0001752724-23-181666.txt : 20230818
0001752724-23-181666.hdr.sgml : 20230818
20230818130921
ACCESSION NUMBER: 0001752724-23-181666
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230630
FILED AS OF DATE: 20230818
DATE AS OF CHANGE: 20230818
PERIOD START: 20231231
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: 231185001
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
2023-12-31
2023-06-30
N
1166512850.72
384677171.87
781835678.85
0.00000000
0.00000000
358000000.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
5000000.00000000
0.00000000
0.00000000
15907265.75000000
GBP
USD
N
STONEMOR INC
N/A
StoneMor Inc
86184WAA4
6500000.00000000
PA
USD
5490225.00000000
0.702222365711
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
8.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
89801.73000000
0.011486010734
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-138080000.00000000
JPY
1049451.45000000
USD
2023-07-18
89801.73000000
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229BD7
4000000.00000000
PA
USD
3842059.20000000
0.491415178909
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
6.62500000
N
N
N
N
N
N
MCLAREN FINANCE PLC
213800BKPDWMWX3GSG36
Mclaren Finance PLC
58175LAA8
2740000.00000000
PA
USD
2350851.50000000
0.300683578863
Long
DBT
CORP
GB
N
2
2026-08-01
Fixed
7.50000000
N
N
N
N
N
N
FIRST BRANDS GROUP LLC
N/A
First Brands Group LLC
31935HAD9
5889824.51000000
PA
USD
5781245.60000000
0.739445097786
Long
LON
CORP
US
N
2
2027-03-30
Floating
10.01420000
N
N
N
N
N
N
MAGNOLIA FINANCE X DAC 2019-1
213800FNSN9L4EI3LC40
Credit Suisse European Mortgage Capital Ltd
55960WAB7
1990200.00000000
PA
USD
1922758.03000000
0.245928662763
Long
ABS-O
CORP
IE
N
2
2024-08-09
Floating
8.19914000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EBA5
3000000.00000000
PA
USD
2658571.50000000
0.340042232903
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.12500000
N
N
N
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AP1
7000000.00000000
PA
USD
5703644.80000000
0.729519636196
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
141.00000000
NC
USD
-228633.60000000
-0.02924317809
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
34059821.10000000
USD
-228633.60000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2564340.00000000
PA
USD
-2564340.00000000
-0.32798963636
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.40000000
2029-03-08
3000000.00000000
USD
2502873.30000000
USD
CDS
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AU9
7000000.00000000
PA
USD
7182910.00000000
0.918723741357
Long
DBT
CORP
CA
N
2
2031-06-01
Fixed
8.62500000
N
N
N
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
035198AF7
3500000.00000000
PA
USD
2954262.50000000
0.377862328353
Long
DBT
NUSS
AO
N
2
2032-04-14
Fixed
8.75000000
N
N
N
N
N
N
GRANITE POINT MTGE TRST
529900VX2HQZ76AYIE02
Granite Point Mortgage Trust Inc
38741L305
159100.00000000
NS
USD
2798569.00000000
0.357948489139
Long
EP
CORP
US
N
1
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL2Trust
12656TAG3
6233900.00000000
PA
USD
3769007.21000000
0.482071528833
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
3.56070400
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
4729124.80000000
0.604874518767
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
10.50000000
N
N
N
N
N
N
Elmwood CLO II Ltd.
N/A
Elmwood CLO II Ltd
29001RAC2
4600000.00000000
PA
USD
3370653.46000000
0.431120445277
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01000000
N
N
N
N
N
N
LD HOLDINGS GROUP LLC
N/A
LD Holdings Group LLC
521088AA2
5000000.00000000
PA
USD
3951500.00000000
0.505413107497
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
6.50000000
N
N
N
N
N
N
CRESCENT ENERGY FINANCE
54930061FUL6DBLFUW14
Crescent Energy Finance LLC
45344LAC7
3710000.00000000
PA
USD
3603356.05000000
0.460884063937
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
9.25000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
-74082000.00000000
NC
USD
-163881.50000000
-0.02096111810
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Call
Written
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2028-06-20
0.00000000
USD
0.00000000
USD
0.00000000
USD
-74082000.00000000
USD
70.00000000
USD
2023-09-20
XXXX
-67574.90000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
-339.00000000
NC
USD
1341643.03000000
0.171601663404
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
2023-09-29
-70275174.28000000
USD
1341643.03000000
N
N
N
GEO GROUP INC/THE
54930024XOXET7NQVZ63
GEO Group Inc/The
37252KAR3
2293993.74000000
PA
USD
2333186.62000000
0.298424168033
Long
LON
CORP
US
N
2
2027-03-23
Floating
12.20130000
N
N
N
N
N
N
VICTORIA PLC
2138002K6ECECHVCQN25
Victoria PLC
000000000
2970000.00000000
PA
2679789.42000000
0.342756092167
Long
DBT
CORP
GB
N
2
2026-08-24
Fixed
3.62500000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
3200000.00000000
PA
USD
184000.00000000
0.023534357023
Long
DBT
CORP
KY
N
2
2024-02-08
Fixed
6.35000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RG8
2000000.00000000
PA
USD
1977500.00000000
0.252930385948
Long
DBT
CORP
US
N
2
N/A
Variable
5.90000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2015-P1
17324DAA2
2000000.00000000
PA
USD
1562596.40000000
0.199862508487
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
3.22500000
N
N
N
N
N
N
PARK-OHIO INDUSTRIES INC
5493006LQUO5SLMNYM18
Park-Ohio Industries Inc
700677AR8
7500000.00000000
PA
USD
6636000.00000000
0.848771702227
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
6.62500000
N
N
N
N
N
N
CRESTWOOD EQUITY PARTNER
549300CUY0F1TYDLDL45
Crestwood Equity Partners LP
226344307
750000.00000000
NS
USD
6900000.00000000
0.882538388392
Long
EP
CORP
US
N
1
N
N
N
Greenwood Park CLO, Ltd
N/A
Greenwood Park CLO Ltd
39729TAA2
1570000.00000000
PA
USD
1271745.35000000
0.162661462555
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
10.21029000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
4500000.00000000
PA
USD
3355463.25000000
0.429177554922
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
XPO CNW INC
N/A
XPO CNW Inc
12612WAB0
3992000.00000000
PA
USD
3986770.48000000
0.509924347001
Long
DBT
CORP
US
N
2
2034-05-01
Fixed
6.70000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRL/USD FORWARD
000000000
1.00000000
NC
USD
24436.58000000
0.003125539120
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-556286.64000000
USD
2790000.00000000
BRL
2023-07-18
24436.58000000
N
N
N
Symphony CLO Ltd
5493005CJY0RF4FJJP54
Symphony CLO XXI Ltd
87167CAW9
2800000.00000000
PA
USD
2539900.00000000
0.324863659808
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
11.86029000
N
N
N
N
N
N
AUTOKINITON US HOLDINGS
254900EHNKMJ1OSEZL85
Autokiniton US Holdings Inc
05278HAB2
3920000.00000000
PA
USD
3903830.00000000
0.499315918370
Long
LON
CORP
US
N
2
2028-04-06
Floating
9.70500000
N
N
N
N
N
N
CNTRL PARENT/CDK GLB INC
N/A
Central Parent Inc / CDK Global Inc
15477CAA3
2000000.00000000
PA
USD
1979621.20000000
0.253201696155
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
7.25000000
N
N
N
N
N
N
FOOT LOCKER INC
549300X383CBNP6MTV94
Foot Locker Inc
344849AA2
3000000.00000000
PA
USD
2261851.77000000
0.289300147228
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.00000000
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
4162716.23000000
0.532428532312
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
13.13043000
N
N
N
N
N
N
BSREP Commercial Mortgage Trus
N/A
BSREP Commercial Mortgage Trust 2021-DC
05591UAQ0
18664000.00000000
PA
USD
14049529.44000000
1.796992618789
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
10.69400000
N
N
N
N
N
N
KNDR Trust 2021-KIND
N/A
KIND Trust 2021-KIND
482606AS9
7446183.88000000
PA
USD
6794741.82000000
0.869075434110
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
9.21148000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-NYCH
90266HAQ5
6000000.00000000
PA
USD
5619783.00000000
0.718793366947
Long
ABS-MBS
CORP
US
N
2
2032-02-15
Floating
9.01400000
N
N
N
N
N
N
GEN DIGITAL INC
YF6ZV0M6AU4FY94MK914
Gen Digital Inc
668771AL2
2500000.00000000
PA
USD
2506435.00000000
0.320583348624
Long
DBT
CORP
US
N
2
2030-09-30
Fixed
7.12500000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
Altice France Holding SA
02156TAB0
9000000.00000000
PA
USD
5460165.00000000
0.698377568037
Long
DBT
CORP
LU
N
2
2027-05-15
Fixed
10.50000000
N
N
N
N
N
N
SOHO Trust 2021-SOHO
N/A
Soho Trust 2021-SOHO
83410JAJ7
7000000.00000000
PA
USD
4184411.70000000
0.535203472186
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Variable
2.78647500
N
N
N
N
N
N
SOLRR Aircraft 2021-1 Limited
N/A
Lunar 2021-1 Structured Aircraft Portfolio Notes
83438LAC5
5599313.11000000
PA
USD
4822698.46000000
0.616842974868
Long
ABS-O
CORP
IE
N
2
2046-10-15
Fixed
5.68200000
N
N
N
N
N
N
CSEMC 2020-1OTF A
N/A
CSEMC 2020-1OTF A
000000000
1093567.84000000
PA
USD
1055424.19000000
0.134993096190
Long
DBT
CORP
US
N
2
2024-08-09
Fixed
7.38970700
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/CNH FORWARD
000000000
1.00000000
NC
USD
-52305.51000000
-0.00669008992
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-1935425.02000000
USD
13670000.00000000
CNY
2023-07-18
-52305.51000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
-247.00000000
NC
USD
323518.80000000
0.041379385560
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
-58763718.80000000
USD
323518.80000000
N
N
N
Marathon CLO LTD
N/A
Marathon CLO XIII Ltd
56579AAQ3
4625000.00000000
PA
USD
4167382.99000000
0.533025430117
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
9.33029000
N
N
N
N
N
N
DIRECTV FIN LLC/COINC
N/A
Directv Financing LLC / Directv Financing Co-Obligor Inc
25461LAA0
12000000.00000000
PA
USD
10881722.40000000
1.391817065192
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.87500000
N
N
N
N
N
N
GEO GROUP INC/THE
54930024XOXET7NQVZ63
GEO Group Inc/The
36162JAD8
6048000.00000000
PA
USD
5957159.04000000
0.761945150515
Long
DBT
CORP
US
N
2
2028-12-31
Fixed
9.50000000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
5550000.00000000
PA
USD
259093.04000000
0.033139065792
Long
DBT
CORP
KY
N
2
2024-10-30
Fixed
8.37500000
Y
N
N
N
N
N
DCERT BUYER INC
549300EF826JEEUCHZ67
Dcert Buyer Inc
24022KAJ8
500000.00000000
PA
USD
460835.00000000
0.058942692494
Long
LON
CORP
US
N
2
2029-02-16
Floating
12.15660000
N
N
N
N
N
N
CA MAGNUM HOLDINGS
549300ZRDHFR078MFZ78
CA Magnum Holdings
12674CAA1
1500000.00000000
PA
USD
1346794.31000000
0.172260533310
Long
DBT
CORP
MU
N
2
2026-10-31
Fixed
5.37500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-9737.08000000
-0.00124541259
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-1450000.00000000
CAD
1085116.54000000
USD
2023-07-18
-9737.08000000
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2022-1
35563PC80
5000000.00000000
PA
USD
3954276.50000000
0.505768233270
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Variable
4.50000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAN0
3943000.00000000
PA
USD
3832401.22000000
0.490179883532
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
7.99348000
N
N
N
N
N
N
GREYSTONE SELECT FINANCI
N/A
Greystone Select Financial LLC
39808KAB3
3424382.71000000
PA
USD
3253163.57000000
0.416093004963
Long
LON
CORP
US
N
2
2028-06-17
Floating
10.51000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AZ0
5000000.00000000
PA
USD
4046928.50000000
0.517618805265
Long
DBT
CORP
US
N
2
2029-02-01
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
5711184.41000000
0.730483983335
Long
ABS-O
CORP
US
N
2
2052-06-25
Fixed
0.00000100
N
N
N
N
N
N
SPENCER SPIRIT IH LLC
N/A
Spencer Spirit IH LLC
84823UAB8
8594037.27000000
PA
USD
8514241.63000000
1.089006534278
Long
LON
CORP
US
N
2
2026-06-19
Floating
11.51000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2020-2A
64830XCJ6
4667375.07000000
PA
USD
4310525.31000000
0.551333921769
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Variable
5.33874700
N
N
N
N
N
N
Fortress Credit BSL Limited
N/A
Fortress Credit BSL XII Ltd
34963GAE8
5000000.00000000
PA
USD
4573702.12000000
0.584995318546
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
12.39029000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBL3
20000000.00000000
PA
USD
11937100.00000000
1.526804202330
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
6.12500000
N
N
N
N
N
N
TITAN INTERNATIONAL INC
254900CXRGBE7C4B5A06
Titan International Inc
88830MAM4
7000000.00000000
PA
USD
6551825.00000000
0.838005373410
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
7.00000000
N
N
N
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO 2017-2A Ltd
94952DAA0
3287000.00000000
PA
USD
2463437.21000000
0.315083754379
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
12.00043000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-3360805.00000000
PA
USD
-3360805.00000000
-0.42986078672
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.43000000
2032-04-14
3500000.00000000
USD
2954262.50000000
USD
N
N
N
XPO ESCROW SUB LLC
N/A
XPO Escrow Sub LLC
98379JAA3
1000000.00000000
PA
USD
1022730.61000000
0.130811452798
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
7.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-183788.11000000
-0.02350725542
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-89220000.00000000
MXN
5009702.95000000
USD
2023-07-18
-183788.11000000
N
N
N
AGL CLO 6 LTD
5493008ZSC34VKNPZN79
AGL CLO 6 LTD
00119WAE7
6990000.00000000
PA
USD
6265186.60000000
0.801343142745
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
11.75043000
N
N
N
N
N
N
Symphony CLO Ltd
54930054F3QGDZOYIH14
Symphony CLO XXVIII Ltd
87168DAC0
6045000.00000000
PA
USD
4156522.08000000
0.531636275043
Long
ABS-CBDO
CORP
KY
N
2
2050-10-23
Variable
0.01000000
N
N
N
N
N
N
CRESTWOOD MID PARTNER LP
N/A
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp
67421QAA0
600000.00000000
PA
USD
608727.93000000
0.077858806711
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
8.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DX0
8610000.00000000
PA
USD
8847851.25000000
1.131676577233
Long
DBT
CORP
US
N
2
2096-11-01
Fixed
7.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300GD7VLLBVPDNJ81
SMB Private Education Loan Trust 2015-C
78448R106
7570.00000000
PA
USD
2415387.64000000
0.308938016688
Long
ABS-O
CORP
US
N
2
2046-09-18
Fixed
0.00000100
N
N
N
N
N
N
SIZZLING PLATT/FIN CO
N/A
Sizzling Platter LLC / Sizzling Platter Finance Corp
830146AB2
7000000.00000000
PA
USD
6831300.00000000
0.873751375742
Long
DBT
CORP
US
N
2
2025-11-28
Fixed
8.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B27 Mortgage Trust
08163HBA5
5000000.00000000
PA
USD
2023189.50000000
0.258774260977
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
2.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300L45M7638EL0H21
GS Mortgage Securities Trust 2015-GC30
36250GAX3
2840000.00000000
PA
USD
2241558.32000000
0.286704531481
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
3.38400000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IT1PBTE7DAT80
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBE8
9482500.00000000
PA
USD
8699205.67000000
1.112664195984
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
9.81655000
N
N
N
N
N
N
RISING TIDE HOLDINGS INC
254900T03WM6VU0KWL83
RISING TIDE HOLDINGS INC
76770EAH0
6525895.35000000
PA
USD
3975379.67000000
0.508467415537
Long
LON
CORP
US
N
2
2028-06-01
Floating
6.08370000
N
N
Y
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXIX Ltd
09630LAE2
7000000.00000000
PA
USD
6156740.57000000
0.787472449333
Long
ABS-CBDO
CORP
KY
N
2
2034-07-25
Floating
12.11514000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2022-3 Ltd
69690CAJ2
2950000.00000000
PA
USD
2949125.20000000
0.377205246547
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
10.38632000
N
N
N
N
N
N
INDY US HOLDCO LLC
N/A
Indy US Holdco LLC
45674PAJ3
3367697.59000000
PA
USD
3196517.52000000
0.408847742111
Long
LON
CORP
US
N
2
2028-03-05
Floating
11.39700000
N
N
N
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
77313LAB9
1000000.00000000
PA
USD
783190.00000000
0.100173223247
Long
DBT
CORP
US
N
2
2033-10-15
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
147.00000000
NC
USD
208388.50000000
0.026653746514
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
2023-09-20
19815767.75000000
USD
208388.50000000
N
N
N
SEDGWICK CMS INC
549300BIN4DWJG5VWF64
Sedgwick Claims Management Services Inc
81527CAP2
1586025.00000000
PA
USD
1578967.19000000
0.201956399882
Long
LON
CORP
US
N
2
2028-02-24
Floating
8.83370000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-26535.20000000
-0.00339396125
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-7713000.00000000
EUR
8397634.65000000
USD
2023-07-18
-26535.20000000
N
N
N
VIRGIN PULSE INC
N/A
Virgin Pulse Inc
000000000
6500000.00000000
PA
USD
5399095.00000000
0.690566463779
Long
LON
CORP
US
N
2
2029-04-06
Floating
12.45500000
N
N
N
N
N
N
SMR 2022-IND Mortgage Trust
N/A
SMR 2022-IND Mortgage Trust
78458MAL8
2310034.66000000
PA
USD
2156809.14000000
0.275864762679
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
11.14699000
N
N
N
N
N
N
MULTIFAMILY CONNECTICUT AVENUE
5493002KQF9IH3CTQZ40
Multifamily Connecticut Avenue Securities Trust 2020-01
62548QAF8
2500000.00000000
PA
USD
2367635.75000000
0.302830353493
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
12.65043000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
11479094.00000000
PA
USD
10521048.81000000
1.345685429126
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
N
N
N
N
RJET 2023-1 A
N/A
RJET 2023-1 A
000000000
5000000.00000000
PA
USD
5000000.00000000
0.639520571298
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KBE7
7250000.00000000
PA
USD
6823132.33000000
0.872706697145
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
9.95043000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-3
35563PGW3
9479427.32000000
PA
USD
2879451.88000000
0.368293742265
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
2.07762000
N
N
N
N
N
N
FAGE INTL / FAGE USA
N/A
FAGE International SA / FAGE USA Dairy Industry Inc
30257WAA4
8000000.00000000
PA
USD
7574966.24000000
0.968869347474
Long
DBT
CORP
LU
N
2
2026-08-15
Fixed
5.62500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B27 Mortgage Trust
08163HAY4
5000000.00000000
PA
USD
2198622.00000000
0.281212799502
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
2.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
382043.91000000
0.048864987916
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
266801.64000000
USD
0.00000000
USD
-7530000.00000000
USD
115242.27000000
N
N
N
PECF USS INTERMEDIATE HO
254900DIL842DEXPYJ91
PECF USS Intermediate Holding III Corp
69291HAA3
5000000.00000000
PA
USD
2818150.00000000
0.360452979601
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-57337.31000000
-0.00733367784
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-5179774.31000000
USD
4690000.00000000
EUR
2023-07-18
-57337.31000000
N
N
N
River Haus 2021
N/A
River Haus 2021
000000000
8500000.00000000
PA
USD
8479896.74000000
1.084613681544
Long
DBT
CORP
US
N
3
2024-08-15
Fixed
6.95000000
N
N
N
N
N
N
EYECARE PARTNERS LLC
254900ZAACWK09RJ8W93
Eyecare Partners LLC
30233PAK6
2590000.00000000
PA
USD
1776740.00000000
0.227252355969
Long
LON
CORP
US
N
2
2029-11-15
Floating
12.08040000
N
N
N
N
N
N
EMPIRE TODAY LLC
254900NVZEWAL7SJT856
Empire Today LLC
29210RAB1
2456250.00000000
PA
USD
1957336.50000000
0.250351391340
Long
LON
CORP
US
N
2
2028-04-01
Floating
10.20500000
N
N
N
N
N
N
PLASTICS MANAGEMENT LLC
N/A
Plastics Management LLC
000000000
4930865.89000000
PA
USD
4669545.50000000
0.597254081173
Long
LON
CORP
US
N
3
2027-08-17
Floating
10.15660000
N
N
N
N
N
N
CARRIAGE PURCHASER INC
N/A
Carriage Purchaser Inc
14445LAA5
6000000.00000000
PA
USD
4531490.16000000
0.579596235191
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.87500000
N
N
N
N
N
N
Magnetite CLO Ltd
549300F7COUCG1RROP29
Magnetite XXVI Ltd
55955CAE2
6750000.00000000
PA
USD
6277318.95000000
0.802894920225
Long
ABS-CBDO
CORP
KY
N
2
2034-07-25
Floating
11.20514000
N
N
N
N
N
N
EQUINOX HOLDINGS INC
549300W05QKLNGQIIA73
Equinox Holdings Inc
29446CAR5
1167000.00000000
PA
USD
1094062.50000000
0.139935095007
Long
LON
CORP
US
N
2
2024-03-08
Floating
14.20500000
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC Inc
747262AZ6
9670000.00000000
PA
USD
5570983.70000000
0.712551735704
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
4.37500000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
USD CALL VERSUS CAD PUT
000000000
8400000.00000000
NC
USD
55819.25000000
0.007139511729
N/A
DFE
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
Call
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS CAD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
USD
N/A
CAD
2023-08-21
8400000.00000000
USD
1.33000000
USD
2023-08-21
XXXX
6931.25000000
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC Inc
747262AW3
638000.00000000
PA
USD
308555.94000000
0.039465574205
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
5.45000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
EUR/USD FORWARD
000000000
1.00000000
NC
USD
42046.40000000
0.005377907549
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-6140000.00000000
EUR
6748179.28000000
USD
2023-07-18
42046.40000000
N
N
N
ALLEN MEDIA LLC
549300ERNJNM4RN5JP79
Allen Media LLC
01771JAG8
7348189.96000000
PA
USD
6366692.23000000
0.814326130442
Long
LON
CORP
US
N
2
2027-02-10
Floating
10.59810000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAD8
3000000.00000000
PA
USD
2673675.00000000
0.341974032693
Long
DBT
CORP
KY
N
2
2027-10-01
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2906048.00000000
PA
USD
-2906048.00000000
-0.37169549543
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.43000000
2026-07-06
3200000.00000000
USD
2898758.40000000
USD
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
203372AV9
7770000.00000000
PA
USD
5526878.70000000
0.706910524744
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
7.12500000
N
N
N
N
N
N
888 ACQUISITIONS LTD
254900RFD0BP3JOPZU89
888 Acquisitions Ltd
000000000
2000000.00000000
PA
2061058.56000000
0.263617869554
Long
DBT
CORP
GI
N
2
2027-07-15
Fixed
7.55800000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2018-2 Ltd
92917TAA3
6750000.00000000
PA
USD
5552491.64000000
0.710186525149
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
10.51029000
N
N
N
N
N
N
UPBOUND GROUP INC
529900QUHE15UQNCCJ63
Upbound Group Inc
76009NAL4
5000000.00000000
PA
USD
4442375.00000000
0.568198039584
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.37500000
N
N
N
N
N
N
REDSTONE HOLDCO 2 LP
N/A
Redstone Holdco 2 LP
75774EAG0
6895000.00000000
PA
USD
5771356.33000000
0.738180219466
Long
LON
CORP
US
N
2
2028-04-27
Floating
10.08690000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAW5
3500000.00000000
PA
USD
3065585.25000000
0.392100966089
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563JAC7
2500000.00000000
PA
USD
2047264.75000000
0.261853584504
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Floating
10.56655000
N
N
N
N
N
N
ABERCROMBIE & FITCH MANA
5493003QMCFDA98NPT74
Abercrombie & Fitch Management Co
003000AA4
6755000.00000000
PA
USD
6863366.61000000
0.877852827092
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
8.75000000
N
N
N
N
N
N
TURK IHRACAT KR
789000JVRVYLAXGDWR11
Turkiye Ihracat Kredi Bankasi AS
90016LAA4
3200000.00000000
PA
USD
2898758.40000000
0.370763125605
Long
DBT
NUSS
TR
N
2
2026-07-06
Fixed
5.75000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAG1
5000000.00000000
PA
USD
4649750.00000000
0.594722155279
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
2357.00000000
NC
USD
-3168598.47000000
-0.40527678075
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
2023-09-20
267778688.38000000
USD
-3168598.47000000
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust
63875JAN8
3006862.96000000
PA
USD
2908883.13000000
0.372058120227
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
10.33999000
N
N
N
N
N
N
AKUMIN INC
N/A
Akumin Inc
01021FAA7
1000000.00000000
PA
USD
818780.00000000
0.104725330673
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
7.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS FORD MOTOR COMPANY
000000000
1.00000000
NC
USD
377393.40000000
0.048270168554
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
FORD MOTOR COMPANY
Ford Motor Co
Y
Default Event
2026-06-20
372805.05000000
USD
0.00000000
USD
4320000.00000000
USD
4588.35000000
N
N
N
NCL CORP LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
000000000
4846153.84000000
PA
USD
4797692.30000000
0.613644584122
Long
LON
CORP
BM
N
2
2025-01-02
Floating
7.36300000
N
N
N
N
N
N
VERICAST CORP
549300J73P7FL8TVF308
Vericast Corp
92348BAA1
7020000.00000000
PA
USD
7362225.00000000
0.941658867606
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
11.00000000
N
N
N
N
N
N
MELCO RESORTS FINANCE
5493000FQDBWKDBZEF60
Melco Resorts Finance Ltd
58547DAA7
800000.00000000
PA
USD
762960.00000000
0.097585723015
Long
DBT
CORP
KY
N
2
2025-06-06
Fixed
4.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
170.00000000
NC
USD
-245996.80000000
-0.03146400281
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
2023-09-20
20380371.80000000
USD
-245996.80000000
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAM9
1000000.00000000
PA
USD
904075.00000000
0.115634912099
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
6.87500000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
5593000.00000000
PA
USD
1638077.78000000
0.209516887539
Long
DBT
NUSS
EC
N
2
2030-07-31
None
0.00000000
N
N
N
N
N
N
NSG HOLDINGS LLC/NSG HLD
N/A
NSG Holdings LLC / NSG Holdings Inc
62940QAA3
1491323.01000000
PA
USD
1486088.47000000
0.190076829467
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
7.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISU5NYXNHD479
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJB6
6700000.00000000
PA
USD
6073772.44000000
0.776860484153
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
10.56655000
N
N
N
N
N
N
DEERFIELD DAKOTA HOLDING
549300FDREJLOIGXY104
Deerfield Dakota Holding LLC
24440EAG2
2000000.00000000
PA
USD
1875630.00000000
0.239900793829
Long
LON
CORP
US
N
2
2028-04-14
Floating
11.90040000
N
N
N
N
N
N
Zais Matrix CDO I
549300PCGOXUK8XLNY49
Zais Clo 17 Ltd
98888KAA4
6000000.00000000
PA
USD
5171409.67000000
0.661444573315
Long
ABS-CBDO
CORP
KY
N
2
2033-10-20
Floating
13.50043000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN/USD FORWARD
000000000
1.00000000
NC
USD
83123.54000000
0.010631842757
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-1412871.98000000
USD
25700000.00000000
MXN
2023-07-18
83123.54000000
N
N
N
RMBS Miravet
N/A
MIRA Trust 2023-MILE
55318EAG5
13750000.00000000
PA
USD
13766277.94000000
1.760763586569
Long
ABS-MBS
CORP
US
N
2
2028-06-10
Fixed
9.30000000
N
N
N
N
N
N
TKC HOLDINGS INC
N/A
TKC Holdings Inc
87256YAC7
4050000.00000000
PA
USD
3568671.07000000
0.456447712292
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
6.87500000
N
N
N
N
N
N
Babson CLO Ltd
549300Q89L7I93JSRH83
Barings CLO Ltd 2020-IV
06762DAA4
1090000.00000000
PA
USD
922242.27000000
0.117958580677
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
10.93043000
N
N
N
N
N
N
FRANCHISE GROUP INC
549300MWCHSL8BSOMV77
Franchise Group Inc
35180YAB9
5955440.04000000
PA
USD
5508782.04000000
0.704595887476
Long
LON
CORP
US
N
2
2026-03-10
Floating
10.10600000
N
N
N
N
N
N
DOMAN BUILDING MATERIALS
529900HEUBRUITK08D78
Doman Building Materials Group Ltd
13874XAD5
1950000.00000000
PA
1335818.08000000
0.170856628334
Long
DBT
CORP
CA
N
2
2026-05-15
Fixed
5.25000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MXN FORWARD
000000000
1.00000000
NC
USD
159063.78000000
0.020344911891
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2123348.06000000
USD
39210000.00000000
MXN
2023-07-18
159063.78000000
N
N
N
ARES CLO Ltd
549300VDFIIXSFET0S73
Ares XXXIV CLO Ltd
04015HAL1
1500000.00000000
PA
USD
1290000.00000000
0.164996307395
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
12.11029000
N
N
N
N
N
N
CARBON REVOLUTION LTD
N/A
Carbon Revolution Ltd
14115DAA2
3000000.00000000
PA
USD
3030000.00000000
0.387549466207
Long
DBT
CORP
AU
N
3
2027-05-15
Fixed
8.50000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAT9
2000000.00000000
PA
USD
1892000.00000000
0.241994584179
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.50000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 1 Ltd
48661BAA2
1500000.00000000
PA
USD
1308750.00000000
0.167394509537
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
10.88029000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BS0
5000000.00000000
PA
USD
5308885.00000000
0.679028233632
Long
DBT
CORP
PA
N
2
2030-06-01
Fixed
10.50000000
N
N
N
N
N
N
EARTHSTONE ENERGY HOL
549300HGVO86L8G72J25
Earthstone Energy Holdings LLC
27034RAC7
2000000.00000000
PA
USD
1979550.00000000
0.253192589382
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
9.87500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-1930808.00000000
PA
USD
-1930808.00000000
-0.24695828704
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.40000000
2031-09-20
2200000.00000000
USD
1875261.65000000
USD
CDS
N
N
N
WHEEL BIDCO LTD
213800GGDN5YSVU1G348
Wheel Bidco Ltd
000000000
5180000.00000000
PA
5284720.95000000
0.675937552219
Long
DBT
CORP
JE
N
2
2026-07-15
Fixed
6.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISUYHCRLRBE46
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KFH7
5000000.00000000
PA
USD
4946515.50000000
0.632679683699
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
11.31655000
N
N
N
N
N
N
AMC ENTERTAINMENT HLDGS
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
00165CBA1
4780000.00000000
PA
USD
3366474.03000000
0.430585878985
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
7.50000000
N
N
N
N
N
N
PM GENERAL PURCHASER LLC
N/A
PM General Purchaser LLC
69356MAA4
7000000.00000000
PA
USD
6857400.20000000
0.877089698705
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
9.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
280580.49000000
0.035887399052
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-05-15
0.00000000
USD
-9316.85000000
USD
-9670000.00000000
USD
289897.34000000
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
3500000.00000000
PA
USD
2299909.22000000
0.294167851661
Long
DBT
CORP
KY
N
2
2024-01-27
Fixed
8.00000000
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
63938CAM0
10000000.00000000
PA
USD
8536450.00000000
1.091847076172
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDB7
2221632.30000000
PA
USD
2424268.72000000
0.310073943359
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
15.40043000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CA6
2000000.00000000
PA
USD
2133236.00000000
0.272849661087
Long
DBT
CORP
US
N
2
2031-07-16
Fixed
7.45000000
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US Renal Care Inc
90290PAN4
5870373.80000000
PA
USD
2754203.28000000
0.352273931019
Long
LON
CORP
US
N
2
2026-07-26
Floating
10.19300000
N
N
N
N
N
N
Whitebox CLO I Ltd
549300C89ZJ5IWOT1F21
Whitebox Clo II Ltd
96466EAE4
2175000.00000000
PA
USD
2076168.03000000
0.265550432931
Long
ABS-CBDO
CORP
KY
N
2
2034-10-24
Floating
12.37271000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300V7DN3VJ8H1GE96
Anchorage Capital CLO 3-R Ltd
03330BAA8
3625000.00000000
PA
USD
2971406.20000000
0.380055078117
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
10.77271000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GENERAL MOTORS CO
000000000
1.00000000
NC
USD
-467566.55000000
-0.05980368543
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
-501068.56000000
USD
-4320000.00000000
USD
33502.01000000
N
N
N
COMERICA INC
I9Q57JVPWHHZ3ZGBW498
Comerica Inc
200340AS6
1317000.00000000
PA
USD
1313134.61000000
0.167955319195
Long
DBT
CORP
US
N
2
2023-07-31
Fixed
3.70000000
N
N
N
N
N
N
NEXUS BUYER LLC
254900PILSANV8WOOF24
Nexus Buyer LLC
65343UAC6
3989690.72000000
PA
USD
3862160.26000000
0.493986187184
Long
LON
CORP
US
N
2
2026-11-08
Floating
8.95500000
N
N
N
N
N
N
AMERICAN NEWS COMPANY
N/A
American News Co LLC
02862PAA5
1965538.00000000
PA
USD
2218601.02000000
0.283768198358
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
8.50000000
N
N
N
N
N
N
Mach I
N/A
MACH 1 Cayman 2019-1 Ltd
55446MAB3
868375.72000000
PA
USD
618124.17000000
0.079060624466
Long
ABS-O
CORP
KY
N
2
2039-10-15
Fixed
4.33500000
N
N
N
N
N
N
PACTIV LLC
549300O4WTC6DL4JIE57
Pactiv LLC
880394AE1
10000000.00000000
PA
USD
10138601.30000000
1.296768819109
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
8.37500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
14816000.00000000
NC
USD
132962.46000000
0.017006445676
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2028-06-20
0.00000000
USD
0.00000000
USD
0.00000000
USD
14816000.00000000
USD
102.00000000
USD
2023-09-20
XXXX
36658.46000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-434.51000000
-0.00005557561
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-167063.20000000
USD
250000.00000000
AUD
2023-07-18
-434.51000000
N
N
N
WP CPP HOLDINGS LLC
549300HT8KGOLU7VM426
WP CPP Holdings LLC
92937JAM5
3686844.43000000
PA
USD
3350419.88000000
0.428532487149
Long
LON
CORP
US
N
2
2025-04-30
Floating
9.05240000
N
N
N
N
N
N
VERICAST CORP
549300J73P7FL8TVF308
Vericast Corp
92342NAK9
590000.00000000
PA
USD
665974.30000000
0.085180852961
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
12.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2303650.00000000
PA
USD
-2303650.00000000
-0.29464631281
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.50000000
2030-07-31
5000000.00000000
USD
1457889.22400000
USD
N
N
N
TRANSALTA CORP
GJZNVO2UY6DNFNIYH321
TransAlta Corp
89346DAE7
4000000.00000000
PA
USD
3812760.00000000
0.487667690685
Long
DBT
CORP
CA
N
2
2040-03-15
Fixed
6.50000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
6300000.00000000
PA
USD
5800669.56000000
0.741929502185
Long
DBT
CORP
AR
N
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
225000000.00000000
PA
5807864.65000000
0.742849783798
Long
DBT
NUSS
N/A
N
2
2024-06-03
Fixed
6.14000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BM8
4000000.00000000
PA
USD
3883660.00000000
0.496736092386
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
11.25000000
N
N
N
N
N
N
BLUE RACER MID LLC/FINAN
N/A
Blue Racer Midstream LLC / Blue Racer Finance Corp
095796AE8
362000.00000000
PA
USD
358769.77000000
0.045888129655
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/EUR FORWARD
000000000
1.00000000
NC
USD
44690.77000000
0.005716133352
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2080000.00000000
EUR
2316475.20000000
USD
2023-07-18
44690.77000000
N
N
N
LTR INTERMEDIATE HOLDING
549300J0IFHJE2TQGX07
LTR Intermediate Holdings Inc
50219UAB1
4900000.00000000
PA
USD
4377341.50000000
0.559879987370
Long
LON
CORP
US
N
2
2028-05-07
Floating
9.83690000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/EUR FORWARD
000000000
1.00000000
NC
USD
69562.24000000
0.008897296693
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-3862372.35000000
USD
3600000.00000000
EUR
2023-07-18
69562.24000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
-52.00000000
NC
USD
89128.30000000
0.011399876266
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
-12410528.30000000
USD
89128.30000000
N
N
N
WP CPP HOLDINGS LLC
549300HT8KGOLU7VM426
WP CPP Holdings LLC
000000000
6000000.00000000
PA
USD
4680000.00000000
0.598591254735
Long
LON
CORP
US
N
2
2026-04-30
Floating
0.01000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-337269.55000000
-0.04313816305
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-14590000.00000000
GBP
18194459.50000000
USD
2023-07-18
-337269.55000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
144.00000000
NC
USD
-140639.92000000
-0.01798842439
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
2023-09-29
15562139.92000000
USD
-140639.92000000
N
N
N
SAGA PLC
2138004WWUJN94K2LH95
Saga PLC
000000000
3000000.00000000
PA
2875597.50000000
0.367800751205
Long
DBT
CORP
GB
N
2
2026-07-15
Fixed
5.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336V308
501254.00000000
NS
USD
16666695.50000000
2.131738925564
Long
EP
CORP
US
N
3
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
9842000.00000000
PA
USD
8369849.88000000
1.070538235388
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
RR DONNELLEY & SONS CO
SU4X0P4WWRGOQDTSV032
RR DONNELLEY & SONS CO
000000000
6946918.40000000
PA
USD
6920867.46000000
0.885207422380
Long
LON
CORP
US
N
2
2028-03-22
Floating
12.33920000
N
N
N
N
N
N
AMER AIRLINE 17-2B PTT
N/A
American Airlines 2017-2 Class B Pass Through Trust
02377DAA0
4450220.96000000
PA
USD
4185246.79000000
0.535310283633
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.70000000
N
N
N
N
N
N
LCM Ltd Partnership
5493006LYYH2XWCWW153
LCM 33 Ltd
50202FAA5
3000000.00000000
PA
USD
2489853.00000000
0.318462442602
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
11.60043000
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
948093.66000000
0.121265079817
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
4.25000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BL5
5000000.00000000
PA
USD
5441895.00000000
0.696040759869
Long
DBT
CORP
LR
N
2
2027-08-15
Fixed
11.62500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
40930000.00000000
PA
2187960.15000000
0.279849105021
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
AUD/USD FORWARD
000000000
1.00000000
NC
USD
1865.64000000
0.000238623031
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-318900.00000000
AUD
214417.20000000
USD
2023-07-18
1865.64000000
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55617LAR3
1350000.00000000
PA
USD
1182849.75000000
0.151291349576
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.12500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-LUAU
36256AAS1
5000000.00000000
PA
USD
4776957.50000000
0.610992517894
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
9.64329000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NOK/USD FORWARD
000000000
1.00000000
NC
USD
-446620.20000000
-0.05712456109
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-10514265.20000000
USD
107989389.30000000
NOK
2023-07-18
-446620.20000000
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAZ3
5000000.00000000
PA
USD
4273450.00000000
0.546591837083
Long
LON
CORP
US
N
2
2028-02-03
Floating
10.45500000
N
N
N
N
N
N
PLANVIEW PARENT INC
549300SEALM1D9FKMA32
Planview Parent Inc
72751PAC8
4195465.56000000
PA
USD
3992258.19000000
0.510626247688
Long
LON
CORP
US
N
2
2027-12-17
Floating
9.51000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
7616000.00000000
PA
USD
3284704.64000000
0.420127237584
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
PROVINCIA DE CORDOBA
5299006CLM2Z97AATT29
Provincia de Cordoba
74408DAC8
5416710.00000000
PA
USD
4089616.05000000
0.523078718537
Long
DBT
NUSS
AR
N
2
2025-12-10
Variable
6.87500000
N
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
Ciudad Autonoma De Buenos Aires/Government Bonds
000000000
2000000.00000000
PA
USD
1880540.00000000
0.240528803030
Long
DBT
NUSS
AR
N
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VBA7
5000000.00000000
PA
USD
4207150.00000000
0.538111794308
Long
LON
CORP
US
N
2
2029-01-20
Floating
10.40410000
N
N
N
N
N
N
BATH & BODY WORKS INC
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AM6
3250000.00000000
PA
USD
2928676.73000000
0.374589803103
Long
DBT
CORP
US
N
2
2036-07-01
Fixed
6.75000000
N
N
N
N
N
N
ACCELERATE360 HOLD LLC
N/A
Accelerate360 Holdings LLC
00456LAA0
4259550.00000000
PA
USD
4450164.86000000
0.569194394728
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
8.00000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AR6
3000000.00000000
PA
USD
2957364.45000000
0.378259080520
Long
DBT
CORP
CA
N
2
2026-03-01
Fixed
6.87500000
N
N
N
N
N
N
RP ESCROW ISSUER LLC
N/A
RP Escrow Issuer LLC
74969PAA6
1500000.00000000
PA
USD
1108140.00000000
0.141735665175
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.25000000
N
N
N
N
N
N
MAGENTA BUYER LLC
N/A
Magenta Buyer LLC
55910RAB9
4910000.00000000
PA
USD
3713187.50000000
0.474931958267
Long
LON
CORP
US
N
2
2028-07-27
Floating
9.94170000
N
N
N
N
N
N
B3 SA-BRASIL BOLSA BALCA
4GTK5S46E6H318LMDS44
B3 SA - Brasil Bolsa Balcao
11778EAA4
2200000.00000000
PA
USD
1875261.65000000
0.239853680348
Long
DBT
CORP
BR
N
2
2031-09-20
Fixed
4.12500000
N
N
N
N
N
N
Voya CLO Ltd
549300TZK6NKU72KPL60
Voya CLO 2021-1 Ltd
92918PAA0
2250000.00000000
PA
USD
2034597.59000000
0.260233402624
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
11.61029000
N
N
N
N
N
N
Greywolf CLO Ltd
549300RJBZLY8V18YD77
Greywolf CLO V Ltd
39808TAE8
6250000.00000000
PA
USD
5326796.35000000
0.681319168988
Long
ABS-CBDO
CORP
KY
N
2
2031-01-27
Floating
11.10514000
N
N
N
N
N
N
CRESCENT ENERGY FINANCE
54930061FUL6DBLFUW14
Crescent Energy Finance LLC
45344LAA1
4670000.00000000
PA
USD
4387044.70000000
0.561121066571
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-ARDN
36266CAS5
5000000.00000000
PA
USD
4586666.00000000
0.586653452135
Long
ABS-MBS
CORP
US
N
2
2026-11-15
Floating
11.12649100
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AL8
3200000.00000000
PA
USD
2425040.54000000
0.310172662312
Long
DBT
NUSS
KE
N
2
2034-01-23
Fixed
6.30000000
N
N
N
N
N
N
RR Ltd
54930003V8ISBLDELD80
RR 18 Ltd
749737AA0
7190000.00000000
PA
USD
6649813.84000000
0.850538549197
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
11.51029000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/CAD FORWARD
000000000
1.00000000
NC
USD
29060.43000000
0.003716948559
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-5742577.46000000
USD
7643830.00000000
CAD
2023-07-18
29060.43000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/CAD FORWARD
000000000
1.00000000
NC
USD
-68418.87000000
-0.00875105496
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-8390000.00000000
CAD
6266630.69000000
USD
2023-07-18
-68418.87000000
N
N
N
Maps LTD
N/A
MAPS 2021-1 Trust
55292RAC5
3231736.21000000
PA
USD
2102627.69000000
0.268934732307
Long
ABS-O
CORP
US
N
2
2046-06-15
Fixed
5.43700000
N
N
N
N
N
N
BLUE RACER MID LLC/FINAN
N/A
Blue Racer Midstream LLC / Blue Racer Finance Corp
095796AH1
2000000.00000000
PA
USD
2023624.00000000
0.258829835314
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
7.62500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISU5NYXNHD479
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
2470000.00000000
PA
USD
2430822.84000000
0.310912242272
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
8.11655000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAE0
3000000.00000000
PA
USD
2717667.30000000
0.347600828859
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISONLNOUKGB71
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLV9
6590000.00000000
PA
USD
6583408.02000000
0.842044971608
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
12.56655000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-1234283.60000000
PA
USD
-1234283.60000000
-0.15786995060
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.32000000
2023-07-03
1240000.00000000
USD
1240000.00000000
USD
CDS
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
17.00000000
NC
USD
425.00000000
0.000054359248
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
0.00000000
USD
2500.00000000
99.25000000
USD
2023-12-15
XXXX
-425.00000000
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP / Hilcorp Finance Co
431318AZ7
7000000.00000000
PA
USD
6250124.30000000
0.799416612605
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
6.25000000
N
N
N
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
59408UAB3
2668193.38000000
PA
USD
2370689.82000000
0.303220981611
Long
LON
CORP
US
N
2
2028-04-15
Floating
9.51170000
N
N
N
N
N
N
ATHENAHEALTH GROUP INC
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
60337JAA4
2340000.00000000
PA
USD
1971777.83000000
0.252198496863
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
6.50000000
N
N
N
N
N
N
TRIUMPH GROUP INC
5493007L6S47Q14SL582
Triumph Group Inc
896818AU5
9500000.00000000
PA
USD
9711745.50000000
1.242172206093
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
9.00000000
N
N
N
N
N
N
WORLDWIDE EXPRESS INC
254900XFGYPZZSG8I385
Worldwide Express Inc
00435UAE8
7000000.00000000
PA
USD
5635000.00000000
0.720739683853
Long
LON
CORP
US
N
2
2029-07-26
Floating
12.17790000
N
N
N
N
N
N
VERTIV GROUP CORPORATION
549300ZT8RQ5VK10E643
Vertiv Group Corp
92535UAB0
3000000.00000000
PA
USD
2705680.80000000
0.346067706193
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.12500000
N
N
N
N
N
N
HIGHLAND HOLDINGS BOND
N/A
Highlands Holdings Bond Issuer Ltd / Highlands Holdings Bond Co-Issuer Inc
43103QAA6
8645427.00000000
PA
USD
8000412.61000000
1.023285688594
Long
DBT
CORP
N/A
N
2
2025-10-15
Fixed
7.62500000
N
N
N
N
N
N
Multifamily Connecticut Avenue
549300HG8ZEWVWVSN227
Multifamily Connecticut Avenue Securities Trust 2019-01
62547NAD1
2000000.00000000
PA
USD
1917046.60000000
0.245198147367
Long
ABS-MBS
USGA
US
N
2
2049-10-25
Floating
13.90043000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22546QAP2
680000.00000000
PA
USD
655138.06000000
0.083794853282
Long
DBT
CORP
CH
N
2
2024-09-09
Fixed
3.62500000
N
N
N
N
N
N
APOLLO CMMRL REAL EST FI
549300E0AN7M2AQHSY29
Apollo Commercial Real Estate Finance Inc
03762UAD7
2250000.00000000
PA
USD
1756971.45000000
0.224723877091
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.62500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-74840.21000000
-0.00957237077
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1005883.92000000
USD
133964000.00000000
JPY
2023-07-18
-74840.21000000
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-2
64829KBN9
2819937.44000000
PA
USD
2147300.58000000
0.274648578734
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
5.28458300
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2022-JERI
63875LAS2
2500000.00000000
PA
USD
2262459.00000000
0.289377814444
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
12.60479000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-1174704.30000000
PA
USD
-1174704.30000000
-0.15024951300
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.32000000
2023-09-30
1210000.00000000
USD
1195985.74000000
USD
CDS
N
N
N
ADTALEM GLOBAL EDUCATION
549300Z467EZLMODV621
Adtalem Global Education Inc
00737RAE0
1729616.01000000
PA
USD
1733403.87000000
0.221709486646
Long
LON
CORP
US
N
2
2028-08-12
Floating
9.21800000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
GBP/USD FORWARD
000000000
1.00000000
NC
USD
42071.66000000
0.005381138407
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-2598604.47000000
USD
2079000.00000000
GBP
2023-07-18
42071.66000000
N
N
N
Riserva CLO, Ltd.
549300640C8OB2I8SN35
Riserva Clo Ltd
76761TAG0
2450000.00000000
PA
USD
2241750.00000000
0.286729048141
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
11.76171000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AX4
2000000.00000000
PA
USD
1675117.00000000
0.214254356166
Long
DBT
CORP
US
N
2
2036-04-01
Variable
5.87500000
N
N
N
N
N
N
SARAT 2013-1A F1R3
N/A
SARAT 2013-1A F1R3
000000000
4000000.00000000
PA
USD
3347987.60000000
0.428221388530
Long
DBT
CORP
US
N
2
2033-04-20
Floating
0.00000100
N
N
N
N
N
N
INDY US HOLDCO LLC
N/A
Indy US Holdco LLC
45674PAL8
1632302.41000000
PA
USD
1549332.48000000
0.198165998548
Long
LON
CORP
US
N
2
2028-03-05
Floating
11.39700000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AY3
8280000.00000000
PA
USD
4732122.67000000
0.605257958674
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
7.50000000
N
N
N
N
N
N
MAGENTA BUYER LLC
N/A
Magenta Buyer LLC
55910RAE3
6500000.00000000
PA
USD
4290000.00000000
0.548708650174
Long
LON
CORP
US
N
2
2029-07-27
Floating
13.44170000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370BV1
4800000.00000000
PA
USD
5346720.00000000
0.683867485795
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
8.90000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BC7
10000000.00000000
PA
USD
9437578.60000000
1.207105131590
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83400000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAY1
2000000.00000000
PA
USD
1228750.00000000
0.157162180396
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAB7
5000000.00000000
PA
USD
5047536.85000000
0.645600729992
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
8.37500000
N
N
N
N
N
N
GEO GROUP INC/THE
54930024XOXET7NQVZ63
GEO Group Inc/The
36162JAC0
3750000.00000000
PA
USD
3762740.40000000
0.481269978051
Long
DBT
CORP
US
N
2
2028-06-30
Fixed
10.50000000
N
N
N
N
N
N
STONEX GROUP INC
549300JUF07L8VF02M60
StoneX Group Inc
46116VAE5
4000000.00000000
PA
USD
4043420.72000000
0.517170145771
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
8.62500000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AY2
3000000.00000000
PA
USD
2377210.38000000
0.304054988063
Long
DBT
CORP
US
N
2
2046-04-01
Variable
6.00000000
N
N
N
N
N
N
ONE CALL CORP
549300WUCCV86ZQHG041
One Call Corp
68235XAB7
6877500.00000000
PA
USD
4986187.50000000
0.637753895720
Long
LON
CORP
US
N
2
2027-04-22
Floating
10.75510000
N
N
N
N
N
N
Riserva CLO, Ltd.
549300640C8OB2I8SN35
Riserva Clo Ltd
76761TAJ4
2500000.00000000
PA
USD
1976694.26000000
0.252827328487
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
13.77171000
N
N
N
N
N
N
COMERICA BANK
70WY0ID1N53Q4254VH70
Comerica Bank
20034DJA8
3000000.00000000
PA
USD
2822550.96000000
0.361015880491
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
2.50000000
N
N
N
N
N
N
FIRST BRANDS GROUP LLC
N/A
First Brands Group LLC
31935HAF4
5390000.00000000
PA
USD
4842025.65000000
0.619315001986
Long
LON
CORP
US
N
2
2028-03-30
Floating
13.81300000
N
N
N
N
N
N
TWO HARBORS INV CORP
549300ZUIBT6KH4HU823
Two Harbors Investment Corp
90187BAB7
3010000.00000000
PA
USD
2693950.00000000
0.344567288610
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.25000000
N
N
N
N
N
Two Harbors Investment Corp
Two Harbors Investment Corp
USD
XXXX
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAH3
7298000.00000000
PA
USD
6559077.50000000
0.838932997998
Long
DBT
CORP
US
N
2
N/A
Floating
9.34871000
N
N
N
N
N
N
TUTOR PERINI CORP
549300FHXYVPW8LJ6D98
Tutor Perini Corp
901109AF5
7745000.00000000
PA
USD
6433028.06000000
0.822810756022
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 29 Ltd
50201LAE5
2000000.00000000
PA
USD
1647580.33000000
0.210732302780
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
12.09029000
N
N
N
N
N
N
AKUMIN ESCROW INC
N/A
Akumin Escrow Inc
01021FAB5
7395000.00000000
PA
USD
4878555.45000000
0.623987313699
Long
DBT
CORP
CA
N
2
2028-08-01
Fixed
7.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
72.00000000
NC
USD
-78288.40000000
-0.01001340845
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
2023-09-20
9215538.40000000
USD
-78288.40000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2279502.50000000
PA
USD
-2279502.50000000
-0.29155774821
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.24000000
2032-09-23
2750000.00000000
USD
2347511.65000000
USD
N
N
N
Symphony CLO Ltd
549300JQYSBIW1AM8R32
Symphony CLO XVIII Ltd
87154FAG2
3000000.00000000
PA
USD
2601322.61000000
0.332719864335
Long
ABS-CBDO
CORP
KY
N
2
2033-07-23
Floating
12.34271000
N
N
N
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
9054062.57000000
NS
USD
9054062.57000000
1.158051853468
Long
STIV
RF
US
N
1
N
N
N
GLOBAL MEDICAL RESPONSE
549300ZFWD4ZFCEJCQ87
Global Medical Response Inc
00169QAF6
4899497.52000000
PA
USD
2780464.84000000
0.355632892590
Long
LON
CORP
US
N
2
2025-10-02
Floating
9.45500000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAQ8
3000000.00000000
PA
USD
2502873.30000000
0.320127792540
Long
DBT
CORP
KY
N
2
2029-03-08
Variable
3.35000000
N
N
N
N
N
N
Ocean Trails CLO
635400RMMLHBGDGXBC03
Ocean Trails Clo X
67516BAE1
3750000.00000000
PA
USD
3320681.10000000
0.424728774834
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
12.83029000
N
N
N
N
N
N
AMER AIRLN 13-1 A PASS T
N/A
American Airlines 2013-1 Class A Pass Through Trust
023772AB2
2066009.22000000
PA
USD
1866038.12000000
0.238673952913
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
4.00000000
N
N
N
N
N
N
Stratus CLO
N/A
Stratus CLO 2022-2 Ltd
86317UAA8
8200000.00000000
PA
USD
8092194.43000000
1.035024960987
Long
ABS-CBDO
CORP
JE
N
2
2030-07-20
Floating
12.69845000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-KF117 Mortgage Trust
30320YAE5
6248162.76000000
PA
USD
6223311.63000000
0.795987161797
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Floating
11.44052000
N
N
N
N
N
N
BATH & BODY WORKS INC
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
532716AN7
3000000.00000000
PA
USD
2711715.00000000
0.346839505199
Long
DBT
CORP
US
N
2
2037-07-15
Fixed
7.60000000
N
N
N
N
N
N
VISTAJET MALTA/VM HOLDS
N/A
VistaJet Malta Finance PLC / Vista Management Holding Inc
92840JAD1
6500000.00000000
PA
USD
5845937.50000000
0.747719457955
Long
DBT
CORP
N/A
N
2
2027-05-01
Fixed
7.87500000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXVI Ltd
83615BAJ7
4200000.00000000
PA
USD
3496325.63000000
0.447194432868
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
12.11043000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
18900000.00000000
NC
USD
3373.08000000
0.000431430809
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
EUR
N/A
USD
2023-09-01
18900000.00000000
USD
1.16000000
USD
2023-09-01
XXXX
-67331.82000000
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
023771S58
4140000.00000000
PA
USD
4543351.92000000
0.581113403098
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
11.75000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDY2
6000000.00000000
PA
USD
5917592.40000000
0.756884414472
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
11.06655000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
Wind River 2021-4 CLO Ltd
97316VAC0
2450000.00000000
PA
USD
1716561.99000000
0.219555340902
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
11.51043000
N
N
N
N
N
N
GoldenTree Loan Management US
549300LOEERRNVSKVY31
Goldentree Loan Management US Clo 8 Ltd
38136QAJ8
7000000.00000000
PA
USD
5967500.00000000
0.763267801845
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
13.30043000
N
N
N
N
N
N
DISH NETWORK CORP
529900U350CWHH15G169
DISH Network Corp
25470MAF6
4500000.00000000
PA
USD
2402100.00000000
0.307238472863
Long
DBT
CORP
US
N
2
2025-12-15
None
0.00000000
N
N
N
N
Y
DISH Network Corp
DISH Network Corp
USD
XXXX
N
N
N
HAWAIIAN BRAND INTELLECT
N/A
Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd
41984LAA5
1000000.00000000
PA
USD
947477.80000000
0.121186308789
Long
DBT
CORP
KY
N
2
2026-01-20
Fixed
5.75000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Three Month SONIA Index
000000000
53.00000000
NC
-166018.39000000
-0.02123443512
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
INTERCONTENTIAL EXCHANGE
90 DAY STERLING RATE
2023-09-19
15408725.78000000
USD
-166018.39000000
N
N
N
TRANSPORT DE GAS DEL SUR
5299002TRC7IFQYSW596
Transportadora de Gas del Sur SA
893870AX3
5250000.00000000
PA
USD
4982904.68000000
0.637334009536
Long
DBT
CORP
AR
N
2
2025-05-02
Fixed
6.75000000
N
N
N
N
N
N
CARNIVAL HLDGS BM LTD
N/A
Carnival Holdings Bermuda Ltd
14366RAA7
6500000.00000000
PA
USD
7115378.60000000
0.910086197455
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
10.37500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-ADV
12660WAS4
8350000.00000000
PA
USD
6580091.42000000
0.841620764823
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
11.44400000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2L4
2000000.00000000
PA
USD
2041587.84000000
0.261127484358
Long
DBT
CORP
CH
N
2
2025-01-09
Fixed
7.95000000
N
N
N
N
N
N
TRITON WATER HOLDINGS IN
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89678QAB2
1496183.62000000
PA
USD
1450131.09000000
0.185477732627
Long
LON
CORP
US
N
2
2028-03-31
Floating
9.03340000
N
N
N
N
N
N
BURFORD CAPITAL GLBL FIN
549300JVAOO67CSCH406
Burford Capital Global Finance LLC
12116LAC3
4000000.00000000
PA
USD
3650256.56000000
0.466882832127
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
6.87500000
N
N
N
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
3100000.00000000
PA
USD
945500.00000000
0.120933340032
Long
DBT
CORP
KY
N
2
2024-04-09
Fixed
7.37500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ITBQFEOXM0S98
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBE4
5000000.00000000
PA
USD
4947864.50000000
0.632852226349
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
10.71655000
N
N
N
N
N
N
NEPTUNE BIDCO US INC
549300VG15T3VCYZ4531
NEPTUNE BIDCO US INC
64069JAF9
4000000.00000000
PA
USD
3482500.00000000
0.445426077909
Long
LON
CORP
US
N
2
2028-10-11
Floating
9.86300000
N
N
N
N
N
N
Helios Issuer, LLC
N/A
SUNNOVA HELIOS II ISSUER LLC 2018-1
86745JAB3
4121628.47000000
PA
USD
3501277.64000000
0.447827815321
Long
ABS-O
CORP
US
N
2
2048-07-20
Fixed
7.71000000
N
N
N
N
N
N
TCI-Symphony CLO
5493005WLG3H3B8NI222
TCI-Symphony CLO 2016-1 Ltd
87230XAD8
3500000.00000000
PA
USD
3155740.53000000
0.403632197323
Long
ABS-CBDO
CORP
KY
N
2
2032-10-13
Floating
11.99157000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN/USD FORWARD
000000000
1.00000000
NC
USD
10.58000000
0.000001353225
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-140.50000000
USD
2595.40000000
MXN
2023-07-18
10.58000000
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
239730000.00000000
PA
897313.41000000
0.114770076919
Long
DBT
NUSS
RU
N
3
2033-03-23
Fixed
7.70000000
N
Y
N
N
N
N
National Collegiate Commutatio
N/A
National Collegiate VI 2007-4 Class A-3L Commutation Trust
63546VAA8
27730207.79000000
PA
USD
5030148.77000000
0.643376723021
Long
ABS-O
CORP
US
N
2
2038-03-29
Floating
6.00043000
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
2845979.20000000
0.364012448777
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
5.54228300
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VB2
4754961.76000000
PA
USD
5383335.66000000
0.688550779355
Long
ABS-MBS
CORP
US
N
2
2043-05-25
Floating
16.90043000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAQ6
4455441.44000000
PA
USD
4271098.44000000
0.546291062884
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
9.44347500
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Goldman Sachs & Co
000000000
-2540192.00000000
PA
USD
-2540192.00000000
-0.32490100780
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.50000000
2034-01-23
3200000.00000000
USD
2425040.54000000
USD
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYMZ
46654GAA4
10000000.00000000
PA
USD
9642194.50000000
1.233276347042
Long
ABS-MBS
CORP
US
N
2
2026-06-15
Floating
12.44400000
N
N
N
N
N
N
NORTHERN OIL AND GAS INC
OKFF0PIZDDMNH4UCYE51
Northern Oil and Gas Inc
665531AG4
1000000.00000000
PA
USD
981005.00000000
0.125474575609
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
8.12500000
N
N
N
N
N
N
KNIGHT HEALTH HOLDINGS L
2549008OACTDEJGJC870
Knight Health Holdings LLC
49902TAB8
4925000.00000000
PA
USD
2105437.50000000
0.269294118566
Long
LON
CORP
US
N
2
2028-12-23
Floating
10.39840000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AD9
5000000.00000000
PA
USD
2186406.30000000
0.279650361213
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
VT TOPCO INC
5493007T812R37X02Y38
VT Topco Inc
91838LAE0
2700000.00000000
PA
USD
2578500.00000000
0.329800758618
Long
LON
CORP
US
N
2
2026-08-10
Floating
11.95500000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAZ5
5000000.00000000
PA
USD
4818044.50000000
0.616247714236
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.35000000
N
N
N
N
N
N
REPUBLIC OF GABON
N/A
Gabon Government International Bond
362420AE1
1540000.00000000
PA
USD
1226148.00000000
0.156829373891
Long
DBT
NUSS
GA
N
2
2031-11-24
Fixed
7.00000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
2750000.00000000
PA
USD
2347511.65000000
0.300256398307
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
4.87500000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
Wind River 2021-4 CLO Ltd
97316VAL0
3000000.00000000
PA
USD
2820549.90000000
0.360759936685
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
13.50043000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BR7
3650000.00000000
PA
USD
3668396.00000000
0.469202941134
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.75000000
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US Renal Care Inc
07335BAA4
5380000.00000000
PA
USD
1371900.00000000
0.175471654352
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
10.62500000
N
N
N
N
N
N
RESOLUTE INVESMENT MANA
5493000DRVCSZDWGPC49
Resolute Investment Managers Inc
04635WAH7
3476371.65000000
PA
USD
2567300.46000000
0.328368291375
Long
LON
CORP
US
N
2
2024-04-30
Floating
9.58690000
N
N
N
N
N
N
BERRY PETROLEUM CO LLC
DQ2XTZKV7SILNNV77403
Berry Petroleum Co LLC
08580BAA4
4022000.00000000
PA
USD
3725136.18000000
0.476460243599
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.00000000
N
N
N
N
N
N
CB POLY US HOLDINGS INC
254900TSH6NNRZ0GUN05
CB Poly US Holdings Inc
12511PAB7
4962500.00000000
PA
USD
4718096.88000000
0.603464002428
Long
LON
CORP
US
N
2
2029-05-20
Floating
10.57710000
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
6127128.82000000
0.783684984677
Long
ABS-CBDO
CORP
KY
N
2
2032-05-15
Floating
12.17071000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain Fuji US Clo II Ltd
09629HAA2
5350000.00000000
PA
USD
4290398.29000000
0.548759593104
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
11.40043000
N
N
N
N
N
N
RVR DEALERSHIP HOLDINGS
N/A
RVR Dealership Holdings LLC
75001CAB0
913339.93000000
PA
USD
853402.00000000
0.109153626917
Long
LON
CORP
US
N
2
2028-02-08
Floating
8.92630000
N
N
N
N
N
N
CLOUDERA INC
549300PGONC4JOI0RG62
Cloudera Inc
74339VAE8
2120000.00000000
PA
USD
1929200.00000000
0.246752617229
Long
LON
CORP
US
N
3
2029-10-08
Floating
11.20500000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAX4
6558524.10000000
PA
USD
6213753.64000000
0.794764655552
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
9.19400000
N
N
N
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
55916AAB0
7000000.00000000
PA
USD
4725000.00000000
0.604346939877
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
7.87500000
N
N
N
N
N
N
CHART INDUSTRIES INC
EM7QGKC1GYOF3LSZSL80
Chart Industries Inc
16115QAF7
3000000.00000000
PA
USD
3064515.00000000
0.391964076710
Long
DBT
CORP
US
N
2
2030-01-01
Fixed
7.50000000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAD9
10000000.00000000
PA
USD
9139700.00000000
1.169005233100
Long
DBT
CORP
US
N
2
2038-07-15
Fixed
7.50000000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
1210000.00000000
PA
USD
1195985.74000000
0.152971496742
Long
DBT
CORP
VG
N
2
2023-09-30
Fixed
2.12500000
N
N
N
N
N
N
CORECIVIC INC
529900JFA3K6PTLT8B15
CoreCivic Inc
21871NAB7
11596000.00000000
PA
USD
11711960.00000000
1.498007870045
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
8.25000000
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
3517563.55000000
0.449910850215
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
2.25000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2015-GC29
17323VAA3
3439000.00000000
PA
USD
2772104.65000000
0.354563589893
Long
ABS-MBS
CORP
US
N
2
2048-04-10
Fixed
3.11000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Three Month SONIA Index
000000000
207.00000000
NC
-793588.90000000
-0.10150328534
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
INTERCONTENTIAL EXCHANGE
90 DAY STERLING RATE
2024-03-19
60519753.05000000
USD
-793588.90000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAE6
4940000.00000000
PA
USD
4982171.30000000
0.637240207216
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
8.55043000
N
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
Ciudad Autonoma De Buenos Aires/Government Bonds
11942GAD4
5100000.00000000
PA
USD
4795377.00000000
0.613348447726
Long
DBT
NUSS
AR
N
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAF8
3000000.00000000
PA
USD
1976259.60000000
0.252771733685
Long
DBT
CORP
NL
N
2
2046-10-01
Fixed
4.10000000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HBE4
2225000.00000000
PA
USD
2169887.42000000
0.277537528498
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
10.40043000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 95 CLO Ltd
262485AC9
6870000.00000000
PA
USD
4390396.36000000
0.561549757675
Long
ABS-CBDO
CORP
KY
N
2
2034-08-20
Variable
0.01000000
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
1204696.60000000
0.154085651574
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.84446300
N
N
N
N
N
N
FULL HOUSE RESORTS INC
5493009DKIWW0H901Y82
Full House Resorts Inc
359678AC3
8000000.00000000
PA
USD
7495040.00000000
0.958646452541
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
8.25000000
N
N
N
N
N
N
PLAINS ALL AMERICAN PIPE
5521FA2ITF25TVH63740
Plains All American Pipeline LP
726503AE5
10000000.00000000
PA
USD
8951285.00000000
1.144906179411
Long
DBT
CORP
US
N
2
N/A
Floating
9.43071000
N
N
N
N
N
N
Hayfin US XIV LTD
5493000YWK38UXBNS724
Hayfin US XIV Ltd
42088QAA7
7000000.00000000
PA
USD
6099132.73000000
0.780104169583
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
12.43043000
N
N
N
N
N
N
VISTAJET MALTA/VM HOLDS
N/A
VistaJet Malta Finance PLC / Vista Management Holding Inc
92841HAA0
650000.00000000
PA
USD
597398.75000000
0.076409757978
Long
DBT
CORP
N/A
N
2
2028-06-01
Fixed
9.50000000
N
N
N
N
N
N
HUARONG FINANCE 2017 CO
5493006V07LYI3HE6G83
Huarong Finance 2017 Co Ltd
000000000
1240000.00000000
PA
USD
1240000.00000000
0.158601101682
Long
DBT
CORP
VG
N
2
2023-07-03
Floating
6.50157000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/NOK FORWARD
000000000
1.00000000
NC
USD
15053.55000000
0.001925410979
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-8040000.00000000
NOK
764607.43000000
USD
2023-07-18
15053.55000000
N
N
N
Greywolf CLO Ltd
5493006V5AX99BBCEZ73
GREYWOLF CLO VI Ltd
39809HAA1
3800000.00000000
PA
USD
3247940.62000000
0.415424968169
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
11.07803000
N
N
N
N
N
N
2023-08-15
Western Asset Diversified Income Fund
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer