0001752724-22-038893.txt : 20220222
0001752724-22-038893.hdr.sgml : 20220222
20220222151339
ACCESSION NUMBER: 0001752724-22-038893
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220222
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Western Asset Diversified Income Fund
CENTRAL INDEX KEY: 0001819559
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23598
FILM NUMBER: 22657698
BUSINESS ADDRESS:
STREET 1: LEGG MASON
STREET 2: 620 EIGHTH AVENUE, 47TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 2128056026
MAIL ADDRESS:
STREET 1: LEGG MASON
STREET 2: 620 EIGHTH AVENUE, 47TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001819559
XXXXXXXX
Western Asset Diversified Income Fund
811-23598
0001819559
549300M67UHXW4GHZ644
620 EIGHTH AVENUE
49TH FLOOR
NEW YORK
10018
212-805-6026
Western Asset Diversified Income Fund
549300M67UHXW4GHZ644
2021-12-31
2021-12-31
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0.00000000
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2161021.00000000
GBP
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LOGMEIN INC
549300D12V5KRBV00592
LogMeIn Inc
541056AA5
219000.00000000
PA
USD
221855.76000000
0.021799382669
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
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USD/RUB FORWARD
000000000
1.00000000
NC
USD
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-0.00057874114
N/A
DFE
CORP
US
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MORGAN STANLEY & CO. LLC
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USD
22580000.00000000
RUB
2022-01-18
-5889.94000000
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
239730000.00000000
PA
3075740.17000000
0.302219951182
Long
DBT
NUSS
RU
N
2
2033-03-23
Fixed
7.70000000
N
N
N
N
N
N
AFC GAMMA INC
5493005G0MGS3E0E7218
AFC Gamma Inc
00109KAA3
5000000.00000000
PA
USD
4949351.95000000
0.486319657070
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.75000000
N
N
N
N
N
N
BSREP Commercial Mortgage Trus
N/A
BSREP Commercial Mortgage Trust 2021-DC
05591UAQ0
18664000.00000000
PA
USD
18710561.08000000
1.838485874505
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
5.61000000
N
N
N
N
N
N
EQUINOX HOLDINGS INC
549300W05QKLNGQIIA73
Equinox Holdings Inc
29446CAR5
1185000.00000000
PA
USD
1211662.50000000
0.119057059881
Long
LON
CORP
US
N
3
2024-03-08
Floating
9.10860000
N
N
N
N
N
N
Whitebox CLO I Ltd
549300C89ZJ5IWOT1F21
Whitebox Clo II Ltd
96466EAE4
2175000.00000000
PA
USD
2153671.67000000
0.211618183264
Long
ABS-CBDO
CORP
KY
N
2
2034-10-24
Floating
7.26000000
N
N
N
N
N
N
Elmwood CLO II Ltd.
N/A
Elmwood CLO II Ltd
29001RAC2
4600000.00000000
PA
USD
3993207.77000000
0.392369638073
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYMZ
46654GAA4
10000000.00000000
PA
USD
10011193.00000000
0.983692409797
Long
ABS-MBS
CORP
US
N
2
2026-06-15
Floating
7.40000000
N
N
N
N
N
N
AMENTUM GOVERNMENT SERVI
5493008CT6B5L54YSE94
Amentum Government Services Holdings LLC
57776DAD5
4975000.00000000
PA
USD
4984328.13000000
0.489756390614
Long
LON
CORP
US
N
2
2027-01-31
Floating
5.50000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612G606
12500.00000000
NS
USD
13521575.33000000
1.328619977721
Long
EP
CORP
US
N
2
N
N
N
MIDCAP FINANCIAL
N/A
Midcap Financial Issuer Trust
59590AAA7
7500000.00000000
PA
USD
7530900.00000000
0.739980656545
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.62500000
N
N
N
N
N
N
RESOLUTE INVESMENT MANA
5493000DRVCSZDWGPC49
Resolute Investment Managers Inc
04635WAH7
3556065.21000000
PA
USD
3567177.91000000
0.350508259551
Long
LON
CORP
US
N
3
2024-04-30
Floating
5.25000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBD6
4000000.00000000
PA
USD
3646480.00000000
0.358300424182
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.12500000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-NYCH
90266HAQ5
6000000.00000000
PA
USD
5841663.00000000
0.573997479990
Long
ABS-MBS
CORP
US
N
2
2032-02-15
Floating
3.93100000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIVA
12433XAG4
3400000.00000000
PA
USD
3398862.02000000
0.333969664856
Long
ABS-MBS
CORP
US
N
2
2044-03-11
Variable
3.54875000
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US Renal Care Inc
07335BAA4
5380000.00000000
PA
USD
5466079.95000000
0.537092967657
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
10.62500000
N
N
N
N
N
N
MONITRONICS INTERNATIONA
SCAKOG18M6QWWML8YF46
Monitronics International Inc
60945HAB0
7563545.28000000
PA
USD
7109732.56000000
0.698597055811
Long
LON
CORP
US
N
2
2024-03-29
Floating
7.75000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AF4
8375000.00000000
PA
USD
8303016.88000000
0.815848289337
Long
DBT
CORP
CA
N
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L6
61692CAL2
7195000.00000000
PA
USD
4818800.89000000
0.473491806602
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBE8
5500000.00000000
PA
USD
5596523.90000000
0.549910293576
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
4.79967000
N
N
N
N
N
N
BED BATH & BEYOND INC
529900ZBUWWUV7BKGX39
Bed Bath & Beyond Inc
075896AC4
8500000.00000000
PA
USD
7073105.00000000
0.694998058892
Long
DBT
CORP
US
N
2
2044-08-01
Fixed
5.16500000
N
N
N
N
N
N
Ocean Trails CLO
635400RMMLHBGDGXBC03
Ocean Trails Clo X
67516BAE1
3750000.00000000
PA
USD
3731393.14000000
0.366643926431
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
7.71100000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-LUAU
36256AAS1
5000000.00000000
PA
USD
5011967.00000000
0.492472165510
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
4.55975000
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VB2
4806267.75000000
PA
USD
5404182.84000000
0.531011003470
Long
ABS-MBS
CORP
US
N
2
2043-05-25
Floating
11.85275000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
SWOP IRS USD
000000000
-10200000.00000000
NC
USD
-8279.17000000
-0.00081350511
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
FR
US
2022-01-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
-10200000.00000000
USD
106.00000000
USD
2022-01-19
XXXX
50676.83000000
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAN0
3943000.00000000
PA
USD
3834222.49000000
0.376747862206
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.84200000
N
N
N
N
N
N
HUARONG FINANCE 2017 CO
5493006V07LYI3HE6G83
Huarong Finance 2017 Co Ltd
000000000
1240000.00000000
PA
USD
1210922.00000000
0.118984298899
Long
DBT
CORP
VG
N
2
2023-07-03
Floating
1.45513000
N
N
N
N
N
N
PARTICLE INVESTMENTS SAR
549300TH5VH623DTW562
Particle Investments Sarl
000000000
1735373.21000000
PA
USD
1737542.43000000
0.170729632331
Long
LON
CORP
LU
N
2
2027-05-22
Floating
5.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2018-GW
12433UAS4
5345000.00000000
PA
USD
5314030.00000000
0.522152652179
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
3.03000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDY2
6000000.00000000
PA
USD
6599548.80000000
0.648466777400
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
6.04967000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAD9
4700000.00000000
PA
USD
5311916.50000000
0.521944981235
Long
DBT
CORP
US
N
2
2038-07-15
Fixed
7.50000000
N
N
N
N
N
N
GREYSTONE SELECT FINANCI
N/A
Greystone Select Financial LLC
39808KAB3
3489197.53000000
PA
USD
3515366.51000000
0.345417309759
Long
LON
CORP
US
N
2
2028-06-17
Floating
5.75000000
N
N
N
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO 2017-2A Ltd
94952DAA0
3287000.00000000
PA
USD
3217359.81000000
0.316135392124
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
6.88150000
N
N
N
N
N
N
DORNOCH DEBT MERGER SUB
N/A
Dornoch Debt Merger Sub Inc
25830JAA9
6890000.00000000
PA
USD
6812487.50000000
0.669389976358
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
6.62500000
N
N
N
N
N
N
HORNBLOWER SUB LLC
N/A
Hornblower Sub LLC
44055EAG6
7498150.00000000
PA
USD
7098236.17000000
0.697467429044
Long
LON
CORP
US
N
2
2025-04-27
Floating
5.75000000
N
N
Y
N
N
N
CRESTWOOD EQUITY PARTNER
549300CUY0F1TYDLDL45
Crestwood Equity Partners LP
226344307
750000.00000000
NS
USD
7380000.00000000
0.725153334303
Long
EP
CORP
US
N
1
N
N
N
CANWEL BUILDING MATERIAL
529900HEUBRUITK08D78
Doman Building Materials Group Ltd
13874XAD5
3000000.00000000
PA
2341989.80000000
0.230122183248
Long
DBT
CORP
CA
N
2
2026-05-15
Fixed
5.25000000
N
N
N
N
N
N
KNIGHT HEALTH HOLDINGS L
N/A
Knight Health Holdings LLC
000000000
5000000.00000000
PA
USD
4725000.00000000
0.464275000621
Long
LON
CORP
US
N
3
2028-12-23
Floating
4.75000000
N
N
N
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
59408UAB3
680789.47000000
PA
USD
675806.09000000
0.066404205895
Long
LON
CORP
US
N
2
2028-04-15
Floating
5.00000000
N
N
N
N
N
N
FRANCHISE GROUP INC
549300MWCHSL8BSOMV77
Franchise Group Inc
35180YAB9
6077225.00000000
PA
USD
6094940.11000000
0.598884301239
Long
LON
CORP
US
N
2
2026-03-10
Floating
5.50000000
N
N
N
N
N
N
LIBERTY INTERACTIVE LLC
549300SZUIU7Z32Q0664
Liberty Interactive LLC
530715AG6
5023604.85000000
PA
USD
3792821.66000000
0.372679847312
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.00000000
N
N
N
N
N
3.2265 shares of S US and .786 CTL US or Cash
3.2265 shares of S US and .786 CTL US or Cash
USD
XXXX
N
N
N
PLASTICS MANAGEMENT, LLC
N/A
PLASTICS MANAGEMENT, LLC
000000000
3085106.00000000
PA
USD
3029882.60000000
0.297714020316
Long
DBT
CORP
US
N
3
2027-08-03
Floating
0.01000000
N
N
N
N
N
N
VIKING OCEAN CRUISES SHI
N/A
Viking Ocean Cruises Ship VII Ltd
92682RAA0
3000000.00000000
PA
USD
3000465.00000000
0.294823468727
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
5.62500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B27 Mortgage Trust
08163HBA5
5000000.00000000
PA
USD
3195034.50000000
0.313941723697
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
2.25000000
N
N
N
N
N
N
NMG HLDCO/NEIMAN MARCUS
N/A
NMG Holding Co Inc / Neiman Marcus Group LLC
62929RAC2
3000000.00000000
PA
USD
3188820.00000000
0.313331091530
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
7.12500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJB6
6700000.00000000
PA
USD
7008941.69000000
0.688693419571
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
5.54967000
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC
K5K33XN0PQAU1XF7NN66
Talen Energy Supply LLC
87422VAG3
7000000.00000000
PA
USD
6152405.00000000
0.604530758771
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-3
35563PGW3
9597648.90000000
PA
USD
4869175.22000000
0.478441550960
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
0.01000000
N
N
N
N
N
N
DCP MIDSTREAM LP
52990024YYS3MLGW0E91
DCP Midstream LP
23311PAA8
8115000.00000000
PA
USD
8033850.00000000
0.789400151055
Long
DBT
CORP
US
N
2
N/A
Fixed
7.37500000
N
N
N
N
N
N
MAGNOLIA FINANCE X DAC 2019-1
213800FNSN9L4EI3LC40
Credit Suisse European Mortgage Capital Ltd
55960WAB7
2054400.00000000
PA
USD
1993256.60000000
0.195855917291
Long
ABS-O
CORP
IE
N
2
2024-08-09
Floating
3.03163000
N
N
N
N
N
N
GRANITE US HOLDINGS CORP
N/A
Granite US Holdings Corp
38748YAA0
5000000.00000000
PA
USD
5442500.00000000
0.534776019233
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
11.00000000
N
N
N
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
023771S58
7000000.00000000
PA
USD
8645665.00000000
0.849516639840
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
11.75000000
N
N
N
N
N
N
CARROLS RESTAURANT GROUP
529900HZEMNWQSAKFJ98
Carrols Restaurant Group Inc
14574XAF1
3000000.00000000
PA
USD
2704215.00000000
0.265714163133
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.87500000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAC0
3000000.00000000
PA
USD
2823255.00000000
0.277410945371
Long
DBT
CORP
KY
N
2
2024-10-01
Fixed
4.87500000
N
N
N
N
N
N
SAGA PLC
2138004WWUJN94K2LH95
Saga PLC
000000000
3000000.00000000
PA
3938830.50000000
0.387026567795
Long
DBT
CORP
GB
N
2
2026-07-15
Fixed
5.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAH3
7298000.00000000
PA
USD
6358820.38000000
0.624812981137
Long
DBT
CORP
US
N
2
N/A
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HBE4
2225000.00000000
PA
USD
2253544.08000000
0.221431572305
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
5.35275000
N
N
N
N
N
N
KNDR Trust 2021-KIND
N/A
KIND Trust 2021-KIND
482606AS9
7500000.00000000
PA
USD
7514083.50000000
0.738328279709
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
4.06000000
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HO
N/A
Clear Channel Outdoor Holdings Inc
18453HAD8
10303000.00000000
PA
USD
11016173.66000000
1.082441065150
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
7.50000000
N
N
N
N
N
N
Marathon CLO LTD
N/A
Marathon CLO XIII Ltd
56579AAQ3
4625000.00000000
PA
USD
4500691.07000000
0.442234571284
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
4.19375000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAQ6
4455441.44000000
PA
USD
4321461.86000000
0.424623641848
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
4.35647500
N
N
N
N
N
N
Babson CLO Ltd
549300Q89L7I93JSRH83
Barings CLO Ltd 2020-IV
06762DAA4
1090000.00000000
PA
USD
1060792.90000000
0.104232724720
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
5.81150000
N
N
N
N
N
N
Maps LTD
N/A
MAPS 2021-1 Trust
55292RAC5
3593682.00000000
PA
USD
3557725.41000000
0.349579463902
Long
ABS-O
CORP
US
N
2
2046-06-15
Fixed
5.43700000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336V308
501254.00000000
NS
USD
17794517.00000000
1.748476061635
Long
EP
CORP
US
N
3
N
N
N
GRANITE POINT MTGE TRST
529900VX2HQZ76AYIE02
Granite Point Mortgage Trust Inc
38741LAB3
2000000.00000000
PA
USD
2010000.00000000
0.197501111375
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
5.62500000
N
N
N
N
N
Granite Point Mortgage Trust I
Granite Point Mortgage Trust Inc
USD
XXXX
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
Ciudad Autonoma De Buenos Aires/Government Bonds
11942GAD4
5100000.00000000
PA
USD
4568478.00000000
0.448895264822
Long
DBT
NUSS
AR
N
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
TRITON WATER HOLDINGS IN
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89680EAA7
5000000.00000000
PA
USD
4802550.00000000
0.471895006186
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
6.25000000
N
N
N
N
N
N
GRANITE POINT MTGE TRST
529900VX2HQZ76AYIE02
Granite Point Mortgage Trust Inc
38741L305
200000.00000000
NS
USD
5110000.00000000
0.502104815486
Long
EP
CORP
US
N
1
N
N
N
AGL CLO 6 LTD
5493008ZSC34VKNPZN79
AGL CLO 6 LTD
00119WAE7
6990000.00000000
PA
USD
6944267.08000000
0.682338540292
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.63150000
N
N
N
N
N
N
Ballyrock Ltd
N/A
Ballyrock CLO 2016-1 Ltd
05875GAG0
6300000.00000000
PA
USD
6310704.00000000
0.620085101273
Long
ABS-CBDO
CORP
KY
N
2
2028-10-15
Floating
7.07375000
N
N
N
N
N
N
CINEMARK USA INC
54930008H2137JSCPQ09
Cinemark USA Inc
172441BF3
3500000.00000000
PA
USD
3418485.00000000
0.335897804338
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.25000000
N
N
N
N
N
N
FRR Re-Remic Trust
N/A
FRR Re-REMIC Trust 2018-C1
30307WAY2
7920000.00000000
PA
USD
7346116.80000000
0.721823996165
Long
ABS-MBS
CORP
US
N
2
2047-08-27
Variable
0.01000000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
Wind River 2021-4 CLO Ltd
97316VAL0
3000000.00000000
PA
USD
2949698.95000000
0.289835234252
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
8.46563000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAX4
6590000.00000000
PA
USD
6552486.43000000
0.643842463779
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
4.11000000
N
N
N
N
N
N
AKUMIN INC
N/A
Akumin Inc
01021FAA7
5000000.00000000
PA
USD
4763700.00000000
0.468077633959
Long
DBT
CORP
CA
N
2
2025-11-01
Fixed
7.00000000
N
N
N
N
N
N
SARAT 2013-1A F1R3
N/A
SARAT 2013-1A F1R3
000000000
4000000.00000000
PA
USD
3913800.00000000
0.384567089403
Long
DBT
CORP
US
N
2
2033-04-20
Floating
0.00000100
N
N
N
N
N
N
Aimco
5493004I93856WYBB035
AIMCO CLO 10 Ltd
00900UAE4
8000000.00000000
PA
USD
7861971.00000000
0.772511447811
Long
ABS-CBDO
CORP
KY
N
2
2032-07-22
Floating
6.07825000
N
N
N
N
N
N
SYMPLR SOFTWARE INC
N/A
Symplr Software Inc
87190HAC3
4962500.00000000
PA
USD
4977238.63000000
0.489059781594
Long
LON
CORP
US
N
2
2027-12-22
Floating
5.25000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B27 Mortgage Trust
08163HAY4
5000000.00000000
PA
USD
3526982.50000000
0.346558688333
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
2.25000000
N
N
N
N
N
N
ALLEN MEDIA LLC/CO-ISSR
N/A
Allen Media LLC / Allen Media Co-Issuer Inc
01771YAA8
9160000.00000000
PA
USD
9569635.20000000
0.940305267391
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
10.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-ADV
12660WAS4
8350000.00000000
PA
USD
8345187.90000000
0.819991982530
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
6.36000000
N
N
N
N
N
N
RR Ltd
54930003V8ISBLDELD80
RR 18 Ltd
749737AA0
7190000.00000000
PA
USD
7158903.25000000
0.703428531394
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
6.33375000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS FORD MOTOR COMPANY
000000000
1.00000000
NC
USD
668546.86000000
0.065690919331
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
FORD MOTOR COMPANY
Ford Motor Co
Y
Default Event
2026-06-20
560410.17000000
USD
0.00000000
USD
4320000.00000000
USD
108136.69000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAE6
4940000.00000000
PA
USD
4978631.29000000
0.489196623334
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
3.50275000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
5550000.00000000
PA
USD
1623375.00000000
0.159511625213
Long
DBT
CORP
KY
N
2
2024-10-30
Fixed
8.37500000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
1660000000.00000000
PA
3769553.11000000
0.370393496822
Long
DBT
NUSS
N/A
N
2
2023-06-14
Fixed
8.25000000
N
N
N
N
N
N
BERRY PETROLEUM CO LLC
DQ2XTZKV7SILNNV77403
Berry Petroleum Co LLC
08580BAA4
5400000.00000000
PA
USD
5351616.00000000
0.525845824703
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2020-2A
64830XCJ6
5205442.75000000
PA
USD
4948737.90000000
0.486259320972
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Variable
2.65329900
N
N
N
N
N
N
Venture CLO 43 Limited
549300OLN5VHTMLSN650
Venture 43 CLO Ltd
92290CAG4
4000000.00000000
PA
USD
3961376.10000000
0.389241881754
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
3.59375000
N
N
N
N
N
N
PAE INC
N/A
PAE Inc
69329HAB7
3482456.14000000
PA
USD
3491162.28000000
0.343039020045
Long
LON
CORP
US
N
2
2027-10-19
Floating
5.25000000
N
N
N
N
N
N
VISTAJET MALTA/XO MGMT
N/A
VistaJet Malta Finance PLC / XO Management Holding Inc
92840JAA7
5875000.00000000
PA
USD
6292360.00000000
0.618282633419
Long
DBT
CORP
N/A
N
2
2024-06-01
Fixed
10.50000000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBE9
20000000.00000000
PA
USD
19628300.00000000
1.928662221098
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
6.87500000
N
N
N
N
N
N
RVR DEALERSHIP HOLDINGS
N/A
RVR Dealership Holdings LLC
75001CAB0
2984999.99000000
PA
USD
2983149.29000000
0.293122039887
Long
LON
CORP
US
N
2
2028-02-08
Floating
4.75000000
N
N
N
N
N
N
MULTIFAMILY CONNECTICUT AVENUE
5493002KQF9IH3CTQZ40
Multifamily Connecticut Avenue Securities Trust 2020-01
62548QAF8
2500000.00000000
PA
USD
2691731.25000000
0.264487519103
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
7.60188000
N
N
N
N
N
N
Helios Issuer, LLC
N/A
SUNNOVA HELIOS II ISSUER LLC 2018-1
86745JAB3
5086289.19000000
PA
USD
5207521.91000000
0.511687246137
Long
ABS-O
CORP
US
N
2
2048-07-20
Fixed
7.71000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAY6
6964912.28000000
PA
USD
6930958.33000000
0.681030832373
Long
LON
CORP
US
N
2
2027-07-31
Floating
3.35190000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
1210000.00000000
PA
USD
1193362.50000000
0.117258915434
Long
DBT
CORP
VG
N
2
2023-09-30
Fixed
2.12500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KFH7
5000000.00000000
PA
USD
5631733.00000000
0.553369913666
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
6.29967000
N
N
N
N
N
N
GoldenTree Loan Management US
549300MI5PVR6JHGVV87
Goldentree Loan Management US Clo 6 Ltd
38137XAA1
4350000.00000000
PA
USD
4139824.96000000
0.406776134576
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
5.35150000
N
N
N
N
N
N
MBRT 2019 MBR
N/A
MBRT 2019-MBR
55282DBE3
3000000.00000000
PA
USD
2962491.00000000
0.291092171611
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
4.36000000
N
N
N
N
N
N
Mello Warehouse Securitization
N/A
Mello Warehouse Securitization Trust 2021-1
58550LAG0
2500000.00000000
PA
USD
2506327.00000000
0.246269834810
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Floating
4.46425000
N
N
N
N
N
N
WEATHERFORD INTL LTD
549300A2JKMG5PGOGF82
Weatherford International Ltd
947075AP2
553000.00000000
PA
USD
570165.12000000
0.056024002421
Long
DBT
CORP
BM
N
2
2024-12-01
Fixed
11.00000000
N
N
N
N
N
N
LIBERTY INTERACTIVE LLC
549300SZUIU7Z32Q0664
Liberty Interactive LLC
530715AD3
6000000.00000000
PA
USD
6548430.00000000
0.643443881971
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
8.50000000
N
N
N
N
N
N
Greywolf CLO Ltd
549300RJBZLY8V18YD77
Greywolf CLO V Ltd
39808TAE8
6250000.00000000
PA
USD
6143013.79000000
0.603607985432
Long
ABS-CBDO
CORP
KY
N
2
2031-01-27
Floating
5.97388000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
86429.44000000
0.008492492763
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-4670000.00000000
EUR
5405129.49000000
USD
2022-01-18
86429.44000000
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAA9
3200000.00000000
PA
USD
2822620.80000000
0.277348629348
Long
DBT
NUSS
GH
N
2
2027-03-26
Fixed
7.87500000
N
N
N
N
N
N
Symphony CLO Ltd
54930054F3QGDZOYIH14
Symphony CLO XXVIII Ltd
87168DAC0
6045000.00000000
PA
USD
5675347.65000000
0.557655456873
Long
ABS-CBDO
CORP
KY
N
2
2050-10-23
Variable
0.01000000
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US Renal Care Inc
90290PAN4
5961890.19000000
PA
USD
5813617.98000000
0.571241797095
Long
LON
CORP
US
N
2
2026-07-26
Floating
5.21790000
N
N
N
N
N
N
WORLDWIDE EXPRESS INC
N/A
Worldwide Express Inc
00435UAE8
7000000.00000000
PA
USD
7030625.00000000
0.690824005553
Long
LON
CORP
US
N
2
2029-07-26
Floating
7.75000000
N
N
N
N
N
N
TITAN INTERNATIONAL INC
254900CXRGBE7C4B5A06
Titan International Inc
88830MAM4
935000.00000000
PA
USD
997102.70000000
0.097974572838
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
7.00000000
N
N
N
N
N
N
STRATHCONA RESOURCES
549300ZPS06QWKX6NG96
Strathcona Resources Ltd
86304TAA6
5000000.00000000
PA
USD
4919800.00000000
0.483415904350
Long
DBT
CORP
CA
N
2
2026-08-01
Fixed
6.87500000
N
N
N
N
N
N
CLOUDERA INC
549300PGONC4JOI0RG62
Cloudera Inc
74339VAE8
5000000.00000000
PA
USD
5012500.00000000
0.492524537695
Long
LON
CORP
US
N
3
2029-10-08
Floating
6.50000000
N
N
N
N
N
N
AMC ENTERTAINMENT HLDGS
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
00165CAP9
6000000.00000000
PA
USD
5937000.00000000
0.583365223002
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
10.00000000
N
N
Y
N
N
N
CSEMC 2020-1OTF A
N/A
CSEMC 2020-1OTF A
000000000
1128844.22000000
PA
USD
1072880.64000000
0.105420457101
Long
DBT
CORP
US
N
3
2024-08-09
Fixed
5.02512500
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
54.00000000
NC
USD
136031.58000000
0.013366362304
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
7771593.42000000
USD
136031.58000000
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
3100000.00000000
PA
USD
2641407.51000000
0.259542745681
Long
DBT
CORP
KY
N
2
2024-04-09
Fixed
7.37500000
N
N
N
N
N
N
TKC HOLDINGS INC
N/A
TKC Holdings Inc
87256YAA1
8000000.00000000
PA
USD
8651360.00000000
0.850076226322
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
10.50000000
N
N
N
N
N
N
CP ATLAS BUYER INC
2549006ZZ07G0NDDCR36
CP Atlas Buyer Inc
12597YAA7
3459000.00000000
PA
USD
3446564.90000000
0.338656914515
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
7.00000000
N
N
N
N
N
N
PLAINS ALL AMERICAN PIPE
5521FA2ITF25TVH63740
Plains All American Pipeline LP
726503AE5
10000000.00000000
PA
USD
8537500.10000000
0.838888436874
Long
DBT
CORP
US
N
2
N/A
Fixed
6.12500000
N
N
N
N
N
N
MOUNTAIN PROVINCE DIAMON
549300Y5548SJTH51N28
Mountain Province Diamonds Inc
62426EAA3
1000000.00000000
PA
USD
927430.00000000
0.091128584936
Long
DBT
CORP
CA
N
2
2022-12-15
Fixed
8.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
-82.00000000
NC
USD
117564.41000000
0.011551791857
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
-13273439.41000000
USD
117564.41000000
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDB7
2227847.23000000
PA
USD
2510888.98000000
0.246718091587
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
10.35275000
N
N
N
N
N
N
REDSTONE HOLDCO 2 LP
N/A
Redstone Holdco 2 LP
75774EAK1
3050000.00000000
PA
USD
2836500.00000000
0.278712389261
Long
LON
CORP
US
N
2
2029-08-06
Floating
8.50000000
N
N
N
N
N
N
Fortress Credit BSL Limited
N/A
Fortress Credit BSL XII Ltd
34963GAE8
5000000.00000000
PA
USD
4826605.00000000
0.474258632671
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
7.26567000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
100000000.00000000
PA
3682580.41000000
0.361847623733
Long
DBT
NUSS
N/A
N
3
2022-07-08
Fixed
15.25000000
N
N
N
N
N
N
MPH ACQUISITION HOLDINGS
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC
553283AC6
10000000.00000000
PA
USD
9525150.00000000
0.935934184585
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
5.75000000
N
N
N
N
N
N
PENN VIRGINIA HOLDING LL
6XOCUKRR0UU0LF5P1W14
Penn Virginia Holdings LLC
70789PAA2
8000000.00000000
PA
USD
8309999.92000000
0.816534437675
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
9.25000000
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
78442FAZ1
10000000.00000000
PA
USD
9539100.00000000
0.937304901253
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.62500000
N
N
N
N
N
N
REPUBLIC OF GABON
N/A
Gabon Government International Bond
362420AE1
1540000.00000000
PA
USD
1513050.00000000
0.148671172421
Long
DBT
NUSS
GA
N
2
2031-11-24
Fixed
7.00000000
N
N
N
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
49472952.84000000
NS
USD
49472952.84000000
4.861175705929
Long
STIV
RF
US
N
1
N
N
N
WP CPP HOLDINGS LLC
549300HT8KGOLU7VM426
WP CPP Holdings LLC
000000000
6000000.00000000
PA
USD
5872500.00000000
0.577027500771
Long
LON
CORP
US
N
2
2049-12-31
Floating
0.01000000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
225000000.00000000
PA
4907032.65000000
0.482161393994
Long
DBT
NUSS
N/A
N
2
2024-06-03
Fixed
6.14000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
6300000.00000000
PA
USD
4740813.00000000
0.465828774289
Long
DBT
CORP
AR
N
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
Cayuga Park CLO, Ltd.
549300SVH2QJEV4A2G21
Cayuga Park CLO Ltd
149790AJ6
1250000.00000000
PA
USD
1226269.45000000
0.120492327970
Long
ABS-CBDO
CORP
KY
N
2
2034-07-17
Floating
6.12225000
N
N
N
N
N
N
Symphony CLO Ltd
5493005CJY0RF4FJJP54
Symphony CLO XXI Ltd
87167CAW9
2800000.00000000
PA
USD
2753395.87000000
0.270546638995
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
6.72363000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAE0
3000000.00000000
PA
USD
3649230.00000000
0.358570637146
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
6.50000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 95 CLO Ltd
262485AC9
6870000.00000000
PA
USD
6403286.79000000
0.629182217651
Long
ABS-CBDO
CORP
KY
N
2
2034-08-20
Variable
0.01000000
N
N
N
N
N
N
GEO GROUP INC/THE
N/A
GEO Group Inc/The
36162JAB2
6048000.00000000
PA
USD
4885816.32000000
0.480076693122
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
6.00000000
N
N
N
N
N
N
Loanpal Solar Loan Ltd.
N/A
Loanpal Solar Loan 2021-1 Ltd
53948PAC2
4848783.13000000
PA
USD
4742925.95000000
0.466036391191
Long
ABS-O
CORP
US
N
2
2048-01-20
Fixed
3.50000000
N
N
N
N
N
N
Park Avenue Institutional Advi
N/A
Park Avenue Institutional Advisers CLO Ltd 2019-1
70017XAA9
6950000.00000000
PA
USD
6836470.10000000
0.671746488872
Long
ABS-CBDO
CORP
KY
N
2
2032-05-15
Floating
7.00600000
N
N
N
N
N
N
CORECIVIC INC
529900JFA3K6PTLT8B15
CoreCivic Inc
21871NAB7
10546000.00000000
PA
USD
11035598.05000000
1.084349691326
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
8.25000000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
3200000.00000000
PA
USD
632000.00000000
0.062099851934
Long
DBT
CORP
KY
N
2
2024-02-08
Fixed
6.35000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-63507.32000000
-0.00624018222
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-11-18
0.00000000
USD
-47528.92000000
USD
-12890000.00000000
USD
-15978.40000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-63273.10000000
-0.00621716794
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-20
0.00000000
USD
-25135.66000000
USD
-14650000.00000000
USD
-38137.44000000
N
N
N
Multifamily Connecticut Avenue
549300HG8ZEWVWVSN227
Multifamily Connecticut Avenue Securities Trust 2019-01
62547NAD1
2000000.00000000
PA
USD
2162985.60000000
0.212533363128
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Floating
8.85188000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KBE7
7250000.00000000
PA
USD
7314140.75000000
0.718682053174
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
4.90275000
N
N
N
N
N
N
SOHO Trust 2021-SOHO
N/A
Soho Trust 2021-SOHO
83410JAJ7
7000000.00000000
PA
USD
6225109.80000000
0.611674678573
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Variable
2.69658900
N
N
N
N
N
N
National Collegiate Commutatio
N/A
National Collegiate VI 2007-4 Class A-3L Commutation Trust
63546VAA8
28567352.77000000
PA
USD
7140067.02000000
0.701577697385
Long
ABS-O
CORP
US
N
2
2038-03-29
Floating
0.95188000
N
N
N
N
N
N
Donlen - Hertz fleet mana
N/A
Donlen - Hertz fleet mana
000000000
8977443.62000000
PA
USD
8928067.68000000
0.877265318026
Long
ABS-MBS
CORP
US
N
3
2028-03-30
Floating
6.50000000
N
N
N
N
N
N
Zais Matrix CDO I
549300PCGOXUK8XLNY49
Zais Clo 17 Ltd
98888KAA4
6000000.00000000
PA
USD
5529664.75000000
0.543340763013
Long
ABS-CBDO
CORP
KY
N
2
2033-10-20
Floating
8.41094000
N
N
N
N
N
N
GEO GROUP INC/THE
N/A
GEO Group Inc/The
36162JAA4
5000000.00000000
PA
USD
4426450.00000000
0.434939698729
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
5.87500000
N
N
N
N
N
N
NORTHERN OIL AND GAS INC
OKFF0PIZDDMNH4UCYE51
Northern Oil and Gas Inc
665531AG4
1000000.00000000
PA
USD
1056420.00000000
0.103803046805
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
8.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
156793.30000000
0.015406393535
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-11-18
134250.19000000
USD
0.00000000
USD
12890000.00000000
USD
22543.11000000
N
N
N
CANO HEALTH LLC
N/A
Cano Health LLC
13781HAB6
6947500.00000000
PA
USD
6955315.94000000
0.683424193092
Long
LON
CORP
US
N
2
2027-11-23
Floating
5.25000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-KF100 Mortgage Trust
30320YAE5
10300000.00000000
PA
USD
10302222.23000000
1.012288726398
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Floating
6.45000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBQ1
1580000.00000000
PA
USD
1507892.59000000
0.148164409134
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.68819000
N
N
N
N
N
N
HUNT COS INC
549300ODPWDNCH5TKM49
Hunt Cos Inc
445587AE8
9000000.00000000
PA
USD
8877960.00000000
0.872341774500
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
LD HOLDINGS GROUP LLC
N/A
LD Holdings Group LLC
521088AC8
5400000.00000000
PA
USD
5097168.00000000
0.500843952669
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
6.12500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
-204.00000000
NC
USD
56914.38000000
0.005592364827
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
-26672539.38000000
USD
56914.38000000
N
N
N
CARRIAGE PURCHASER INC
N/A
Carriage Purchaser Inc
14445LAA5
6000000.00000000
PA
USD
5768430.00000000
0.566801659647
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.87500000
N
N
N
N
N
N
CLUBCORP HOLDINGS INC
549300XWSO7KBICXNW37
ClubCorp Holdings Inc
18948TAB9
7461038.96000000
PA
USD
7200947.14000000
0.707559732887
Long
LON
CORP
US
N
2
2024-09-18
Floating
2.87830000
N
N
N
N
N
N
Mach I
N/A
MACH 1 Cayman 2019-1 Ltd
55446MAB3
868375.72000000
PA
USD
827038.17000000
0.081264158072
Long
ABS-O
CORP
KY
N
2
2039-10-15
Fixed
4.33500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLV9
6590000.00000000
PA
USD
6870780.13000000
0.675117767010
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
7.54967000
N
N
N
N
N
N
WEWORK COS INC
549300D8U9TF7WBED521
WeWork Cos Inc
96208LAA9
8750000.00000000
PA
USD
8373137.50000000
0.822738289526
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.87500000
N
N
N
N
N
N
MCLAREN FINANCE PLC
213800BKPDWMWX3GSG36
Mclaren Finance PLC
58175LAA8
9000000.00000000
PA
USD
9119475.00000000
0.896072859532
Long
DBT
CORP
GB
N
2
2026-08-01
Fixed
7.50000000
N
N
N
N
N
N
RISING TIDE HOLDINGS INC
N/A
Rising Tide Holdings Inc
76770EAB3
6467500.00000000
PA
USD
6459415.63000000
0.634697395900
Long
LON
CORP
US
N
2
2028-06-01
Floating
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
-303.00000000
NC
USD
113531.24000000
0.011155495560
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
-36769428.92000000
USD
113531.24000000
N
N
N
WHEEL BIDCO LTD
213800GGDN5YSVU1G348
Wheel Bidco Ltd
000000000
5180000.00000000
PA
6904465.32000000
0.678427648831
Long
DBT
CORP
JE
N
2
2026-07-15
Fixed
6.75000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GENERAL MOTORS CO
000000000
1.00000000
NC
USD
-771860.94000000
-0.07584248431
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
GENERAL MOTORS CO
General Motors Co
Y
Default Event
2026-06-20
0.00000000
USD
-753219.18000000
USD
-4320000.00000000
USD
-18641.76000000
N
N
N
EMPIRE TODAY LLC
N/A
Empire Today LLC
29210RAB1
2487500.00000000
PA
USD
2448632.81000000
0.240600846430
Long
LON
CORP
US
N
3
2028-04-01
Floating
5.75000000
N
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
Ciudad Autonoma De Buenos Aires/Government Bonds
000000000
2000000.00000000
PA
USD
1791560.00000000
0.176037358754
Long
DBT
NUSS
AR
N
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
GHANA NOTES
213800PP4399SNNXZ126
Ghana Treasury Note
000000000
19020000.00000000
PA
3099946.96000000
0.304598492440
Long
DBT
NUSS
GH
N
2
2022-10-03
Fixed
18.50000000
N
N
N
N
N
N
LSF11 A5 HOLDCO LLC
254900FPK7P5WNA66Y10
LSF11 A5 HoldCo LLC
50221DAA7
3950000.00000000
PA
USD
3896299.75000000
0.382847527799
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
6.62500000
N
N
N
N
N
N
PROSPECT CAPITAL CORP
549300FSD8T39P5Q0O47
Prospect Capital Corp
74348T565
100000.00000000
NS
USD
2188000.00000000
0.214991259546
Long
EP
CORP
US
N
1
N
N
N
KKR APPLE BIDCO LLC
2549001SCJD3WEYJFM53
KKR Apple Bidco LLC
000000000
1000000.00000000
PA
USD
1015315.00000000
0.099764099948
Long
LON
CORP
US
N
2
2029-09-23
Floating
6.25000000
N
N
N
N
N
N
PARK-OHIO INDUSTRIES INC
5493006LQUO5SLMNYM18
Park-Ohio Industries Inc
700677AR8
11600000.00000000
PA
USD
11269400.00000000
1.107322897777
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
6.62500000
N
N
N
N
N
N
TURK IHRACAT KR
789000JVRVYLAXGDWR11
Turkiye Ihracat Kredi Bankasi AS
90016LAA4
3200000.00000000
PA
USD
2942624.00000000
0.289140054905
Long
DBT
NUSS
TR
N
2
2026-07-06
Fixed
5.75000000
N
N
N
N
N
N
FULL HOUSE RESORTS INC
5493009DKIWW0H901Y82
Full House Resorts Inc
359678AC3
5000000.00000000
PA
USD
5257100.00000000
0.516558752542
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
8.25000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
5593000.00000000
PA
USD
3174027.50000000
0.311877591435
Long
DBT
NUSS
EC
N
2
2030-07-31
None
0.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-NYCH
90266HAS1
2000000.00000000
PA
USD
1901263.40000000
0.186816733590
Long
ABS-MBS
CORP
US
N
2
2032-02-15
Floating
4.94830000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
20338QAA1
4000000.00000000
PA
USD
4115680.00000000
0.404403668689
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
8.25000000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2021-1 Ltd
92918PAA0
2250000.00000000
PA
USD
2240050.25000000
0.220105678562
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
6.46045000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL2Trust
12656TAG3
6233900.00000000
PA
USD
6050708.12000000
0.594538098660
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
3.45772300
N
N
N
N
N
N
Carlyle US CLO 2020-1, Ltd
N/A
CARLYLE US CLO 2020-1 LTD
14315UAG9
5000000.00000000
PA
USD
4848674.57000000
0.476427172274
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
0.13150000
N
N
N
N
N
N
IDEAL STANDARD INTL SA
5299004EW24BCHXOHD09
Ideal Standard International SA
000000000
6760000.00000000
PA
6907393.35000000
0.678715354891
Long
DBT
CORP
LU
N
2
2026-07-30
Fixed
6.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/GBP FORWARD
000000000
1.00000000
NC
USD
86113.89000000
0.008461487054
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-9000000.00000000
GBP
12267558.00000000
USD
2022-01-18
86113.89000000
N
N
N
NORDSTROM INC
549300S3IZB5P35KNV16
Nordstrom Inc
655664AR1
3330000.00000000
PA
USD
3110419.80000000
0.305627545942
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
5.00000000
N
N
N
N
N
N
ONE CALL CORP
549300WUCCV86ZQHG041
One Call Corp
000000000
6965000.00000000
PA
USD
6997665.85000000
0.687585463884
Long
LON
CORP
US
N
2
2027-04-22
Floating
6.25000000
N
N
N
N
N
N
AUTOKINITON US HOLDINGS
N/A
Autokiniton US Holdings Inc
05278HAB2
3990000.00000000
PA
USD
4001112.15000000
0.393146316598
Long
LON
CORP
US
N
2
2028-04-06
Floating
5.00000000
N
N
N
N
N
N
SPENCER SPIRIT IH LLC
N/A
Spencer Spirit IH LLC
84823UAB8
9084731.25000000
PA
USD
9071104.15000000
0.891319975634
Long
LON
CORP
US
N
2
2026-06-19
Floating
6.21260000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WBL6
4000000.00000000
PA
USD
3971057.60000000
0.390193178773
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
5.54220000
N
N
N
N
N
N
GLOBAL MEDICAL RESPONSE
549300ZFWD4ZFCEJCQ87
Global Medical Response Inc
00169QAF6
4987437.19000000
PA
USD
4973721.74000000
0.488714214587
Long
LON
CORP
US
N
2
2025-10-02
Floating
5.25000000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXVI Ltd
83615BAJ7
3700000.00000000
PA
USD
3654080.94000000
0.359047286918
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.99150000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AL8
3200000.00000000
PA
USD
3150227.20000000
0.309538991584
Long
DBT
NUSS
KE
N
2
2034-01-23
Fixed
6.30000000
N
N
N
N
N
N
VT TOPCO INC
5493007T812R37X02Y38
VT Topco Inc
91838LAE0
2700000.00000000
PA
USD
2713500.00000000
0.266626500356
Long
LON
CORP
US
N
3
2026-08-10
Floating
7.50000000
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563JAB9
2500000.00000000
PA
USD
2489220.75000000
0.244588987354
Long
ABS-MBS
CORP
US
N
2
2041-07-25
Floating
3.39967000
N
N
N
N
N
N
VERICAST CORP/HARLAND
N/A
Vericast Corp/Harland Clarke/Checks in the Mail/Valassis Comm/Valassis Direct
92342NAH6
590000.00000000
PA
USD
727912.50000000
0.071524143151
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
13.00000000
N
N
N
N
N
N
BRAND INDUSTRIAL SERVICE
549300B658W2BPDQMW42
Brand Industrial Services Inc
10524MAN7
4986979.17000000
PA
USD
4890007.36000000
0.480488501608
Long
LON
CORP
US
N
2
2024-06-21
Floating
5.25000000
N
N
N
N
N
N
TCI-Symphony CLO
5493005WLG3H3B8NI222
TCI-Symphony CLO 2016-1 Ltd
87230XAD8
3500000.00000000
PA
USD
3471544.82000000
0.341111422954
Long
ABS-CBDO
CORP
KY
N
2
2032-10-13
Floating
6.86750000
N
N
N
N
N
N
AMERICAN NEWS COMPANY
N/A
American News Co LLC
02862PAA5
3307906.00000000
PA
USD
3786179.59000000
0.372027202433
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
8.50000000
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563JAC7
2500000.00000000
PA
USD
2527979.00000000
0.248397344295
Long
ABS-MBS
CORP
US
N
2
2041-07-25
Floating
5.54967000
N
N
N
N
N
N
FIRST BRANDS GROUP LLC
N/A
First Brands Group LLC
31935HAF4
5390000.00000000
PA
USD
5440558.20000000
0.534585219403
Long
LON
CORP
US
N
2
2028-03-30
Floating
9.50000000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 29 Ltd
50201LAE5
2000000.00000000
PA
USD
1975971.22000000
0.194157468654
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.95375000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR/USD FORWARD
000000000
1.00000000
NC
USD
69207.87000000
0.006800314050
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-3650000.00000000
EUR
4226221.83000000
USD
2022-01-18
69207.87000000
N
N
N
UNIQUIFY INC
N/A
Uniquify Inc
90915UAA6
5270000.00000000
PA
USD
5317187.05000000
0.522462861574
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
6.00000000
N
N
N
N
N
N
ALLEN MEDIA LLC
N/A
Allen Media LLC
01771JAH6
3908676.75000000
PA
USD
3912096.84000000
0.384399738163
Long
LON
CORP
US
N
2
2027-02-10
Floating
5.60190000
N
N
N
N
N
N
PROVINCIA DE CORDOBA
5299006CLM2Z97AATT29
Provincia de Cordoba
74408DAC8
6500000.00000000
PA
USD
4915690.00000000
0.483012058794
Long
DBT
NUSS
AR
N
2
2025-12-10
Variable
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
1489.00000000
NC
USD
-1046935.40000000
-0.10287109703
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-12-18
367378160.40000000
USD
-1046935.40000000
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
55916AAB0
10000000.00000000
PA
USD
9867050.00000000
0.969529025371
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
7.87500000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300GD7VLLBVPDNJ81
SMB Private Education Loan Trust 2015-C
78448R106
7570.00000000
PA
USD
3206356.91000000
0.315054255318
Long
ABS-O
CORP
US
N
2
2046-09-18
None
0.00000000
N
N
N
N
N
N
DIRECTV FIN LLC/COINC
N/A
Directv Financing LLC / Directv Financing Co-Obligor Inc
25461LAA0
10000000.00000000
PA
USD
10252000.00000000
1.007353927273
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.87500000
N
N
N
N
N
N
PECF USS INTERMEDIATE HO
N/A
PECF USS Intermediate Holding III Corp
69291HAA3
3000000.00000000
PA
USD
3111120.00000000
0.305696347075
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.00000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAZ3
5000000.00000000
PA
USD
5021875.00000000
0.493445718252
Long
LON
CORP
US
N
3
2028-02-03
Floating
5.35190000
N
N
N
N
N
N
TPG Real Estate Finance
N/A
TRTX 2019-FL3 Issuer Ltd
87276VAJ4
2500000.00000000
PA
USD
2479682.00000000
0.243651716844
Long
ABS-O
CORP
KY
N
2
2034-10-15
Floating
2.61448000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
11507570.00000000
PA
USD
11117635.99000000
1.092410678552
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300F7COUCG1RROP29
Magnetite XXVI Ltd
55955CAE2
6750000.00000000
PA
USD
6681860.11000000
0.656554625760
Long
ABS-CBDO
CORP
KY
N
2
2034-07-25
Floating
6.04019000
N
N
N
N
N
N
B3 SA-BRASIL BOLSA BALCA
4GTK5S46E6H318LMDS44
B3 SA - Brasil Bolsa Balcao
11778EAA4
2200000.00000000
PA
USD
2123022.00000000
0.208606569390
Long
DBT
CORP
BR
N
2
2031-09-20
Fixed
4.12500000
N
N
N
N
N
N
VECTOR GROUP LTD
549300TUIF4WWN6NDN50
Vector Group Ltd
92240MBJ6
8000000.00000000
PA
USD
8298320.00000000
0.815386777387
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
10.50000000
N
N
N
N
N
N
Symphony CLO Ltd
549300JQYSBIW1AM8R32
Symphony CLO XVIII Ltd
87154FAG2
3000000.00000000
PA
USD
2975199.22000000
0.292340871896
Long
ABS-CBDO
CORP
KY
N
2
2033-07-23
Floating
7.19868000
N
N
N
N
N
N
Hayfin US XIV LTD
5493000YWK38UXBNS724
Hayfin US XIV Ltd
42088QAA7
7000000.00000000
PA
USD
6722024.91000000
0.660501189262
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
7.32871000
N
N
N
N
N
N
PARTY CITY HOLDINGS INC
5493005PYM1JS6EZN307
Party City Holdings Inc
702150AE3
5000000.00000000
PA
USD
4717875.00000000
0.463574903397
Long
DBT
CORP
US
N
2
2025-07-15
Floating
5.75000000
N
N
N
N
N
N
Thrust Engine Leasing
N/A
Thrust Engine Leasing 2021 DAC
88603UAA7
939047.37000000
PA
USD
942814.83000000
0.092640286938
Long
ABS-O
CORP
US
N
2
2040-07-15
Fixed
4.16300000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
90372UAR5
3000000.00000000
PA
USD
2665050.00000000
0.261865839239
Long
DBT
NUSS
UA
N
2
2029-05-21
Fixed
6.87600000
N
N
N
N
N
N
LCM Ltd Partnership
5493006LYYH2XWCWW153
LCM 33 Ltd
50202FAA5
3000000.00000000
PA
USD
2935671.67000000
0.288456924108
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.46236000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAF6
5700000.00000000
PA
USD
5732018.04000000
0.563223847424
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
3.35275000
N
N
N
N
N
N
DCERT BUYER INC
549300EF826JEEUCHZ67
Dcert Buyer Inc
000000000
500000.00000000
PA
USD
502082.50000000
0.049334254603
Long
LON
CORP
US
N
2
2029-02-16
Floating
7.10250000
N
N
N
N
N
N
GREAT OUTDOORS GROUP LLC
549300IYLDI2E8I2AU46
Great Outdoors Group LLC
07014QAN1
4974968.60000000
PA
USD
4986883.65000000
0.490007494116
Long
LON
CORP
US
N
2
2028-03-05
Floating
4.50000000
N
N
N
N
N
N
TRANSPORT DE GAS DEL SUR
5299002TRC7IFQYSW596
Transportadora de Gas del Sur SA
893870AX3
5250000.00000000
PA
USD
4837665.00000000
0.475345380080
Long
DBT
CORP
AR
N
2
2025-05-02
Fixed
6.75000000
N
N
N
N
N
N
Greywolf CLO Ltd
5493006V5AX99BBCEZ73
GREYWOLF CLO VI Ltd
39809HAA1
3800000.00000000
PA
USD
3717017.39000000
0.365231375883
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
5.87488000
N
N
N
N
N
N
Riserva CLO, Ltd.
549300640C8OB2I8SN35
Riserva Clo Ltd
76761TAJ4
2500000.00000000
PA
USD
2409109.49000000
0.236717314278
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
8.63225000
N
N
N
N
N
N
GoldenTree Loan Management US
549300LOEERRNVSKVY31
Goldentree Loan Management US Clo 8 Ltd
38136QAJ8
7000000.00000000
PA
USD
6560562.75000000
0.644636037001
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
8.18150000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAH9
3500000.00000000
PA
USD
3246250.00000000
0.318974120797
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.62500000
N
N
N
N
N
N
PLASTICS MANAGEMENT, LLC
N/A
PLASTICS MANAGEMENT, LLC
000000000
1276596.00000000
PA
USD
1253744.93000000
0.123192048286
Long
DBT
CORP
US
N
3
2027-08-03
Floating
0.01000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CAD/USD FORWARD
000000000
1.00000000
NC
USD
18528.58000000
0.001820604548
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-3300000.00000000
CAD
2627283.95000000
USD
2022-01-18
18528.58000000
N
N
N
MEDASSETS SOFTWARE INTER
N/A
MedAssets Software Intermediate Holdings Inc
000000000
1200000.00000000
PA
USD
1199622.00000000
0.117873969268
Long
LON
CORP
US
N
2
2029-12-17
Floating
7.25000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 1 Ltd
48661BAA2
3000000.00000000
PA
USD
2922520.45000000
0.287164694971
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
5.74375000
N
N
N
N
N
N
River Haus 2021
N/A
River Haus 2021
000000000
8500000.00000000
PA
USD
8501065.05000000
0.835308355845
Long
DBT
CORP
US
N
3
2024-08-15
Fixed
0.00000100
N
N
N
N
N
N
REDSTONE HOLDCO 2 LP
N/A
Redstone Holdco 2 LP
75774EAG0
7000000.00000000
PA
USD
6706875.00000000
0.659012570325
Long
LON
CORP
US
N
2
2028-04-27
Floating
5.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
SWOP IRS USD
000000000
10200000.00000000
NC
USD
38353.21000000
0.003768558009
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
FR
US
2022-01-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
10200000.00000000
USD
109.00000000
USD
2022-01-19
XXXX
-5506.79000000
N
N
N
Wind River CLO Ltd
N/A
Wind River 2021-4 CLO Ltd
97316VAC0
2450000.00000000
PA
USD
2201274.25000000
0.216295577520
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
6.47563000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
9842000.00000000
PA
USD
10014235.00000000
0.983991314464
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
2520000.00000000
PA
USD
2506593.60000000
0.246296030729
Long
DBT
CORP
VG
N
2
2023-02-24
Fixed
2.50000000
N
N
N
N
N
N
VIRGIN PULSE INC
N/A
Virgin Pulse Inc
000000000
6500000.00000000
PA
USD
6443125.00000000
0.633096690661
Long
LON
CORP
US
N
3
2029-04-06
Floating
8.00000000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
37000000000.00000000
PA
USD
3389761.79000000
0.333075482996
Long
DBT
NUSS
N/A
N
2
2022-11-14
Fixed
11.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBE4
5000000.00000000
PA
USD
5270240.50000000
0.517849928340
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
5.69967000
N
N
N
N
N
N
MAGENTA BUYER LLC
N/A
Magenta Buyer LLC
55910RAE3
6500000.00000000
PA
USD
6473610.00000000
0.636092124184
Long
LON
CORP
US
N
2
2029-07-27
Floating
9.00000000
N
N
N
N
N
N
GRANITE POINT MTGE TRST
529900VX2HQZ76AYIE02
Granite Point Mortgage Trust Inc
38741LAC1
7554000.00000000
PA
USD
7738317.60000000
0.760361356306
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
6.37500000
N
N
N
N
N
Granite Point Mortgage Trust I
Granite Point Mortgage Trust Inc
USD
XXXX
N
N
N
Ocean Trails CLO
549300PZUK1YI58H0Z29
Ocean Trails CLO VI
67515TAG8
2500000.00000000
PA
USD
2504736.54000000
0.246113557389
Long
ABS-CBDO
CORP
KY
N
2
2028-07-15
Floating
7.57375000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
3500000.00000000
PA
USD
3535602.84000000
0.347405716558
Long
DBT
CORP
KY
N
2
2024-01-27
Fixed
8.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME ULTRA LONG TERM US TREASURY BOND
000000000
-21.00000000
NC
USD
146369.92000000
0.014382199936
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
-4285994.92000000
USD
146369.92000000
N
N
N
ROCKET SOFTWARE INC
549300PVG26ISP5X1556
Rocket Software Inc
77314EAA6
4500000.00000000
PA
USD
4396522.50000000
0.431999044744
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
College Ave Student Loans
N/A
College Ave Student Loans 2021-B LLC
19425A104
17241.00000000
PA
USD
5343466.16000000
0.525045027460
Long
ABS-O
CORP
US
N
2
2052-06-25
None
0.00000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAY8
5000000.00000000
PA
USD
4607300.00000000
0.452709885790
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.37500000
N
N
N
N
N
N
B RILEY FINANCIAL INC
N/A
B Riley Financial Inc
05580M801
383800.00000000
NS
USD
10132320.00000000
0.995594259109
Long
EP
CORP
US
N
1
N
N
N
WP CPP HOLDINGS LLC
549300HT8KGOLU7VM426
WP CPP Holdings LLC
92937JAM5
3751513.59000000
PA
USD
3606142.44000000
0.354336885411
Long
LON
CORP
US
N
2
2025-04-30
Floating
4.75000000
N
N
N
N
N
N
MILEAGE PLUS HOLDINGS IN
N/A
Mileage Plus Holdings LLC
59921PAB2
7000000.00000000
PA
USD
7400785.00000000
0.727195653009
Long
LON
CORP
US
N
2
2027-06-20
Floating
6.25000000
N
N
N
N
N
N
Motel 6 Trust
N/A
Motel Trust 2021-MTL6
61977KAS5
5950000.00000000
PA
USD
5988396.54000000
0.588415408958
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
6.10975000
N
N
N
N
N
N
LTR INTERMEDIATE HOLDING
549300J0IFHJE2TQGX07
LTR Intermediate Holdings Inc
50219UAB1
4987500.00000000
PA
USD
4968821.81000000
0.488232751094
Long
LON
CORP
US
N
2
2028-05-07
Floating
5.50000000
N
N
N
N
N
N
PLASTICS MANAGEMENT, LLC
N/A
PLASTICS MANAGEMENT, LLC
000000000
638298.00000000
PA
USD
626872.47000000
0.061596024634
Long
DBT
CORP
US
N
3
2027-08-03
Floating
0.01000000
N
N
N
N
N
N
National Collegiate Student Lo
635400WAVVCUCCIGH375
National Collegiate Student Loan Trust 2005-3
63543TAJ7
5000000.00000000
PA
USD
4150879.50000000
0.407862345490
Long
ABS-O
CORP
US
N
2
2037-07-27
Floating
0.60275000
N
N
N
N
N
N
MAGENTA BUYER LLC
N/A
Magenta Buyer LLC
55910RAB9
5985000.00000000
PA
USD
5978446.43000000
0.587437718518
Long
LON
CORP
US
N
2
2028-07-27
Floating
5.75000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300V7DN3VJ8H1GE96
Anchorage Capital CLO 3-R Ltd
03330BAA8
3625000.00000000
PA
USD
3542960.52000000
0.348128676745
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
5.63588000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXIX Ltd
09630LAE2
7000000.00000000
PA
USD
6939565.36000000
0.681876552766
Long
ABS-CBDO
CORP
KY
N
2
2034-07-25
Floating
6.98388000
N
N
N
N
N
N
Riserva CLO, Ltd.
549300640C8OB2I8SN35
Riserva Clo Ltd
76761TAG0
2450000.00000000
PA
USD
2411338.06000000
0.236936291916
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
6.62225000
N
N
N
N
N
N
ALLEN MEDIA LLC
N/A
Allen Media LLC
01771JAF0
3553571.43000000
PA
USD
3556680.81000000
0.349476822279
Long
LON
CORP
US
N
2
2027-02-10
Floating
5.60190000
N
N
N
N
N
N
STONEMOR INC
N/A
StoneMor Inc
86184WAA4
12000000.00000000
PA
USD
12413820.00000000
1.219772759409
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
8.50000000
N
N
N
N
N
N
Stonepeak
N/A
Stonepeak 2021-1 ABS
78433XAC4
4264985.07000000
PA
USD
4235080.27000000
0.416135850790
Long
ABS-O
CORP
US
N
2
2033-02-28
Fixed
3.82100000
N
N
N
N
N
N
VERICAST CORP
549300J73P7FL8TVF308
Vericast Corp
92348BAA1
7420000.00000000
PA
USD
7874475.00000000
0.773740081590
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
11.00000000
N
N
N
N
N
N
PAR PHARMACEUTICAL INC
549300KK5WR4MGN4YT97
Par Pharmaceutical Inc
69888XAA7
4000000.00000000
PA
USD
4093720.00000000
0.402245895352
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
DCERT BUYER INC
549300EF826JEEUCHZ67
Dcert Buyer Inc
24022KAB5
4974683.54000000
PA
USD
4971574.36000000
0.488503214619
Long
LON
CORP
US
N
2
2026-10-16
Floating
4.12360000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36266CAS5
5000000.00000000
PA
USD
5016988.00000000
0.492965525252
Long
ABS-MBS
CORP
US
N
2
2026-11-15
Floating
6.04295100
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-2
64829KBN9
2819937.44000000
PA
USD
3048159.63000000
0.299509907748
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
5.33389200
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAS8
933841.55000000
PA
USD
912584.51000000
0.089669878084
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
3.10750000
N
N
N
N
N
N
ADTALEM GLOBAL EDUCATION
549300Z467EZLMODV621
Adtalem Global Education Inc
00737RAE0
5000000.00000000
PA
USD
5019275.00000000
0.493190244178
Long
LON
CORP
US
N
2
2028-08-12
Floating
5.25000000
N
N
N
N
N
N
HIGHLAND HOLDINGS BOND
N/A
Highlands Holdings Bond Issuer Ltd / Highlands Holdings Bond Co-Issuer Inc
43103QAA6
2891203.00000000
PA
USD
3067812.14000000
0.301440948826
Long
DBT
CORP
N/A
N
2
2025-10-15
Fixed
7.62500000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
1609000.00000000
PA
USD
1337481.25000000
0.131419917073
Long
DBT
NUSS
EC
N
2
2030-07-31
Variable
5.00000000
N
N
N
N
N
N
FIRST BRANDS GROUP LLC
N/A
First Brands Group LLC
31935HAD9
5964949.86000000
PA
USD
6003722.03000000
0.589921280255
Long
LON
CORP
US
N
2
2027-03-30
Floating
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CW5
7778824.45000000
PA
USD
7638687.37000000
0.750571763693
Long
ABS-MBS
CORP
US
N
2
2048-05-25
Variable
3.80755400
N
N
N
N
N
N
PM GENERAL PURCHASER LLC
N/A
PM General Purchaser LLC
69356MAA4
8000000.00000000
PA
USD
8116680.00000000
0.797538965511
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
9.50000000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2018-2 Ltd
92917TAA3
6750000.00000000
PA
USD
6331638.63000000
0.622142122513
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
5.37375000
N
N
N
N
N
N
SIZZLING PLATT/FIN CO
N/A
Sizzling Platter LLC / Sizzling Platter Finance Corp
830146AB2
7000000.00000000
PA
USD
7209230.00000000
0.708373600577
Long
DBT
CORP
US
N
2
2025-11-28
Fixed
8.50000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VBA7
5000000.00000000
PA
USD
4985950.00000000
0.489915754359
Long
LON
CORP
US
N
2
2029-01-15
Floating
5.35350000
N
N
N
N
N
N
EYECARE PARTNERS LLC
254900ZAACWK09RJ8W93
Eyecare Partners LLC
30233PAK6
2590000.00000000
PA
USD
2602950.00000000
0.255763939231
Long
LON
CORP
US
N
2
2029-11-15
Floating
7.25000000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain Fuji US Clo II Ltd
09629HAA2
5350000.00000000
PA
USD
5266980.42000000
0.517529595294
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
6.28150000
N
N
N
N
N
N
SOLRR Aircraft 2021-1 Limited
N/A
Lunar 2021-1 Structured Aircraft Portfolio Notes
83438LAC5
7278296.60000000
PA
USD
7136952.08000000
0.701271625687
Long
ABS-O
CORP
IE
N
2
2046-10-15
Fixed
5.68200000
N
N
N
N
N
N
2022-02-18
Western Asset Diversified Income Fund
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer