0001752724-22-183496.txt : 20220819
0001752724-22-183496.hdr.sgml : 20220819
20220819123011
ACCESSION NUMBER: 0001752724-22-183496
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220630
FILED AS OF DATE: 20220819
DATE AS OF CHANGE: 20220819
PERIOD START: 20221231
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: 221179764
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
47TH FLOOR
NEW YORK
10018
1-888-777-0102
Western Asset Diversified Income Fund
549300M67UHXW4GHZ644
2022-12-31
2022-06-30
N
1187205195.76
385021578.08
802183617.68
0.00000000
0.00000000
373000000.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
425292.64000000
0.00000000
0.00000000
5239288.60000000
GBP
USD
N
Symphony CLO Ltd
54930054F3QGDZOYIH14
Symphony CLO XXVIII Ltd
87168DAC0
6045000.00000000
PA
USD
4584058.21000000
0.571447497676
Long
ABS-CBDO
CORP
KY
N
2
2050-10-23
Variable
0.01000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/MXN FORWARD
000000000
1.00000000
NC
USD
73830.42000000
0.009203680849
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-4737159.33000000
USD
97080000.00000000
MXN
2022-07-19
73830.42000000
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VBA7
5000000.00000000
PA
USD
4272500.00000000
0.532608732693
Long
LON
CORP
US
N
2
2029-01-15
Floating
6.86230000
N
N
N
N
N
N
AGL CLO 6 LTD
5493008ZSC34VKNPZN79
AGL CLO 6 LTD
00119WAE7
6990000.00000000
PA
USD
6270458.34000000
0.781673696869
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
7.56271000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP / Hilcorp Finance Co
431318AZ7
7000000.00000000
PA
USD
6160350.00000000
0.767947619999
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
6.25000000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain Fuji US Clo II Ltd
09629HAA2
5350000.00000000
PA
USD
4537121.77000000
0.565596413340
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
7.21271000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300GD7VLLBVPDNJ81
SMB Private Education Loan Trust 2015-C
78448R106
7570.00000000
PA
USD
3524593.69000000
0.439374927674
Long
ABS-O
CORP
US
N
2
2046-09-18
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NOK CALL VERSUS USD PUT
000000000
10370000.00000000
NC
USD
163.01000000
0.000020320783
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NOK CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
NOK
N/A
USD
2022-07-21
10370000.00000000
USD
8.69000000
USD
2022-07-21
XXXX
-144467.38000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
2000000.00000000
PA
USD
1735080.00000000
0.216294619057
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B27 Mortgage Trust
08163HAY4
5000000.00000000
PA
USD
2755410.50000000
0.343488752359
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
2.25000000
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
4025042.46000000
0.501760740469
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
8.94271000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
239730000.00000000
PA
392285.45000000
0.048902201609
Long
DBT
NUSS
RU
N
2
2033-03-23
Fixed
7.70000000
N
Y
N
N
N
N
FINTHRIVE SOFTWARE INTER
N/A
FinThrive Software Intermediate Holdings Inc
000000000
1200000.00000000
PA
USD
1074000.00000000
0.133884559136
Long
LON
CORP
US
N
2
2029-12-17
Floating
8.36230000
N
N
N
N
N
N
SAMHALLSBYGGNADSBOLAGET
549300HX9MRFY47AH564
Samhallsbyggnadsbolaget i Norden AB
000000000
5000000.00000000
PA
1788892.57000000
0.223002879960
Long
DBT
CORP
SE
N
2
N/A
Fixed
2.62400000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
225000000.00000000
PA
5297095.61000000
0.660334553492
Long
DBT
NUSS
N/A
N
2
2024-06-03
Fixed
6.14000000
N
N
N
N
N
N
PM GENERAL PURCHASER LLC
N/A
PM General Purchaser LLC
69356MAA4
8000000.00000000
PA
USD
6474120.00000000
0.807062106145
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
9.50000000
N
N
N
N
N
N
AMERICAN NEWS COMPANY
N/A
American News Co LLC
02862PAA5
1782801.00000000
PA
USD
2040656.42000000
0.254387695662
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
8.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS FORD MOTOR COMPANY
000000000
1.00000000
NC
USD
146681.23000000
0.018285243773
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
FORD MOTOR COMPANY
Ford Motor Co
Y
Default Event
2026-06-20
498218.73000000
USD
0.00000000
USD
4320000.00000000
USD
-351537.50000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
17.00000000
NC
USD
4675.00000000
0.000582784277
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-12-18
0.00000000
USD
1000000.00000000
99.00000000
USD
2023-12-18
XXXX
601.80000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
12616000.00000000
PA
USD
6749560.00000000
0.841398384514
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
MAGNOLIA FINANCE X DAC 2019-1
213800FNSN9L4EI3LC40
Credit Suisse European Mortgage Capital Ltd
55960WAB7
2033000.00000000
PA
USD
1988302.12000000
0.247861222315
Long
ABS-O
CORP
IE
N
2
2024-08-09
Floating
4.18600000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAN0
3943000.00000000
PA
USD
3678522.09000000
0.458563601764
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
4.05600000
N
N
N
N
N
N
WORLDWIDE EXPRESS INC
N/A
Worldwide Express Inc
00435UAE8
7000000.00000000
PA
USD
6352500.00000000
0.791900988750
Long
LON
CORP
US
N
2
2029-07-26
Floating
8.63270000
N
N
N
N
N
N
BSREP Commercial Mortgage Trus
N/A
BSREP Commercial Mortgage Trust 2021-DC
05591UAQ0
18664000.00000000
PA
USD
16038309.29000000
1.999331441894
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
6.82500000
N
N
N
N
N
N
REPUBLIC OF GABON
N/A
Gabon Government International Bond
362420AE1
1540000.00000000
PA
USD
1127911.40000000
0.140605140162
Long
DBT
NUSS
GA
N
2
2031-11-24
Fixed
7.00000000
N
N
N
N
N
N
LIBERTY INTERACTIVE LLC
549300SZUIU7Z32Q0664
Liberty Interactive LLC
530715AG6
5014077.38000000
PA
USD
2281405.21000000
0.284399376865
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
KKR APPLE BIDCO LLC
2549001SCJD3WEYJFM53
KKR Apple Bidco LLC
000000000
1000000.00000000
PA
USD
962500.00000000
0.119984998295
Long
LON
CORP
US
N
2
2029-09-23
Floating
7.37360000
N
N
N
N
N
N
CARRIAGE PURCHASER INC
N/A
Carriage Purchaser Inc
14445LAA5
6000000.00000000
PA
USD
4476470.64000000
0.558035659335
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.87500000
N
N
N
N
N
N
ADTALEM GLOBAL EDUCATION
549300Z467EZLMODV621
Adtalem Global Education Inc
00737RAE0
2584921.57000000
PA
USD
2470861.91000000
0.308016999542
Long
LON
CORP
US
N
2
2028-08-12
Floating
6.29000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NOK/USD FORWARD
000000000
1.00000000
NC
USD
269485.03000000
0.033593933366
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-46578729.50000000
NOK
5000000.00000000
USD
2022-07-19
269485.03000000
N
N
N
Hayfin US XIV LTD
5493000YWK38UXBNS724
Hayfin US XIV Ltd
42088QAA7
7000000.00000000
PA
USD
6392418.51000000
0.796877219767
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
8.24271000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 95 CLO Ltd
262485AC9
6870000.00000000
PA
USD
5030507.45000000
0.627101743183
Long
ABS-CBDO
CORP
KY
N
2
2034-08-20
Variable
0.01000000
N
N
N
N
N
N
Ballyrock Ltd
N/A
Ballyrock CLO 2016-1 Ltd
05875GAG0
6300000.00000000
PA
USD
6122372.47000000
0.763213351041
Long
ABS-CBDO
CORP
KY
N
2
2028-10-15
Floating
7.99429000
N
N
N
N
N
N
REDSTONE HOLDCO 2 LP
N/A
Redstone Holdco 2 LP
75774EAK1
3050000.00000000
PA
USD
2641300.00000000
0.329263767270
Long
LON
CORP
US
N
2
2029-08-06
Floating
9.54000000
N
N
N
N
N
N
WEWORK COS INC
549300D8U9TF7WBED521
WeWork Cos Inc
96208LAA9
8750000.00000000
PA
USD
6412934.85000000
0.799434781346
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.87500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
2000000.00000000
PA
USD
1725649.60000000
0.215119027859
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
3.97566000
N
N
N
N
N
N
VECTOR GROUP LTD
549300TUIF4WWN6NDN50
Vector Group Ltd
92240MBJ6
5670000.00000000
PA
USD
5268989.25000000
0.656830822005
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
10.50000000
N
N
N
N
N
N
Greywolf CLO Ltd
549300RJBZLY8V18YD77
Greywolf CLO V Ltd
39808TAE8
6250000.00000000
PA
USD
5580164.96000000
0.695621904638
Long
ABS-CBDO
CORP
KY
N
2
2031-01-27
Floating
7.03400000
N
N
N
N
N
N
MAGENTA BUYER LLC
N/A
Magenta Buyer LLC
55910RAE3
6500000.00000000
PA
USD
5974572.50000000
0.744788645432
Long
LON
CORP
US
N
2
2029-07-27
Floating
9.90230000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-NYCH
90266HAS1
2000000.00000000
PA
USD
1780616.20000000
0.221971149840
Long
ABS-MBS
CORP
US
N
2
2032-02-15
Floating
6.16230000
N
N
N
N
N
N
PHOTO HOLDINGS MERGER SU
N/A
Photo Holdings Merger Sub Inc
719245AD4
6800000.00000000
PA
USD
5144268.00000000
0.641283103596
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
8.50000000
N
N
N
N
N
N
DIRECTV FIN LLC/COINC
N/A
Directv Financing LLC / Directv Financing Co-Obligor Inc
25461LAA0
14000000.00000000
PA
USD
11988270.00000000
1.494454603133
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.87500000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 1 Ltd
48661BAA2
3000000.00000000
PA
USD
2666198.11000000
0.332367559151
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.66429000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/NOK FORWARD
000000000
1.00000000
NC
USD
42487.63000000
0.005296496844
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-2555405.75000000
USD
25580000.00000000
NOK
2022-07-19
42487.63000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-64717.93000000
-0.00806772022
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-84187404.60000000
MXN
4102800.00000000
USD
2022-07-25
-64717.93000000
N
N
N
DISH NETWORK CORP
529900U350CWHH15G169
DISH Network Corp
25470MAB5
2500000.00000000
PA
USD
1695000.00000000
0.211298256738
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.37500000
N
N
N
N
Y
DISH Network Corp
DISH Network Corp
USD
XXXX
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55617LAR3
1350000.00000000
PA
USD
1130179.50000000
0.140887880915
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.12500000
N
N
N
N
N
N
Zais Matrix CDO I
549300PCGOXUK8XLNY49
Zais Clo 17 Ltd
98888KAA4
6000000.00000000
PA
USD
5343755.36000000
0.666151145725
Long
ABS-CBDO
CORP
KY
N
2
2033-10-20
Floating
9.31271000
N
N
N
N
N
N
Cayuga Park CLO, Ltd.
