0001752724-20-043384.txt : 20200228
0001752724-20-043384.hdr.sgml : 20200228
20200228160831
ACCESSION NUMBER: 0001752724-20-043384
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200228
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: HIGHLAND INCOME FUND\MA
CENTRAL INDEX KEY: 0001710680
IRS NUMBER: 456245636
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23268
FILM NUMBER: 20670099
BUSINESS ADDRESS:
STREET 1: 300 CRESCENT COURT
STREET 2: SUITE 700
CITY: DALLAS
STATE: TX
ZIP: 75201
BUSINESS PHONE: 972-628-4100
MAIL ADDRESS:
STREET 1: 300 CRESCENT COURT
STREET 2: SUITE 700
CITY: DALLAS
STATE: TX
ZIP: 75201
FORMER COMPANY:
FORMER CONFORMED NAME: HIGHLAND FLOATING RATE OPPORTUNITIES FUND
DATE OF NAME CHANGE: 20170925
FORMER COMPANY:
FORMER CONFORMED NAME: HIGHLAND FLOATING RATE OPPORTUNITIES FUND II
DATE OF NAME CHANGE: 20170628
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2019-12-31
2019-12-31
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2025-05-09
Floating
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N
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2024-10-31
Floating
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N
N
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N
N
REMINGTON ARMS WARRANTS
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REMINGTON ARMS WARRANTS
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XXXX
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EP
US
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KY
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2031-10-22
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N
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N/A
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Reverse repurchase
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2021-03-04
Floating
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N
N
N
N
N
N
WHEELER REAL ESTATE INVESTMENT TRUST, INC.
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Wheeler Real Estate Investment Trust Inc PREFERRED STOCK
963025606
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USD
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0.112940641156
Long
EP
US
N
2
N
N
N
VC GB HLDGS INC
N/A
VC GB HLDGS INC 2/28/2024
91822UAG3
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PA
USD
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0.358916358378
Long
LON
XX
N
2
2024-02-28
Floating
4.70162880
N
N
N
N
N
N
TRUCK HERO INC
N/A
TRUCK HERO INC 4/21/2025
89778PAE7
4076666.67000000
PA
USD
3913600.00000000
0.397383850224
Long
LON
XX
N
2
2025-04-21
Floating
9.95163120
N
N
N
N
N
N
N/A
N/A
EASTLAND CLO LTD
27734A806
3980.00000000
NS
USD
1790403.00000000
0.181796105272
Long
EP
US
N
2
N
N
N
Sound Physicians 6/18 2nd Lien TL
N/A
Sound Physicians 6/18 2nd Lien TL 6/19/2026
83607JAB7
1777777.78000000
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USD
1795555.56000000
0.182319292141
Long
LON
XX
N
2
2026-06-19
Floating
8.45163000
N
N
N
N
N
N
VOYA CLO
N/A
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92915DAG7
5580000.00000000
PA
USD
5280946.88000000
0.536223171505
Long
ABS-CBDO
CORP
KY
N
2
2028-07-19
Floating
9.29126880
N
N
N
N
N
N
CATAMARAN CLO LTD
N/A
CATAMARAN CLO 2015-1 LTD CRMN 2015-1A E
14889LAA8
2250000.00000000
PA
USD
2047500.00000000
0.207901531412
Long
ABS-CBDO
CORP
KY
N
2
2027-04-22
Floating
7.42763160
N
N
N
N
N
N
Bruce Mansfield Unit I
N/A
BRUCE MANSFIELD UNIT 1 2007 PASS THROUGH TRUST 6.850000% 06/01/2034
116663AC9
13753862.73520000
PA
USD
12079258.43000000
1.226518352097
Long
DBT
CORP
US
N
2
2034-06-01
Fixed
6.85000000
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIII LTD LCM 23A D
52111RAA5
1000000.00000000
PA
USD
850600.00000000
0.086369251584
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
9.32762880
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD
N/A
CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-1 LTD CGMS 2015-1A ER
14311EAY0
5382500.00000000
PA
USD
4985271.50000000
0.506200527157
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
9.21763080
N
N
N
N
N
N
IHEARTCOMMUNIC TL 1L EXIT
N/A
IHEARTCOMMUNIC TL 1L EXIT 5/1/2026
45175AAB7
5248005.35000000
PA
USD
5299383.32000000
0.538095193048
Long
LON
XX
N
2
2026-05-01
Floating
5.69112840
N
N
N
N
N
N
N/A
N/A
Texas Competitive Electric Holdings Co LLC / TCEH MATURITY:11/01/2016 DEFAULTED ESCROW POSITION
882ESC635
20000000.00000000
PA
USD
96000.00000000
0.009747764110
Long
DBT
CORP
US
N
2
2049-12-31
Fixed
10.25000000
Y
N
N
N
N
N
BRAEMAR HOTELS & RESORTS INC.
549300JDUUEBN868C776
Braemar Hotels & Resorts Inc Preferrred Stock
10482B200
645161.00000000
NS
USD
12258059.00000000
1.244673620629
Long
EP
US
N
2
N
N
N
WHEELER REAL ESTATE INVESTMENT TRUST, INC.
5493005TOFFG62ETJY29
Wheeler Real Estate Investment Trust Inc PREFERRED STOCK
963025309
83300.00000000
NS
USD
915467.00000000
0.092955795485
Long
EP
US
N
2
N
N
N
ACIS CLO LTD
N/A
ACIS CLO 2015-6 LTD ACIS 2015-6A E
004524AA2
7500000.00000000
PA
USD
5775000.00000000
0.586388934752
Long
ABS-CBDO
CORP
KY
N
2
2027-05-01
Floating
7.74312840
N
N
N
N
N
N
N/A
N/A
FIELDWOOD ENERGY INC COMMON STOCK
N/A
25000.00000000
NS
USD
504175.00000000
0.051193530940
Long
EC
US
N
1
N
N
N
ACADEMY LTD.
N/A
ACADEMY LTD. 7/1/2022
00400YAH4
18553011.77700000
PA
USD
15350761.95000000
1.558704233332
Long
LON
XX
N
2
2022-07-01
Floating
5.69374920
N
N
N
N
N
N
JAMESTOWN CLO LTD
N/A
JAMESTOWN CLO IX LTD JTWN 2016-9A DR
47048KAE0
5500000.00000000
PA
USD
5354559.10000000
0.543697698132
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
8.90588160
N
N
N
N
N
N
EDS Legacy Partners
N/A
EDS Legacy Partners 12/31/2049
N/A
57000000.00000000
PA
USD
56829000.00000000
5.770371735588
Long
LON
XX
N
3
2023-12-14
Floating
7.49999880
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC PREFERRED STOCK
313400822
525000.00000000
NS
USD
9660000.00000000
0.980868763585
Long
EP
US
N
2
N
N
N
ZAIS CLO LIMITED
N/A
ZAIS CLO 8 LTD ZAIS8 2018-1A E
98885HAA4
3300000.00000000
PA
USD
2442000.00000000
0.247958749552
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
7.55337960
N
N
N
N
N
N
JO-ANN STORES LLC
N/A
JO-ANN STORES LLC 5/21/2024
47759DAD7
9554955.00000000
PA
USD
3447714.41000000
0.350078195707
Long
LON
XX
N
2
2024-05-21
Floating
10.95800040
N
N
N
N
N
N
SYMPHONY CLO, LTD.
N/A
SYMPHONY CLO XXI LTD SYMP 2019-21A E
87167CAA7
1500000.00000000
PA
USD
1459800.00000000
0.148226938000
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
9.11228040
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XXIV LTD MDPK 2016-24A ER
55820QAE4
5000000.00000000
PA
USD
4950000.00000000
0.502619086930
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
9.37546920
N
N
N
N
N
N
WESTGATE INVESTMENTS LLC WESTGATE INVESTMENTS LLC
N/A
WESTGATE INVESTMENTS LLC WESTGATE INVESTMENTS LLC
N/A
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NS
USD
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0.000000
Long
EC
US
N
3
N
N
N
Freddie Mac
N/A
Federal Home Loan Mortgage Corp PREFERRED STOCK
313400756
102000.00000000
NS
USD
1832940.00000000
0.186115278625
Long
EP
US
N
2
N
N
N
TICP CLO LTD
N/A
TICP CLO I-2 LTD TICP 2018-IA E
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USD
1840740.00000000
0.186907284459
Long
ABS-CBDO
CORP
KY
N
2
2028-04-26
Floating
10.26663120
N
N
N
N
N
N
ADVANTAGE SALES & MARKETING INC.
N/A
ADVANTAGE SALES & MARKETING INC. 7/23/2021
00769EAS9
6650497.92510000
PA
USD
6458464.80000000
0.655787410252
Long
LON
XX
N
2
2021-07-23
Floating
4.95163080
N
N
N
N
N
N
N/A
N/A
TXU (TCEH) ESCROW LOAN NON EXTENDED LX155
931ESB901
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USD
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0.005403357247
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EC
US
N
2
N
N
N
N/A
N/A
FREMF 2019-K97D 12/31/49 3.10%
FREMRR007
-18068000.00000000
PA
USD
-18068000.00000000
-1.83461043690
Short
RA
US
N
2
Reverse repurchase
N
3.10000000
2049-12-31
54160055.00000000
USD
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USD
ABS
N
N
N
OZLM FUNDING LTD
N/A
OZLM FUNDING III LTD OZLMF 2013-3A DR
67108GAE4
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PA
USD
952200.00000000
0.096685635267
Long
ABS-CBDO
CORP
KY
N
2
2029-01-22
Floating
10.04762880
N
N
N
N
N
N
Federal National Mortgage Association
N/A
Federal National Mortgage Association PREFERRED STOCK
313586703
150000.00000000
NS
USD
2760000.00000000
0.280248218167
Long
EP
US
N
2
N
N
N
NeuStar 3/18 Cov-Lite TLB4
N/A
NeuStar 3/18 Cov-Lite TLB4 8/8/2024
64127UAX5
11381213.91200000
PA
USD
10531890.82000000
1.069399868201
Long
LON
XX
N
2
2024-08-08
Floating
5.20162920
N
N
N
N
N
N
Federal National Mortgage Association
N/A
Federal National Mortgage Association PREFERRED STOCK
313586794
50000.00000000
NS
USD
1005000.00000000
0.102046905528
Long
EP
US
N
1
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD
N/A
CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-1 LTD CGMS 2014-1A ER
14310PAN0
3875000.00000000
PA
USD
2982975.00000000
0.302888923401
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
7.40212920
N
N
N
N
N
N
Forest City Enterprises, L.P.
N/A
Forest City Enterprises, L.P. 12/8/2025
N/A
9138461.54380000
PA
USD
9201288.47000000
0.934291557449
Long
LON
XX
N
2
2025-12-08
Floating
5.29938000
N
N
N
N
N
N
LCM LIMITED PARTNERSHIP
N/A
LCM XIII LP LCM 13A ER
50184KBA5
3000000.00000000
PA
USD
2805000.00000000
0.284817482593
Long
ABS-CBDO
CORP
KY
N
2
2027-07-19
Floating
9.60249960
N
N
N
N
N
N
TEXAS INSTRUMENTS INCORPORATED
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENTS INC COMMON STOCK
882508104
-70750.00000000
NS
USD
-9076517.50000000
-0.92162241178
Short
EC
US
N
1
N
N
N
DEALER TIRE, LLC TLB
N/A
DEALER TIRE, LLC TLB 12/4/2025
N/A
15580674.60650000
PA
USD
15629442.12000000
1.587001197491
Long
LON
XX
N
2
2025-12-04
Floating
7.20163080
N
N
N
N
N
N
N/A
N/A
CRMNNREV REPO 3.45088%
CRMNN1016
-2013900.00000000
PA
USD
-2013900.00000000
-0.20448981397
Short
RA
US
N
2
Reverse repurchase
N
3.45088000
2020-01-15
3000000.00000000
USD
2013900.00000000
USD
ABS
N
N
N
MOUNTAIN VIEW CLO LTD
N/A
MOUNTAIN VIEW CLO XIV LTD MVEW 2019-1A F
62432NAC1
500000.00000000
PA
USD
463950.00000000
0.047109116238
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
10.70088120
N
N
N
N
N
N
N/A
N/A
ACIS 2015-6A D REVERSE REPO
N/A
-767700.00000000
PA
USD
-767700.00000000
-0.07795165111
Short
RA
US
N
2
Reverse repurchase
N
2.78513000
2020-01-17
1000000.00000000
USD
767700.00000000
USD
ABS
N
N
N
N/A
N/A
NFRO REIT SUB LLC NFRO REIT SUB
933DXD000
4328483.25200000
NS
USD
93899951.43000000
9.534526838494
Long
EC
XX
N
3
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2014 LTD CIFC 2014-1A ER2
12549LAG1
1000000.00000000
PA
USD
905000.00000000
0.091892984580
Long
ABS-CBDO
CORP
KY
N
2
2031-01-18
Floating
8.14962960
N
N
N
N
N
N
N/A
N/A
FIELDWOOD ENERGY INC COMMON STOCK
N/A
30277.00000000
NS
USD
610596.26000000
0.061999461552
Long
EC
US
N
1
N
N
N
Alpine Income Property Trust Inc
N/A
ALPINE INCOME PROPERTY TRUST REIT
02083X103
15790.00000000
NS
USD
300483.70000000
0.030510877359
Long
EC
US
N
1
N
N
N
iShares MSCI Brazil ETF
N/A
EWZ US 03/20/20 P42 SHORT
80S99QM78
-22000.00000000
NC
USD
-1518000.00000000
-0.15413651999
N/A
DE
US
N
1
ROYAL BANK CANADA
N/A
Put
Written
iShares MSCI Brazil ETF
EWZ Put 42 Mar 2020
-2200000.00000000
42
USD
2020-03-23
XXXX
4437522.53
N
N
N
IHEARTCOMMUNIC TL 1L EXIT
N/A
IHEARTCOMMUNIC TL 1L EXIT 5/1/2026
45175AAB7
0.66000000
PA
USD
0.67000000
0.000000068031
Long
LON
XX
N
2
2026-05-01
Floating
5.69112840
N
N
N
N
N
N
COVENANT CREDIT PARTNERS CLO
N/A
COVENANT CREDIT PARTNERS CLO III LTD COV 2017-1A F
22284JAC3
4000000.00000000
PA
USD
2760000.00000000
0.280248218167
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
9.93612960
N
N
N
N
N
N
SARANAC CLO LIMITED
N/A
SARANAC CLO III LTD SRANC 2014-3A ER
803166AG2
3150000.00000000
PA
USD
2863372.05000000
0.290744534406
Long
ABS-CBDO
CORP
JE
N
2
2030-06-22
Floating
9.65887920
N
N
N
N
N
N
N/A
N/A
VALUE CREATION INC LX113920
N/A
1118286.00000000
NS
USD
1.12000000
0.000000113723
Long
EC
US
N
3
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS & ELECTRIC CO 6.050000% 03/01/2034
694308GE1
5958000.00000000
PA
USD
6252027.30000000
0.634825909694
Long
DBT
CORP
US
N
2
2034-03-01
Fixed
6.05000000
Y
N
N
N
N
N
N/A
N/A
MPM HOLDINGS INC/DE ESCROW SECURITY
55336L102
299032.00000000
NS
USD
1495160.00000000
0.151817364447
Long
EC
US
N
2
N
N
N
American Traffic Solutions INC TL
N/A
American Traffic Solutions INC TL 2/21/2025
00215NAF7
10102055.21600000
PA
USD
10182063.49000000
1.033878677658
Long
LON
XX
N
2
2025-02-21
Floating
5.45163120
N
N
N
N
N
N
ACIS CLO LTD
N/A
ACIS CLO 2015-6 LTD ACIS 2015-6A D
00452PAR8
1000000.00000000
PA
USD
966250.00000000
0.098112261160
Long
ABS-CBDO
CORP
KY
N
2
2027-05-01
Floating
6.02313120
N
N
N
N
N
N
N/A
N/A
ACIS 2014-4A E REVERSE REPO
N/A
-8982750.00000000
PA
USD
-8982750.00000000
-0.91210133396
Short
RA
US
N
2
Reverse repurchase
N
3.23513000
2020-01-17
14750000.00000000
USD
8982750.00000000
USD
ABS
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-III LTD CIFC 2015-3A FR
12550HAJ0
1750000.00000000
PA
USD
1349687.50000000
0.137046201796
Long
ABS-CBDO
CORP
KY
N
2
2029-04-19
Floating
8.76588120
N
N
N
N
N
N
GENERAL NUTRITION CENTERS INC.
N/A
GENERAL NUTRITION CENTERS INC. 12/31/2022
37047QAR0
1178368.02000000
PA
USD
1179269.47000000
0.119742089748
Long
LON
XX
N
2
2022-12-31
Floating
8.70999840
N
N
N
N
N
N
United Site 8/17 TLB
N/A
United Site 8/17 TLB 8/9/2024
90352HAB3
11845581.98770000
PA
USD
11906053.68000000
1.208931278704
Long
LON
XX
N
2
2024-08-09
Floating
5.94974880
N
N
N
N
N
N
Edelman Financial 6/18 2nd Lien TL
N/A
Edelman Financial 6/18 2nd Lien TL 6/26/2026
N/A
9447347.83000000
PA
USD
9459157.01000000
0.960475325150
Long
LON
XX
N
2
2026-06-26
Floating
8.47163160
N
N
N
N
N
N
GOLDENTREE LOAN MANAGEMENT US CLO LTD
N/A
GOLDENTREE LOAN MANAGEMENT US CLO 4 LTD GLM 2019-4A F
38138CAC2
3500000.00000000
PA
USD
2757300.00000000
0.279974062301
Long
ABS-CBDO
CORP
KY
N
2
2031-04-24
Floating
8.68275000
N
N
N
N
N
N
N/A
N/A
ACIS 2014-3A E REVERSE REPO
N/A
-2114800.00000000
PA
USD
-2114800.00000000
-0.21473512021
Short
RA
US
N
2
Reverse repurchase
N
3.23513000
2020-01-17
4000000.00000000
USD
2114800.00000000
USD
ABS
N
N
N
BLUEMOUNTAIN CLO LTD.
N/A
BLUEMOUNTAIN CLO 2015-3 LTD BLUEM 2015-3A ER
09628MAJ3
3500000.00000000
PA
USD
2607500.00000000
0.264763488721
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
10.04587920
N
N
N
N
N
N
ACIS CLO LTD
N/A
ACIS CLO 2014-5 LTD ACIS 2014-5A D
00102DAJ7
7000000.00000000
PA
USD
6739231.31000000
0.684296219726
Long
ABS-CBDO
CORP
KY
N
2
2026-11-01
Floating
6.59313000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2019-K99 MORTGAGE TRUST FREMF 2019-K99 D
30314FAE4
114251407.00000000
PA
USD
51212901.85000000
5.200117569070
Long
DBT
USGA
US
N
2
2029-11-25
None
0.00000000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2019-K97 MORTGAGE TRUST FREMF 2019-K97 X2B
30298PAQ5
133593827.00000000
PA
USD
1047375.60000000
0.106349690453
Long
DBT
USGA
US
N
2
2030-01-25
Fixed
0.10000000
N
N
N
N
N
N
CCS MEDICAL INC.
N/A
CCS MEDICAL INC. 5/19/1931
12504BAB7
57012376.38000000
PA
USD
46351062.00000000
4.706450194078
Long
LON
XX
N
3
2020-05-31
Floating
12.49999920
N
N
N
N
N
N
N/A
N/A
LCM 23A D 3.25475
N/A
-689500.00000000
PA
USD
-689500.00000000
-0.07001128493
Short
RA
US
N
2
Reverse repurchase
N
3.25475000
2020-01-27
1000000.00000000
USD
689500.00000000
USD
ABS
N
N
N
GREYWOLF CLO LTD.
N/A
GREYWOLF CLO IV LTD GWOLF 2019-1A D
39810JAA4
2000000.00000000
PA
USD
1980000.00000000
0.201047634772
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
8.94213000
N
N
N
N
N
N
N/A
N/A
SFR WLIF III, LLC
N/A
25478981.99000000
NS
USD
24706968.84000000
2.508726084682
Long
EC
XX
N
3
N
N
N
MAGNETITE CLO, LIMITED
N/A
MAGNETITE VII LTD MAGNE 2012-7A ER2
55952XAJ8
490000.00000000
PA
USD
437325.00000000
0.044405634786
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
8.50088160
N
N
N
N
N
N
N/A
N/A
CLAYMORE COMMON STOCK
N/A
9370190.18000000
NS
USD
9.37000000
0.000000951422
Long
EC
US
N
3
N
N
N
N/A
N/A
REMINGTON OUTDOOR COMPANY INC PRIVATE COMPANY
75959V104
176656.00000000
NS
USD
123659.20000000
0.012556257413
Long
EC
US
N
2
N
N
N
EATON VANCE CLO LTD
N/A
EATON VANCE CLO 2019-1 LTD EATON 2019-1A F
27830VAC4
8000000.00000000
PA
USD
7510000.00000000
0.762559463201
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
10.74525120
N
N
N
N
N
N
Federal National Mortgage Association
N/A
Federal National Mortgage Association PREFERRED STOCK
313586737
50000.00000000
NS
USD
566500.00000000
0.057521962170
Long
EP
US
N
1
N
N
N
MP CLO LTD
N/A
MP CLO VII LTD MP7 2015-1A FRR
55320TAD5
5800000.00000000
PA
USD
4383446.69000000
0.445091711704
Long
ABS-CBDO
CORP
KY
N
2
2028-10-18
Floating
9.91325160
N
N
N
N
N
N
N/A
N/A
DRSLF 2018-64A F REVERSE REPO
DRSLRR002
-1901550.00000000
PA
USD
-1901550.00000000
-0.19308188378
Short
RA
US
N
2
Reverse repurchase
N
3.72700000
2020-01-06
3500000.00000000
USD
1901550.00000000
USD
ABS
N
N
N
Federal National Mortgage Association
N/A
Federal National Mortgage Association PREFERRED STOCK
313586877
59384.00000000
NS
USD
1187680.00000000
0.120596088316
Long
EP
US
N
2
N
N
N
N/A
N/A
CIFC 2014-3A FR2 REVERSE REPO
N/A
-2860500.00000000
PA
USD
-2860500.00000000
-0.29045290872
Short
RA
US
N
2
Reverse repurchase
N
3.72700000
2020-01-06
5000000.00000000
USD
2860500.00000000
USD
ABS
N
N
N
Federal National Mortgage Association
N/A
Federal National Mortgage Association PREFERRED STOCK
313586760
100000.00000000
NS
USD
1090000.00000000
0.110677738334
Long
EP
US
N
2
N
N
N
BENEFIT STREET PARTNERS CLO LTD
N/A
BENEFIT STREET PARTNERS CLO XI BSP 2017-11A E
08179GAE2
2000000.00000000
PA
USD
1460000.00000000
0.148247245842
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
9.20088000
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XXII APID 2015-22A D
03766AAA3
3000000.00000000
PA
USD
2940000.00000000
0.298525275873
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
8.27763120
N
N
N
N
N
N
TRAVERSE MIDSTREAM PARTNERS LLC
N/A
TRAVERSE MIDSTREAM PARTNERS LLC 9/27/2024
89435TAB0
17018093.25920000
PA
USD
15452428.68000000
1.569027392726
Long
LON
XX
N
2
2024-09-27
Floating
5.79999960
N
N
N
N
N
N
N/A
N/A
LLV HOLDCO INC LLVHSAM01
N/A
34511.92000000
NS
USD
0.03000000
0.000000003046
Long
EC
US
N
3
N
N
N
TRUCK HERO INC TL 1L CL
N/A
TRUCK HERO INC TL 1L CL 4/22/2024
89778PAB3
13545751.13940000
PA
USD
13240971.74000000
1.344477803238
Long
LON
XX
N
2
2024-04-22
Floating
5.54937840
N
N
N
N
N
N
DRYDEN SENIOR LOAN FUND
N/A
DRYDEN 64 CLO LTD DRSLF 2018-64A F
26251MAC6
3500000.00000000
PA
USD
2607500.00000000
0.264763488721
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
9.15324840
N
N
N
N
N
N
N/A
N/A
HFRO SUB LLC HFRO SUB LLC
932FPW904
50000000.00000000
NS
USD
144940000.00000000
14.71709302215
Long
EC
XX
N
1
N
N
N
DRYDEN SENIOR LOAN FUND
N/A
DRYDEN 41 SENIOR LOAN FUND DRSLF 2015-41A FR
26244LAE4
4250000.00000000
PA
USD
3156216.60000000
0.320479738514
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
9.18613080
N
N
N
N
N
N
LAKE AT LAS VEGAS
N/A
LAKE AT LAS VEGAS 3/3/2019
50202LAB0
13677125.51000000
PA
USD
10941700.41000000
1.111011610007
Long
LON
XX
N
3
2020-09-03
Variable
0.00000000
N
N
N
N
N
N
N/A
N/A
TEXAS COMP ESCROW 11.5% 10/01/2020
882ESCAM8
8000000.00000000
PA
USD
26000.00000000
0.002640019446
Long
DBT
CORP
XX
N
2
2020-10-01
Fixed
0.00000000
Y
N
N
N
N
N
N/A
N/A
BLUEM 2015-3A ER REVERSE REPO
BLUERR002
-2018800.00000000
PA
USD
-2018800.00000000
-0.20498735609
Short
RA
US
N
2
Reverse repurchase
N
3.72700000
2020-01-06
3500000.00000000
USD
2018800.00000000
USD
ABS
N
N
N
OZLM FUNDING LTD
N/A
OZLM XXII LTD OZLM 2018-22A E
67111XAC6
3110000.00000000
PA
USD
2316950.00000000
0.235261271406
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
9.39213000
N
N
N
N
N
N
LLV HOLDCO INC LLVHSBM01
N/A
LLV HOLDCO INC LLVHSBM01
N/A
435.65000000
NS
USD
0.00000000
0.000000
Long
EC
US
N
3
N
N
N
ARCH COAL INC
N/A
ARCH COAL INC WT EXPIRATION: 10/05/23
039380118
5801.00000000
NC
USD
175480.25000000
0.017818125864
N/A
DE
US
N
2
ARCH COAL INC WT
N/A
Call
Purchased
N/A
N/A
5801.00000000
54.652
USD
2023-10-08
XXXX
175480.25
N
N
N
CATHEDRAL LAKE CLO LTD.
N/A
CATHEDRAL LAKE LTD SERIES: 2013-1A CLASS: DR
14918DAE3
1250000.00000000
PA
USD
1099375.00000000
0.111629668423
Long
ABS-CBDO
CORP
XX
N
3
2029-10-15
Floating
9.25088040
N
N
N
N
N
N
N/A
N/A
CREATIVE SCIENCE PROPERTIES INC PREFERRED STOCK
22530K207
516666.00000000
NS
USD
7749990.00000000
0.786927858084
Long
EP
US
N
2
N
N
N
OCEAN RIG UDW INC.
N/A
Ocean Rig UDW Inc Maturity:04/01/2019
67500PAA6
15600000.00000000
PA
USD
1076400.00000000
0.109296805085
Long
DBT
CORP
XX
Y
3
2019-04-01
Fixed
7.25000000
N
N
N
N
N
N
N/A
N/A
CATLK 2016-4A E2R 3.16313
CATLRR001
-2942000.00000000
PA
USD
-2942000.00000000
-0.29872835429
Short
RA
US
N
2
Reverse repurchase
N
3.16313000
2020-01-03
4000000.00000000
USD
2942000.00000000
USD
ABS
N
N
N
N/A
N/A
FREMF 2019-KF60 C7/30/19 3.08%
FREMRR008
-45467000.00000000
PA
USD
-45467000.00000000
-4.61668323746
Short
RA
US
N
2
Reverse repurchase
N
3.08000000
2020-01-30
60608606.07000000
USD
45467000.00000000
USD
ABS
N
N
N
AMMC CLO LIMITED
N/A
AMMC CLO XIV LTD AMMC 2014-14A B2L2
001748AH5
1750000.00000000
PA
USD
1616562.50000000
0.164144478326
Long
ABS-CBDO
CORP
KY
N
2
2029-07-25
Floating
8.46963000
N
N
N
N
N
N
USD/CNH 02/25/2020 C7.45 CURNCY
N/A
USD/CNH 02/25/2020 C7.45 CURNCY EXPIRATION: 02/25/2020
UCN022520
300000000.00000000
NC
USD
40500.00000000
0.004112337983
N/A
DFE
US
N
1
BNP PARIBAS
N/A
Call
Purchased
N/A
N/A
300000000.00000000
7.45
USD
2020-02-25
XXXX
-658500
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2019-K97 MORTGAGE TRUST FREMF 2019-K97 D
30298PAW2
54160055.00000000
PA
USD
24088767.66000000
2.445954425564
Long
DBT
USGA
US
N
2
2030-01-25
None
0.00000000
N
N
N
N
N
N
N/A
N/A
TOYS R US WSLI EQUITY
N/A
1450.17000000
NS
USD
353029.38000000
0.035846324168
Long
EC
US
N
2
N
N
N
Freddie Mac
N/A
Federal Home Loan Mortgage Corp PREFERRED STOCK
313400764
35000.00000000
NS
USD
612150.00000000
0.062157227083
Long
EP
US
N
2
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS & ELECTRIC CO VARIABLE RATE 03/01/2039
694308GQ4
4000000.00000000
PA
USD
4223740.00000000
0.428875220652
Long
DBT
CORP
US
N
2
2039-03-01
Floating
0.00000000
Y
N
N
N
N
N
KRONOS 10/16 2ND LIEN TL
N/A
KRONOS 10/16 2ND LIEN TL 10/18/2024
50105JAL1
4800000.00000000
PA
USD
4914000.00000000
0.498963675389
Long
LON
XX
N
2
2024-10-18
Floating
10.15913160
N
N
N
N
N
N
Sandvine Corporation
N/A
Sandvine Corporation 10/30/2025
N/A
14794576.77520000
PA
USD
14634351.51000000
1.485960483590
Long
LON
XX
N
2
2025-10-30
Floating
6.20163000
N
N
N
N
N
N
Portola Pharmaceuticals Inc
549300BM3O4O0CNBGJ64
PORTOLA PHARMACEUTICALS INC COMMON STOCK
737010108
18750.00000000
NS
USD
447750.00000000
0.045464181045
Long
EC
US
N
1
N
N
N
iShares MSCI Brazil ETF
N/A
EWZ US 03/20/20 C45 LONG
60H99QMA5
45000.00000000
NC
USD
17325000.00000000
1.759166804256
N/A
DE
US
N
1
ROYAL BANK CANADA
N/A
Call
Purchased
iShares MSCI Brazil ETF
EWZ Call 45 Mar 2020
4500000.00000000
45
USD
2020-03-23
XXXX
10472004
N
N
N
N/A
N/A
JPARK 2016-1A ER 3.25475
PARKRR003
-3341400.00000000
PA
USD
-3341400.00000000
-0.33928311455
Short
RA
US
N
2
Reverse repurchase
N
3.25475000
2020-01-27
6000000.00000000
USD
3341400.00000000
USD
ABS
N
N
N
KIK CUSTOM PRODUCTS
N/A
KIK CUSTOM PRODUCTS 5/15/2023
49387TAR7
10068965.52000000
PA
USD
9912896.56000000
1.006547680368
Long
LON
XX
N
2
2023-05-15
Floating
5.79200040
N
N
N
N
N
N
PALMER SQUARE CLO
N/A
PALMER SQUARE CLO 2015-1 LTD PLMRS 2015-1A DR2
69689BAG3
1750000.00000000
PA
USD
1702400.00000000
0.172860350220
Long
ABS-CBDO
CORP
KY
N
2
2029-05-21
Floating
8.14462920
N
N
N
N
N
N
USD/HKD 06/24/20 C7.7975 CURNCY
N/A
USD/HKD 06/24/20 C7.7975 CURNCY EXPIRATION: 06/24/2020
UHX062420
125000000.00000000
NC
USD
381500.00000000
0.038737208416
N/A
DFE
US
N
1
BNP PARIBAS
N/A
Call
Purchased
N/A
N/A
125000000.00000000
7.7975
USD
2020-06-24
XXXX
-176750
N
N
N
BW NHHC HOLDCO INC
N/A
BW NHHC HOLDCO INC 5/15/2025
N/A
13680555.56560000
PA
USD
11286458.34000000
1.146018057682
Long
LON
XX
N
2
2025-05-15
Floating
6.90863040
N
N
N
N
N
N
EATON VANCE CLO LTD
N/A
EATON VANCE CLO 2013-1 LTD EATON 2013-1A DRR
27830BBJ2
2000000.00000000
PA
USD
1930000.00000000
0.195970674298
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
9.31682160
N
N
N
N
N
N
USD/HKD 01/30/2020 C7.85 CURNCY
N/A
USD/HKD 01/30/2020 C7.85 CURNCY EXPIRATION: 01/30/2020
UHK013020
250000000.00000000
NC
USD
55000.00000000
0.005584656521
N/A
DFE
US
N
1
BNP PARIBAS
N/A
Call
Purchased
N/A
N/A
250000000.00000000
7.85
USD
2020-01-30
XXXX
-270000
N
N
N
Freddie Mac
N/A
Federal Home Loan Mortgage Corp PREFERRED STOCK
313400780
25000.00000000
NS
USD
441250.00000000
0.044804176183
Long
EP
US
N
2
N
N
N
CSC SW HOLDCO INC.
N/A
CSC SW HOLDCO INC. 11/14/2022
84850XAG7
10015692.83400000
PA
USD
9954897.58000000
1.010812430736
Long
LON
XX
N
2
2022-11-14
Floating
5.25088080
N
N
N
N
N
N
CALIFORNIA STREET CLO LIMITED PARTNERSHIP
N/A
CALIFORNIA STREET CLO IX LP SYMP 2012-9A FR2
13078XAC1
3500000.00000000
PA
USD
3027500.00000000
0.307409956703
Long
ABS-CBDO
CORP
KY
N
2
2032-07-16
Floating
10.80063000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE
313586810
65.00000000
NS
USD
2616174.60000000
0.265644300747
Long
EP
US
N
2
N
N
N
ECP CLO LTD
N/A
MAN GLG US CLO GLGU 2018-1A DR
26829DAQ8
4500000.00000000
PA
USD
3539399.99000000
0.359387877021
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
7.86588120
N
N
N
N
N
N
EURAMAX INTERNATIONAL
N/A
EURAMAX INTERNATIONAL 2/6/2021
N/A
9289559.58000000
PA
USD
7831098.73000000
0.795163574410
Long
LON
XX
N
3
2021-02-06
Floating
14.00000064
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2019-K97 MORTGAGE TRUST FREMF 2019-K97 X2A
30298PAN2
588485479.55000000
PA
USD
4719653.55000000
0.479229890490
Long
DBT
USGA
US
N
2
2029-07-25
Fixed
0.10000000
N
N
N
N
N
N
JFIN CLO LTD
N/A
JFIN CLO 2013 LTD JFIN 2013-1I E
46616NAF5
3000000.00000000
PA
USD
2190000.00000000
0.222370868763
Long
ABS-CBDO
CORP
KY
N
2
2025-01-20
Floating
8.27763120
N
N
N
N
N
N
CITY OFFICE REIT, INC.
5493003J7157VP25NL57
CITY OFFICE REIT INC REIT
178587101
571700.00000000
NS
USD
7729384.00000000
0.784835541134
Long
EC
US
N
1
N
N
N
N/A
N/A
REMINGTON OUTDOOR COMPANY INC PRIVATE COMPANY
75959V104
73971.00000000
NS
USD
51779.70000000
0.005257669805
Long
EC
US
N
2
N
N
N
GRANITE ACQUISITION INC.
N/A
GRANITE ACQUISITION INC. 12/19/2022
38723BAF8
2319303.58000000
PA
USD
2327026.86000000
0.236284467805
Long
LON
XX
N
2
2022-12-19
Floating
9.35438040
N
N
N
N
N
N
N/A
N/A
JTWN 2016-9A DR 3.25475
JTWNRR009
-3962750.00000000
PA
USD
-3962750.00000000
-0.40237450237
Short
RA
US
N
2
Reverse repurchase
N
3.25475000
2020-01-29
5500000.00000000
USD
3962750.00000000
USD
ABS
N
N
N
N/A
N/A
ACIS 2015-6A E REVERSE REPO
N/A
-4755000.00000000
PA
USD
-4755000.00000000
-0.48281894108
Short
RA
US
N
2
Reverse repurchase
N
3.23513000
2020-01-17
7500000.00000000
USD
4755000.00000000
USD
ABS
N
N
N
CBL & ASSOCIATES LIMITED PARTNERSHIP
549300VS75TWHD9JTH89
CBL & ASSOCIATES LP 5.950000% 12/15/2026
12505JAD5
2000000.00000000
PA
USD
1204645.00000000
0.122318701005
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.95000000
N
N
N
N
N
N
ADVANTAGE SALES & MARKETING INC.
N/A
ADVANTAGE SALES & MARKETING INC. 7/25/2022
00769EAV2
13710000.00000000
PA
USD
12259070.70000000
1.244776347848
Long
LON
XX
N
2
2022-07-25
Floating
8.20163160
N
N
N
N
N
N
N/A
N/A
REGT7 2016-1A ER REVERSE REPO
REGTRR003
-1405800.00000000
PA
USD
-1405800.00000000
-0.14274382068
Short
RA
US
N
2
Reverse repurchase
N
3.25475000
2020-01-27
2000000.00000000
USD
1405800.00000000
USD
ABS
N
N
N
GOLDENTREE LOAN OPPORTUNITIES LIMITED
N/A
GOLDENTREE LOAN OPPORTUNITIES IX LTD GOLD9 2014-9A FR2
38123GAJ5
3500000.00000000
PA
USD
2975000.00000000
0.302079148205
Long
ABS-CBDO
CORP
KY
N
2
2029-10-29
Floating
9.89574840
N
N
N
N
N
N
N/A
N/A
SFR WLIF II, LLC
N/A
52666031.82000000
NS
USD
52018239.63000000
5.281890930616
Long
EC
XX
N
3
N
N
N
TCI-FLATIRON CLO LTD
N/A
TCI-FLATIRON CLO 2016-1 LTD TFLAT 2016-1A ER
87230BAC8
2000000.00000000
PA
USD
1990000.00000000
0.202063026866
Long
ABS-CBDO
CORP
KY
N
2
2028-07-17
Floating
8.90213040
N
N
N
N
N
N
PSC INDL HLDGS CORP
N/A
PSC INDL HLDGS CORP 10/11/2024
69361CAJ0
6925795.08080000
PA
USD
6896914.52000000
0.700307248217
Long
LON
XX
N
2
2024-10-11
Floating
5.51538000
N
N
N
N
N
N
N/A
N/A
EATON 2019-1A F REVERSE REPO
N/A
-1615500.00000000
PA
USD
-1615500.00000000
-0.16403659291
Short
RA
US
N
2
Reverse repurchase
N
3.72700000
2020-01-06
3000000.00000000
USD
1615500.00000000
USD
ABS
N
N
N
GRUDEN HLDGS INC
N/A
GRUDEN HLDGS INC 8/18/2022
40011KAB4
11669365.31600000
PA
USD
11698538.73000000
1.187860374725
Long
LON
XX
N
2
2022-08-18
Floating
7.60438080
N
N
N
N
N
N
JAY PARK CLO, LTD.
N/A
JAY PARK CLO LTD JPARK 2016-1A ER
47206WAG7
6000000.00000000
PA
USD
4635000.00000000
0.470634235943
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
9.62763120
N
N
N
N
N
N
Dayco 5/17 Cov-Lite TLB
N/A
Dayco 5/17 Cov-Lite TLB 5/8/2023
239579BA2
3334113.16000000
PA
USD
2942354.86000000
0.298764386496
Long
LON
XX
N
2
2023-05-08
Floating
6.15863160
N
N
N
N
N
N
ACIS CLO LTD
N/A
ACIS CLO 2014-3 LTD ACIS 2014-3A E
00100GAA1
4000000.00000000
PA
USD
3302000.00000000
0.335282469705
Long
ABS-CBDO
CORP
KY
N
2
2026-02-01
Floating
7.00313040
N
N
N
N
N
N
GINN LA CS BORROWER
N/A
GINN LA CS BORROWER 5/30/2019
N/A
48851124.05000000
PA
USD
0.00000000
0.000000
Long
LON
XX
N
3
2019-05-30
Floating
0.00000000
Y
N
N
N
N
N
AVAYA
N/A
AVAYA 12/15/2024
05349UBC5
13834475.44200000
PA
USD
13616582.46000000
1.382617018819
Long
LON
XX
N
2
2024-12-15
Floating
6.01538040
N
N
N
N
N
N
INTERMEDIA HOLDINGS
N/A
INTERMEDIA HOLDINGS 7/21/2025
45881HAG6
9900000.00000000
PA
USD
9924750.00000000
1.007751269295
Long
LON
XX
N
2
2025-07-21
Floating
7.70163120
N
N
N
N
N
N
NORTHWOODS CAPITAL LIMITED
N/A
NORTHWOODS CAPITAL XII-B LTD WOODS 2018-12BA F
66858EAC7
4000000.00000000
PA
USD
2770000.00000000
0.281263610262
Long
ABS-CBDO
CORP
KY
N
2
2031-06-15
Floating
10.28850120
N
N
N
N
N
N
TICP CLO LTD
N/A
TICP CLO III-2 LTD TICP 2018-3R F
87249GAC6
4150000.00000000
PA
USD
3349257.50000000
0.340080958897
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
10.25763120
N
N
N
N
N
N
BRISTOL PARK CLO, LTD.
N/A
BRISTOL PARK CLO LTD BRIST 2016-1A E
11015DAA9
1500000.00000000
PA
USD
1494259.35000000
0.151725913158
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
9.55338120
N
N
N
N
N
N
N/A
N/A
CCS MEDICAL INC.(CHRONIC CARE) LX113924
N/A
207031.00000000
NS
USD
72253.82000000
0.007336595764
Long
EC
US
N
3
N
N
N
ADVANTAGE SALES & MARKETING INC.
N/A
ADVANTAGE SALES & MARKETING INC. 7/23/2021
00769EAW0
2172324.61360000
PA
USD
2107600.20000000
0.214004058209
Long
LON
XX
N
2
2021-07-23
Floating
4.95163080
N
N
N
N
N
N
REX ENERGY CORPORATION
549300WNUD6RTYN7CJ08
Rex Energy Corp MATURITY:10/03/2019
761565AG5
5000000.00000000
PA
USD
50000.00000000
0.005076960474
Long
DBT
CORP
US
N
2
2019-10-03
Fixed
0.00000000
Y
N
N
N
N
N
N/A
N/A
ALLENBY COMMON STOCK
N/A
1393678.13000000
NS
USD
1.39000000
0.000000141139
Long
EC
US
N
3
N
N
N
DRYDEN SENIOR LOAN FUND
N/A
DRYDEN 36 SENIOR LOAN FUND DRSLF 2014-36A ER2
26249LAJ8
2050000.00000000
PA
USD
1937250.00000000
0.196706833566
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
9.18338040
N
N
N
N
N
N
US Lumber 9/18 Cov-Lite
N/A
US Lumber 9/18 Cov-Lite 9/25/2025
N/A
11910000.00000000
PA
USD
11895112.50000000
1.207820319936
Long
LON
XX
N
2
2025-09-25
Floating
7.45162920
N
N
N
N
N
N
NASSAU CDO LTD.
N/A
NASSAU 2017-I LTD NCC 2017-IA D
631706AA6
1575000.00000000
PA
USD
1461993.75000000
0.148449689640
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
8.18088120
N
N
N
N
N
N
N/A
N/A
SFR WLIF I, LLC
N/A
11854986.19000000
NS
USD
11655822.42000000
1.183522994376
Long
EC
XX
N
3
N
N
N
GOLDENTREE LOAN MANAGEMENT US CLO LTD
N/A
GOLDENTREE LOAN MANAGEMENT US CLO 3 LTD GLM 2018-3A F
38138AAC6
3000000.00000000
PA
USD
2411880.00000000
0.244900388562
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
8.77763160
N
N
N
N
N
N
SHACKLETON CLO LTD
N/A
SHACKLETON 2016-IX CLO LTD SHACK 2016-9A E
81882KAA6
3000000.00000000
PA
USD
2714250.00000000
0.275602799333
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
9.03763080
N
N
N
N
N
N
N/A
N/A
AMERICAN AIRLINES
001ESC9D6
7500000.00000000
PA
USD
190395.00000000
0.019332557789
Long
DBT
CORP
XX
N
2
2049-12-31
Fixed
0.00000000
Y
N
N
N
N
N
N/A
N/A
E-MINI RUSS 2000 MAR20 PHYSICAL INDEX FUTURE.
N/A
-1350.00000000
NC
USD
-112765500.00000000
-11.4501197267
N/A
DE
US
N
1
NEWEDGE
N/A
Short
Russell 2000 E-mini Composite Index Futures Mar 2020
N/A
N/A
2020-03-23
-110476136.25
USD
-2289363.75
N
N
N
N/A
N/A
EURAMAX INTERNATIONAL INC COM
N/A
14620.75000000
NS
USD
45616.74000000
0.004631887718
Long
EC
US
N
3
N
N
N
Oryx Southern/Midstream 5/19 TLB
N/A
Oryx Southern/Midstream 5/19 TLB 5/8/2026
N/A
9239285.70860000
PA
USD
9164262.71000000
0.930531991048
Long
LON
XX
N
2
2026-05-08
Floating
5.70162960
N
N
N
N
N
N
TERRESTAR CORPORATION
N/A
TERRESTAR CORPORATION 2/27/2020
N/A
6119645.99000000
PA
USD
6107406.70000000
0.620141248296
Long
LON
XX
N
3
2020-02-27
Floating
11.00000160
N
N
N
N
N
N
N/A
N/A
NEUB 2015-20A FR 3.25475
NEUBRR003
-1683300.00000000
PA
USD
-1683300.00000000
-0.17092095131
Short
RA
US
N
2
Reverse repurchase
N
3.25475000
2020-01-27
3000000.00000000
USD
1683300.00000000
USD
ABS
N
N
N
GALAXY CLO, LTD
N/A
GALAXY XXVI CLO LTD GALXY 2018-26A F
36321MAC1
5450000.00000000
PA
USD
4482625.00000000
0.455162198899
Long
ABS-CBDO
CORP
KY
N
2
2031-11-22
Floating
9.89875080
N
N
N
N
N
N
NEXPOINT STRATEGIC OPPORTUNITIES FUND
5493008KGR2NU3OXMR64
NEXPOINT STRATEGIC OPPORTUNI MUTUAL FUND
65340G205
989143.00000000
NS
USD
17517722.53000000
1.778735697601
Long
EC
US
N
1
N
N
N
GINN LA CS BORROWER
N/A
GINN LA CS BORROWER 5/30/2019
N/A
22925889.78000000
PA
USD
0.23000000
0.000000023354
Long
LON
XX
N
3
2019-05-30
Floating
0.00000000
Y
N
N
N
N
N
SURGERY CENTER HLDGS INC TL
N/A
SURGERY CENTER HLDGS INC TL 9/2/2024
86880NAU7
8245987.66820000
PA
USD
8227104.36000000
0.835373673031
Long
LON
XX
N
2
2024-09-02
Floating
5.05000080
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS & ELECTRIC CO 6.350000% 02/15/2038
694308GM3
5000000.00000000
PA
USD
5307825.00000000
0.538952354562
Long
DBT
CORP
US
N
2
2038-02-15
Fixed
6.35000000
Y
N
N
N
N
N
LIGHTSTONE HOLDCO LLC
N/A
LIGHTSTONE HOLDCO LLC 01/30/2024
53226GAG6
11780033.61000000
PA
USD
10861190.99000000
1.102836747145
Long
LON
XX
N
2
2024-01-30
Floating
5.45163120
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE (PS) 3ML+75 S PREFERRED STOCK
313586786
50000.00000000
NS
USD
524500.00000000
0.053257315372
Long
EP
US
N
1
N
N
N
Neiman Marcus Group LTD Inc.
N/A
Neiman Marcus Group LTD Inc. 10/25/2023
N/A
0.02000000
PA
USD
0.02000000
0.000000002030
Long
LON
XX
N
2
2023-10-25
Floating
7.71312960
N
N
N
N
N
N
TRINITAS CLO LTD
N/A
TRINITAS CLO X LTD TRNTS 2019-10A F
89640CAE2
9000000.00000000
PA
USD
7650000.00000000
0.776774952528
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
9.78588000
N
N
N
N
N
N
N/A
N/A
ACIS 2014-5A D REVERSE REPO
N/A
-5403300.00000000
PA
USD
-5403300.00000000
-0.54864681058
Short
RA
US
N
2
Reverse repurchase
N
2.78513000
2020-01-17
7000000.00000000
USD
5403300.00000000
USD
ABS
N
N
N
FIELDWOOD ENERGY
N/A
FIELDWOOD ENERGY 4/11/2023
31659HAN1
15904030.42000000
PA
USD
9154757.51000000
0.929566840554
Long
LON
XX
N
2
2023-04-11
Floating
9.17713080
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE PREFERRED
313586836
3840.00000000
NS
USD
75993.60000000
0.007716330069
Long
EP
US
N
2
N
N
N
JERNIGAN CAPITAL, INC.
N/A
JERNIGAN CAPITAL INC REIT
476405105
31232.00000000
NS
USD
597780.48000000
0.060698157382
Long
EC
US
N
1
N
N
N
Freddie Mac
N/A
Federal Home Loan Mortgage Corp PREFERRED STOCK
313400681
225315.00000000
NS
USD
2253150.00000000
0.228783069841
Long
EP
US
N
2
N
N
N
LIGHTSTONE HOLDCO LLC
N/A
LIGHTSTONE HOLDCO LLC 01/30/2024
53226GAH4
664412.49000000
PA
USD
612588.32000000
0.062201733750
Long
LON
XX
N
2
2024-01-30
Floating
5.45163120
N
N
N
N
N
N
GALAXY CLO, LTD
N/A
GALAXY XXIV CLO LTD GALXY 2017-24A E
36321CAA7
1000000.00000000
PA
USD
948398.00000000
0.096299583193
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
7.50088080
N
N
N
N
N
N
Dreyfus Treasury Obligations Cash Management; Institutional Shares
N/A
DREYFUS TREASURY PRIME CASH MANAGEMENT/ CLASS A
261908107
33485329.08000000
PA
USD
33485329.08000000
3.400073843990
Long
STIV
XX
N
2
N
N
N
N/A
N/A
JERNIGAN CAPITAL JERNCAP PREFERRED
933UBH007
24032.00000000
NS
USD
25702389.82000000
2.609800344091
Long
EP
US
N
3
N
N
N
BLUEMOUNTAIN CLO LTD.
N/A
BLUEMOUNTAIN CLO 2018-1 LTD BLUEM 2018-1A E
09629UAA3
3000000.00000000
PA
USD
2531397.30000000
0.257036080724
Long
ABS-CBDO
CORP
KY
N
2
2030-07-30
Floating
8.21575080
N
N
N
N
N
N
FIRST EAGLE HOLDINGS, INC
N/A
FIRST EAGLE HOLDINGS, INC 12/2/2024
05554JAG2
247500.00000000
PA
USD
249252.30000000
0.025308881503
Long
LON
XX
N
2
2024-12-02
Floating
4.69463040
N
N
N
N
N
N
AMERICAN RENAL ASSOCIATES TL
N/A
AMERICAN RENAL ASSOCIATES TL 6/21/2024
02922XAK4
2694723.61460000
PA
USD
2567451.82000000
0.260697028183
Long
LON
XX
N
2
2024-06-21
Floating
6.79938120
N
N
N
N
N
N
AQUILEX HOLDINGS LLC
N/A
AQUILEX HOLDINGS LLC 10/11/2025
69361CAL5
4000000.00000000
PA
USD
3850000.00000000
0.390925956501
Long
LON
XX
N
2
2025-10-11
Floating
10.26537840
N
N
N
N
N
N
N/A
N/A
LCM 13A ER 3.25475
N/A
-2073600.00000000
PA
USD
-2073600.00000000
-0.21055170477
Short
RA
US
N
2
Reverse repurchase
N
3.25475000
2020-01-27
3000000.00000000
USD
2073600.00000000
USD
ABS
N
N
N
EMPLOYBRIDGE, LLC
N/A
EMPLOYBRIDGE, LLC 4/18/2025
N/A
7225554.65120000
PA
USD
7117171.33000000
0.722671950588
Long
LON
XX
N
2
2025-04-18
Floating
6.60438000
N
N
N
N
N
N
CATHEDRAL LAKE CLO LTD.
N/A
CATHEDRAL LAKE CLO 2016-4 LTD CATLK 2016-4A E2R
14918TAG3
4000000.00000000
PA
USD
3680000.00000000
0.373664290889
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
9.79588080
N
N
N
N
N
N
N/A
N/A
REGT7 2016-1A ER 3.16313
REGTRR002
-867250.00000000
PA
USD
-867250.00000000
-0.08805987942
Short
RA
US
N
2
Reverse repurchase
N
3.16313000
2020-01-03
1250000.00000000
USD
867250.00000000
USD
ABS
N
N
N
USD/CNH 10/29/2020 C7.7 CURNCY
N/A
USD/CNH 10/29/2020 C7.7 CURNCY EXPIRATION: 10/29/2020
UCN102920
200000000.00000000
NC
USD
557600.00000000
0.056618263206
N/A
DFE
US
N
1
BNP PARIBAS
N/A
Call
Purchased
N/A
N/A
200000000.00000000
7.7
USD
2020-10-29
XXXX
-742400
N
N
N
TRINITAS CLO LTD
N/A
TRINITAS CLO III LTD TRNTS 2015-3A E
89640UAA0
2000000.00000000
PA
USD
1215000.00000000
0.123370139519
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
7.55337960
N
N
N
N
N
N
EASTERN POWER LLC (EASTERN COVERT MIDCO LLC)
N/A
EASTERN POWER LLC (EASTERN COVERT MIDCO LLC) 10/2/2023
87264NAB3
11397994.78130000
PA
USD
11445182.48000000
1.162134781383
Long
LON
XX
N
2
2023-10-02
Floating
5.45163120
N
N
N
N
N
N
TCW CLO LTD
N/A
TCW CLO 2019-1 AMR LTD TCW 2019-1A F
87241AAG8
1000000.00000000
PA
USD
930000.00000000
0.094431464817
Long
ABS-CBDO
CORP
KY
N
2
2029-02-15
Floating
10.82813040
N
N
N
N
N
N
N/A
N/A
TERRESTAR CORP COMMON STOCK
N/A
27134.00000000
NS
USD
7460493.30000000
0.757532592019
Long
EC
US
N
3
N
N
N
N/A
N/A
CREEK PINE HOLDINGS LLC CREEK PINE HOLDINGS LLC
933JZQ907
180008.33300000
NS
USD
208435248.95000000
21.16435040633
Long
EP
US
N
3
N
N
N
ZAIS CLO LIMITED
N/A
ZAIS CLO 3 LTD ZCLO3 2015-3A DR
98887JAG5
3000000.00000000
PA
USD
2122500.00000000
0.215516972123
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
9.21337920
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XX LTD MDPK 2016-20A ER
55819UAG3
1400000.00000000
PA
USD
1274000.00000000
0.129360952878
Long
ABS-CBDO
CORP
KY
N
2
2030-07-27
Floating
7.23562920
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2014-4 LTD VOYA 2014-4A ER
92914VAJ2
3200000.00000000
PA
USD
3077561.60000000
0.312493171992
Long
ABS-CBDO
CORP
KY
N
2
2031-07-14
Floating
11.35338120
N
N
N
N
N
N
Federal National Mortgage Association
N/A
Federal National Mortgage Association PREFERRED STOCK
313586802
52000.00000000
NS
USD
910000.00000000
0.092400680627
Long
EP
US
N
1
N
N
N
CATAMARAN CLO LTD
N/A
CATAMARAN CLO 2014-2 LTD CRMN 2014-2A D
14889JAA3
3000000.00000000
PA
USD
2757900.00000000
0.280034985827
Long
ABS-CBDO
CORP
KY
N
2
2026-10-18
Floating
7.14962880
N
N
N
N
N
N
JO ANN STORES LLC
N/A
JO ANN STORES LLC 10/20/2023
47759DAB1
10127989.13560000
PA
USD
7121293.00000000
0.723090461701
Long
LON
XX
N
2
2023-10-20
Floating
6.93399960
N
N
N
N
N
N
N/A
N/A
TXU TCEH TRA RIGHTS
931ESA903
1117866.00000000
NS
USD
1175995.03000000
0.119409605699
Long
EC
US
N
2
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE 5.125
313586844
30000.00000000
NS
USD
596700.00000000
0.060588446297
Long
EP
US
N
2
N
N
N
ATRIUM
N/A
ATRIUM IX ATRM 9A ER
04964LAJ8
2300000.00000000
PA
USD
2208000.00000000
0.224198574533
Long
ABS-CBDO
CORP
KY
N
2
2030-05-28
Floating
8.35863120
N
N
N
N
N
N
FORT DEARBORN COMPANY
N/A
FORT DEARBORN COMPANY 10/19/2023
34721HAB5
8520740.31810000
PA
USD
8286419.96000000
0.841396532164
Long
LON
XX
N
2
2023-10-19
Floating
6.05638080
N
N
N
N
N
N
NEUBERGER BERMAN CLO LTD
N/A
NEUBERGER BERMAN CLO XX LTD NEUB 2015-20A FR
64130UAL6
3000000.00000000
PA
USD
2728386.00000000
0.277038157598
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
9.45087840
N
N
N
N
N
N
EDELMAN FINANCIAL CENTER, LLC
N/A
EDELMAN FINANCIAL CENTER, LLC 6/26/2025
27943UAJ5
5940000.00000000
PA
USD
5983926.30000000
0.607603146093
Long
LON
XX
N
2
2025-07-21
Floating
5.03512920
N
N
N
N
N
N
LEHMAN BROTHERS
N/A
LEHMAN BROTHERS 9/1/2021
N/A
3791858.24000000
PA
USD
52138.05000000
0.005294056380
Long
LON
XX
N
3
2021-09-01
Floating
0.00000000
Y
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2017-III LTD CIFC 2017-3A D
12548KAA7
1225000.00000000
PA
USD
1153460.00000000
0.117121416567
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
8.27763120
N
N
N
N
N
N
LORAL SPACE & COMMUNICATIONS INC.
5299008CJ8NPI54F8D37
LORAL SPACE & COMMUNICATIONS COMMON STOCK
543881106
49600.00000000
NS
USD
1603072.00000000
0.162774663620
Long
EC
US
N
1
N
N
N
EURAMAX HOLDINGS INC WARRANTS
N/A
EURAMAX HOLDINGS INC WARRANTS
976HTP908
452.56000000
NC
USD
1411.99000000
0.000143372348
N/A
DE
XX
N
3
EURAMAX HOLDINGS INC WARRANTS
N/A
Call
Purchased
N/A
N/A
452.56000000
500
USD
2049-12-31
XXXX
1411.99
N
N
N
ACIS CLO LTD
N/A
ACIS CLO 2014-4 LTD ACIS 2014-4A D
00100VAJ9
750000.00000000
PA
USD
672999.00000000
0.068335786441
Long
ABS-CBDO
CORP
KY
N
2
2026-05-01
Floating
5.35313160
N
N
N
N
N
N
HAYWARD INDUSTRIES INC 1L TLB
N/A
HAYWARD INDUSTRIES INC 1L TLB 8/5/2024
421300AG9
14544842.98680000
PA
USD
14472118.77000000
1.469487499419
Long
LON
XX
N
2
2024-08-05
Floating
5.20162920
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC PREFERRED STOCK
313400673
85000.00000000
NS
USD
844050.00000000
0.085704169762
Long
EP
US
N
2
N
N
N
ACIS CLO LTD
N/A
ACIS CLO 2014-4 LTD ACIS 2014-4A E
00100HAA9
14750000.00000000
PA
USD
10915000.00000000
1.108300471483
Long
ABS-CBDO
CORP
KY
N
2
2026-05-01
Floating
7.05313080
N
N
N
N
N
N
SARANAC CLO LIMITED
N/A
SARANAC CLO VI LTD SRANC 2018-6A E
80317MAA9
5000000.00000000
PA
USD
4187500.00000000
0.425195439701
Long
ABS-CBDO
CORP
JE
N
2
2031-08-13
Floating
8.28738000
N
N
N
N
N
N
N/A
N/A
TRU KIDS
N/A
1450.17000000
NS
USD
6707601.81000000
0.681084585299
Long
EC
US
N
2
N
N
N
N/A
N/A
METRO GOLDWYN MAYER INC COMMON STOCK
N/A
502161.00000000
NS
USD
38582787.19000000
3.917665710841
Long
EC
US
N
2
N
N
N
RADNET MANAGEMENT INC.
N/A
RADNET MANAGEMENT INC. 6/30/2023
75049EAK0
9914380.71700000
PA
USD
9982542.08000000
1.013619431412
Long
LON
XX
N
2
2023-06-30
Floating
5.51000160
N
N
N
N
N
N
REGATTA FUNDING LTD
N/A
REGATTA VII FUNDING LTD REGT7 2016-1A ER
75887TAL0
4000000.00000000
PA
USD
3780000.00000000
0.383818211837
Long
ABS-CBDO
CORP
KY
N
2
2028-12-20
Floating
6.85800000
N
N
N
N
N
N
N/A
N/A
SHACK 2016-9A E REVERSE REPO
SHAKRR002
-2185500.00000000
PA
USD
-2185500.00000000
-0.22191394232
Short
RA
US
N
2
Reverse repurchase
N
3.47700000
2020-01-06
3000000.00000000
USD
2185500.00000000
USD
ABS
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2019-KF60 MORTGAGE TRUST FREMF 2019-KF60 C
30308HAJ7
60608606.07000000
PA
USD
60487388.86000000
6.141841648406
Long
ABS-MBS
US
N
2
2026-02-25
Floating
7.70000040
N
N
N
N
N
N
N/A
N/A
FIELDWOOD ENERGY INC COMMON STOCK
N/A
112142.00000000
NS
USD
2261567.71000000
0.229637797460
Long
EC
US
N
1
N
N
N
N/A
N/A
GOLD9 2014-9A FR2 3.25475
N/A
-1957200.00000000
PA
USD
-1957200.00000000
-0.19873254079
Short
RA
US
N
2
Reverse repurchase
N
3.25475000
2020-01-27
3500000.00000000
USD
1957200.00000000
USD
ABS
N
N
N
2019-12-31
Highland Income Fund
Jason Post
Jason Post
CCO