0000313212-23-000198.txt : 20230224
0000313212-23-000198.hdr.sgml : 20230224
20230224161344
ACCESSION NUMBER: 0000313212-23-000198
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20221231
FILED AS OF DATE: 20230224
DATE AS OF CHANGE: 20230224
PERIOD START: 20221231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: T. Rowe Price International Funds, Inc.
CENTRAL INDEX KEY: 0000313212
IRS NUMBER: 521175211
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02958
FILM NUMBER: 23667419
BUSINESS ADDRESS:
STREET 1: 100 EAST PRATT STREET
CITY: BALTIMORE
STATE: MD
ZIP: 21202
BUSINESS PHONE: 410-345-2000
MAIL ADDRESS:
STREET 1: 100 EAST PRATT STREET
CITY: BALTIMORE
STATE: MD
ZIP: 21202
FORMER COMPANY:
FORMER CONFORMED NAME: PRICE T ROWE INTERNATIONAL FUNDS INC
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: PRICE T ROWE INTERNATIONAL TRUST
DATE OF NAME CHANGE: 19900301
FORMER COMPANY:
FORMER CONFORMED NAME: PRICE T ROWE INTERNATIONAL FUND INC
DATE OF NAME CHANGE: 19890914
0000313212
S000063538
T. Rowe Price Dynamic Credit Fund
C000205922
T. Rowe Price Dynamic Credit Fund
RPIDX
C000205923
T. Rowe Price Dynamic Credit Fund-I Class
RPELX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000313212
XXXXXXXX
S000063538
C000205922
C000205923
T. ROWE PRICE INTERNATIONAL FUNDS, INC.
811-02958
0000313212
549300O4BT3AMY6OUC26
100 East Pratt Street
Baltimore
21202
410-345-2000
T. Rowe Price Dynamic Credit Fund
S000063538
549300WMBCO7MBYMNE44
2022-12-31
2022-12-31
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FTSE 100 IDX FUT MAR23
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CORP
GB
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Short
FTSE 100 Index
FTSE 100 INDEX
2023-03-17
-644168.190000
USD
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N
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Cirsa Finance International Sarl
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CIRSA FINANCE INTERNATIONAL SARL
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PA
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DBT
CORP
LU
N
2
2027-11-30
Fixed
10.375
N
N
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N
N
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US ULTRA BOND CBT MAR23
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US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-03-22
874508.520000
USD
-68633.520000
N
N
N
N/A
N/A
US ULTRA BOND CBT MAR23
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NC
USD
-22877.840000
-0.064789
N/A
DIR
CORP
US
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-03-22
291502.840000
USD
-22877.840000
N
N
N
DEUTSCHE BANK
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USD
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US
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INR
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USD
2023-01-19
3915.410000
N
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N
GOLDMAN SACHS & CO
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NC
USD
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TW
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GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
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TWD
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USD
2023-01-19
-23927.960000
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Barclays Bank PLC - Wholesale (SING)
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USD
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DFE
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Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-341769.440000
USD
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ILS
2023-01-19
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CITIBANK N A
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PHP/USD FWD 20230310 CITIGB2L
000000000
1.000000
NC
USD
-4578.410000
-0.0129659
N/A
DFE
CORP
PH
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-16202321.990000
PHP
285792.720000
USD
2023-03-10
-4578.410000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
AUD/USD FWD 20230120 ROYCGB2L
000000000
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NC
USD
-5631.870000
-0.0159492
N/A
DFE
CORP
AU
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-500000.000000
AUD
335097.500000
USD
2023-01-20
-5631.870000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
JPY/USD FWD 20230120 MRMDUS33
000000000
1.000000
NC
USD
15795.640000
0.0447326
N/A
DFE
CORP
JP
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-589120.790000
USD
79165000.000000
JPY
2023-01-20
15795.640000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)MAR23
000000000
21.000000
NC
USD
-33826.590000
-0.0957954
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-03-22
2392061.070000
USD
-33826.590000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
NZD/USD FWD 20230120 SCBLGB2L
000000000
1.000000
NC
USD
-34591.620000
-0.097962
N/A
DFE
CORP
NZ
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-600000.000000
NZD
346470.300000
USD
2023-01-20
-34591.620000
N
N
N
N/A
N/A
BONA FIDE INVSTMNT HLDNG LLC A
TC1FCHS82
0.000000
NS
USD
12371.250000
0.0350348
Long
EC
CORP
US
Y
N/A
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
IDR/USD FWD 20230119 CHASGB2L
000000000
1.000000
NC
USD
490.840000
0.00139004
N/A
DFE
CORP
ID
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-79459.250000
USD
1240200000.000000
IDR
2023-01-19
490.840000
N
N
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N/A
N/A
EURO-BUND FUTURE MAR23
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NC
47393.310000
0.134216
N/A
DIR
CORP
DE
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
Bundesrepublik Deutschland Bundesanleihe
GERMANY
2023-03-08
-885756.890000
USD
47393.310000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
BRL/USD FWD 20230302 GSILGB2X
000000000
1.000000
NC
USD
163.780000
0.000463818
N/A
DFE
CORP
BR
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-530556.530000
USD
2835000.000000
BRL
2023-03-02
163.780000
N
N
N
HSBC SECURITIES INC
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ILS/USD FWD 20230119 MRMDUS33
000000000
1.000000
NC
USD
-5644.930000
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N/A
DFE
CORP
IL
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HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-1715000.000000
ILS
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USD
2023-01-19
-5644.930000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
PEN/USD FWD 20230119 MSLNGB2X
000000000
1.000000
NC
USD
12410.140000
0.035145
N/A
DFE
CORP
PE
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-355510.410000
USD
1400000.000000
PEN
2023-01-19
12410.140000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/ZAR FWD 20230113 CITIGB2L
000000000
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NC
USD
-31771.470000
-0.0899754
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-6415000.000000
ZAR
345289.500000
USD
2023-01-13
-31771.470000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
CAD/USD FWD 20230120 SCBLGB2L
000000000
1.000000
NC
USD
-1231.260000
-0.00348687
N/A
DFE
CORP
CA
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-116000.000000
CAD
84449.440000
USD
2023-01-20
-1231.260000
N
N
N
N/A
N/A
EURO-BOBL FUTURE MAR23
000000000
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NC
44430.190000
0.125824
N/A
DIR
CORP
DE
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
Bundesobligation
GERMANY
2023-03-08
-4346010.490000
USD
44430.190000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
AUD/USD FWD 20230120 SCBLGB2L
000000000
1.000000
NC
USD
-64829.610000
-0.183595
N/A
DFE
CORP
AU
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-1500000.000000
AUD
957358.500000
USD
2023-01-20
-64829.610000
N
N
N
N/A
N/A
LCH - NZD IRS 12/22/2027 PAY FIX
000000000
1.000000
NC
11715.730000
0.0331784
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_NZD-BBR-FRA
Y
2027-12-22
249.410000
USD
0.000000
USD
-3026000.000000
NZD
11466.320000
N
N
N
N/A
N/A
CME - USD SOFR IRS 12/20/24 REC FIX
000000000
1.000000
NC
USD
-48092.850000
-0.136197
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2024-12-20
250.000000
USD
0.000000
USD
9000000.000000
USD
-48342.850000
N
N
N
N/A
N/A
CME - USD SOFR IRS 12/20/32 PAY FIX
000000000
1.000000
NC
USD
63425.500000
0.179618
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2032-12-20
250.000000
USD
0.000000
USD
-1995000.000000
USD
63175.500000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
EGYPT CDS 12/20/2024
000000000
1.000000
NC
USD
37285.300000
0.10559
N/A
DCR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Egypt Government International Bond
EGYPT
Y
Default Event
2024-12-20
33947.750000
USD
0.000000
USD
-290000.000000
USD
3337.550000
N
N
N
Egypt Government International Bond
529900GFIVH4086NMH82
ICE_EGYPT CDS 12/20/2027
000000000
1.000000
NC
USD
243383.170000
0.68925
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Egypt Government International Bond
EGYPT
Y
Default Event
2027-12-20
233287.500000
USD
0.000000
USD
-905000.000000
USD
10095.670000
N
N
N
Altice Finco SA
549300IGQP5SEZB5Z419
ICE_ALTICE FINCO SA CDS 12/20/2027
000000000
1.000000
NC
97276.100000
0.275482
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Altice Finco SA
ALTICE FINCO SA
Y
Default Event
2027-12-20
89802.350000
USD
0.000000
USD
-740000.000000
EUR
7473.750000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-2637.700000
-0.00746985
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Post Holdings Inc
POST HOLDINGS INC 144A
Y
Default Event
2027-12-20
0.000000
USD
-2614.070000
USD
-20000.000000
USD
-23.630000
N
N
N
Murphy Oil Corp
QBKYQD0ODE7DC7PDIN91
ICE_MURPHY OIL CORP CDS 12/20/2027
000000000
1.000000
NC
USD
60920.470000
0.172524
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Murphy Oil Corp
MURPHY OIL CORPORATION
Y
Default Event
2027-12-20
48674.990000
USD
0.000000
USD
-745000.000000
USD
12245.480000
N
N
N
American Axle & Manufacturing Inc
RY5TAKFOBLDUGX31MS24
ICE_AMERICAN AXLE & MANUFAC CDS 12/20/2027
000000000
1.000000
NC
USD
44069.760000
0.124804
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
American Axle & Manufacturing Inc
AMERICAN AXLE & MFG INC
Y
Default Event
2027-12-20
0.000000
USD
-3746.580000
USD
-1050000.000000
USD
47816.340000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-4088.440000
-0.0115783
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Post Holdings Inc
POST HOLDINGS INC 144A
Y
Default Event
2027-12-20
0.000000
USD
-3379.480000
USD
-31000.000000
USD
-708.960000
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
ICE_IRON MOUNTAIN INC CDS 12/20/2027
000000000
1.000000
NC
USD
-9875.000000
-0.0279656
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Iron Mountain Inc
IRON MOUNTAIN INC 144A
Y
Default Event
2027-12-20
0.000000
USD
-9438.970000
USD
-80000.000000
USD
-436.030000
N
N
N
N/A
N/A
CME - USD SOFR IRS 11/23/32 PAY FIX
000000000
1.000000
NC
USD
1869.030000
0.00529301
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2032-11-23
250.000000
USD
0.000000
USD
-925000.000000
USD
1619.030000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
AVIS BUDGET GROUP INC CDS 12/20/2027
000000000
1.000000
NC
USD
-5020.270000
-0.0142172
N/A
DCR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Avis Budget Car Rental LLC / Avis Budget Finance Inc
AVIS BUDGET CAR/FINANCE 144A
Y
Default Event
2027-12-20
0.000000
USD
-14556.330000
USD
-325000.000000
USD
9536.060000
N
N
N
N/A
N/A
CME - USD SOFR IRS 11/14/52 PAY FIX
000000000
1.000000
NC
USD
-19067.930000
-0.0539995
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2052-11-14
49.260000
USD
0.000000
USD
-400000.000000
USD
-19117.190000
N
N
N
N/A
N/A
CME - USD SOFR IRS 11/14/27 REC FIX
000000000
1.000000
NC
USD
18921.600000
0.0535851
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2027-11-15
56.990000
USD
0.000000
USD
1915000.000000
USD
18864.610000
N
N
N
N/A
N/A
CME - USD SOFR IRS 11/10/32 PAY FIX
000000000
1.000000
NC
USD
-12563.090000
-0.0355781
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2032-11-10
42.280000
USD
0.000000
USD
-520000.000000
USD
-12605.370000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
AVIS BUDGET CAR RENTAL CDS 12/20/2027
000000000
1.000000
NC
USD
-13920.620000
-0.0394226
N/A
DCR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
CITIBANK N A
AVIS BUDGET CAR/FINANCE
Y
Default Event
2027-12-20
21418.840000
USD
0.000000
USD
-750000.000000
USD
-35339.460000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S37 V2 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-466731.890000
-1.32176
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA HY
Y
Default Event
2026-12-20
0.000000
USD
-106883.880000
USD
-4850000.000000
USD
-359848.010000
N
N
N
N/A
N/A
ICE_CDX HY CDSI S39 5Y PRC 12/20/2027
000000000
1.000000
NC
USD
2252.859479
0.00638
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
MARKIT CDX NA HY
Y
Default Event
2027-12-20
4474.473347
USD
0.000000
USD
290000.000000
USD
-2221.613868
N
N
N
N/A
N/A
ICE_CDX HY CDSI S39 5Y PRC 12/20/2027
000000000
1.000000
NC
USD
17129.500521
0.04851
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
MARKIT CDX NA HY
Y
Default Event
2027-12-20
34021.426653
USD
0.000000
USD
2205000.000000
USD
-16891.926132
N
N
N
N/A
N/A
ICE_ITRX XOVER CDSI S38 5Y 12/20/2027
000000000
1.000000
NC
-11744.940000
-0.0332612
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
ITRAXX EUROPE
Y
Default Event
2027-12-20
32506.320000
USD
0.000000
USD
-920000.000000
EUR
-44251.260000
N
N
N
Royal Caribbean Cruises Ltd
K2NEH8QNVW44JIWK7Z55
ICE_ROYAL CARIBBEAN CRUISES CDS 06/20/2027
000000000
1.000000
NC
USD
-159045.130000
-0.450409
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Royal Caribbean Cruises Ltd
ROYAL CARIBBEAN CRUISES
Y
Default Event
2027-06-21
0.000000
USD
-320687.500000
USD
1975000.000000
USD
161642.370000
N
N
N
Delta Air Lines Inc
Q2CCMS6R0AS67HJMBN42
ICE_DELTA AIR LINES INC CDS 06/20/2027
000000000
1.000000
NC
USD
-18533.280000
-0.0524854
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Delta Air Lines Inc
DELTA AIR LINES INC
Y
Default Event
2027-06-21
0.000000
USD
-6244.420000
USD
-335000.000000
USD
-12288.860000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
SWAPTION_IRS_USD_OTC_E_PAYER_K_2.66_EFF_2022-07-06_MAT_2023-07-06
000000000
1.000000
NC
USD
147492.980000
0.417694
N/A
DIR
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
N/A
B4TYDEB6GKMZO031MB27
USD SOFR IRS 07/10/2053 PAY FIX
000000000
0.000000
NC
USD
0.000000
N/A
DIR
CORP
US
N/A
USD SOFR IRS 07/10/2053 PAY FIX
2053-07-10
0.000000
USD
0.000000
USD
N/A
USD
1280000.00
2.66
USD
2023-07-06
XXXX
63140.980000
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ICE_CONOCOPHILLIPS CDS 06/20/2027
000000000
1.000000
NC
USD
-11876.790000
-0.0336345
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
ConocoPhillips
CONOCOPHILLIPS
Y
Default Event
2027-06-20
0.000000
USD
-10437.180000
USD
-635000.000000
USD
-1439.610000
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
ICE_APACHE CORP CDS 06/20/2027
000000000
1.000000
NC
USD
22511.720000
0.0637522
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Apache Corp
APACHE CORP
Y
Default Event
2027-06-20
35271.880000
USD
0.000000
USD
-700000.000000
USD
-12760.160000
N
N
N
N/A
N/A
ICE_CDX HY CDSI S37 V2 5Y PRC 12/20/2026
000000000
1.000000
NC
USD
223136.710000
0.631913
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
MARKIT CDX NA HY
Y
Default Event
2026-12-20
0.000000
USD
-107783.750000
USD
7202250.000000
USD
330920.460000
N
N
N
Goodyear Tire & Rubber Co/The
5493002BI0S2ZQUY3437
ICE_GOODYEAR TIRE & RUBBER CDS 06/20/2027
000000000
1.000000
NC
USD
17071.860000
0.0483468
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Goodyear Tire & Rubber Co/The
GOODYEAR TIRE & RUBBER
Y
Default Event
2027-06-21
33653.880000
USD
0.000000
USD
925000.000000
USD
-16582.020000
N
N
N
FedEx Corp
549300E707U7WNPZN687
ICE_FEDEX CORP CDS 06/20/2027
000000000
1.000000
NC
USD
2070.910000
0.00586473
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
FedEx Corp
FEDEX CORP
Y
Default Event
2027-06-21
2997.490000
USD
0.000000
USD
240000.000000
USD
-926.580000
N
N
N
Macy s Retail Holdings LLC
549300JMONK27O4SQQ19
ICE_MACY'S INC CDS 06/20/2027
000000000
1.000000
NC
USD
-193438.690000
-0.54781
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Macy s Retail Holdings LLC
MACY S RETAIL HLDGS LLC
Y
Default Event
2027-06-21
0.000000
USD
-162939.190000
USD
1585000.000000
USD
-30499.500000
N
N
N
Marriott International Inc/MD
225YDZ14ZO8E1TXUSU86
ICE_MARRIOTT INTERNATIONAL CDS 12/20/2026
000000000
1.000000
NC
USD
-18541.870000
-0.0525098
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Marriott International Inc/MD
MARRIOTT INTERNATIONAL
Y
Default Event
2026-12-20
0.000000
USD
-1216.870000
USD
-1650000.000000
USD
-17325.000000
N
N
N
Realogy Group LLC / Realogy Co-Issuer Corp
LF6PBYTYG3BDVEF4FI12
ICE_REALOGY GROUP LLC CDS 12/20/2026
000000000
1.000000
NC
USD
84739.060000
0.239977
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Realogy Group LLC / Realogy Co-Issuer Corp
REALOGY GROUP/CO-ISSUER 144A
Y
Default Event
2026-12-20
0.000000
USD
-30603.930000
USD
-710000.000000
USD
115342.990000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S37 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-129915.060000
-0.367914
N/A
DCR
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA
MARKIT CDX NA HY
Y
Default Event
2026-12-21
0.000000
USD
-148194.380000
USD
-1350000.000000
USD
18279.320000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
DAVITA HEALTHCARE PARTN CDS 12/20/2024
000000000
1.000000
NC
USD
-43628.480000
-0.123554
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
DaVita Inc
DAVITA INC 144A
Y
Default Event
2024-12-20
0.000000
USD
-59821.160000
USD
-750000.000000
USD
16192.680000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
DAVITA HEALTHCARE PARTN CDS 12/20/2024
000000000
1.000000
NC
USD
-37811.350000
-0.10708
N/A
DCR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
DaVita Inc
DAVITA INC 144A
Y
Default Event
2024-12-20
0.000000
USD
-53943.230000
USD
-650000.000000
USD
16131.880000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S11 PRC 11/18/2054
000000000
1.000000
NC
USD
75622.990000
0.214161
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
Markit CMBX NA AAA
Y
Default Event
2054-11-18
17748.270000
USD
0.000000
USD
-500000.000000
USD
57874.720000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S10 PRC 11/17/2059
000000000
1.000000
NC
USD
22447.090000
0.0635692
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
Markit CMBX NA AAA
Y
Default Event
2059-11-17
5032.490000
USD
0.000000
USD
-130000.000000
USD
17414.600000
N
N
N
BARCLAYS
AC28XWWI3WIBK2824319
JAGUAR LAND ROVER AUTOMO CDS 6/20/2025
000000000
1.000000
NC
-16356.970000
-0.0463222
N/A
DCR
CORP
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
BARCLAYS
JAGUAR LAND ROVER AUTOMO
Y
Default Event
2025-06-20
0.000000
USD
-18249.660000
USD
210000.000000
EUR
1892.690000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S10 PRC 11/17/2059
000000000
1.000000
NC
USD
349656.580000
0.990212
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
Markit CMBX NA AAA
Y
Default Event
2059-11-17
92996.760000
USD
0.000000
USD
-2025000.000000
USD
256659.820000
N
N
N
Tesla Inc
54930043XZGB27CTOV49
ICE - TESLA INC CDS 06/20/2026
000000000
1.000000
NC
USD
19921.300000
0.0564162
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Tesla Inc
TESLA INC CB 2
Y
Default Event
2026-06-20
25228.940000
USD
0.000000
USD
-640000.000000
USD
-5307.640000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
GBP/USD FWD 20230224 MSLNGB2X
000000000
1.000000
NC
USD
-8111.660000
-0.0229719
N/A
DFE
CORP
GB
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-396875.000000
GBP
472375.710000
USD
2023-02-24
-8111.660000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/PEN FWD 20230119 BNPAFRPP
000000000
1.000000
NC
USD
-57927.710000
-0.164049
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-3910000.000000
PEN
969621.820000
USD
2023-01-19
-57927.710000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
PEN/USD FWD 20230119 BNPAFRPP
000000000
1.000000
NC
USD
11201.840000
0.0317231
N/A
DFE
CORP
PE
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-363288.720000
USD
1425000.000000
PEN
2023-01-19
11201.840000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
KRW/USD FWD 20230119 CITIGB2L
000000000
1.000000
NC
USD
-90725.900000
-0.256932
N/A
DFE
CORP
KR
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-991800000.000000
KRW
695965.810000
USD
2023-01-19
-90725.900000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
JPY/USD FWD 20230120 BNPAFRPP
000000000
1.000000
NC
USD
45120.380000
0.127779
N/A
DFE
CORP
JP
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-407353.900000
USD
59215000.000000
JPY
2023-01-20
45120.380000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
EUR/USD FWD 20230224 SCBLGB2L
000000000
1.000000
NC
USD
3938.000000
0.0111522
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-334558.610000
USD
315000.000000
EUR
2023-02-24
3938.000000
N
N
N
N/A
N/A
DAX INDEX FUTURE MAR23
000000000
-2.000000
NC
23976.300000
0.0678998
N/A
DE
CORP
DE
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Short
Deutsche Boerse AG German Stock Index DAX
DAX INDEX
2023-03-17
-760811.540000
USD
23976.300000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/GBP FWD 20230224 CHASGB2L
000000000
1.000000
NC
USD
1410.840000
0.00399544
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-59123.000000
USD
50000.000000
GBP
2023-02-24
1410.840000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/NZD FWD 20230120 BOFAUS6N
000000000
1.000000
NC
USD
1340.270000
0.00379559
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-530000.000000
NZD
337944.960000
USD
2023-01-20
1340.270000
N
N
N
N/A
N/A
LONG GILT FUTURE MAR23
000000000
-15.000000
NC
91643.750000
0.259531
N/A
DIR
CORP
GB
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Short
United Kingdom Gilt
UNITED KINGDOM
2023-03-29
-1927162.466667
USD
91643.750000
N
N
N
N/A
N/A
LONG GILT FUTURE MAR23
000000000
-3.000000
NC
18328.750000
0.0519062
N/A
DIR
CORP
GB
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Short
United Kingdom Gilt
UNITED KINGDOM
2023-03-29
-385432.493333
USD
18328.750000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) MAR23
000000000
-31.000000
NC
USD
-528.550000
-0.00149683
N/A
DIR
CORP
US
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Short
United States Treasury Note/Bond
US TREASURY N/B
2023-03-31
-3345291.840000
USD
-528.550000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/EUR FWD 20230224 CHASGB2L
000000000
1.000000
NC
USD
-2711.260000
-0.00767817
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-150000.000000
EUR
158477.600000
USD
2023-02-24
-2711.260000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
NOK/USD FWD 20230120 BOFAUS6N
000000000
1.000000
NC
USD
-28010.510000
-0.0793245
N/A
DFE
CORP
NO
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-7360000.000000
NOK
723914.020000
USD
2023-01-20
-28010.510000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
EUR/USD FWD 20230224 ROYCGB2L
000000000
1.000000
NC
USD
9573.650000
0.0271122
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-441755.160000
USD
420000.000000
EUR
2023-02-24
9573.650000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
PEN/USD FWD 20230119 CHASGB2L
000000000
1.000000
NC
USD
14793.980000
0.0418959
N/A
DFE
CORP
PE
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-270344.450000
USD
1085000.000000
PEN
2023-01-19
14793.980000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/CAD FWD 20230120 CHASGB2L
000000000
1.000000
NC
USD
194.730000
0.000551467
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-89179.100000
USD
121000.000000
CAD
2023-01-20
194.730000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
ZAR/USD FWD 20230113 BNPAFRPP
000000000
1.000000
NC
USD
8736.390000
0.0247411
N/A
DFE
CORP
ZA
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-187582.180000
USD
3340000.000000
ZAR
2023-01-13
8736.390000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/GBP FWD 20230224 ROYCGB2L
000000000
1.000000
NC
USD
1741.690000
0.00493239
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-315000.000000
GBP
383104.890000
USD
2023-02-24
1741.690000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
AUD/USD FWD 20230120 CHASGB2L
000000000
1.000000
NC
USD
34613.840000
0.0980249
N/A
DFE
CORP
AU
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-585513.610000
USD
910000.000000
AUD
2023-01-20
34613.840000
N
N
N
Cologix Canadian Issuer LP
N/A
COLOGIX CANADIAN ISSUER LP
19521DAD3
250000.000000
PA
168439.810000
0.477014
Long
ABS-O
CORP
CA
N
2
2052-01-25
Fixed
4.94
N
N
N
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
EUR/USD FWD 20230224 DEUTGB2L
000000000
1.000000
NC
USD
2458.630000
0.00696273
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-158730.230000
USD
150000.000000
EUR
2023-02-24
2458.630000
N
N
N
Sri Lanka Government International Bond
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND
QJ4365756
410000.000000
PA
USD
132263.030000
0.374563
Long
DBT
NUSS
LK
N
2
2025-11-03
Fixed
6.85
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/JPY FWD 20230120 CHASGB2L
000000000
1.000000
NC
USD
-438.220000
-0.00124102
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-10355000.000000
JPY
78686.520000
USD
2023-01-20
-438.220000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JPY/USD FWD 20230120 CHASGB2L
000000000
1.000000
NC
USD
20183.040000
0.0571575
N/A
DFE
CORP
JP
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-154456.830000
USD
22855000.000000
JPY
2023-01-20
20183.040000
N
N
N
Bahamas Government International Bond
549300W13SXC7EKNJC20
BAHAMAS GOVERNMENT INTERNATIONAL BOND
ZO8556003
200000.000000
PA
USD
161432.410000
0.45717
Long
DBT
NUSS
BS
N
2
2032-10-15
Fixed
8.95
N
N
N
N
N
N
Bluescape Opportunities Acquisition Corp
N/A
BLUESCAPE OPPORTUNITIES ACQUISITION CORP
000000000
46500.000000
NS
USD
7440.000000
0.0210698
Long
EC
CORP
KY
N
1
N
N
N
Eucrates Biomedical Acquisition Corp
N/A
EUCRATES BIOMEDICAL ACQUISITION CORP
000000000
15931.000000
NS
USD
812.480000
0.00230091
Long
EC
CORP
VG
N
1
N
N
N
Loyalty Ventures Inc
549300Q3YKVWNY6JIJ44
LOYALTY VENTURES INC
54912FAD2
2567.476000
PA
USD
1020.570000
0.00289021
Long
LON
CORP
US
N
2
2027-11-03
Floating
8.88357
N
N
N
N
N
N
Diamond BC BV
549300SWLHWJF3D4N658
DIAMOND BC BV
000000000
267300.000000
PA
USD
257944.500000
0.730488
Long
LON
CORP
NL
N
2
2028-09-29
Floating
7.16471
N
N
N
N
N
N
Magnite Inc
54930018FR2YX1HHSB02
MAGNITE INC
55955NAB4
990991.160000
PA
USD
923276.730000
2.61468
Long
LON
CORP
US
N
2
2028-04-28
Floating
9.74
N
N
N
N
N
N
Jones Deslauriers Insurance Management Inc
549300JQIWNFU00E5424
JONES DESLAURIERS INSURA
000000000
341531.838000
PA
234582.430000
0.664327
Long
LON
CORP
CA
N
2
2028-03-27
Floating
8.8125
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
ASURION LLC
04649VAZ3
185904.200000
PA
USD
144230.060000
0.408453
Long
LON
CORP
US
N
2
2028-01-31
Floating
9.633569999999999
N
N
N
N
N
N
MH Sub I LLC
N/A
MH SUB I LLC
45567YAL9
261645.566000
PA
USD
253890.390000
0.719006
Long
LON
CORP
US
N
2
2024-09-13
Floating
8.133569999999999
N
N
N
N
N
N
Tacala Investment Corp
549300XTM341KBSTDI88
TACALA INVESTMENT CORP
873412AA8
348121.788000
PA
USD
333413.640000
0.944213
Long
LON
CORP
US
N
2
2027-02-05
Floating
7.88357
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
ASURION LLC
04649VAW0
563281.250000
PA
USD
545881.490000
1.54591
Long
LON
CORP
US
N
2
2024-11-03
Floating
7.383570000000001
N
N
N
N
N
N
William Morris Endeavor Entertainment LLC
5493008R7J9HEQ30DZ33
WILLIAM MORRIS ENDEAVOR EN
96925HAF9
755245.595000
PA
USD
737497.320000
2.08856
Long
LON
CORP
US
N
2
2025-05-18
Floating
7.140000000000001
N
N
N
N
N
N
Heartland Dental LLC
5493008FRC0GRKBN1075
HEARTLAND DENTAL LLC
42236WAH0
625280.571000
PA
USD
576508.690000
1.63265
Long
LON
CORP
US
N
2
2025-04-30
Floating
8.133569999999999
N
N
N
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
KAISA GROUP HOLDINGS LTD
ZQ1490049
985000.000000
PA
USD
137105.440000
0.388277
Long
DBT
CORP
KY
N
2
2023-10-22
Fixed
11.95
N
N
N
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
INR/USD FWD 20230119 CITIGB2L
000000000
1.000000
NC
USD
-239.830000
-0.000679188
N/A
DFE
CORP
IN
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-58138743.790000
INR
701713.810000
USD
2023-01-19
-239.830000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
AUD/USD FWD 20230120 BARCGB5G
000000000
1.000000
NC
USD
-5179.780000
-0.0146689
N/A
DFE
CORP
AU
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-525000.000000
AUD
352586.060000
USD
2023-01-20
-5179.780000
N
N
N
Suriname Government International Bond
254900SYU4G5JM13TN77
SURINAME GOVERNMENT INTERNATIONAL BOND
QZ9321253
285000.000000
PA
USD
230280.000000
0.652143
Long
DBT
NUSS
SR
N
2
2026-10-26
Fixed
9.25
N
N
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
AUD/USD FWD 20230120 MRMDUS33
000000000
1.000000
NC
USD
1264.830000
0.00358194
N/A
DFE
CORP
AU
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-73695.630000
USD
110000.000000
AUD
2023-01-20
1264.830000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD/JPY FWD 20230120 MSLNGB2X
000000000
1.000000
NC
USD
2524.760000
0.00715001
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-245317.900000
USD
32435000.000000
JPY
2023-01-20
2524.760000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
PHP/USD FWD 20230310 UBSWGB2L
000000000
1.000000
NC
USD
-3629.530000
-0.0102787
N/A
DFE
CORP
PH
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-13687678.010000
PHP
241675.220000
USD
2023-03-10
-3629.530000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/PLN FWD 20230217 UBSWGB2L
000000000
1.000000
NC
USD
-4281.890000
-0.0121261
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-202000.000000
PLN
41630.690000
USD
2023-02-17
-4281.890000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
PLN/USD FWD 20230217 UBSWGB2L
000000000
1.000000
NC
USD
4169.950000
0.0118091
N/A
DFE
CORP
PL
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-53789.000000
USD
255000.000000
PLN
2023-02-17
4169.950000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FI TRS PAY RCL 5.5 28 03/20/23
000000000
1.000000
NC
USD
30145.970000
0.0853721
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
ROYAL CARIBBEAN CRUISES 144A
Y
Fixed Income Performance Leg
2023-03-20
0.000000
USD
0.000000
USD
-1199936.080000
USD
30145.970000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FI TRS PAY MEDIND 5.25 29 03/20/23
000000000
1.000000
NC
USD
32155.230000
0.0910622
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
MOZART DEBT MERGER SUB 144A
Y
Fixed Income Performance Leg
2023-03-20
0.000000
USD
0.000000
USD
-472454.850000
USD
32155.230000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FI TRS PAY HAL 5 45 03/20/23
000000000
1.000000
NC
USD
6555.210000
0.0185641
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
HALLIBURTON CO
Y
Fixed Income Performance Leg
2023-03-20
0.000000
USD
0.000000
USD
-410946.900000
USD
6555.210000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FI TRS PAY M 6.125 32 03/20/23
000000000
1.000000
NC
USD
-22712.110000
-0.0643197
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
MACY'S RETAIL HLDGS LLC 144A
Y
Fixed Income Performance Leg
2023-03-20
0.000000
USD
0.000000
USD
-1276942.500000
USD
-22712.110000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FI TRS PAY GT 5 29 03/20/23
000000000
1.000000
NC
USD
28741.910000
0.0813958
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
GOODYEAR TIRE & RUBBER
Y
Fixed Income Performance Leg
2023-03-20
0.000000
USD
0.000000
USD
-626304.250000
USD
28741.910000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
TRS/IBN/SOFRCOMPOUND/98891389
000000000
1.000000
NC
USD
-524.820000
-0.00148627
N/A
DE
CORP
IN
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
CITIBANK N A
ICICI BANK LTD
Y
Equity Performance Leg
2024-01-18
0.000000
USD
0.000000
USD
-167759.130000
USD
-524.820000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FI TRS PAY AAPL 4.1 62 03/20/23
000000000
1.000000
NC
USD
121431.910000
0.34389
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
APPLE INC
Y
Fixed Income Performance Leg
2023-03-20
0.000000
USD
0.000000
USD
-1468256.000000
USD
121431.910000
N
N
N
Vistra Corp
549300KP43CPCUJOOG15
VISTRA CORP
92840MAC6
100000.000000
PA
USD
91750.000000
0.259832
Long
DBT
CORP
US
N
2
N/A
Variable
7.0
N
N
N
N
N
N
Vistra Corp
549300KP43CPCUJOOG15
VISTRA CORP
92840MAB8
170000.000000
PA
USD
162775.000000
0.460972
Long
DBT
CORP
US
N
2
N/A
Variable
8.0
N
N
N
N
N
N
Verus Securitization Trust 2022-4
N/A
VERUS SECURITIZATION TRUST 2022-4
92538NAB3
263553.340000
PA
USD
246184.990000
0.697185
Long
ABS-MBS
CORP
US
N
2
2067-04-25
Variable
4.722
N
N
N
N
N
N
Venture Global Calcasieu Pass LLC
549300GKHS6RS20NLH85
VENTURE GLOBAL CALCASIEU PASS LLC
92328MAB9
135000.000000
PA
USD
114412.500000
0.324011
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
4.125
N
N
N
N
N
N
Venture Global Calcasieu Pass LLC
549300GKHS6RS20NLH85
VENTURE GLOBAL CALCASIEU PASS LLC
92328MAA1
165000.000000
PA
USD
143756.250000
0.407111
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.875
N
N
N
N
N
N
Var Energi ASA
549300LIVN3FFOJN2K47
VAR ENERGI ASA
92212WAE0
490000.000000
PA
USD
506290.540000
1.43379
Long
DBT
CORP
NO
N
2
2032-11-15
Fixed
8.0
N
N
N
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
UNITED STATES TREASURY BILL
912796U31
1200000.000000
PA
USD
1188847.840000
3.36676
Long
DBT
UST
US
N
2
2023-03-23
None
0.0
N
N
N
N
N
N
Vnet Group Inc
529900672GYJQ3T38I58
VNET GROUP INC
90138VAB3
490000.000000
PA
USD
405377.980000
1.14801
Long
DBT
CORP
KY
N
2
2026-02-01
None
0.0
N
N
N
N
N
Vnet Group Inc
Vnet Group Inc
USD
XXXX
N
N
N
2020 Cash Mandatory Exchangeable Trust
N/A
2020 CASH MANDATORY EXCHANGEABLE TRUST
901375105
200.000000
NS
USD
229201.200000
0.649088
Long
EP
CORP
US
N
2
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
TWD/USD FWD 20230119 MRMDUS33
000000000
1.000000
NC
USD
17891.840000
0.0506689
N/A
DFE
CORP
TW
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-719853.640000
USD
22625000.000000
TWD
2023-01-19
17891.840000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD/ILS FWD 20230119 MSLNGB2X
000000000
1.000000
NC
USD
-8830.780000
-0.0250084
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-855910.110000
USD
2975000.000000
ILS
2023-01-19
-8830.780000
N
N
N
Transocean Pontus Ltd
N/A
TRANSOCEAN PONTUS LTD
89382PAA3
19600.000000
PA
USD
19208.000000
0.0543962
Long
DBT
CORP
KY
N
2
2025-08-01
Fixed
6.125
N
N
N
N
N
N
Transocean Proteus Ltd
5493000CTMQ2LH21VM89
TRANSOCEAN PROTEUS LTD
893829AA9
100000.000000
PA
USD
99000.000000
0.280364
Long
DBT
CORP
KY
N
2
2024-12-01
Fixed
6.25
N
N
N
N
N
N
Transocean Phoenix 2 Ltd
N/A
TRANSOCEAN PHOENIX 2 LTD
893828AA1
41999.910000
PA
USD
41579.910000
0.117752
Long
DBT
CORP
KY
N
2
2024-10-15
Fixed
7.75
N
N
N
N
N
N
Townsquare Media Inc
549300XBA8C68H0DR538
TOWNSQUARE MEDIA INC
892231AB7
520000.000000
PA
USD
462800.000000
1.31063
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
6.875
N
N
N
N
N
Tobacco Settlement Financing Corp/VA
N/A
TOBACCO SETTLEMENT FINANCING CORP/VA
88880NAT6
260000.000000
PA
USD
234218.630000
0.663297
Long
DBT
MUN
US
N
2
2046-06-01
Fixed
6.706
N
N
N
N
N
N
Tobacco Settlement Finance Authority
N/A
TOBACCO SETTLEMENT FINANCE AUTHORITY
88880LAW3
105000.000000
PA
USD
89656.290000
0.253903
Long
DBT
MUN
US
N
2
2049-06-01
Fixed
4.875
N
N
N
N
N
N
Tobacco Settlement Finance Authority
N/A
TOBACCO SETTLEMENT FINANCE AUTHORITY
88880LAB9
460000.000000
PA
USD
34172.760000
0.0967758
Long
DBT
MUN
US
N
2
2047-06-01
None
0.0
N
N
N
N
N
N
Altera Infrastructure LP/Teekay Offshore Finance Corp
N/A
ALTERA INFRASTRUCTURE LP/TEEKAY OFFSHORE FINANCE CORP
87901BAB8
155000.000000
PA
USD
6200.000000
0.0175581
Long
DBT
CORP
MH
N
2
2023-07-15
Fixed
8.5
Y
Y
N
N
N
N
Spirit AeroSystems Inc
ZD2NBKV6GCC3UMGBM518
SPIRIT AEROSYSTEMS INC
85205TAN0
720000.000000
PA
USD
759600.000000
2.15115
Long
DBT
CORP
US
N
2
2029-11-30
Fixed
9.375
N
N
N
N
N
N
SLIDE 2018-FUN
N/A
SLIDE 2018-FUN
831350AN3
240904.160000
PA
USD
235320.000000
0.666416
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
6.868
N
N
N
N
N
N
Sierra Timeshare 2021-1 Receivables Funding LLC
N/A
SIERRA TIMESHARE 2021-1 RECEIVABLES FUNDING LLC
82652QAD3
287122.510000
PA
USD
260768.860000
0.738486
Long
ABS-O
CORP
US
N
2
2037-11-20
Fixed
3.17
N
N
N
N
N
N
Santander Bank Auto Credit-Linked Notes Series 2022-B
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2022-B
80290CAZ7
307723.550000
PA
USD
305143.560000
0.864153
Long
ABS-O
CORP
US
N
2
2032-08-16
Fixed
6.793
N
N
N
N
N
N
Santander Bank Auto Credit-Linked Notes Series 2022-A
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2022-A
80290CAS3
237468.900000
PA
USD
231833.740000
0.656543
Long
ABS-O
CORP
US
N
2
2032-05-15
Fixed
5.281
N
N
N
N
N
N
Santander Retail Auto Lease Trust 2020-A
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2020-A
80286KAG7
330000.000000
PA
USD
325795.400000
0.922638
Long
ABS-O
CORP
US
N
2
2024-11-20
Fixed
2.52
N
N
N
N
N
N
Sabre GLBL Inc
F2TJC7HPPHLHU1AQMP98
SABRE GLBL INC
78573NAH5
200000.000000
PA
USD
205250.000000
0.581259
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
11.25
N
N
N
N
N
N
Sabre GLBL Inc
F2TJC7HPPHLHU1AQMP98
SABRE GLBL INC
78573NAF9
250000.000000
PA
USD
238750.000000
0.67613
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.375
N
N
N
N
N
N
Sabre GLBL Inc
F2TJC7HPPHLHU1AQMP98
SABRE GLBL INC
78573NAC6
275000.000000
PA
USD
274312.500000
0.776841
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
9.25
N
N
N
N
N
N
Stonepeak 2021-1 ABS
N/A
STONEPEAK 2021-1 ABS
78433XAC4
291827.040000
PA
USD
251529.370000
0.71232
Long
ABS-O
CORP
US
N
2
2033-02-28
Fixed
3.821
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
GBP/USD FWD 20230224 SCBLGB2L
000000000
1.000000
NC
USD
490.900000
0.00139021
N/A
DFE
CORP
GB
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-362712.150000
USD
300000.000000
GBP
2023-02-24
490.900000
N
N
N
T Rowe Price Government Reserve Investment Fund
5493007QR86JJLYO6D96
T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND - Collateral
76105YYY8
720482.000000
NS
USD
720482.000000
2.04037
Long
STIV
RF
US
N
1
N
N
T Rowe Price Government Reserve Investment Fund
5493007QR86JJLYO6D96
T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND
76105Y109
2407995.790000
NS
USD
2407995.790000
6.81934
Long
STIV
RF
US
N
1
N
N
N
Puerto Rico Electric Power Authority
5493003BRB67HF8ST418
PUERTO RICO ELECTRIC POWER AUTHORITY
74526QZS4
150000.000000
PA
USD
109125.000000
0.309037
Long
DBT
MUN
PR
N
2
2032-07-01
Fixed
6.05
Y
Y
N
N
N
N
Puerto Rico Electric Power Authority
5493003BRB67HF8ST418
PUERTO RICO ELECTRIC POWER AUTHORITY
74526QZR6
40000.000000
PA
USD
29100.000000
0.0824099
Long
DBT
MUN
PR
N
2
2030-07-01
Fixed
5.95
Y
Y
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3T2
968890.980000
PA
USD
423889.800000
1.20044
Long
DBT
MUN
PR
N
2
2043-11-01
Variable
0.001
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3R6
53960.000000
PA
USD
29168.650000
0.0826043
Long
DBT
MUN
PR
N
2
2033-07-01
None
0.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3Q8
14020.000000
PA
USD
12994.040000
0.0367986
Long
DBT
MUN
PR
N
2
2024-07-01
None
0.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3P0
45738.000000
PA
USD
34289.170000
0.0971054
Long
DBT
MUN
PR
N
2
2046-07-01
Fixed
4.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3N5
43980.000000
PA
USD
34436.270000
0.097522
Long
DBT
MUN
PR
N
2
2041-07-01
Fixed
4.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3M7
32347.000000
PA
USD
26461.980000
0.0749392
Long
DBT
MUN
PR
N
2
2037-07-01
Fixed
4.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3L9
37689.000000
PA
USD
31718.640000
0.0898258
Long
DBT
MUN
PR
N
2
2035-07-01
Fixed
4.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3K1
41930.000000
PA
USD
36355.810000
0.102958
Long
DBT
MUN
PR
N
2
2033-07-01
Fixed
4.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3J4
44217.000000
PA
USD
45718.970000
0.129474
Long
DBT
MUN
PR
N
2
2031-07-01
Fixed
5.75
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3H8
45524.000000
PA
USD
46580.740000
0.131915
Long
DBT
MUN
PR
N
2
2029-07-01
Fixed
5.625
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3G0
46276.000000
PA
USD
47149.100000
0.133524
Long
DBT
MUN
PR
N
2
2027-07-01
Fixed
5.625
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3F2
46698.000000
PA
USD
47050.020000
0.133244
Long
DBT
MUN
PR
N
2
2025-07-01
Fixed
5.375
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3E5
23414.000000
PA
USD
23413.970000
0.0663073
Long
DBT
MUN
PR
N
2
2023-07-01
Fixed
5.25
N
N
N
N
N
N
Port Beaumont Navigation District
549300G8PKBXALUKJY33
PORT BEAUMONT NAVIGATION DISTRICT
73360DAA0
210000.000000
PA
USD
197105.480000
0.558194
Long
DBT
MUN
US
N
2
2025-01-01
Fixed
6.0
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS
71643VAB1
935000.000000
PA
USD
736033.870000
2.08442
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.7
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
INR/USD FWD 20230119 CHASGB2L
000000000
1.000000
NC
USD
490.840000
0.00139004
N/A
DFE
CORP
IN
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-136969.000000
USD
11385000.000000
INR
2023-01-19
490.840000
N
N
N
Freeport Indonesia PT
549300T4HTQHRKLNE619
FREEPORT INDONESIA PT
69377FAC0
200000.000000
PA
USD
175102.470000
0.495883
Long
DBT
CORP
ID
N
2
2052-04-14
Fixed
6.2
N
N
N
N
N
N
Freeport Indonesia PT
549300T4HTQHRKLNE619
FREEPORT INDONESIA PT
69377FAB2
330000.000000
PA
USD
304337.310000
0.86187
Long
DBT
CORP
ID
N
2
2032-04-14
Fixed
5.315
N
N
N
N
N
N
Octane Receivables Trust 2022-1
N/A
OCTANE RECEIVABLES TRUST 2022-1
67571EAD9
490000.000000
PA
USD
470336.550000
1.33197
Long
ABS-O
CORP
US
N
2
2028-07-20
Fixed
5.21
N
N
N
N
N
N
NGL Energy Operating LLC / NGL Energy Finance Corp
N/A
NGL ENERGY OPERATING LLC / NGL ENERGY FINANCE CORP
62922LAA6
380000.000000
PA
USD
337250.000000
0.955077
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.5
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
NOK/USD FWD 20230120 MSLNGB2X
000000000
1.000000
NC
USD
62647.700000
0.177416
N/A
DFE
CORP
NO
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-689276.830000
USD
7360000.000000
NOK
2023-01-20
62647.700000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
INR/USD FWD 20230119 SCBLGB2L
000000000
1.000000
NC
USD
-4900.020000
-0.0138766
N/A
DFE
CORP
IN
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-1075662.030000
USD
88685000.000000
INR
2023-01-19
-4900.020000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
USD/INR FWD 20230119 SCBLGB2L
000000000
1.000000
NC
USD
-905.710000
-0.00256493
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-42110000.000000
INR
507520.610000
USD
2023-01-19
-905.710000
N
N
N
Michigan Tobacco Settlement Finance Authority
N/A
MICHIGAN TOBACCO SETTLEMENT FINANCE AUTHORITY
594751AL3
25000.000000
PA
USD
2832.460000
0.0080214
Long
DBT
MUN
US
N
2
2046-06-01
None
0.0
N
N
N
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
IDR/USD FWD 20230119 MRMDUS33
000000000
1.000000
NC
USD
8983.010000
0.0254395
N/A
DFE
CORP
ID
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-743167.040000
USD
11667485000.000000
IDR
2023-01-19
8983.010000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
USD/IDR FWD 20230119 MRMDUS33
000000000
1.000000
NC
USD
-3719.500000
-0.0105335
N/A
DFE
CORP
US
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-5236495000.000000
IDR
333853.680000
USD
2023-01-19
-3719.500000
N
N
N
LSTAR Commercial Mortgage Trust 2017-5
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2017-5
54910TAS1
220000.000000
PA
USD
169736.140000
0.480685
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Variable
4.674
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
NZD/USD FWD 20230120 CHASGB2L
000000000
1.000000
NC
USD
12065.940000
0.0341702
N/A
DFE
CORP
NZ
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-172113.990000
USD
290000.000000
NZD
2023-01-20
12065.940000
N
N
N
LCPR Senior Secured Financing DAC
549300LE5FM8IKMXSP90
LCPR SENIOR SECURED FINANCING DAC
50201DAD5
400000.000000
PA
USD
332000.000000
0.940209
Long
DBT
CORP
IE
N
2
2029-07-15
Fixed
5.125
N
N
N
N
N
N
KraneShares CSI China Internet ETF
549300URDNVSGEWBN526
KRANESHARES CSI CHINA INTERNET ETF
500767306
6100.000000
NS
USD
184220.000000
0.521703
Long
EC
RF
US
N
1
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/SGD FWD 20230317 SBOSGB2X
000000000
1.000000
NC
USD
5790.350000
0.016398
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-547395.630000
USD
740000.000000
SGD
2023-03-17
5790.350000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
NZD/USD FWD 20230120 BNPAFRPP
000000000
1.000000
NC
USD
13108.500000
0.0371227
N/A
DFE
CORP
NZ
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-183773.490000
USD
310000.000000
NZD
2023-01-20
13108.500000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
GBP/USD FWD 20230224 SBOSGB2X
000000000
1.000000
NC
USD
-4252.630000
-0.0120433
N/A
DFE
CORP
GB
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-238125.000000
GBP
284039.790000
USD
2023-02-24
-4252.630000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
IDR/USD FWD 20230119 BNPAFRPP
000000000
1.000000
NC
USD
3163.260000
0.00895821
N/A
DFE
CORP
ID
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-578150.680000
USD
9017445000.000000
IDR
2023-01-19
3163.260000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
USD/JPY FWD 20230120 SCBLGB2L
000000000
1.000000
NC
USD
-104684.070000
-0.296461
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-155605000.000000
JPY
1084326.500000
USD
2023-01-20
-104684.070000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
JPY/USD FWD 20230120 SCBLGB2L
000000000
1.000000
NC
USD
51444.130000
0.145688
N/A
DFE
CORP
JP
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-389835.780000
USD
57750000.000000
JPY
2023-01-20
51444.130000
N
N
N
JPMorgan Chase Bank NA - CACLN
N/A
JPMORGAN CHASE BANK NA - CACLN
46591HBT6
390259.580000
PA
USD
375151.190000
1.06241
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
1.174
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
STATE OF ILLINOIS
452152GB1
150000.000000
PA
USD
155926.590000
0.441577
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
7.1
N
N
N
N
N
N
Hightower Holding LLC
N/A
HIGHTOWER HOLDING LLC
43118DAA8
230000.000000
PA
USD
192337.500000
0.544691
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
6.75
N
N
N
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
AUD/USD FWD 20230120 SBOSGB2X
000000000
1.000000
NC
USD
23168.560000
0.0656123
N/A
DFE
CORP
AU
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-378892.100000
USD
590000.000000
AUD
2023-01-20
23168.560000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/AUD FWD 20230120 SBOSGB2X
000000000
1.000000
NC
USD
-5608.170000
-0.0158821
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-500000.000000
AUD
335121.200000
USD
2023-01-20
-5608.170000
N
N
N
HPS Loan Management 11-2017 Ltd
549300Z5U2GIJ32SH058
HPS LOAN MANAGEMENT 11-2017 LTD
40436VAJ0
640000.000000
PA
USD
600312.150000
1.70006
Long
ABS-CBDO
CORP
KY
N
2
2030-05-06
Floating
6.482
N
N
N
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
CAD/USD FWD 20230120 ROYCGB2L
000000000
1.000000
NC
USD
-9034.440000
-0.0255851
N/A
DFE
CORP
CA
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-1190000.000000
CAD
869931.350000
USD
2023-01-20
-9034.440000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
CAD/USD FWD 20230120 SBOSGB2X
000000000
1.000000
NC
USD
-5141.340000
-0.01456
N/A
DFE
CORP
CA
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-606205.280000
CAD
442618.070000
USD
2023-01-20
-5141.340000
N
N
N
Great Wolf Trust 2019-WOLF
N/A
GREAT WOLF TRUST 2019-WOLF
39152TAQ3
170000.000000
PA
USD
159308.410000
0.451154
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
7.449
N
N
N
N
N
N
Aris Mining Corp
5493001GJ5TILX6L1F82
ARIS MINING CORP
38501DAR6
380000.000000
PA
USD
298493.800000
0.845321
Long
DBT
CORP
CA
N
2
2026-08-09
Fixed
6.875
N
N
N
N
N
N
Globo Comunicacao e Participacoes SA
52990054HEKS017PVR75
GLOBO COMUNICACAO E PARTICIPACOES SA
37959DAC8
200000.000000
PA
USD
170845.480000
0.483827
Long
DBT
CORP
BR
N
2
2032-01-14
Fixed
5.5
N
N
N
N
N
N
Globo Comunicacao e Participacoes SA
52990054HEKS017PVR75
GLOBO COMUNICACAO E PARTICIPACOES SA
37959DAB0
850000.000000
PA
USD
713411.920000
2.02035
Long
DBT
CORP
BR
N
2
2030-01-22
Fixed
4.875
N
N
N
N
N
N
Freddie Mac STACR REMIC Trust 2022-DNA3
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA3
35564KUX5
145000.000000
PA
USD
143279.270000
0.405761
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Floating
6.828
N
N
N
N
N
N
Freddie Mac STACR REMIC Trust 2022-DNA2
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA2
35564KRN1
560000.000000
PA
USD
526648.810000
1.49145
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
7.678
N
N
N
N
N
N
Freddie Mac STACR REMIC Trust 2021-DNA7
N/A
FREDDIE MAC STACR REMIC TRUST 2021-DNA7
35564KMH9
295000.000000
PA
USD
277058.600000
0.784618
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
5.728
N
N
N
N
N
N
Freddie Mac STACR REMIC Trust 2022-HQA3
N/A
FREDDIE MAC STACR REMIC TRUST 2022-HQA3
35564KE70
150000.000000
PA
USD
141801.680000
0.401576
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Floating
9.278
N
N
N
N
N
N
FOCUS Brands Funding LLC
N/A
FOCUS BRANDS FUNDING LLC
34417QAA6
696000.000000
PA
USD
637719.050000
1.80599
Long
ABS-O
CORP
US
N
2
2048-10-30
Fixed
5.184
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
GBP/USD FWD 20230224 SCBLGB2L
000000000
1.000000
NC
USD
211.980000
0.000600318
N/A
DFE
CORP
GB
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-338777.530000
USD
280000.000000
GBP
2023-02-24
211.980000
N
N
N
Finance of America HECM Buyout 2022-HB1
N/A
FINANCE OF AMERICA HECM BUYOUT 2022-HB1
31735JAD7
390000.000000
PA
USD
362677.810000
1.02709
Long
ABS-MBS
CORP
US
N
2
2032-02-25
Variable
5.084
N
N
N
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
IDR/USD FWD 20230119 BARCGB5G
000000000
1.000000
NC
USD
16507.460000
0.0467484
N/A
DFE
CORP
ID
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-21925130000.000000
IDR
1429921.540000
USD
2023-01-19
16507.460000
N
N
N
ExteNet LLC 2019-1
N/A
EXTENET LLC 2019-1
30227XAB7
240000.000000
PA
USD
226616.300000
0.641767
Long
ABS-O
CORP
US
N
2
2049-07-26
Fixed
4.14
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
EUR/USD FWD 20230224 MSLNGB2X
000000000
1.000000
NC
USD
797.020000
0.00225713
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-187256.650000
USD
175000.000000
EUR
2023-02-24
797.020000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD/EUR FWD 20230224 MSLNGB2X
000000000
1.000000
NC
USD
-19415.480000
-0.0549838
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-573264.720000
EUR
596610.440000
USD
2023-02-24
-19415.480000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
BRL/USD FWD 20230302 ROYCGB2L
000000000
1.000000
NC
USD
235.890000
0.00066803
N/A
DFE
CORP
BR
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-180414.940000
USD
965000.000000
BRL
2023-03-02
235.890000
N
N
N
ERO Copper Corp
549300KL8A21SEIO8I47
ERO COPPER CORP
296006AA7
345000.000000
PA
USD
278675.640000
0.789197
Long
DBT
CORP
CA
N
2
2030-02-15
Fixed
6.5
N
N
N
N
N
N
Enbridge Inc
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC
29250NBN4
385000.000000
PA
USD
375375.000000
1.06305
Long
DBT
CORP
CA
N
2
2083-01-15
Variable
7.375
N
N
N
N
N
N
Elara HGV Timeshare Issuer 2019-A LLC
N/A
ELARA HGV TIMESHARE ISSUER 2019-A LLC
28416TAC9
59704.560000
PA
USD
54672.900000
0.154831
Long
ABS-O
CORP
US
N
2
2034-01-25
Fixed
3.45
N
N
N
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
INR/USD FWD 20230119 GSILGB2X
000000000
1.000000
NC
USD
5101.960000
0.0144485
N/A
DFE
CORP
IN
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-392789.030000
USD
32955000.000000
INR
2023-01-19
5101.960000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/INR FWD 20230119 GSILGB2X
000000000
1.000000
NC
USD
434.550000
0.00123063
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-49902339.840000
INR
602943.770000
USD
2023-01-19
434.550000
N
N
N
DISH Network Corp
529900U350CWHH15G169
DISH NETWORK CORP
25470MAG4
775000.000000
PA
USD
794375.000000
2.24964
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
11.75
N
N
N
N
N
N
Consorcio Transmantaro SA
549300NL65DC6HVEJX96
CONSORCIO TRANSMANTARO SA
210314AD2
200000.000000
PA
USD
180539.000000
0.511279
Long
DBT
CORP
PE
N
2
2038-04-11
Fixed
5.2
N
N
N
N
N
N
Connecticut Avenue Securities Trust 2022-R04
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2022-R04
20753YCK6
45000.000000
PA
USD
44831.750000
0.126962
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
7.028
N
N
N
N
N
N
Connecticut Avenue Securities Trust 2022-R03
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2022-R03
20753XAA2
232437.190000
PA
USD
230820.890000
0.653675
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
6.028
N
N
N
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
ILS/USD FWD 20230119 CITIGB2L
000000000
1.000000
NC
USD
-7093.700000
-0.020089
N/A
DFE
CORP
IL
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-2460000.000000
ILS
693348.370000
USD
2023-01-19
-7093.700000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
BRL/USD FWD 20230302 MRMDUS33
000000000
1.000000
NC
USD
-31665.680000
-0.0896758
N/A
DFE
CORP
BR
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-3795000.000000
BRL
678769.450000
USD
2023-03-02
-31665.680000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
ZAR/USD FWD 20230113 SCBLGB2L
000000000
1.000000
NC
USD
10502.000000
0.0297412
N/A
DFE
CORP
ZA
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-170240.400000
USD
3075000.000000
ZAR
2023-01-13
10502.000000
N
N
N
Colorado Health Facilities Authority
5493002JB6DRFRZPEQ21
COLORADO HEALTH FACILITIES AUTHORITY
19648FRZ9
235000.000000
PA
USD
201570.100000
0.570838
Long
DBT
MUN
US
N
2
2040-12-01
Fixed
4.48
N
N
N
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
EUR/USD FWD 20230224 SBOSGB2X
000000000
1.000000
NC
USD
-19553.940000
-0.0553759
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-585264.760000
EUR
609367.130000
USD
2023-02-24
-19553.940000
N
N
N
Carnival Corp
F1OF2ZSX47CR0BCWA982
CARNIVAL CORP
143658BQ4
430000.000000
PA
USD
349912.500000
0.990937
Long
DBT
CORP
PA
N
2
2028-08-01
Fixed
4.0
N
N
N
N
N
N
Calpine Corp
43R4VPJBXTU2O15HEF41
CALPINE CORP
131347CR5
760000.000000
PA
USD
610850.000000
1.7299
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.75
N
N
N
N
N
N
CSMC 2020-TMIC
N/A
CSMC 2020-TMIC
126390AJ2
100000.000000
PA
USD
98818.620000
0.27985
Long
ABS-MBS
CORP
US
N
2
2035-12-15
Floating
11.568
N
N
N
N
N
N
COMM 2014-CCRE19 Mortgage Trust
N/A
COMM 2014-CCRE19 MORTGAGE TRUST
12592GAJ2
165000.000000
PA
USD
139852.450000
0.396056
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
4.197
N
N
N
N
N
N
Cantor Commercial Real Estate Lending 2019-CF1
N/A
CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF1
12529MDH8
70000.000000
PA
USD
62112.020000
0.175899
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
4.66
N
N
N
N
N
N
Cantor Commercial Real Estate Lending 2019-CF1
N/A
CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF1
12529MDG0
115000.000000
PA
USD
101617.990000
0.287778
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
4.123
N
N
N
N
N
N
CAFL 2021-RTL1 Issuer LLC
N/A
CAFL 2021-RTL1 ISSUER LLC
12468RAC4
620000.000000
PA
USD
556514.980000
1.57603
Long
ABS-MBS
CORP
US
N
2
2029-03-28
Variable
3.104
N
N
N
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
INR/USD FWD 20230119 MRMDUS33
000000000
1.000000
NC
USD
4857.970000
0.0137576
N/A
DFE
CORP
IN
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-348118.600000
USD
29235000.000000
INR
2023-01-19
4857.970000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
USD/INR FWD 20230119 MRMDUS33
000000000
1.000000
NC
USD
-3480.270000
-0.00985597
N/A
DFE
CORP
US
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-62420000.000000
INR
750164.250000
USD
2023-01-19
-3480.270000
N
N
N
Booz Allen Hamilton Holding Corp
529900JPV47PIUWMA015
BOOZ ALLEN HAMILTON HOLDING CORP
099502106
1400.000000
NS
USD
146328.000000
0.414394
Long
EC
CORP
US
N
1
N
N
N
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
N/A
BLACKBIRD CAPITAL AIRCRAFT LEASE SECURITIZATION LTD 2016-1
09228YAB8
327798.560000
PA
USD
268215.140000
0.759574
Long
ABS-O
CORP
KY
N
2
2041-12-16
Variable
4.213
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-IMC
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC
05608BAN0
150000.000000
PA
USD
140240.370000
0.397155
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
6.468
N
N
N
N
N
N
BX Trust 2021-VIEW
N/A
BX TRUST 2021-VIEW
05606GAQ4
145000.000000
PA
USD
131366.380000
0.372024
Long
ABS-MBS
CORP
US
N
2
2036-06-15
Floating
8.248
N
N
N
N
N
N
BFLD 2019-DPLO
N/A
BFLD 2019-DPLO
054970AQ1
83000.000000
PA
USD
77975.970000
0.220825
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Floating
6.858
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust 2021-JACX
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX
05493LAN6
100000.000000
PA
USD
85427.390000
0.241927
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
8.068
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust 2021-JACX
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX
05493LAL0
395000.000000
PA
USD
348137.240000
0.985909
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
7.068
N
N
N
N
N
N
BBCMS 2019-BWAY Mortgage Trust
N/A
BBCMS 2019-BWAY MORTGAGE TRUST
05492NAJ2
120000.000000
PA
USD
98838.820000
0.279907
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
7.168
N
N
N
N
N
N
Axian Telecom
984500C6FIA50FZSE337
AXIAN TELECOM
05466AAA1
200000.000000
PA
USD
176000.000000
0.498424
Long
DBT
CORP
MU
N
2
2027-02-16
Fixed
7.375
N
N
N
N
N
N
ArcelorMittal SA
2EULGUTUI56JI9SAL165
ARCELORMITTAL SA
03938LBF0
1050000.000000
PA
USD
1050000.000000
2.97355
Long
DBT
CORP
LU
N
2
2032-11-29
Fixed
6.8
N
N
N
N
N
N
Amur Equipment Finance Receivables X LLC
549300K5Y88MV8B4M421
AMUR EQUIPMENT FINANCE RECEIVABLES X LLC
03236VAF8
385000.000000
PA
USD
348307.540000
0.986392
Long
ABS-O
CORP
US
N
2
2028-12-20
Fixed
5.02
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
KRW/USD FWD 20230119 SCBLGB2L
000000000
1.000000
NC
USD
64594.880000
0.18293
N/A
DFE
CORP
KR
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-722096.830000
USD
991800000.000000
KRW
2023-01-19
64594.880000
N
N
N
ATI Inc
ZW1LRE7C3H17O2ZN9B45
ATI INC
01741RAH5
340000.000000
PA
USD
324700.000000
0.919536
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
5.875
N
N
N
N
N
Air Canada
4B4HI3CGXMBDC0G6BM51
AIR CANADA
008911BK4
115000.000000
PA
USD
101775.000000
0.288222
Long
DBT
CORP
CA
N
2
2026-08-15
Fixed
3.875
N
N
N
N
N
N
Aeropuerto Internacional de Tocumen SA
254900FO1PHX49ZIGB14
AEROPUERTO INTERNACIONAL DE TOCUMEN SA
00787CAD4
200000.000000
PA
USD
165086.240000
0.467517
Long
DBT
CORP
PA
N
2
2041-08-11
Fixed
4.0
N
N
N
N
N
N
2022-12-31
T. ROWE PRICE INTERNATIONAL FUNDS, INC.
/s/ Alan Dupski
Alan Dupski
Treasurer & Vice President