKGQ283
ICBC Standard Bank PLC
85312ED34
5336000.00000000
PA
202641.54000000
0.210490589540
Long
DBT
CORP
GB
N
2
2021-10-01
Fixed
15.36000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
8362.56000000
0.008686472598
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-06-11
0.00000000
MXN
0.00000000
MXN
7389290.00000000
MXN
8362.56000000
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2006-OA1
576433G42
340039.49200000
PA
USD
296504.58000000
0.307989289094
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
0.37825000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS TRANSOCEAN
000000000
1.00000000
NC
USD
2105.01000000
0.002186544752
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
TRANSOCEAN INC
Transocean Inc
Y
Default Event
2024-12-20
609.95000000
USD
0.00000000
USD
4000.00000000
USD
1495.06000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS GOODYEAR TIRE
000000000
1.00000000
NC
USD
-363.84000000
-0.00037793285
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOODYEAR TIRE & RUBBER
Goodyear Tire & Rubber Co/The
Y
Default Event
2024-12-20
0.00000000
USD
-606.36000000
USD
18000.00000000
USD
242.52000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-13428.03000000
-0.01394814681
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-111641.93000000
USD
2183492.96000000
MXN
2020-06-17
-13428.03000000
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
-241000.00000000
PA
USD
-249342.42000000
-0.25900036578
Short
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
DIAMOND OFFSHORE DRILL
F14FQJ2EEHW5VPYUHL14
Diamond Offshore Drilling Inc
25271CAN2
72000.00000000
PA
USD
8330.76000000
0.008653440867
Long
DBT
CORP
US
N
2
2043-11-01
Fixed
4.87500000
Y
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS US STEEL CORP
000000000
1.00000000
NC
USD
6635.48000000
0.006892496459
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
UNITED STATES STEEL CORP
United States Steel Corp
Y
Default Event
2025-06-20
7658.49000000
USD
0.00000000
USD
22000.00000000
USD
-1023.01000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS US STEEL CORP
000000000
1.00000000
NC
USD
6635.48000000
0.006892496459
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
UNITED STATES STEEL CORP
United States Steel Corp
Y
Default Event
2025-06-20
7658.49000000
USD
0.00000000
USD
22000.00000000
USD
-1023.01000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS MBIA AA
000000000
1.00000000
NC
USD
-336.94000000
-0.00034999092
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
MBIA INC
MBIA INC
Y
Default Event
2022-06-20
0.00000000
USD
-1117.81000000
USD
21000.00000000
USD
780.87000000
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953101
-1100.00000000
NS
USD
-18898.00000000
-0.01962998880
Short
EC
CORP
US
N
1
N
N
N
SAPPHIRE AVIATION FINANCE I LI
N/A
SAPPHIRE AVIATION FINANCE I LTD
80306AAB6
746996.80000000
PA
USD
440052.60000000
0.457097450022
Long
ABS-O
CORP
KY
N
2
2040-03-15
Fixed
5.92600000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z52
-37000.00000000
PA
USD
-38860.12000000
-0.04036531487
Short
DBT
UST
US
N
2
2025-01-31
Fixed
1.37500000
N
N
N
N
N
N
SCIENCE APPLICATIONS INT
549300LZPNZIXQGZPZ48
Science Applications International Corp
808625AA5
92000.00000000
PA
USD
94170.74000000
0.097818317902
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.87500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
741.96000000
0.000770698830
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-130000.00000000
GBP
161313.10000000
USD
2020-06-30
741.96000000
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
24782000.00000000
PA
403464.74000000
0.419092408107
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
COMMONWEALTH OF PUERTO RICO
549300X44HXPLJU48U63
PUERTO RICO-A
74514LE86
1330000.00000000
PA
USD
728175.00000000
0.756379886563
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
8.00000000
Y
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DU1
36000.00000000
PA
USD
36528.78000000
0.037943673530
Long
DBT
CORP
US
N
2
2030-05-11
Fixed
1.65000000
N
N
N
N
N
N
EASYJET PLC
2138001S47XKWIB7TH90
easyJet PLC
000000000
-89000.00000000
PA
-87033.99000000
-0.09040513541
Short
DBT
CORP
GB
N
2
2023-02-09
Fixed
1.75000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS CARNIVAL
000000000
1.00000000
NC
USD
660.22000000
0.000685792740
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CARNIVAL CORP
CARNIVAL CORP
Y
Default Event
2020-12-20
593.66000000
USD
0.00000000
USD
11000.00000000
USD
66.56000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBR2
152000.00000000
PA
USD
113284.84000000
0.117672777050
Long
DBT
CORP
MX
N
2
2045-01-23
Fixed
6.37500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
168.07000000
0.000174579967
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-23850.02000000
USD
21629.45000000
EUR
2020-06-17
168.07000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CDS BOYD GAMING
000000000
1.00000000
NC
USD
-1205.90000000
-0.00125260892
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BOYD GAMING CORP
Boyd Gaming Corp
Y
Default Event
2025-06-20
693.78000000
USD
0.00000000
USD
22000.00000000
USD
-1899.68000000
N
N
N
Credit Suisse First Boston Mor
N/A
Credit Suisse First Boston Mortgage Securities Corp
22541SE38
255238.64930000
PA
USD
227809.40000000
0.236633292999
Long
ABS-MBS
CORP
US
N
2
2044-05-25
Floating
1.56825000
N
N
N
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
MGM RESORTS INTERNATIONAL
000000000
105.00000000
NC
USD
87780.00000000
0.091180041120
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Call
Purchased
MGM Resorts International
MGM Resorts International
100.00000000
10.00000000
USD
2021-01-15
XXXX
50818.13000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCZ3
87000.00000000
PA
USD
70896.30000000
0.073642373539
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
VTB BANK (VTB CAPITAL SA
529900Z143LRJYE8LK88
VTB Bank OJSC Via VTB Capital SA
000000000
200000.00000000
PA
USD
213159.40000000
0.221415844806
Long
DBT
CORP
LU
N
2
2022-10-17
Fixed
6.95000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-56130.75000000
-0.05830489967
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-139334720.90000000
RUB
1897130.11000000
USD
2020-09-16
-56130.75000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS KNBZMK
000000000
1.00000000
NC
USD
-4543.95000000
-0.00471995383
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
PENERBANGAN MALAYSIA BERHAD
PENERBANGAN MALAYSIA BERHAD
Y
Default Event
2024-12-20
0.00000000
USD
-11525.22000000
USD
435000.00000000
USD
6981.27000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS MARUBENI CORP
000000000
1.00000000
NC
-1091.75000000
-0.00113403747
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
MARUBENI CORP
MARUBENI CORP
Y
Default Event
2022-06-20
0.00000000
USD
-675.09000000
USD
6291000.00000000
JPY
-416.66000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KBS1
1230675.56000000
PA
USD
48274.42000000
0.050144265215
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
1.00000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
549300ZCZ76HYCS0H445
Frontier Communications Corp
17453BAJ0
245000.00000000
PA
USD
78560.48000000
0.081603415320
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
9.00000000
Y
N
N
N
N
N
MONITCHEM HOLDCO 3 S.A.
222100SJHJ1CNJMSW162
Monitchem HoldCo 3 SA
000000000
100000.00000000
PA
112433.56000000
0.116788523855
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
5.25000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
267.98000000
0.000278359847
N/A
DE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-06
0.00000000
USD
0.00000000
USD
163.00000000
USD
267.98000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
80.46000000
0.000083576510
N/A
DE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Clearway Energy Inc
Clearway Energy Inc
Y
2020-10-26
0.00000000
USD
0.00000000
USD
80.00000000
USD
80.46000000
N
N
N
FLUOR CORP
CQ7WZ4NOFWT7FAE6Q943
Fluor Corp
343412AF9
92000.00000000
PA
USD
79080.35000000
0.082143421790
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.25000000
N
N
N
N
N
N
TESLA INC
54930043XZGB27CTOV49
Tesla Inc
88160RAE1
165000.00000000
PA
USD
165513.15000000
0.171924080917
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.30000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS KOHLS
000000000
1.00000000
NC
USD
6657.44000000
0.006915307051
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
KOHL'S CORPORATION
Kohl's Corp
Y
Default Event
2025-06-20
7190.56000000
USD
0.00000000
USD
36000.00000000
USD
-533.12000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS BOYD GAMING
000000000
1.00000000
NC
USD
-1205.90000000
-0.00125260892
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BOYD GAMING CORP
Boyd Gaming Corp
Y
Default Event
2025-06-20
783.87000000
USD
0.00000000
USD
22000.00000000
USD
-1989.77000000
N
N
N
B&G FOODS INC
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508RAE6
-91000.00000000
PA
USD
-93739.56000000
-0.09737043672
Short
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS MXN
000000000
1.00000000
NC
5219.04000000
0.005421192547
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Y
2022-06-15
0.00000000
MXN
0.00000000
MXN
8585811.00000000
MXN
5219.04000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CDS US STEEL CORP
000000000
1.00000000
NC
USD
6635.48000000
0.006892496459
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
UNITED STATES STEEL CORP
United States Steel Corp
Y
Default Event
2025-06-20
6695.48000000
USD
0.00000000
USD
22000.00000000
USD
-60.00000000
N
N
N
CMA CGM SA
969500BZJ49IICIBZZ08
CMA CGM SA 7.75 1/21
000000000
-100000.00000000
PA
-107245.30000000
-0.11139930353
Short
DBT
CORP
FR
N
2
2021-01-15
Fixed
7.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-90.71000000
-0.00009422353
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-06-11
0.00000000
MXN
0.00000000
MXN
204068.00000000
MXN
-90.71000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS CLEVELAND-CLIFFS
000000000
1.00000000
NC
USD
2904.48000000
0.003016981155
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CLEVELAND-CLIFFS INC
Cleveland-Cliffs Inc
Y
Default Event
2025-06-20
4382.00000000
USD
0.00000000
USD
13000.00000000
USD
-1477.52000000
N
N
N
El Paso Electric Co
OZ8GM8L4AHPKSWZMW205
El Paso Electric Co
000000000
946.53000000
NS
USD
106011.36000000
0.110117568512
Long
EC
CORP
US
N
3
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
30409.00000000
0.031586852021
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-609938.57000000
USD
45153752.06000000
RUB
2020-06-17
30409.00000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS HEIDELBERGCEMENT
000000000
1.00000000
NC
-7799.43000000
-0.00810153050
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
HEIDELBERGCEMENT AG
HEIDELBERGCEMENT AG
Y
Default Event
2025-06-20
0.00000000
USD
-5567.91000000
USD
36000.00000000
EUR
-2231.52000000
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2004-AA2
32051D4S8
241697.25180000
PA
USD
230186.40000000
0.239102362921
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.61731600
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
184000.00000000
PA
USD
196857.20000000
0.204482200851
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CT2
350000.00000000
PA
USD
296847.22000000
0.308345200797
Long
ABS-MBS
CORP
US
N
2
2048-05-25
Variable
3.80958400
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CDS US STEEL CORP
000000000
1.00000000
NC
USD
17795.18000000
0.018484452542
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
UNITED STATES STEEL CORP
United States Steel Corp
Y
Default Event
2025-06-20
16285.39000000
USD
0.00000000
USD
59000.00000000
USD
1509.79000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CDS STAPLES
000000000
1.00000000
NC
USD
15357.19000000
0.015952030253
N/A
DCR
CORP
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
STAPLES INC
Staples Inc
Y
Default Event
2024-12-20
1480.26000000
USD
0.00000000
USD
60000.00000000
USD
13876.93000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS AMERICAN AIRLINES
000000000
1.00000000
NC
USD
23084.07000000
0.023978200635
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
AMERICAN AIRLINES GROUP
American Airlines Group Inc
Y
Default Event
2025-06-20
11373.95000000
USD
0.00000000
USD
47000.00000000
USD
11710.12000000
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GC2
48000.00000000
PA
USD
53763.01000000
0.055845448422
Long
DBT
CORP
US
N
2
2049-12-01
Fixed
3.30000000
N
N
N
N
N
N
DIAMOND OFFSHORE DRILL
F14FQJ2EEHW5VPYUHL14
Diamond Offshore Drilling Inc
25271CAP7
36000.00000000
PA
USD
4117.50000000
0.004276985865
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
7.87500000
Y
N
N
N
N
N
L BRANDS INC
GR3KVMWVCR54YWQNXU90
L Brands Inc
532716AT4
77000.00000000
PA
USD
76894.13000000
0.079872521477
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
6.62500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
4271.12000000
0.004436556131
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-291431.50000000
USD
4330672074.00000000
IDR
2020-06-17
4271.12000000
N
N
N
AVIS BUDGET CAR/FINANCE
N/A
Avis Budget Car Rental LLC / Avis Budget Finance Inc
053773BD8
-70000.00000000
PA
USD
-78225.00000000
-0.08125494095
Short
DBT
CORP
US
N
2
2025-05-15
Fixed
10.50000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAG9
1300000.00000000
PA
USD
1137749.60000000
1.181818811942
Long
ABS-MBS
CORP
KY
N
2
2037-02-16
Floating
1.83363000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS LLOYDS OPCO SUB
000000000
1.00000000
NC
-1297.56000000
-0.00134781925
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
0.00000000
USD
-1382.70000000
USD
196000.00000000
EUR
85.14000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
351.59000000
0.000365208369
N/A
DE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Clearway Energy Inc
Clearway Energy Inc
Y
2021-05-04
0.00000000
USD
0.00000000
USD
192.00000000
USD
351.59000000
N
N
N
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
HERTZ GLOBAL HOLDINGS INC
000000000
100.00000000
NC
USD
24250.00000000
0.025189291377
N/A
DE
CORP
US
N
1
NEW YORK STOCK EXCHANGE
549300HIIRNTNKXV3M12
Put
Purchased
Hertz Global Holdings Inc
Hertz Global Holdings Inc
100.00000000
4.00000000
USD
2020-07-17
XXXX
11296.52000000
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
Hertz Corp/The
428040CN7
114000.00000000
PA
USD
20590.11000000
0.021387640424
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
6.25000000
Y
N
N
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BM2
21000.00000000
PA
USD
20937.32000000
0.021748299140
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
6.37500000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2004-6F
36228F2K1
180948.85340000
PA
USD
184801.69000000
0.191959736765
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Fixed
5.50000000
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
Transocean Inc
893830BF5
797000.00000000
PA
USD
438350.00000000
0.455328902084
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
NOVOLEX FLEX TLB 06/29/25
N/A
NOVOLEX FLEX TLB 06/29/25
000000000
36552.57000000
PA
USD
34510.20000000
0.035846906528
Long
LON
CORP
US
N
2
2025-06-29
Floating
4.68338040
N
N
N
N
N
N
Palmer Square Loan Funding 2018-5 Ltd
N/A
PSTAT 2018-5A B 1/27
69700PAE2
1750000.00000000
PA
USD
1687221.20000000
1.752573460863
Long
ABS-CBDO
CORP
KY
N
2
2027-01-20
Floating
3.03525000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-4
45254NPN1
164601.64820000
PA
USD
141896.07000000
0.147392224850
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.91825000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS BEST BUY CO INC
000000000
1.00000000
NC
USD
-17165.26000000
-0.01783013343
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
BEST BUY CO INC
BEST BUY CO INC
Y
Default Event
2025-06-20
0.00000000
USD
-10167.62000000
USD
81000.00000000
USD
-6997.64000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC-
000000000
1.00000000
NC
USD
506.48000000
0.000526097826
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-03-04
0.00000000
USD
0.00000000
USD
1249.00000000
USD
506.48000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TRS CLEARWAY ENERGY INC
000000000
1.00000000
NC
USD
6364.00000000
0.006610501044
N/A
DE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Clearway Energy Inc
Clearway Energy Inc
Y
2021-04-01
0.00000000
USD
0.00000000
USD
1985.00000000
USD
6364.00000000
N
N
N
S-JETS Limited
635400FR77IW5YEET913
S-Jets 2017-1 Ltd
784309AA4
785122.01330000
PA
USD
661314.95000000
0.686930101780
Long
ABS-O
CORP
BM
N
2
2042-08-15
Fixed
3.96700000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GOODYEAR TIRE
000000000
1.00000000
NC
USD
-194.55000000
-0.00020208563
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
GOODYEAR TIRE & RUBBER
Goodyear Tire & Rubber Co/The
Y
Default Event
2025-06-20
1336.67000000
USD
0.00000000
USD
21000.00000000
USD
-1531.22000000
N
N
N
2020-07-27
Franklin Alternative Strategies Funds
Betsy Thomas
Betsy Thomas
Assistant Treasurer