549300SVH2QJEV4A2G21
Cayuga Park CLO Ltd
149790AJ6
1250000.00000000
PA
USD
1086425.78000000
0.135433553622
Long
ABS-CBDO
CORP
KY
N
2
2034-07-17
Floating
7.04429000
N
N
N
N
N
N
Fortress Credit BSL Limited
N/A
Fortress Credit BSL XII Ltd
34963GAE8
5000000.00000000
PA
USD
4266953.91000000
0.531917358564
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
8.17429000
N
N
N
N
N
N
BED BATH & BEYOND INC
529900ZBUWWUV7BKGX39
Bed Bath & Beyond Inc
075896AC4
5500000.00000000
PA
USD
1234392.50000000
0.153879046242
Long
DBT
CORP
US
N
2
2044-08-01
Fixed
5.16500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 YEAR US TREASURY NOTE
000000000
-554.00000000
NC
USD
28900.27000000
0.003602700100
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
2022-09-21
-65695212.77000000
USD
28900.27000000
N
N
N
BRAND INDUSTRIAL SERVICE
549300B658W2BPDQMW42
Brand Industrial Services Inc
10524MAN7
4947916.68000000
PA
USD
4305479.18000000
0.536719908647
Long
LON
CORP
US
N
2
2024-06-21
Floating
6.40440000
N
N
N
N
N
N
WHEEL BIDCO LTD
213800GGDN5YSVU1G348
Wheel Bidco Ltd
000000000
5180000.00000000
PA
5067065.30000000
0.631659035203
Long
DBT
CORP
JE
N
2
2026-07-15
Fixed
6.75000000
N
N
N
N
N
N
GRANITE US HOLDINGS CORP
N/A
Granite US Holdings Corp
38748YAA0
5000000.00000000
PA
USD
4706625.00000000
0.586726641664
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
11.00000000
N
N
N
N
N
N
Symphony CLO Ltd
5493005CJY0RF4FJJP54
Symphony CLO XXI Ltd
87167CAW9
2800000.00000000
PA
USD
2555035.52000000
0.318510059752
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
7.64429000
N
N
N
N
N
N
PLASTICS MANAGEMENT, LLC
N/A
PLASTICS MANAGEMENT, LLC
000000000
31914.90000000
PA
USD
28639.41000000
0.003570181361
Long
ABS-MBS
CORP
US
N
3
2027-08-17
Fixed
0.00010000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BS0
10000000.00000000
PA
USD
8252550.00000000
1.028760724865
Long
DBT
CORP
PA
N
2
2030-06-01
Fixed
10.50000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2022-JERI
63875LAS2
2500000.00000000
PA
USD
2399687.25000000
0.299144385039
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
8.73645000
N
N
N
N
N
N
MBRT 2019 MBR
N/A
MBRT 2019-MBR
55282DBE3
3000000.00000000
PA
USD
2782586.70000000
0.346876530344
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
5.57400000
N
N
N
N
N
N
RISING TIDE HOLDINGS INC
254900T03WM6VU0KWL83
Rising Tide Holdings Inc
76770EAB3
6435000.00000000
PA
USD
5641339.28000000
0.703247879371
Long
LON
CORP
US
N
2
2028-06-01
Floating
6.54000000
N
N
N
N
N
N
Multifamily Connecticut Avenue
549300HG8ZEWVWVSN227
Multifamily Connecticut Avenue Securities Trust 2019-01
62547NAD1
2000000.00000000
PA
USD
1976419.60000000
0.246379950480
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Floating
10.37357000
N
N
N
N
N
N
Babson CLO Ltd
549300Q89L7I93JSRH83
Barings CLO Ltd 2020-IV
06762DAA4
1090000.00000000
PA
USD
958349.35000000
0.119467579351
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
6.74271000
N
N
N
N
N
N
EARTHSTONE ENERGY HOL
549300HGVO86L8G72J25
Earthstone Energy Holdings LLC
27034RAA1
2500000.00000000
PA
USD
2369137.50000000
0.295336061194
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
8.00000000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXVI Ltd
83615BAJ7
3700000.00000000
PA
USD
3241892.44000000
0.404133463779
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
7.92271000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
3 MONTH EURODOLLAR
000000000
867.00000000
NC
USD
-2737287.20000000
-0.34122950652
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-12-18
212778874.70000000
USD
-2737287.20000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2001602.40000000
PA
USD
-2001602.40000000
-0.24951923174
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.82000000
2023-02-24
2520000.00000000
USD
2463300.00000000
USD
CDS
N
N
N
RR Ltd
54930003V8ISBLDELD80
RR 18 Ltd
749737AA0
7190000.00000000
PA
USD
6370438.86000000
0.794137242346
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
7.29429000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAH9
3500000.00000000
PA
USD
2165747.50000000
0.269981516982
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.62500000
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
78442FAZ1
10000000.00000000
PA
USD
6958765.90000000
0.867477937298
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.62500000
N
N
N
N
N
N
KNDR Trust 2021-KIND
N/A
KIND Trust 2021-KIND
482606AS9
7500000.00000000
PA
USD
7024841.25000000
0.875714873150
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
5.27400000
N
N
N
N
N
N
HORNBLOWER SUB LLC
N/A
Hornblower Sub LLC
44055EAG6
7478674.29000000
PA
USD
5658888.48000000
0.705435558054
Long
LON
CORP
US
N
2
2025-04-27
Floating
6.54000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B27 Mortgage Trust
08163HBA5
5000000.00000000
PA
USD
2517968.00000000
0.313889232403
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
2.25000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-978733.33000000
PA
USD
-978733.33000000
-0.12200864096
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.82000000
2023-07-03
1240000.00000000
USD
1210550.00000000
USD
CDS
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDY2
6000000.00000000
PA
USD
5100076.80000000
0.635774240160
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
6.92566000
N
N
N
N
N
N
PARK-OHIO INDUSTRIES INC
5493006LQUO5SLMNYM18
Park-Ohio Industries Inc
700677AR8
4000000.00000000
PA
USD
3165040.00000000
0.394553058706
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
6.62500000
N
N
N
N
N
N
Aimco
5493004I93856WYBB035
AIMCO CLO 10 Ltd
00900UAE4
8000000.00000000
PA
USD
7133133.88000000
0.889214604086
Long
ABS-CBDO
CORP
KY
N
2
2032-07-22
Floating
7.08629000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KBE7
7250000.00000000
PA
USD
6074089.15000000
0.757194364996
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
6.42357000
N
N
N
N
N
N
FAGE INTL / FAGE USA
N/A
FAGE International SA / FAGE USA Dairy Industry Inc
30257WAA4
7000000.00000000
PA
USD
5977344.17000000
0.745134161089
Long
DBT
CORP
LU
N
2
2026-08-15
Fixed
5.62500000
N
N
N
N
N
N
Elmwood CLO II Ltd.
N/A
Elmwood CLO II Ltd
29001RAC2
4600000.00000000
PA
USD
3404000.00000000
0.424341749815
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN CALL VERSUS USD PUT
000000000
10520000.00000000
NC
USD
88179.53000000
0.010992437149
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2022-07-21
10520000.00000000
USD
20.09800000
USD
2022-07-21
XXXX
-41952.87000000
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
14892080.09000000
NS
USD
14892080.09000000
1.856442809573
Long
STIV
RF
US
N
1
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
170.00000000
NC
USD
116530.50000000
0.014526661655
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
41034094.50000000
USD
116530.50000000
N
N
N
WEATHERFORD INTL LTD
549300A2JKMG5PGOGF82
Weatherford International Ltd
947075AP2
553000.00000000
PA
USD
557938.29000000
0.069552441324
Long
DBT
CORP
BM
N
2
2024-12-01
Fixed
11.00000000
N
N
N
N
N
N
EQUINOX HOLDINGS INC
549300W05QKLNGQIIA73
Equinox Holdings Inc
29446CAR5
1179000.00000000
PA
USD
1049310.00000000
0.130806710193
Long
LON
CORP
US
N
3
2024-03-08
Floating
10.79000000
N
N
N
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
035198AF7
3500000.00000000
PA
USD
2810514.00000000
0.350357940259
Long
DBT
NUSS
AO
N
2
2032-04-14
Fixed
8.75000000
N
N
N
N
N
N
LCM Ltd Partnership
5493006LYYH2XWCWW153
LCM 33 Ltd
50202FAA5
3000000.00000000
PA
USD
2587435.19000000
0.322548994142
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
7.41271000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAT9
2000000.00000000
PA
USD
1582583.00000000
0.197284382916
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.50000000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
Wind River 2021-4 CLO Ltd
97316VAL0
3000000.00000000
PA
USD
2875845.64000000
0.358502165416
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
9.31271000
N
N
N
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
55916AAB0
10000000.00000000
PA
USD
6620100.00000000
0.825259934769
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
7.87500000
N
N
N
N
N
N
CARROLS RESTAURANT GROUP
529900HZEMNWQSAKFJ98
Carrols Restaurant Group Inc
14574XAF1
3000000.00000000
PA
USD
2194830.00000000
0.273606933827
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.87500000
N
N
N
N
N
N
MULTIFAMILY CONNECTICUT AVENUE
5493002KQF9IH3CTQZ40
Multifamily Connecticut Avenue Securities Trust 2020-01
62548QAF8
2500000.00000000
PA
USD
2429865.25000000
0.302906366628
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
9.12357000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
115666.36000000
0.014418938189
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-08-15
122039.89000000
USD
0.00000000
USD
-10419000.00000000
USD
-6373.53000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-939583.96000000
PA
USD
-939583.96000000
-0.11712829074
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.82000000
2023-09-30
1210000.00000000
USD
1153130.00000000
USD
CDS
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
ULTRA LONG TERM US TREASURY BOND
000000000
212.00000000
NC
USD
-528109.77000000
-0.06583402582
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
2022-09-21
33248984.77000000
USD
-528109.77000000
N
N
N
CA MAGNUM HOLDINGS
549300ZRDHFR078MFZ78
CA Magnum Holdings
12674CAA1
1500000.00000000
PA
USD
1303620.68000000
0.162509013057
Long
DBT
CORP
MU
N
2
2026-10-31
Fixed
5.37500000
N
N
N
N
N
N
Mello Warehouse Securitization
N/A
Mello Warehouse Securitization Trust 2021-1
58550LAG0
2500000.00000000
PA
USD
2479420.75000000
0.309083942298
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Floating
5.04286000
N
N
N
N
N
N
MAGENTA BUYER LLC
N/A
Magenta Buyer LLC
55910RAB9
5970000.00000000
PA
USD
5383656.45000000
0.671125205170
Long
LON
CORP
US
N
2
2028-07-27
Floating
6.65230000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-194470.14000000
-0.02424259679
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-11-18
120614.24000000
USD
0.00000000
USD
12890000.00000000
USD
-315084.38000000
N
N
N
GUITAR CENTER INC
N/A
Guitar Center Inc
40204BAA3
7500000.00000000
PA
USD
6629625.00000000
0.826447318778
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
8.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAH3
7298000.00000000
PA
USD
5479656.81000000
0.683092584943
Long
DBT
CORP
US
N
2
N/A
Fixed
6.25000000
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
3973251.68000000
0.495304515379
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
2.25000000
N
N
N
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AM8
1090000.00000000
PA
USD
881801.14000000
0.109925099511
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
4.25000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
AUD CALL VERSUS USD PUT
000000000
10370000.00000000
NC
USD
734.98000000
0.000091622414
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
Put
Purchased
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
AUD CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
AUD
N/A
USD
2022-07-22
10370000.00000000
USD
0.75400000
USD
2022-07-22
XXXX
-119660.72000000
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
023771S58
10140000.00000000
PA
USD
10528564.80000000
1.312488134630
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
11.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-162.00000000
NC
USD
-116437.50000000
-0.01451506830
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
96.50000000
USD
2022-12-19
XXXX
-9452.70000000
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2021-1 Ltd
92918PAA0
2250000.00000000
PA
USD
1999605.64000000
0.249270316163
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
7.39429000
N
N
N
N
N
N
SIZZLING PLATT/FIN CO
N/A
Sizzling Platter LLC / Sizzling Platter Finance Corp
830146AB2
7000000.00000000
PA
USD
5891223.24000000
0.734398348477
Long
DBT
CORP
US
N
2
2025-11-28
Fixed
8.50000000
N
N
N
N
N
N
NORDSTROM INC
549300S3IZB5P35KNV16
Nordstrom Inc
655664AR1
1330000.00000000
PA
USD
951668.20000000
0.118634708940
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
5.00000000
N
N
N
N
N
N
FRR Re-Remic Trust
N/A
FRR Re-REMIC Trust 2018-C1
30307WAY2
7920000.00000000
PA
USD
7774905.60000000
0.969217698871
Long
ABS-MBS
CORP
US
N
2
2047-08-27
None
0.00000000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AL8
3200000.00000000
PA
USD
2006224.00000000
0.250095359189
Long
DBT
NUSS
KE
N
2
2034-01-23
Fixed
6.30000000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2018-2 Ltd
92917TAA3
6750000.00000000
PA
USD
5418453.57000000
0.675463005049
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.29429000
N
N
N
N
N
N
SOHO Trust 2021-SOHO
N/A
Soho Trust 2021-SOHO
83410JAJ7
7000000.00000000
PA
USD
5373501.00000000
0.669859229429
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Variable
2.78647500
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-1777176.00000000
PA
USD
-1777176.00000000
-0.22154229540
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.90000000
2029-03-08
3000000.00000000
USD
2127840.00000000
USD
CDS
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLV9
6590000.00000000
PA
USD
5684105.65000000
0.708579123871
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
8.42566000
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563JAC7
2500000.00000000
PA
USD
2077327.00000000
0.258959040575
Long
ABS-MBS
CORP
US
N
2
2041-07-25
Floating
6.42566000
N
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
Ciudad Autonoma De Buenos Aires/Government Bonds
000000000
2000000.00000000
PA
USD
1719680.00000000
0.214374859084
Long
DBT
NUSS
AR
N
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-NYCH
90266HAQ5
6000000.00000000
PA
USD
5394812.40000000
0.672515902980
Long
ABS-MBS
CORP
US
N
2
2032-02-15
Floating
5.14500000
N
N
N
N
N
N
WP CPP HOLDINGS LLC
549300HT8KGOLU7VM426
WP CPP Holdings LLC
000000000
6000000.00000000
PA
USD
4965000.00000000
0.618935601596
Long
LON
CORP
US
N
3
2049-12-31
Floating
0.01000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GENERAL MOTORS CO
000000000
1.00000000
NC
USD
-401445.36000000
-0.05004407359
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
-669630.80000000
USD
-4320000.00000000
USD
268185.44000000
N
N
N
FIRST BRANDS GROUP LLC
N/A
First Brands Group LLC
31935HAD9
5949924.79000000
PA
USD
5676228.25000000
0.707597129247
Long
LON
CORP
US
N
2
2027-03-30
Floating
6.68600000
N
N
N
N
N
N
CLOUDERA INC
549300PGONC4JOI0RG62
Cloudera Inc
74339VAE8
5000000.00000000
PA
USD
4400000.00000000
0.548502849350
Long
LON
CORP
US
N
3
2029-10-08
Floating
7.79000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
28785.96000000
0.003588450245
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2589210.85000000
USD
2150000.00000000
GBP
2022-07-19
28785.96000000
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXIX Ltd
09630LAE2
7000000.00000000
PA
USD
6419890.68000000
0.800301893295
Long
ABS-CBDO
CORP
KY
N
2
2034-07-25
Floating
8.04400000
N
N
N
N
N
N
PECF USS INTERMEDIATE HO
N/A
PECF USS Intermediate Holding III Corp
69291HAA3
3000000.00000000
PA
USD
2381700.00000000
0.296902099158
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2022-1
35563PC80
5000000.00000000
PA
USD
4313690.50000000
0.537743529651
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Variable
4.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/CAD FORWARD
000000000
1.00000000
NC
USD
17964.44000000
0.002239442392
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-2561311.39000000
USD
3320000.00000000
CAD
2022-07-15
17964.44000000
N
N
N
PROVINCIA DE CORDOBA
5299006CLM2Z97AATT29
Provincia de Cordoba
74408DAC8
6500000.00000000
PA
USD
4980625.00000000
0.620883410010
Long
DBT
NUSS
AR
N
2
2025-12-10
Variable
6.87500000
N
N
N
N
N
N
GEO GROUP INC/THE
54930024XOXET7NQVZ63
GEO Group Inc/The
36162JAA4
5000000.00000000
PA
USD
4500000.00000000
0.560968823199
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
5.87500000
N
N
N
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO 2017-2A Ltd
94952DAA0
3287000.00000000
PA
USD
3045961.47000000
0.379708760297
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
7.81271000
N
N
N
N
N
N
BURFORD CAPITAL GLBL FIN
549300JVAOO67CSCH406
Burford Capital Global Finance LLC
12116LAC3
5500000.00000000
PA
USD
4842259.95000000
0.603634859061
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
6.87500000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
13007570.00000000
PA
USD
9889070.13000000
1.232768896303
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
N
N
N
N
CANO HEALTH LLC
254900OGI2T8V1NXN639
Cano Health LLC
13781HAE0
6912762.50000000
PA
USD
6333818.64000000
0.789572175297
Long
LON
CORP
US
N
3
2027-11-23
Floating
5.33380000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CAD/USD FORWARD
000000000
1.00000000
NC
USD
73829.10000000
0.009203516298
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-3300000.00000000
CAD
2637531.27000000
USD
2022-07-19
73829.10000000
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US Renal Care Inc
07335BAA4
5380000.00000000
PA
USD
2030950.00000000
0.253177695883
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
10.62500000
N
N
N
N
N
N
Mach I
N/A
MACH 1 Cayman 2019-1 Ltd
55446MAB3
868375.72000000
PA
USD
722206.38000000
0.090030058465
Long
ABS-O
CORP
KY
N
2
2039-10-15
Fixed
4.33500000
N
N
N
N
N
N
TRANSALTA CORP
GJZNVO2UY6DNFNIYH321
TransAlta Corp
89346DAE7
2000000.00000000
PA
USD
1849100.04000000
0.230508327426
Long
DBT
CORP
CA
N
2
2040-03-15
Fixed
6.50000000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
1210000.00000000
PA
USD
1153130.00000000
0.143748884243
Long
DBT
CORP
VG
N
2
2023-09-30
Fixed
2.12500000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAZ5
4000000.00000000
PA
USD
3256580.00000000
0.405964411167
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.35000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-183093.12000000
-0.02282434045
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2076679.07000000
USD
256636000.00000000
JPY
2022-07-19
-183093.12000000
N
N
N
SOLRR Aircraft 2021-1 Limited
N/A
Lunar 2021-1 Structured Aircraft Portfolio Notes
83438LAC5
6496587.45000000
PA
USD
5690062.75000000
0.709321734399
Long
ABS-O
CORP
IE
N
2
2046-10-15
Fixed
5.68200000
N
N
N
N
N
N
HUNT COS INC
549300ODPWDNCH5TKM49
Hunt Cos Inc
445587AE8
7000000.00000000
PA
USD
5960465.00000000
0.743030008171
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
Helios Issuer, LLC
N/A
SUNNOVA HELIOS II ISSUER LLC 2018-1
86745JAB3
4598981.89000000
PA
USD
4410442.03000000
0.549804550079
Long
ABS-O
CORP
US
N
2
2048-07-20
Fixed
7.71000000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
37000000000.00000000
PA
USD
3391531.24000000
0.422787397455
Long
DBT
NUSS
N/A
N
2
2022-11-14
Fixed
11.00000000
N
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
Ciudad Autonoma De Buenos Aires/Government Bonds
11942GAD4
5100000.00000000
PA
USD
4385184.00000000
0.546655890665
Long
DBT
NUSS
AR
N
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAZ3
5000000.00000000
PA
USD
4293750.00000000
0.535257752136
Long
LON
CORP
US
N
2
2028-02-03
Floating
7.04000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDB7
2226034.40000000
PA
USD
2370500.03000000
0.295505913827
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
11.87357000
N
N
N
N
N
N
UNIQUIFY INC
N/A
Uniquify Inc
90915UAA6
5270000.00000000
PA
USD
5166543.05000000
0.644059905504
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
6.00000000
N
N
N
N
N
N
DOMAN BUILDING MATERIALS
529900HEUBRUITK08D78
Doman Building Materials Group Ltd
13874XAD5
3000000.00000000
PA
2027656.93000000
0.252767182638
Long
DBT
CORP
CA
N
2
2026-05-15
Fixed
5.25000000
N
N
N
N
N
N
FRANCHISE GROUP INC
549300MWCHSL8BSOMV77
Franchise Group Inc
35180YAB9
6077225.00000000
PA
USD
5586002.90000000
0.696349660711
Long
LON
CORP
US
N
2
2026-03-10
Floating
6.54000000
N
N
N
N
N
N
RESOLUTE INVESMENT MANA
5493000DRVCSZDWGPC49
Resolute Investment Managers Inc
04635WAH7
3529500.69000000
PA
USD
3300083.15000000
0.411387502470
Long
LON
CORP
US
N
3
2024-04-30
Floating
6.04000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
454731.04000000
0.056686652529
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
479866.70000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEN4
2600000.00000000
PA
USD
2172453.14000000
0.270817440311
Long
DBT
NUSS
DO
N
2
2033-02-22
Fixed
6.00000000
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
3845387.60000000
0.479365012604
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
5.54220000
N
N
N
N
N
N
ONE CALL CORP
549300WUCCV86ZQHG041
One Call Corp
000000000
6930000.00000000
PA
USD
5578650.00000000
0.695433050120
Long
LON
CORP
US
N
2
2027-04-22
Floating
7.13270000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
5550000.00000000
PA
USD
430125.00000000
0.053619270017
Long
DBT
CORP
KY
N
2
2024-10-30
Fixed
8.37500000
Y
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
4500000.00000000
PA
USD
3340282.50000000
0.416398742928
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
B RILEY FINANCIAL INC
N/A
B Riley Financial Inc
05580M801
145336.00000000
NS
USD
3563638.72000000
0.444242270903
Long
EP
CORP
US
N
1
N
N
N
Ocean Trails CLO
635400RMMLHBGDGXBC03
Ocean Trails Clo X
67516BAE1
3750000.00000000
PA
USD
3387541.15000000
0.422289993879
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
8.61429000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
387803.22000000
0.048343447990
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
435332.14000000
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAB7
3200000.00000000
PA
USD
1557632.00000000
0.194173997781
Long
DBT
NUSS
GH
N
2
2032-03-26
Fixed
8.12500000
N
N
N
N
N
N
PARTICLE INVESTMENTS SAR
549300TH5VH623DTW562
Particle Investments Sarl
000000000
1735898.35000000
PA
USD
1683821.40000000
0.209904735385
Long
LON
CORP
LU
N
3
2027-05-22
Floating
6.88270000
N
N
N
N
N
N
Riserva CLO, Ltd.
549300640C8OB2I8SN35
Riserva Clo Ltd
76761TAJ4
2500000.00000000
PA
USD
2102591.23000000
0.262108472880
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
9.55429000
N
N
N
N
N
N
VERICAST CORP
549300J73P7FL8TVF308
Vericast Corp
92348BAA1
7020000.00000000
PA
USD
6760681.20000000
0.842784750398
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
11.00000000
N
N
N
N
N
N
PACTIV LLC
549300O4WTC6DL4JIE57
Pactiv LLC
880394AE1
7650000.00000000
PA
USD
6709203.00000000
0.836367491448
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
8.37500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY/USD FORWARD
000000000
1.00000000
NC
USD
52183.96000000
0.006505238806
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-213720000.00000000
JPY
1629114.67000000
USD
2022-07-19
52183.96000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/JPY FORWARD
000000000
1.00000000
NC
USD
76018.49000000
0.009476445083
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-82162000.00000000
JPY
685408.72000000
USD
2022-09-26
76018.49000000
N
N
N
TUTOR PERINI CORP
549300FHXYVPW8LJ6D98
Tutor Perini Corp
901109AF5
7745000.00000000
PA
USD
6340289.35000000
0.790378812314
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
Whitebox CLO I Ltd
549300C89ZJ5IWOT1F21
Whitebox Clo II Ltd
96466EAE4
2175000.00000000
PA
USD
2000749.92000000
0.249412961808
Long
ABS-CBDO
CORP
KY
N
2
2034-10-24
Floating
8.28400000
N
N
N
N
N
N
Symphony CLO Ltd
549300JQYSBIW1AM8R32
Symphony CLO XVIII Ltd
87154FAG2
3000000.00000000
PA
USD
2704603.60000000
0.337155177491
Long
ABS-CBDO
CORP
KY
N
2
2033-07-23
Floating
8.25400000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AR6
3000000.00000000
PA
USD
2768910.00000000
0.345171596499
Long
DBT
CORP
CA
N
2
2026-03-01
Fixed
6.87500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBE8
5500000.00000000
PA
USD
4312356.95000000
0.537577289657
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
5.67566000
N
N
N
N
N
N
SMR 2022-IND Mortgage Trust
N/A
SMR 2022-IND Mortgage Trust
78458MAL8
2401830.29000000
PA
USD
2281510.36000000
0.284412484837
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
7.27865000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJB6
6700000.00000000
PA
USD
5247251.06000000
0.654120944924
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
6.42566000
N
N
N
N
N
N
Venture CLO 43 Limited
549300OLN5VHTMLSN650
Venture 43 CLO Ltd
92290CAG4
4000000.00000000
PA
USD
3828393.70000000
0.477246557474
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
4.51429000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
-417.00000000
NC
USD
472546.86000000
0.058907567991
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
2022-09-30
-47280796.86000000
USD
472546.86000000
N
N
N
NORTHERN OIL AND GAS INC
OKFF0PIZDDMNH4UCYE51
Northern Oil and Gas Inc
665531AG4
1000000.00000000
PA
USD
943975.00000000
0.117675676639
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
8.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-68068.46000000
-0.00848539642
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-1890552.84000000
USD
2640000.00000000
AUD
2022-07-19
-68068.46000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/AUD FORWARD
000000000
1.00000000
NC
USD
234735.99000000
0.029262127127
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-4873900.00000000
AUD
3599570.11000000
USD
2022-07-26
234735.99000000
N
N
N
PARTY CITY HOLDINGS INC
5493005PYM1JS6EZN307
Party City Holdings Inc
702150AE3
5000000.00000000
PA
USD
3431000.00000000
0.427707562755
Long
DBT
CORP
US
N
2
2025-07-15
Floating
5.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-3.00000000
NC
USD
-2156.25000000
-0.00026879756
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
96.50000000
USD
2022-12-19
XXXX
-175.05000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/NOK FORWARD
000000000
1.00000000
NC
USD
361831.95000000
0.045105876263
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-33191881.20000000
NOK
3733200.00000000
USD
2022-07-25
361831.95000000
N
N
N
College Ave Student Loans
N/A
College Ave Student Loans 2021-B LLC
19425A104
17241.00000000
PA
USD
5844669.25000000
0.728594940258
Long
ABS-O
CORP
US
N
2
2052-06-25
None
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-1532426.87000000
PA
USD
-1532426.87000000
-0.19103193286
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.90000000
2031-09-20
2200000.00000000
USD
1813350.00000000
USD
CDS
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2020-2A
64830XCJ6
5049734.16000000
PA
USD
4712084.70000000
0.587407246439
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Variable
2.80771600
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
20338QAD5
2000000.00000000
PA
USD
1846030.00000000
0.230125617042
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.00000000
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US Renal Care Inc
90290PAN4
5931394.59000000
PA
USD
4126026.36000000
0.514349367035
Long
LON
CORP
US
N
2
2026-07-26
Floating
7.25040000
N
N
N
N
N
N
TKC HOLDINGS INC
N/A
TKC Holdings Inc
87256YAA1
6050000.00000000
PA
USD
4959185.00000000
0.618210705217
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
10.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2341174.40000000
PA
USD
-2341174.40000000
-0.29185018846
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.93000000
2032-04-14
3500000.00000000
USD
2810514.00000000
USD
N
N
N
SAGA PLC
2138004WWUJN94K2LH95
Saga PLC
000000000
3000000.00000000
PA
3193002.25000000
0.398038825479
Long
DBT
CORP
GB
N
2
2026-07-15
Fixed
5.50000000
N
N
N
N
N
N
Riserva CLO, Ltd.
549300640C8OB2I8SN35
Riserva Clo Ltd
76761TAG0
2450000.00000000
PA
USD
2144754.21000000
0.267364498941
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
7.54429000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/EUR FORWARD
000000000
1.00000000
NC
USD
363205.66000000
0.045277122593
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-7890000.00000000
EUR
8641759.20000000
USD
2022-07-19
363205.66000000
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BH9
1680000.00000000
PA
USD
1586995.20000000
0.197834406615
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
7.50000000
N
N
N
N
N
N
RENT-A-CENTER INC
529900QUHE15UQNCCJ63
Rent-A-Center Inc/TX
76009NAL4
6000000.00000000
PA
USD
4687740.00000000
0.584372442503
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
47222.52000000
0.005886746993
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-3750000.00000000
EUR
3981896.25000000
USD
2022-07-19
47222.52000000
N
N
N
AMC ENTERTAINMENT HLDGS
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
00165CAP9
6000000.00000000
PA
USD
4001850.00000000
0.498869574471
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
10.00000000
N
N
N
N
N
N
LIBERTY INTERACTIVE LLC
549300SZUIU7Z32Q0664
Liberty Interactive LLC
530715AD3
3500000.00000000
PA
USD
2429698.46000000
0.302885574630
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
8.50000000
N
N
N
N
N
N
CRESTWOOD EQUITY PARTNER
549300CUY0F1TYDLDL45
Crestwood Equity Partners LP
226344307
750000.00000000
NS
USD
6825000.00000000
0.850802715186
Long
EP
CORP
US
N
1
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
3200000.00000000
PA
USD
313440.77000000
0.039073444419
Long
DBT
CORP
KY
N
2
2024-02-08
Fixed
6.35000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2234320.00000000
PA
USD
-2234320.00000000
-0.27852974690
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.00000000
2030-07-31
5000000.00000000
USD
2080298.54000000
USD
N
N
N
SARAT 2013-1A F1R3
N/A
SARAT 2013-1A F1R3
000000000
4000000.00000000
PA
USD
3774816.00000000
0.470567575403
Long
DBT
CORP
US
N
2
2033-04-20
Floating
0.01000000
N
N
N
N
N
N
AUTOKINITON US HOLDINGS
254900EHNKMJ1OSEZL85
Autokiniton US Holdings Inc
05278HAB2
3970000.00000000
PA
USD
3682175.00000000
0.459018972570
Long
LON
CORP
US
N
2
2028-04-06
Floating
6.29000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-LUAU
36256AAS1
5000000.00000000
PA
USD
4686509.00000000
0.584218986365
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
5.77400000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAE6
4940000.00000000
PA
USD
4566031.13000000
0.569200246597
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
5.02357000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-ADV
12660WAS4
8350000.00000000
PA
USD
8135290.61000000
1.014143199973
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
7.57500000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBE9
20000000.00000000
PA
USD
11753033.60000000
1.465130095026
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
6.87500000
N
N
N
N
N
N
MOUNTAIN PROVINCE DIAMON
549300Y5548SJTH51N28
Mountain Province Diamonds Inc
62426EAA3
4503000.00000000
PA
USD
4324703.72000000
0.539116434776
Long
DBT
CORP
CA
N
2
2022-12-15
Fixed
8.00000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAW2
3000000.00000000
PA
USD
2213250.00000000
0.275903166210
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.95000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BK2
5000000.00000000
PA
USD
3377961.30000000
0.421095772283
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N
CRESCENT ENERGY FINANCE
54930061FUL6DBLFUW14
Crescent Energy Finance LLC
45344LAA1
3375000.00000000
PA
USD
3077510.63000000
0.383641670332
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.25000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
6300000.00000000
PA
USD
4281133.50000000
0.533684982545
Long
DBT
CORP
AR
N
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
B3 SA-BRASIL BOLSA BALCA
4GTK5S46E6H318LMDS44
B3 SA - Brasil Bolsa Balcao
11778EAA4
2200000.00000000
PA
USD
1813350.00000000
0.226051736788
Long
DBT
CORP
BR
N
2
2031-09-20
Fixed
4.12500000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
3500000.00000000
PA
USD
2327500.00000000
0.290145541332
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
US 10YR ULTRA
000000000
33.00000000
NC
USD
-35479.13000000
-0.00442281906
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
2022-09-21
4238854.13000000
USD
-35479.13000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
969421.99000000
0.120847891758
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-11000000.00000000
GBP
14363824.26000000
USD
2022-07-19
969421.99000000
N
N
N
PROSPECT CAPITAL CORP
549300FSD8T39P5Q0O47
Prospect Capital Corp
74348T565
100000.00000000
NS
USD
1866000.00000000
0.232615072020
Long
EP
CORP
US
N
1
N
N
N
LIBERTY INTERACTIVE LLC
549300SZUIU7Z32Q0664
Liberty Interactive LLC
530715AJ0
3211000.00000000
PA
USD
2136776.01000000
0.266369938615
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
8.25000000
N
N
N
N
N
N
PAR PHARMACEUTICAL INC
549300KK5WR4MGN4YT97
Par Pharmaceutical Inc
69888XAA7
4000000.00000000
PA
USD
3052600.00000000
0.380536317710
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
STRATHCONA RESOURCES
549300ZPS06QWKX6NG96
Strathcona Resources Ltd
86304TAA6
5000000.00000000
PA
USD
4556975.00000000
0.568071311800
Long
DBT
CORP
CA
N
2
2026-08-01
Fixed
6.87500000
N
N
N
N
N
N
MINERVA MERGER SUB INC
N/A
Minerva Merger Sub Inc
60337JAA4
2340000.00000000
PA
USD
1952835.30000000
0.243439937809
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
6.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36266CAS5
5000000.00000000
PA
USD
4737162.50000000
0.590533438429
Long
ABS-MBS
CORP
US
N
2
2026-11-15
Floating
7.25720100
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
-42.00000000
NC
USD
45028.20000000
0.005613203636
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
2022-09-21
-5867278.20000000
USD
45028.20000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-1888130.84000000
PA
USD
-1888130.84000000
-0.23537389674
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.00000000
2032-03-26
3200000.00000000
USD
1557632.00000000
USD
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBQ1
1580000.00000000
PA
USD
1418383.54000000
0.176815321173
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.84446300
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
1609000.00000000
PA
USD
1047896.07000000
0.130630450049
Long
DBT
NUSS
EC
N
2
2030-07-31
Variable
5.00000000
N
N
N
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
3100000.00000000
PA
USD
1077250.00000000
0.134289703287
Long
DBT
CORP
KY
N
2
2024-04-09
Fixed
7.37500000
N
N
N
N
N
N
PLASTICS MANAGEMENT LLC
N/A
Plastics Management LLC
000000000
4948926.93000000
PA
USD
4441008.36000000
0.553614940784
Long
LON
CORP
US
N
3
2027-08-17
Floating
6.61230000
N
N
N
N
N
N
LTR INTERMEDIATE HOLDING
549300J0IFHJE2TQGX07
LTR Intermediate Holdings Inc
50219UAB1
4950000.00000000
PA
USD
4554000.00000000
0.567700449078
Long
LON
CORP
US
N
2
2028-05-07
Floating
6.29000000
N
N
N
N
N
N
HIGHLAND HOLDINGS BOND
N/A
Highlands Holdings Bond Issuer Ltd / Highlands Holdings Bond Co-Issuer Inc
43103QAA6
10094427.00000000
PA
USD
9763683.10000000
1.217138181933
Long
DBT
CORP
N/A
N
2
2025-10-15
Fixed
7.62500000
N
N
N
N
N
N
PLAINS ALL AMERICAN PIPE
5521FA2ITF25TVH63740
Plains All American Pipeline LP
726503AE5
10000000.00000000
PA
USD
7200000.00000000
0.897550117119
Long
DBT
CORP
US
N
2
N/A
Fixed
6.12500000
N
N
N
N
N
N
PENN VIRGINIA HOLDING LL
6XOCUKRR0UU0LF5P1W14
Penn Virginia Holdings LLC
70789PAA2
8000000.00000000
PA
USD
7687919.60000000
0.958374046859
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
9.25000000
N
N
N
N
N
N
SYMPLR SOFTWARE INC
N/A
Symplr Software Inc
87190HAC3
4937500.00000000
PA
USD
4690625.00000000
0.584732085849
Long
LON
CORP
US
N
2
2027-12-22
Floating
6.00500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/AUD FORWARD
000000000
1.00000000
NC
USD
-682548.30000000
-0.08508629258
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-10671695.64000000
USD
14470000.00000000
AUD
2022-07-19
-682548.30000000
N
N
N
VIRGIN PULSE INC
N/A
Virgin Pulse Inc
000000000
6500000.00000000
PA
USD
5606250.00000000
0.698873658902
Long
LON
CORP
US
N
2
2029-04-06
Floating
9.04000000
N
N
N
N
N
N
ACCELERATE360 HOLD LLC
N/A
Accelerate360 Holdings LLC
00456LAA0
4259550.00000000
PA
USD
4521618.94000000
0.563663834606
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
8.00000000
N
N
N
N
N
N
CB POLY US HOLDINGS INC
549300WD5JEKCROPPM83
CB Poly US Holdings Inc
12511PAB7
5000000.00000000
PA
USD
4734400.00000000
0.590189065901
Long
LON
CORP
US
N
2
2029-05-20
Floating
7.00680000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-9346.62000000
-0.00116514720
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-522087.05000000
USD
660000.00000000
CAD
2022-07-19
-9346.62000000
N
N
N
VIKING OCEAN CRUISES SHI
N/A
Viking Ocean Cruises Ship VII Ltd
92682RAA0
2000000.00000000
PA
USD
1579548.80000000
0.196906140338
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
5.62500000
N
N
N
N
N
N
HUARONG FINANCE 2017 CO
5493006V07LYI3HE6G83
Huarong Finance 2017 Co Ltd
000000000
1240000.00000000
PA
USD
1210550.00000000
0.150906846427
Long
DBT
CORP
VG
N
2
2023-07-03
Floating
2.28657000
N
N
N
N
N
N
National Collegiate Commutatio
N/A
National Collegiate VI 2007-4 Class A-3L Commutation Trust
63546VAA8
28176553.61000000
PA
USD
6177737.56000000
0.770115148682
Long
ABS-O
CORP
US
N
2
2038-03-29
Floating
1.51786000
N
N
N
N
N
N
VERTIV GROUP CORPORATION
549300ZT8RQ5VK10E643
Vertiv Group Corp
92535UAB0
3000000.00000000
PA
USD
2440380.00000000
0.304217132613
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.12500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-2
64829KBN9
2819937.44000000
PA
USD
2702393.99000000
0.336879728087
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
5.33753300
N
N
N
N
N
N
CSEMC 2020-1OTF A
N/A
CSEMC 2020-1OTF A
000000000
1117085.43000000
PA
USD
1092118.57000000
0.136143215334
Long
DBT
CORP
US
N
2
2024-08-09
Fixed
7.39000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AZ0
5000000.00000000
PA
USD
4525600.00000000
0.564160112504
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.50000000
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
6296943.27000000
0.784975301317
Long
ABS-CBDO
CORP
KY
N
2
2032-05-15
Floating
8.26129000
N
N
N
N
N
N
ALLEN MEDIA LLC
N/A
Allen Media LLC
01771JAG8
7424152.32000000
PA
USD
6651112.46000000
0.829125939923
Long
LON
CORP
US
N
2
2027-02-10
Floating
7.29000000
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
4742040.40000000
0.591141516167
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
10.50000000
N
N
N
N
N
N
LD HOLDINGS GROUP LLC
N/A
LD Holdings Group LLC
521088AC8
5400000.00000000
PA
USD
3299832.00000000
0.411356194177
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
6.12500000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAD9
13000000.00000000
PA
USD
11497005.00000000
1.433213636704
Long
DBT
CORP
US
N
2
2038-07-15
Fixed
7.50000000
N
N
N
N
N
N
GoldenTree Loan Management US
549300LOEERRNVSKVY31
Goldentree Loan Management US Clo 8 Ltd
38136QAJ8
7000000.00000000
PA
USD
5676116.74000000
0.707583228440
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
9.11271000
N
N
N
N
N
N
FULL HOUSE RESORTS INC
5493009DKIWW0H901Y82
Full House Resorts Inc
359678AC3
7000000.00000000
PA
USD
5604701.48000000
0.698680620804
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
8.25000000
N
N
N
N
N
N
HAWAIIAN BRAND INTELLECT
N/A
Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd
41984LAA5
1000000.00000000
PA
USD
898675.00000000
0.112028590486
Long
DBT
CORP
KY
N
2
2026-01-20
Fixed
5.75000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BA4
1000000.00000000
PA
USD
730230.00000000
0.091030280836
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.75000000
N
N
N
N
N
N
FIRST BRANDS GROUP LLC
N/A
First Brands Group LLC
31935HAF4
5390000.00000000
PA
USD
5239538.15000000
0.653159455581
Long
LON
CORP
US
N
2
2028-03-30
Floating
10.29000000
N
N
N
N
N
N
CORECIVIC INC
529900JFA3K6PTLT8B15
CoreCivic Inc
21871NAB7
11596000.00000000
PA
USD
11329987.76000000
1.412393311243
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
8.25000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAX4
6590000.00000000
PA
USD
6196132.83000000
0.772408298229
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
5.32500000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
100000000.00000000
PA
3370446.39000000
0.420158965567
Long
DBT
NUSS
N/A
N
3
2022-07-08
Fixed
15.25000000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAQ6
4455441.44000000
PA
USD
4050684.19000000
0.504957231826
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
5.37247600
N
N
N
N
N
N
AKUMIN ESCROW INC
N/A
Akumin Escrow Inc
01021FAB5
7395000.00000000
PA
USD
5285568.71000000
0.658897613153
Long
DBT
CORP
CA
N
2
2028-08-01
Fixed
7.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
JPY CALL VERSUS USD PUT
000000000
5908669.00000000
NC
USD
5276.99000000
0.000657828193
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
JPY
N/A
USD
2022-09-21
5908669.00000000
USD
113.00000000
USD
2022-09-21
XXXX
-30027.31000000
N
N
N
GLOBAL MEDICAL RESPONSE
549300ZFWD4ZFCEJCQ87
Global Medical Response Inc
00169QAF6
4949748.76000000
PA
USD
4617199.89000000
0.575578930837
Long
LON
CORP
US
N
2
2025-10-02
Floating
6.04000000
N
N
N
N
N
N
REDSTONE HOLDCO 2 LP
N/A
Redstone Holdco 2 LP
75774EAG0
6965000.00000000
PA
USD
6036356.55000000
0.752490628948
Long
LON
CORP
US
N
2
2028-04-27
Floating
6.54000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DX0
4610000.00000000
PA
USD
4626135.00000000
0.576692779313
Long
DBT
CORP
US
N
2
2096-11-01
Fixed
7.50000000
N
N
N
N
N
N
BED BATH & BEYOND INC
529900ZBUWWUV7BKGX39
Bed Bath & Beyond Inc
075896AB6
2000000.00000000
PA
USD
682950.00000000
0.085136368400
Long
DBT
CORP
US
N
2
2034-08-01
Fixed
4.91500000
N
N
N
N
N
N
BATH & BODY WORKS INC
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
532716AN7
3000000.00000000
PA
USD
2432092.44000000
0.303184007551
Long
DBT
CORP
US
N
2
2037-07-15
Fixed
7.60000000
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HO
N/A
Clear Channel Outdoor Holdings Inc
18453HAD8
6000000.00000000
PA
USD
4332180.00000000
0.540048425886
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KFH7
5000000.00000000
PA
USD
4173147.00000000
0.520223413695
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
7.17566000
N
N
N
N
N
N
CLUBCORP HOLDINGS INC
549300XWSO7KBICXNW37
ClubCorp Holdings Inc
18948TAB9
7422077.92000000
PA
USD
6868094.02000000
0.856174804449
Long
LON
CORP
US
N
2
2024-09-18
Floating
3.88630000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-KF117 Mortgage Trust
30320YAE5
9276663.31000000
PA
USD
9266770.21000000
1.155193151014
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Floating
7.11920000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
20338QAA1
7419000.00000000
PA
USD
5883192.81000000
0.733397277173
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
8.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336V308
501254.00000000
NS
USD
18797025.00000000
2.343232220867
Long
EP
CORP
US
N
3
N
N
N
VISTAJET MALTA/XO MGMT
N/A
VistaJet Malta Finance PLC / XO Management Holding Inc
92840JAB5
3650000.00000000
PA
USD
2929636.00000000
0.365207657627
Long
DBT
CORP
N/A
N
2
2030-02-01
Fixed
6.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NOK/USD FORWARD
000000000
1.00000000
NC
USD
-1913650.23000000
-0.23855513723
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-19379862.26000000
USD
171980000.00000000
NOK
2022-07-19
-1913650.23000000
N
N
N
GHANA NOTES
213800PP4399SNNXZ126
Ghana Treasury Note
000000000
19020000.00000000
PA
2339390.56000000
0.291627815432
Long
DBT
NUSS
GH
N
2
2022-10-03
Fixed
18.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL2Trust
12656TAG3
6233900.00000000
PA
USD
4444279.16000000
0.554022677856
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
3.43700000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
5593000.00000000
PA
USD
2337414.09000000
0.291381429199
Long
DBT
NUSS
EC
N
2
2030-07-31
None
0.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
9842000.00000000
PA
USD
8470532.36000000
1.055934348858
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300V7DN3VJ8H1GE96
Anchorage Capital CLO 3-R Ltd
03330BAA8
3625000.00000000
PA
USD
2998329.95000000
0.373771027470
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
6.73814000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2222476.80000000
PA
USD
-2222476.80000000
-0.27705337668
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.00000000
2034-01-23
3200000.00000000
USD
2006224.00000000
USD
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
3 MONTH EURODOLLAR
000000000
453.00000000
NC
USD
-1810513.80000000
-0.22569817683
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
110881588.80000000
USD
-1810513.80000000
N
N
N
LOGMEIN INC
549300D12V5KRBV00592
LogMeIn Inc
541056AA5
6974000.00000000
PA
USD
4872317.45000000
0.607381819151
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
5.50000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300F7COUCG1RROP29
Magnetite XXVI Ltd
55955CAE2
6750000.00000000
PA
USD
5694848.96000000
0.709918382086
Long
ABS-CBDO
CORP
KY
N
2
2034-07-25
Floating
7.13400000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
1660000000.00000000
PA
3384537.52000000
0.421915562148
Long
DBT
NUSS
N/A
N
2
2023-06-14
Fixed
8.25000000
N
N
N
N
N
N
EYECARE PARTNERS LLC
254900ZAACWK09RJ8W93
Eyecare Partners LLC
30233PAK6
2590000.00000000
PA
USD
2469137.65000000
0.307802053741
Long
LON
CORP
US
N
2
2029-11-15
Floating
8.27340000
N
N
N
N
N
N
XPO CNW INC
N/A
XPO CNW Inc
12612WAB0
3280000.00000000
PA
USD
3089607.81000000
0.385149701627
Long
DBT
CORP
US
N
2
2034-05-01
Fixed
6.70000000
N
N
N
N
N
N
EMPIRE TODAY LLC
N/A
Empire Today LLC
29210RAB1
2475000.00000000
PA
USD
1931737.50000000
0.240809891579
Long
LON
CORP
US
N
2
2028-04-01
Floating
6.79000000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
2520000.00000000
PA
USD
2463300.00000000
0.307074333819
Long
DBT
CORP
VG
N
2
2023-02-24
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBE4
5000000.00000000
PA
USD
4278771.00000000
0.533390473913
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
6.57566000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2274306.13000000
PA
USD
-2274306.13000000
-0.28351440740
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.93000000
2026-07-06
3200000.00000000
USD
2681440.00000000
USD
N
N
N
VT TOPCO INC
5493007T812R37X02Y38
VT Topco Inc
91838LAE0
2700000.00000000
PA
USD
2551500.00000000
0.318069322754
Long
LON
CORP
US
N
3
2026-08-10
Floating
8.39160000
N
N
N
N
N
N
TCI-Symphony CLO
5493005WLG3H3B8NI222
TCI-Symphony CLO 2016-1 Ltd
87230XAD8
3500000.00000000
PA
USD
3218188.50000000
0.401178536817
Long
ABS-CBDO
CORP
KY
N
2
2032-10-13
Floating
7.77143000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
AUD/USD FORWARD
000000000
1.00000000
NC
USD
131267.54000000
0.016363777208
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-4550000.00000000
AUD
3272291.75000000
USD
2022-07-19
131267.54000000
N
N
N
SPENCER SPIRIT IH LLC
N/A
Spencer Spirit IH LLC
84823UAB8
8858123.98000000
PA
USD
8752933.76000000
1.091138433531
Long
LON
CORP
US
N
2
2026-06-19
Floating
8.09590000
N
N
N
N
N
N
TRANSPORT DE GAS DEL SUR
5299002TRC7IFQYSW596
Transportadora de Gas del Sur SA
893870AX3
5250000.00000000
PA
USD
4631182.50000000
0.577321999343
Long
DBT
CORP
AR
N
2
2025-05-02
Fixed
6.75000000
N
N
N
N
N
N
TRIUMPH GROUP INC
5493007L6S47Q14SL582
Triumph Group Inc
896818AP6
5000000.00000000
PA
USD
3856975.00000000
0.480809494857
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
7.75000000
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VB2
4784076.03000000
PA
USD
4989852.54000000
0.622033712734
Long
ABS-MBS
CORP
US
N
2
2043-05-25
Floating
13.37357000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 29 Ltd
50201LAE5
2000000.00000000
PA
USD
1696567.00000000
0.211493598548
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
7.87429000
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
685137.50000000
0.085409061578
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
13.00000000
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
9838365.00000000
1.226448008057
Long
ABS-MBS
CORP
US
N
2
2026-06-15
Floating
8.57400000
N
N
N
N
N
N
Marathon CLO LTD
N/A
Marathon CLO XIII Ltd
56579AAQ3
4625000.00000000
PA
USD
4450044.70000000
0.554741408565
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
5.11429000
N
N
N
N
N
N
KNIGHT HEALTH HOLDINGS L
N/A
Knight Health Holdings LLC
49902TAB8
4975000.00000000
PA
USD
4129250.00000000
0.514751225154
Long
LON
CORP
US
N
3
2028-12-23
Floating
6.87360000
N
N
N
N
N
N
Greywolf CLO Ltd
5493006V5AX99BBCEZ73
GREYWOLF CLO VI Ltd
39809HAA1
3800000.00000000
PA
USD
3297033.77000000
0.411007367556
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
6.96371000
N
N
N
N
N
N
TURK IHRACAT KR
789000JVRVYLAXGDWR11
Turkiye Ihracat Kredi Bankasi AS
90016LAA4
3200000.00000000
PA
USD
2681440.00000000
0.334267609173
Long
DBT
NUSS
TR
N
2
2026-07-06
Fixed
5.75000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAE0
3000000.00000000
PA
USD
2293110.00000000
0.285858492926
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
6.50000000
N
N
N
N
N
N
GRANITE POINT MTGE TRST
529900VX2HQZ76AYIE02
Granite Point Mortgage Trust Inc
38741L305
170333.00000000
NS
USD
3576993.00000000
0.445907011956
Long
EP
CORP
US
N
1
N
N
N
DCP MIDSTREAM LP
52990024YYS3MLGW0E91
DCP Midstream LP
23311PAA8
8115000.00000000
PA
USD
7149427.07000000
0.891245708891
Long
DBT
CORP
US
N
2
N/A
Fixed
7.37500000
N
N
N
N
N
N
MONITRONICS INTERNATIONA
SCAKOG18M6QWWML8YF46
Monitronics International Inc
60945HAB0
7524857.06000000
PA
USD
4991501.06000000
0.622239216806
Long
LON
CORP
US
N
2
2024-03-29
Floating
9.29000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-3
35563PGW3
9575158.83000000
PA
USD
3789158.45000000
0.472355501469
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
1.64306300
N
N
N
N
N
N
GEO GROUP INC/THE
54930024XOXET7NQVZ63
GEO Group Inc/The
36162JAB2
6048000.00000000
PA
USD
4935924.00000000
0.615310995040
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
6.00000000
N
N
N
N
N
N
DCERT BUYER INC
549300EF826JEEUCHZ67
Dcert Buyer Inc
000000000
500000.00000000
PA
USD
467500.00000000
0.058278427743
Long
LON
CORP
US
N
3
2029-02-16
Floating
8.61230000
N
N
N
N
N
N
NSG HOLDINGS LLC/NSG HLD
N/A
NSG Holdings LLC / NSG Holdings Inc
62940QAA3
3386980.91000000
PA
USD
3337530.99000000
0.416055740411
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
7.75000000
N
N
N
N
N
N
GREYSTONE SELECT FINANCI
N/A
Greystone Select Financial LLC
39808KAB3
3467592.59000000
PA
USD
3198854.16000000
0.398768323049
Long
LON
CORP
US
N
2
2028-06-17
Floating
6.61230000
N
N
N
N
N
N
MCLAREN FINANCE PLC
213800BKPDWMWX3GSG36
Mclaren Finance PLC
58175LAA8
9000000.00000000
PA
USD
6712110.00000000
0.836729877308
Long
DBT
CORP
GB
N
2
2026-08-01
Fixed
7.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
52542.91000000
0.006549985420
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
0.00000000
USD
-638.91000000
USD
-3263000.00000000
USD
53181.82000000
N
N
N
RVR DEALERSHIP HOLDINGS
N/A
RVR Dealership Holdings LLC
75001CAB0
2962612.41000000
PA
USD
2513272.99000000
0.313303953684
Long
LON
CORP
US
N
2
2028-02-08
Floating
5.25680000
N
N
N
N
N
N
MIDCAP FINANCIAL
N/A
Midcap Financial Issuer Trust
59590AAA7
6250000.00000000
PA
USD
4886718.75000000
0.609177081443
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.62500000
N
N
N
N
N
N
RADIOLOGY PARTNERS INC
549300SFTAG2177WUZ08
Radiology Partners Inc
75041VAA2
7100000.00000000
PA
USD
5342608.00000000
0.666008116128
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
9.25000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAD8
3000000.00000000
PA
USD
1945905.00000000
0.242576008424
Long
DBT
CORP
KY
N
2
2027-10-01
Fixed
5.50000000
N
N
N
N
N
N
CINEMARK USA INC
54930008H2137JSCPQ09
Cinemark USA Inc
172441BF3
2500000.00000000
PA
USD
2013100.00000000
0.250952519551
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.25000000
N
N
N
N
N
N
STONEMOR INC
N/A
StoneMor Inc
86184WAA4
12000000.00000000
PA
USD
10682340.00000000
1.331657710848
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
8.50000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAW5
3500000.00000000
PA
USD
2960720.00000000
0.369082580938
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
AFC GAMMA INC
5493005G0MGS3E0E7218
AFC Gamma Inc
00109KAA3
5000000.00000000
PA
USD
4389305.20000000
0.547169638379
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.75000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust
63875JAN8
3500000.00000000
PA
USD
3369543.10000000
0.420046361672
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
6.47165000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2069419.73000000
PA
USD
-2069419.73000000
-0.25797332236
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.00000000
2033-02-22
2600000.00000000
USD
2172453.14000000
USD
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
MXN/USD FORWARD
000000000
1.00000000
NC
USD
28746.22000000
0.003583496267
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-90400000.00000000
MXN
4508695.47000000
USD
2022-07-19
28746.22000000
N
N
N
WP CPP HOLDINGS LLC
549300HT8KGOLU7VM426
WP CPP Holdings LLC
92937JAM5
3733036.69000000
PA
USD
3137094.71000000
0.391069406163
Long
LON
CORP
US
N
2
2025-04-30
Floating
5.08490000
N
N
N
N
N
N
River Haus 2021
N/A
River Haus 2021
000000000
8500000.00000000
PA
USD
8498997.85000000
1.059482849397
Long
DBT
CORP
US
N
3
2024-08-15
Fixed
6.95000000
N
N
N
N
N
N
IDEAL STANDARD INTL SA
5299004EW24BCHXOHD09
Ideal Standard International SA
000000000
6760000.00000000
PA
4375215.69000000
0.545413243747
Long
DBT
CORP
LU
N
2
2026-07-30
Fixed
6.37500000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HBE4
2225000.00000000
PA
USD
1931492.46000000
0.240779344956
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
6.87357000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
Wind River 2021-4 CLO Ltd
97316VAC0
2450000.00000000
PA
USD
1753809.37000000
0.218629417423
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
7.32271000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BK2
2000000.00000000
PA
USD
2026390.04000000
0.252609252462
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
8.00000000
N
N
N
N
N
N
Maps LTD
N/A
MAPS 2021-1 Trust
55292RAC5
3316977.00000000
PA
USD
2303017.60000000
0.287093571751
Long
ABS-O
CORP
US
N
2
2046-06-15
Fixed
5.43700000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
Altice France Holding SA
02156TAB0
5000000.00000000
PA
USD
4205300.00000000
0.524231598267
Long
DBT
CORP
LU
N
2
2027-05-15
Fixed
10.50000000
N
N
N
N
N
N
BERRY PETROLEUM CO LLC
DQ2XTZKV7SILNNV77403
Berry Petroleum Co LLC
08580BAA4
6022000.00000000
PA
USD
5307158.49000000
0.661588989482
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAP0
3000000.00000000
PA
USD
2127840.00000000
0.265255977946
Long
DBT
CORP
KY
N
2
2029-03-08
Variable
3.10000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/AUD FORWARD
000000000
1.00000000
NC
USD
381408.60000000
0.047546296333
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-8255000.00000000
AUD
6080123.96000000
USD
2022-07-19
381408.60000000
N
N
N
FIVE POINT OP CO LP/FIVE
N/A
Five Point Operating Co LP / Five Point Capital Corp
33834YAA6
8000000.00000000
PA
USD
6721040.00000000
0.837843088772
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
7.87500000
N
N
N
N
N
N
2022-08-18
Western Asset Diversified Income Fund
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer