0001752724-20-043196.txt : 20200228
0001752724-20-043196.hdr.sgml : 20200228
20200228154000
ACCESSION NUMBER: 0001752724-20-043196
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200228
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Natixis Funds Trust II
CENTRAL INDEX KEY: 0000052136
IRS NUMBER: 041990692
STATE OF INCORPORATION: MA
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-00242
FILM NUMBER: 20669483
BUSINESS ADDRESS:
STREET 1: 888 BOYLSTON STREET
STREET 2: 8TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
BUSINESS PHONE: 800-283-1155
MAIL ADDRESS:
STREET 1: 888 BOYLSTON STREET
STREET 2: 8TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
FORMER COMPANY:
FORMER CONFORMED NAME: IXIS Advisor Funds Trust II
DATE OF NAME CHANGE: 20050502
FORMER COMPANY:
FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II
DATE OF NAME CHANGE: 20010503
FORMER COMPANY:
FORMER CONFORMED NAME: NVEST FUNDS TRUST II
DATE OF NAME CHANGE: 20000202
0000052136
S000030600
Loomis Sayles Strategic Alpha Fund
C000094853
Class A
LABAX
C000094854
Class C
LABCX
C000094855
Class Y
LASYX
C000190722
Class N
LASNX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000052136
XXXXXXXX
S000030600
C000190722
C000094855
C000094854
C000094853
Natixis Funds Trust II
811-00242
0000052136
R4B5ZXLI2IMIOWT67V76
888 BOYLSTON STREET
Suite 800
BOSTON
02199-8197
617-449-2822
Loomis Sayles Strategic Alpha Fund
S000030600
XW1RTFP3MQA6N2KPMD54
2019-12-31
2019-12-31
N
1308511476.19
7976091.89
1300535384.3
0
0
0
0
0
0
0
0
0
0
0
0
0
20832710.51
ZAR
USD
EUR
N
Milos CLO, LTD
254900GFWI4EEB8IJS18
Milos CLO Ltd
60162QAA8
815000.00000000
PA
USD
800829.92000000
0.061576942055
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
8.27000000
N
N
N
N
N
N
First Investors Auto Owner Trust
N/A
First Investors Auto Owner Trust 2019-2
32058RAE4
1475000.00000000
PA
USD
1469413.00000000
0.112985238059
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
3.88000000
N
N
N
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XBU9
5050000.00000000
PA
USD
5187140.83000000
0.398846574466
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
3.40000000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69353RFR4
5370000.00000000
PA
USD
5375611.65000000
0.413338361638
Long
DBT
CORP
US
N
2
2022-12-09
Floating
2.32000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-5
576434RF3
302992.04000000
PA
USD
310578.93000000
0.023880851974
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Fixed
5.50000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2019-RPL1 Trust
36167CAA4
3084861.91000000
PA
USD
3081124.60000000
0.236912016173
Long
ABS-MBS
CORP
US
N
2
2068-10-25
Variable
2.65000000
N
N
N
N
N
N
Calpine Corporation
43R4VPJBXTU2O15HEF41
Calpine Corporation Term Loan B5
13134MBE2
870000.00000000
PA
USD
873941.10000000
0.067198563803
Long
LON
CORP
US
N
2
2024-01-15
None
0.00000000
N
N
N
N
N
N
Magellan Midstream Partners LP
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080106
3171.00000000
NS
USD
199360.77000000
0.015329130787
Long
EC
CORP
US
N
1
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DR2
4780000.00000000
PA
USD
4897800.33000000
0.376598775329
Long
DBT
CORP
US
N
2
2022-02-22
Fixed
3.40000000
N
N
N
N
N
N
KENBOURNE INVEST SA
222100QGH6Y9KFYZ4B27
Kenbourne Invest SA
48855KAA8
3170000.00000000
PA
USD
3297370.60000000
0.253539476111
Long
DBT
CORP
LU
N
2
2024-11-26
Fixed
6.88000000
N
N
N
N
N
N
Lanark Master Issuer PLC
213800KIOPB5OYXIVY33
Lanark Master Issuer PLC
513770BB2
1499333.39000000
PA
USD
1503401.08000000
0.115598629468
Long
ABS-MBS
CORP
GB
N
2
2069-12-22
Variable
2.67000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2018-3
23343CAE1
2155000.00000000
PA
USD
2189496.38000000
0.168353464767
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
3.79000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR2 Trust
46185HAJ1
4475000.00000000
PA
USD
4486130.67000000
0.344944914544
Long
ABS-O
CORP
US
N
2
2037-06-17
Floating
3.74000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAH3
1325000.00000000
PA
USD
1343218.75000000
0.103281984190
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.00000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2019-4 LLC
69359NAA9
1853780.86000000
PA
USD
1853760.47000000
0.142538257119
Long
ABS-O
CORP
US
N
2
2024-11-25
Variable
3.35000000
N
N
N
N
N
N
WAVE 2017-1 LLC
N/A
WAVE 2017-1 Trust
94353WAB1
1061933.64000000
PA
USD
1093601.78000000
0.084088583302
Long
ABS-O
CORP
US
N
2
2042-11-15
Fixed
5.68000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-189057.71000000
-0.01453691397
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
471555000.00000000
THB
15561073.80000000
USD
2020-01-22
-189057.71
N
N
N
Apidos CLO
N/A
Apidos CLO XXXII
03768RAN6
475000.00000000
PA
USD
475000.00000000
0.036523419949
Long
ABS-CBDO
CORP
KY
N
3
2033-01-20
None
0.00000000
N
N
N
N
N
N
Kestrel Aircraft Funding Limited
N/A
Kestrel Aircraft Funding LTD
49255PAA1
2245583.79000000
PA
USD
2282215.10000000
0.175482737920
Long
ABS-O
CORP
KY
N
2
2038-12-15
Fixed
4.25000000
N
N
N
N
N
N
Popular Inc
5493008CARDZMVQ3LO89
Popular Inc
000000000
3376.00000000
NS
USD
198340.00000000
0.015250642342
Long
EC
CORP
PR
N
1
N
N
N
John Deere Capital Corp
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EUC1
6350000.00000000
PA
USD
6353957.26000000
0.488564735470
Long
DBT
CORP
US
N
2
2021-03-12
Floating
2.13000000
N
N
N
N
N
N
GCA2014 Holddings Ltd
549300P7I2VS2S4LJI66
GCA2014 Holdings Ltd
36163UAC4
3410000.00000000
PA
USD
0.00000000
0.0000000
Long
ABS-O
CORP
BM
Y
3
2030-01-05
None
0.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BY3
8040000.00000000
PA
USD
8173941.01000000
0.628505852949
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-1
26208NAG9
1330000.00000000
PA
USD
1369399.79000000
0.105295081282
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
4.09000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
239369.58000000
0.018405464617
N/A
DFE
MY
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
15077362.93000000
USD
62755000.00000000
MYR
2020-03-16
239369.58
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDB5
4670000.00000000
PA
USD
4847494.79000000
0.372730711406
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.80000000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859102
541.00000000
NS
USD
198287.32000000
0.015246591703
Long
EC
CORP
US
N
1
N
N
N
Chesapeake Energy Corp
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167CY1
1280000.00000000
PA
USD
609771.56000000
0.046886195282
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.50000000
N
N
N
N
Y
Chesapeake Energy Corp
Chesapeake Energy Corp
USD
XXXX
N
N
N
Halcyon Loan Advisors Funding Ltd
549300U92YP85EMXX728
Halcyon Loan Advisors Funding 2014-2 Ltd
40538BAM4
1998437.78000000
PA
USD
1998398.01000000
0.153659641569
Long
ABS-CBDO
CORP
KY
N
2
2025-04-28
Floating
3.12000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030N101
4589.00000000
NS
USD
206367.33000000
0.015867875068
Long
EC
CORP
US
N
1
N
N
N
SMB Private Education Loan Trust
549300NWENTZ8X7JUC78
SMB Private Education Loan Trust 2017-B
83189DAC4
1198190.29000000
PA
USD
1193685.45000000
0.091784157848
Long
ABS-O
CORP
US
N
2
2035-10-15
Floating
2.49000000
N
N
N
N
N
N
Social Professional Loan Program LLC
N/A
SoFi Professional Loan Program 2015-A LLC
83401LAA2
278579.78000000
PA
USD
278927.17000000
0.021447103505
Long
ABS-O
CORP
US
N
2
2033-03-25
Floating
2.99000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust 2018-2
22535FAC8
1205000.00000000
PA
USD
1244355.18000000
0.095680224853
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
4.16000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650DD9
6065000.00000000
PA
USD
6102189.19000000
0.469205933469
Long
DBT
CORP
US
N
2
2021-03-09
Floating
2.61000000
N
N
N
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718109
1592.00000000
NS
USD
198840.80000000
0.015289149561
Long
EC
CORP
US
N
1
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
Mastercard Inc
57636Q104
673.00000000
NS
USD
200951.07000000
0.015451411197
Long
EC
CORP
US
N
1
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2016-1
68268GAC2
3100000.00000000
PA
USD
3153792.13000000
0.242499525047
Long
ABS-O
CORP
US
N
2
2029-02-20
Fixed
6.00000000
N
N
N
N
N
N
S-JETS Limited
635400FR77IW5YEET913
S-Jets 2017-1 Ltd
784309AA4
4245946.54000000
PA
USD
4249245.22000000
0.326730458186
Long
ABS-O
CORP
BM
N
2
2042-08-15
Fixed
3.97000000
N
N
N
N
N
N
Honeywell International Inc
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516106
1167.00000000
NS
USD
206559.00000000
0.015882612844
Long
EC
CORP
US
N
1
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
103440.87000000
0.007953714389
N/A
DFE
AU
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
5685290.28000000
USD
8245000.00000000
AUD
2020-01-22
103440.87
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust 2019-3
03066NAD6
2500000.00000000
PA
USD
2501701.25000000
0.192359337562
Long
ABS-O
CORP
US
N
2
2024-04-18
Fixed
2.06000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2006-SA2 Trust
749574AE9
378.09000000
PA
USD
363.90000000
0.000027980784
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
5.30000000
N
N
N
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135F101
608.00000000
NS
USD
192140.16000000
0.014773927900
Long
EC
CORP
US
N
1
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DG6
3135000.00000000
PA
USD
3145323.34000000
0.241848347839
Long
DBT
CORP
US
N
2
2020-05-04
Fixed
3.10000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XII Ltd
55818PAN0
1175000.00000000
PA
USD
1176637.48000000
0.090473315390
Long
ABS-CBDO
CORP
KY
N
2
2026-07-20
Floating
3.62000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081103
5100.00000000
NS
USD
199818.00000000
0.015364287847
Long
EC
CORP
US
N
1
N
N
N
Castlelake Aircraft Securitization Trust 2018-1
N/A
Castlelake Aircraft Securitization Trust 2018-1
14856CAB5
1204598.30000000
PA
USD
1225724.79000000
0.094247707889
Long
ABS-O
CORP
US
N
2
2043-06-15
Fixed
5.30000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525103
2257.00000000
NS
USD
199135.11000000
0.015311779472
Long
EC
CORP
US
N
1
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2011-C1
12527EAJ7
4565000.00000000
PA
USD
4719084.73000000
0.362857080781
Long
ABS-MBS
CORP
US
N
2
2044-04-15
Variable
6.09000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2019-SFR3 Trust
74332WAG8
1005000.00000000
PA
USD
991319.34000000
0.076223942229
Long
ABS-O
CORP
US
N
2
2036-09-17
Fixed
2.87000000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WCZ4
6780000.00000000
PA
USD
6798008.43000000
0.522708456230
Long
DBT
CORP
US
N
2
2021-08-06
Floating
2.23000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2018-1
14314AAG4
135000.00000000
PA
USD
137177.52000000
0.010547772990
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
3.37000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2005-AR5
23332UFF6
516566.83000000
PA
USD
421964.64000000
0.032445456316
Long
ABS-MBS
CORP
US
N
2
2045-09-19
Floating
2.09000000
N
N
N
N
N
N
SMB Private Education Loan Trust
549300GD7VLLBVPDNJ81
SMB Private Education Loan Trust 2015-C
78448RAE6
800000.00000000
PA
USD
812287.60000000
0.062457939230
Long
ABS-O
CORP
US
N
2
2043-09-15
Fixed
3.50000000
N
N
N
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142EH2
6635000.00000000
PA
USD
6646345.85000000
0.511046906545
Long
DBT
CORP
US
N
2
2021-06-23
Floating
2.16000000
N
N
N
N
N
N
Marlette Funding Trust
549300W2612MGSLICQ35
Marlette Funding Trust 2019-3
57109MAA9
2639382.81000000
PA
USD
2646418.61000000
0.203486859484
Long
ABS-O
CORP
US
N
2
2029-09-17
Fixed
2.69000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69353RFM5
8035000.00000000
PA
USD
8038374.70000000
0.618081968167
Long
DBT
CORP
US
N
2
2021-03-12
Floating
2.24000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571900BA6
5145000.00000000
PA
USD
5163960.05000000
0.397064171597
Long
DBT
CORP
US
N
2
2021-03-08
Floating
2.54000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2019-1
55389PAC3
681922.88000000
PA
USD
689274.15000000
0.052999261559
Long
ABS-O
CORP
US
N
2
2036-11-20
Fixed
3.33000000
N
N
N
N
N
N
AES Corporation
2NUNNB7D43COUIRE5295
AES Corporation 2018 Term Loan B
00809DAQ7
193572.50000000
PA
USD
193572.50000000
0.014884062543
Long
LON
CORP
US
N
2
2022-05-31
Floating
3.66000000
N
N
N
N
N
N
Omnicom Group Inc
HKUPACFHSSASQK8HLS17
Omnicom Group Inc
681919106
2544.00000000
NS
USD
206114.88000000
0.015848463831
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2005-7
61748HPQ8
888573.14000000
PA
USD
922632.86000000
0.070942541905
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAG1
2550000.00000000
PA
USD
2554870.50000000
0.196447596185
Long
DBT
CORP
US
N
2
2021-06-01
Floating
2.59000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR2 Trust
02665UAE5
2170000.00000000
PA
USD
2413057.14000000
0.185543366918
Long
ABS-O
CORP
US
N
2
2036-10-17
Fixed
6.23000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
1282.00000000
NS
USD
202171.40000000
0.015545244092
Long
EC
CORP
US
N
1
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAH8
5460000.00000000
PA
USD
5575844.71000000
0.428734564035
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.70000000
N
N
N
N
N
N
ARAMARK SERVICES INC 2019 TERM LOAN B4
42YMHYH0XMHJEXDUB065
ARAMARK SERVICES INC 2019 TERM LOAN B4
03852JAR2
650000.00000000
PA
USD
653048.50000000
0.050213820237
Long
LON
CORP
US
N
2
2027-01-27
None
0.00000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-184138.32000000
-0.01415865513
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
5095000.00000000
GBP
6570129.88000000
USD
2020-01-31
-184138.32
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BT58
98498.17000000
PA
USD
3133.61000000
0.000240947692
Long
ABS-MBS
USGA
US
N
2
2053-01-16
Variable
0.57000000
N
N
N
N
N
N
Bharti Airtel Ltd
335800KQ1FPKOQ84OR26
Bharti Airtel Ltd
000000000
1740000.00000000
PA
USD
1772031.36000000
0.136253990578
Long
DBT
CORP
IN
N
2
2025-06-10
Fixed
4.38000000
N
N
N
N
N
N
Motel 6 Trust
N/A
Motel 6 Trust 2017-M6MZ
61975GAA5
4628091.99000000
PA
USD
4674699.19000000
0.359444214008
Long
ABS-MBS
CORP
US
N
2
2019-08-15
Floating
8.67000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BU5
5955000.00000000
PA
USD
5968323.30000000
0.458912796379
Long
DBT
CORP
US
N
2
2022-03-01
Floating
2.22000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2003-22CB
12669FEE9
489103.76000000
PA
USD
502576.86000000
0.038643843609
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Fixed
5.75000000
N
N
N
N
N
N
Iron Mountain, Inc.
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc. 2018 Term Loan B
46284NAQ2
4580943.30000000
PA
USD
4565184.86000000
0.351023502713
Long
LON
CORP
US
N
2
2026-01-02
Floating
3.55000000
N
N
N
N
N
N
Dryden Senior Loan Fund
54930046L20VLJKPVV31
Dryden 45 Senior Loan Fund
26244PAG0
875000.00000000
PA
USD
825942.25000000
0.063507864528
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
7.85000000
N
N
N
N
N
N
Jeld-Wen Inc.
549300XWE6NM0N1HFW16
Jeld-Wen Inc. 2017 1st Lien Term Loan
47579SAT7
5114692.22000000
PA
USD
5116840.39000000
0.393441074481
Long
LON
CORP
US
N
2
2024-12-14
Floating
3.94000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2018-SFR2 Trust
74332UAJ6
564000.00000000
PA
USD
576403.77000000
0.044320498846
Long
ABS-O
CORP
US
N
2
2035-08-17
Fixed
4.66000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AR6
1215000.00000000
PA
USD
1230187.50000000
0.094590851956
Long
DBT
CORP
CA
N
2
2026-03-01
Fixed
6.88000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967424
2534.00000000
NS
USD
202441.26000000
0.015565994008
Long
EC
CORP
US
N
1
N
N
N
General Mills Inc
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CD4
3925000.00000000
PA
USD
3995859.95000000
0.307247307396
Long
DBT
CORP
US
N
2
2021-04-16
Fixed
3.20000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796SV2
5755000.00000000
PA
USD
5713636.28000000
0.439329552196
Long
STIV
UST
US
N
2
2020-06-18
None
0.00000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320102
1682.00000000
NS
USD
157670.68000000
0.012123520967
Long
EC
CORP
US
N
1
N
N
N
LATAM AIR 2015-1 PTT B
N/A
Latam Airlines 2015-1 Pass Through Trust B
51817UAB5
3726195.56000000
PA
USD
3730819.06000000
0.286867939545
Long
DBT
CORP
CL
N
2
2023-11-15
Fixed
4.50000000
N
N
N
N
N
N
Caterpillar Inc
WRJR7GS4GTRECRRTVX92
Caterpillar Inc
149123101
1354.00000000
NS
USD
199958.72000000
0.015375108006
Long
EC
CORP
US
N
1
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CATERPILLAR INC FEB20 150 CALL
000000000
-9.00000000
NC
USD
-3712.50000000
-0.00028545936
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Caterpillar Inc
Caterpillar Inc
100.00000000
150
USD
2020-02-21
XXXX
271.81
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2015-3
68268LAB3
3120000.00000000
PA
USD
3134197.56000000
0.240992870923
Long
ABS-O
CORP
US
N
2
2028-11-20
Fixed
4.16000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BM1
3460000.00000000
PA
USD
3583729.60000000
0.275558023508
Long
DBT
CORP
GB
N
2
2023-01-20
Variable
4.25000000
N
N
N
N
N
N
Universal Display Corp
N/A
Universal Display Corp
91347P105
1002.00000000
NS
USD
206482.14000000
0.015876702971
Long
EC
CORP
US
N
1
N
N
N
Hewlett Packard Enterprise Co
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824C109
5503.00000000
NS
USD
87277.58000000
0.006710896224
Long
EC
CORP
US
N
1
N
N
N
MAPS LTD
N/A
MAPS 2018-1 Ltd
56564RAA8
1364367.00000000
PA
USD
1388791.49000000
0.106786136445
Long
ABS-O
CORP
BM
N
2
2043-05-15
Fixed
4.21000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2018-4
63941NAA7
590990.07000000
PA
USD
589676.95000000
0.045341092377
Long
ABS-O
CORP
US
N
2
2067-06-27
Floating
2.04000000
N
N
N
N
N
N
Fox Corp
549300DDU6FDRBIELS05
Fox Corp
35137LAA3
4710000.00000000
PA
USD
4864134.70000000
0.374010177556
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
3.67000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust 2003-8
05948XTV3
514570.63000000
PA
USD
539756.50000000
0.041502638568
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.50000000
N
N
N
N
N
N
Mountain View CLO Ltd
549300RHYK4B5L898W39
Mountain View CLO X Ltd
62432CAQ4
4085000.00000000
PA
USD
4070476.60000000
0.312984686855
Long
ABS-CBDO
CORP
KY
N
2
2027-10-13
Floating
2.82000000
N
N
N
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
693483AF6
6730000.00000000
PA
USD
6724548.70000000
0.517060033981
Long
DBT
CORP
KR
N
2
2022-11-12
Fixed
2.38000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-14003.87000000
-0.00107677731
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
2000000.00000000
EUR
2233298.00000000
USD
2020-01-31
-14003.87
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAB2
2870000.00000000
PA
USD
3082667.00000000
0.237030613485
Long
DBT
CORP
XX
N
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26208KAG5
195000.00000000
PA
USD
199826.97000000
0.015364977563
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
4.30000000
N
N
N
N
N
N
RCO Mortgage LLC
N/A
RCO V Mortgage LLC 2019-1
74937LAA4
3386710.84000000
PA
USD
3390302.11000000
0.260685110987
Long
ABS-MBS
CORP
US
N
2
2024-05-24
Variable
3.72000000
N
N
N
N
N
N
SMB Private Education Loan Trust
549300V1P5RKG8RJI005
SMB Private Education Loan Trust 2018-C
78449QAD9
510000.00000000
PA
USD
524606.25000000
0.040337714477
Long
ABS-O
CORP
US
N
2
2042-11-17
Fixed
4.00000000
N
N
N
N
N
N
VINE OIL & GAS LP / FIN
N/A
Vine Oil & Gas LP / Vine Oil & Gas Finance Corp
927375AB1
3465000.00000000
PA
USD
1732500.00000000
0.133214368552
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
9.75000000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAC8
1075000.00000000
PA
USD
1093812.50000000
0.084104785860
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
4.63000000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Private Credit Student Loan Trust 2003-A
78443CAJ3
828000.00000000
PA
USD
826873.92000000
0.063579501948
Long
ABS-O
CORP
US
N
2
2032-06-15
Floating
5.05000000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAS6
3575000.00000000
PA
USD
2770066.41000000
0.212994313222
Long
ABS-MBS
CORP
US
N
3
2027-11-15
Floating
6.14000000
N
N
N
N
N
N
JACKSON NATL LIFE GLOBAL
635400PQXLYXWJI5QD78
Jackson National Life Global Funding
46849LTE1
7735000.00000000
PA
USD
7954076.16000000
0.611600134530
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.30000000
N
N
N
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20338HAB9
4075000.00000000
PA
USD
3830500.00000000
0.294532547613
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441C204
1925.00000000
NS
USD
175579.25000000
0.013500536172
Long
EC
CORP
US
N
1
N
N
N
OZLM Ltd
549300HQQ42NFL2R0S17
OZLM XIII Ltd
67110AAQ6
250000.00000000
PA
USD
249477.08000000
0.019182644548
Long
ABS-CBDO
CORP
KY
N
2
2027-07-30
Floating
3.02000000
N
N
N
N
N
N
Discover Card Execution Note Trust
549300CKCX1QE4RUW216
Discover Card Execution Note Trust
254683CF0
5425000.00000000
PA
USD
5429814.15000000
0.417506068312
Long
ABS-O
CORP
US
N
2
2023-12-15
Floating
1.97000000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAN7
1060000.00000000
PA
USD
1049152.81000000
0.080670839307
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
4.49000000
N
N
N
N
N
N
HP Inc
WHKXQACZ14C5XRO8LW03
HP Inc
40434L105
9759.00000000
NS
USD
200547.45000000
0.015420376286
Long
EC
CORP
US
N
1
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAJ8
5000000.00000000
PA
USD
5012500.00000000
0.385418194730
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
4.38000000
N
N
N
N
N
N
Axalta Coating Systems US Holdings Inc.
549300NZ43V4QV4UGN28
Axalta Coating Systems US Holdings Inc. USD Term Loan B3
90347BAH1
3347250.56000000
PA
USD
3351903.24000000
0.257732567715
Long
LON
CORP
NL
N
2
2024-06-01
Floating
3.69000000
N
N
N
N
N
N
Navistar Financial Dealer Note Master Trust
549300S28N49H5RT4J50
Navistar Financial Dealer Note Master Owner Trust II
63938PBD0
1100000.00000000
PA
USD
1101816.65000000
0.084720236242
Long
ABS-O
CORP
US
N
2
2023-09-25
Floating
2.42000000
N
N
N
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
09228YAB8
1013958.33000000
PA
USD
1034909.95000000
0.079575685713
Long
ABS-O
CORP
KY
N
2
2041-12-16
Variable
4.21000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2005-7 Trust
05946XS61
580492.75000000
PA
USD
626620.21000000
0.048181711744
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.75000000
N
N
N
N
N
N
Bank of America Credit Card Trust
5493006DQ60M1CRKHH19
BA Credit Card Trust
05522RCW6
4385000.00000000
PA
USD
4385438.50000000
0.337202551575
Long
ABS-O
CORP
US
N
2
2022-08-15
Fixed
1.95000000
N
N
N
N
N
N
ADAMS OUTDOOR ADVERTISING
549300BTFXNHDCUHER30
Adams Outdoor Advertising LP
006346AS9
4283573.82000000
PA
USD
4444798.11000000
0.341766795710
Long
ABS-O
CORP
US
N
2
2048-11-15
Fixed
4.81000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAG7
9600000.00000000
PA
USD
9539207.04000000
0.733483083594
Long
DBT
CORP
US
N
2
2027-01-30
Fixed
3.70000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BC1
4010000.00000000
PA
USD
4032857.00000000
0.310092062752
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
2.88000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LLC
N/A
Domino's Pizza Master Issuer LLC
25755TAJ9
212312.50000000
PA
USD
218346.42000000
0.016788964193
Long
ABS-O
CORP
US
N
2
2048-07-25
Fixed
4.12000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2004-16CB
12667FLT0
319535.51000000
PA
USD
327396.24000000
0.025173958659
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
Massachusetts Educational Financing Authority
5493007K5OP7V6CL0Y88
Massachusetts Educational Financing Authority
57563NAB4
2932306.63000000
PA
USD
2963183.82000000
0.227843383253
Long
ABS-O
CORP
US
N
2
2033-05-25
Fixed
3.85000000
N
N
N
N
N
N
BELLATRIX EXPLORATION
549300S2235IL73TH941
Bellatrix Exploration Ltd
078314AF8
872000.00000000
PA
USD
523200.00000000
0.040229585931
Long
DBT
CORP
CA
Y
3
2023-09-11
Fixed
8.50000000
Y
N
N
N
N
N
American Express Credit Account Master Trust
549300Y4SA5G3GIJTP18
American Express Credit Account Master Trust
02582JJH4
3790000.00000000
PA
USD
3874844.08000000
0.297942226468
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
3.18000000
N
N
N
N
N
N
Fidelity National Information Services Inc
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620M106
1516.00000000
NS
USD
210860.44000000
0.016213356633
Long
EC
CORP
US
N
1
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932107
2507.00000000
NS
USD
121840.20000000
0.009368464823
Long
EC
CORP
US
N
1
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2011-C3
92935VAS7
1809189.00000000
PA
USD
1382718.47000000
0.106319173372
Long
ABS-MBS
CORP
US
N
2
2044-03-15
Variable
5.68000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161N101
4385.00000000
NS
USD
199912.15000000
0.015371527173
Long
EC
CORP
US
N
1
N
N
N
DCAL Aviation Finance Limited
N/A
AIM Aviation Finance Ltd
001406AB3
2399698.14000000
PA
USD
2396183.06000000
0.184245895108
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
5.07000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2019-2
26252TAG1
1655000.00000000
PA
USD
1678178.44000000
0.129037507188
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
3.48000000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
2280000.00000000
PA
USD
946200.00000000
0.072754652539
Long
DBT
NUSS
AR
N
2
2023-02-15
Fixed
6.50000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-1 Trust
83405RAC1
580000.00000000
PA
USD
591116.45000000
0.045451777562
Long
ABS-O
CORP
US
N
2
2027-02-25
Fixed
3.65000000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAH1
731325.00000000
PA
USD
752160.45000000
0.057834677862
Long
ABS-O
CORP
US
N
2
2049-06-15
Fixed
4.08000000
N
N
N
N
N
N
Yanlord Land HK Co Ltd
549300O56H3950RDWG19
Yanlord Land HK Co Ltd
000000000
370000.00000000
PA
USD
373505.84000000
0.028719390837
Long
DBT
CORP
HK
N
2
2022-01-23
Fixed
5.88000000
N
N
N
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
1665000.00000000
PA
1972684.64000000
0.151682504283
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
6.00000000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust 2019-1
02004WAC5
7250000.00000000
PA
USD
7339535.33000000
0.564347223351
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
2.91000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
HEWLETT PACKARD ENTERPRISE CO FEB20 17 CALL
000000000
-38.00000000
NC
USD
-1007.00000000
-0.00007742965
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Hewlett Packard Enterprise Co
Hewlett Packard Enterprise Co
100.00000000
17
USD
2020-02-21
XXXX
46
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT LXXII LLC
91833GAD8
7056760.58000000
PA
USD
7049650.19000000
0.542057546077
Long
ABS-O
CORP
US
N
2
2048-10-26
Variable
4.21000000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust
25272XAC9
384385.11000000
PA
USD
393657.63000000
0.030268890393
Long
ABS-O
CORP
US
N
2
2029-10-22
Fixed
6.07000000
N
N
N
N
N
N
West CLO Ltd
2549008FQ6ZWGP8NJZ96
West CLO 2014-1 Ltd
951680AJ6
2780876.31000000
PA
USD
2778278.42000000
0.213625746253
Long
ABS-CBDO
CORP
KY
N
2
2026-07-18
Floating
2.92000000
N
N
N
N
N
N
Gosforth Funding plc
213800GD24WOLHNGMP34
Gosforth Funding 2018-1 plc
38312RAA1
1325610.05000000
PA
USD
1323453.28000000
0.101762189324
Long
ABS-MBS
CORP
GB
N
2
2060-08-25
Floating
2.36000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2015-SFR1
02666AAE8
3138000.00000000
PA
USD
3378298.63000000
0.259762146480
Long
ABS-O
CORP
US
N
2
2052-04-17
Fixed
5.64000000
N
N
N
N
N
N
Discover Card Execution Note Trust
549300CKCX1QE4RUW216
Discover Card Execution Note Trust
254683CH6
6880000.00000000
PA
USD
7049014.77000000
0.542008687737
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
3.32000000
N
N
N
N
N
N
Ludgate Funding PLC
213800LADM2GPWI3P269
Ludgate Funding PLC
000000000
439359.00000000
PA
467496.58000000
0.035946471402
Long
ABS-MBS
CORP
GB
N
2
2061-01-01
None
0.00000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-2 Trust
78471WAB1
1410000.00000000
PA
USD
1418502.16000000
0.109070631766
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
3.35000000
N
N
N
N
N
N
CABLE ONDA SA
5299008Q5GONPYNF9J32
Cable Onda SA
12686LAA7
1405000.00000000
PA
USD
1479465.00000000
0.113758150517
Long
DBT
CORP
PA
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
DISH Network Corp
529900U350CWHH15G169
DISH Network Corp
25470MAD1
4280000.00000000
PA
USD
3908068.00000000
0.300496860537
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
2.38000000
N
N
N
N
Y
DISH Network Corp
DISH Network Corp
USD
XXXX
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BL3
3460000.00000000
PA
USD
3482455.40000000
0.267770907430
Long
DBT
CORP
GB
N
2
2023-01-20
Variable
3.12000000
N
N
N
N
N
N
PRPM 2017-3 LLC
N/A
PRPM 2017-3 LLC
69358JAA9
768687.95000000
PA
USD
769187.83000000
0.059143937126
Long
ABS-O
CORP
US
N
2
2022-11-25
Variable
3.47000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236TEV3
12395000.00000000
PA
USD
12415252.44000000
0.954626270832
Long
DBT
CORP
US
N
2
2021-04-13
Floating
2.28000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
PROCTER + GAMBLE CO/THE FEB20 130 CALL
000000000
-11.00000000
NC
USD
-1237.50000000
-0.00009515312
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Procter & Gamble Co/The
Procter & Gamble Co/The
100.00000000
130
USD
2020-02-21
XXXX
332.28
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
67000000.00000000
PA
588907.44000000
0.045281923668
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
52.27000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR3 Trust
02665XAE9
1200000.00000000
PA
USD
1347974.76000000
0.103647680507
Long
ABS-O
CORP
US
N
2
2036-12-17
Fixed
6.42000000
N
N
N
N
N
N
Whiting Petroleum Corp
52990028CHK9KUB1B293
Whiting Petroleum Corp
966387409
73856.00000000
NS
USD
542103.04000000
0.041683067338
Long
EC
CORP
US
N
1
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT LXXXIII LLC
92870EAA1
1679688.71000000
PA
USD
1678860.96000000
0.129089987113
Long
ABS-O
CORP
US
N
2
2049-11-26
Variable
3.33000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ABBVIE INC FEB20 92.5 CALL
000000000
-8.00000000
NC
USD
-992.00000000
-0.00007627627
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
AbbVie Inc
AbbVie Inc
100.00000000
92.5
USD
2020-02-21
XXXX
453.65
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J5T0
3510000.00000000
PA
USD
3612515.62000000
0.277771421186
Long
DBT
CORP
US
N
2
2021-10-22
Fixed
3.63000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
HP INC FEB20 21 CALL
000000000
-68.00000000
NC
USD
-3434.00000000
-0.00026404510
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
HP Inc
HP Inc
100.00000000
21
USD
2020-02-21
XXXX
356.31
N
N
N
Staniford Street CLO Ltd
549300VQ0AVDB6585K37
Staniford Street CLO Ltd
854432AE1
169322.47000000
PA
USD
169288.32000000
0.013016817692
Long
ABS-CBDO
CORP
KY
N
2
2025-06-15
Floating
3.07000000
N
N
N
N
N
N
GCA2014 Holddings Ltd
549300P7I2VS2S4LJI66
GCA2014 Holdings Ltd
36163UAA8
2136023.69000000
PA
USD
1779094.13000000
0.136797056925
Long
ABS-O
CORP
BM
Y
3
2030-01-05
Fixed
6.00000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust 2019-1
22535AAE5
4745000.00000000
PA
USD
4902004.93000000
0.376922072953
Long
ABS-O
CORP
US
N
2
2028-06-15
Fixed
3.94000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAV3
1430000.00000000
PA
USD
1447299.27000000
0.111284882170
Long
DBT
CORP
DK
N
2
2025-12-20
Variable
3.24000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2004-J10
12667FVB8
918792.02000000
PA
USD
946243.32000000
0.072757983475
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUND TRUST
N/A
Bayview Opportunity Master Fund Trust IVb 2019-RN1
07334DAA1
833230.50000000
PA
USD
831993.90000000
0.063973184431
Long
ABS-O
CORP
US
N
2
2034-02-28
Variable
4.09000000
N
N
N
N
N
N
Toyota Auto Receivables Owner Trust
N/A
Toyota Auto Receivables 2018-C Owner Trust
89231AAC5
2188866.79000000
PA
USD
2188337.96000000
0.168264392220
Long
ABS-O
CORP
US
N
2
2021-08-16
Floating
1.86000000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GCS6
4270000.00000000
PA
USD
4390147.17000000
0.337564607852
Long
DBT
CORP
US
N
2
2022-01-11
Fixed
3.38000000
N
N
N
N
N
N
CF Industries Holdings Inc
529900CG8YAQFZ2JMV97
CF Industries Holdings Inc
125269100
4054.00000000
NS
USD
193537.96000000
0.014881406714
Long
EC
CORP
US
N
1
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
VERIZON COMMUNICATIONS INC FEB20 62.5 CALL
000000000
-23.00000000
NC
USD
-1529.50000000
-0.00011760541
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Verizon Communications Inc
Verizon Communications Inc
100.00000000
62.5
USD
2020-02-21
XXXX
593.84
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
HUMANA INC FEB20 375 CALL
000000000
-4.00000000
NC
USD
-4500.00000000
-0.00034601134
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Humana Inc
Humana Inc
100.00000000
375
USD
2020-02-21
XXXX
782.73
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AN0
1930000.00000000
PA
USD
476362.60000000
0.036628192185
Long
DBT
CORP
AR
N
2
2020-07-07
Floating
63.35000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
48300TAD4
1675000.00000000
PA
USD
1746355.00000000
0.134279699044
Long
DBT
CORP
KY
N
2
2022-10-22
Fixed
11.95000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
AMERISOURCEBERGEN CORP FEB20 87.5 CALL
000000000
-8.00000000
NC
USD
-2040.00000000
-0.00015685847
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
AmerisourceBergen Corp
AmerisourceBergen Corp
100.00000000
87.5
USD
2020-02-21
XXXX
199.32
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Trust 2018-3
36255XAB9
1260000.00000000
PA
USD
1277546.51000000
0.098232353031
Long
ABS-O
CORP
US
N
2
2023-08-15
Fixed
3.78000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2016-3
33843PAJ5
650000.00000000
PA
USD
661670.88000000
0.050876807197
Long
ABS-O
CORP
US
N
2
2022-11-15
Fixed
3.89000000
N
N
N
N
N
N
Sound Point CLO LTD
549300TT7IR66ASPWY89
Sound Point Clo XIV Ltd
83609NAL4
250000.00000000
PA
USD
249921.53000000
0.019216818936
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
3.08000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122108
3152.00000000
NS
USD
202326.88000000
0.015557199169
Long
EC
CORP
US
N
1
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial Inc
03076CAJ5
3140000.00000000
PA
USD
3211977.12000000
0.246973450993
Long
DBT
CORP
US
N
2
2022-03-22
Fixed
3.00000000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
Colony American Finance 2016-1 Ltd
19625GAC3
1065000.00000000
PA
USD
1075317.61000000
0.082682687682
Long
ABS-O
CORP
KY
N
2
2048-06-15
Variable
4.64000000
N
N
N
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AN7
1130000.00000000
PA
USD
1184816.30000000
0.091102196395
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
5.13000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833100
232.00000000
NS
USD
68126.80000000
0.005238365739
Long
EC
CORP
US
N
1
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-6
89175JAA8
1083202.07000000
PA
USD
1089750.13000000
0.083792424501
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Variable
2.75000000
N
N
N
N
N
N
BELLATRIX EXPLORATION
549300S2235IL73TH941
Bellatrix Exploration Ltd
078314AK7
864577.47000000
PA
USD
0.00000000
0.0000000
Long
DBT
CORP
CA
Y
3
2023-12-15
Fixed
12.50000000
Y
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-301844.30000000
-0.02320923395
N/A
DFE
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
18400000000.00000000
COP
5295573.59000000
USD
2020-01-02
-301844.3
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2018-A
17327LAA1
1175957.77000000
PA
USD
1179600.30000000
0.090701130798
Long
ABS-MBS
CORP
US
N
2
2068-01-25
Variable
4.00000000
N
N
N
N
N
N
Chase Issuance Trust
5493008SHVCX2Y068L12
Chase Issuance Trust
161571GX6
3500000.00000000
PA
USD
3499191.85000000
0.269057796676
Long
ABS-O
CORP
US
N
2
2022-04-15
Fixed
1.84000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TJ8
13535000.00000000
PA
USD
13390987.60000000
1.029651923481
Long
STIV
UST
US
N
2
2020-09-10
None
0.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
549973.28000000
0.042288221192
N/A
DFE
NO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
14348481.94000000
USD
130790000.00000000
NOK
2020-01-15
549973.28
N
N
N
California Resources Corporation
5493003Q8F0T4F4YMR48
California Resources Corporation 2017 1st Lien Term Loan
000000000
811000.00000000
PA
USD
722803.75000000
0.055577399794
Long
LON
CORP
US
N
2
2022-12-31
Floating
6.55000000
N
N
N
N
N
N
California Republic Auto Receivables Trust
N/A
California Republic Auto Receivables Trust 2018-1
13057FAG6
1785000.00000000
PA
USD
1846911.83000000
0.142011655530
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
4.33000000
N
N
N
N
N
N
Best Buy Co Inc
HL5XPTVRV0O8TUN5LL90
Best Buy Co Inc
086516101
2264.00000000
NS
USD
198779.20000000
0.015284413050
Long
EC
CORP
US
N
1
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
BROADCOM INC FEB20 340 CALL
000000000
-2.00000000
NC
USD
-550.00000000
-0.00004229027
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Broadcom Inc
Broadcom Inc
100.00000000
340
USD
2020-02-21
XXXX
219.4
N
N
N
Uber Technologies, Inc.
549300B2FTG34FILDR98
Uber Technologies, Inc. 2018 Incremental Term Loan
90351JAE4
2435872.59000000
PA
USD
2428467.54000000
0.186728294309
Long
LON
CORP
US
N
2
2023-07-13
Floating
5.30000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-LC4 Mortgage Trust
126192AG8
140000.00000000
PA
USD
145372.08000000
0.011177864266
Long
ABS-MBS
CORP
US
N
2
2044-12-10
Variable
5.54000000
N
N
N
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222105
3305.00000000
NS
USD
201737.20000000
0.015511857842
Long
EC
CORP
US
N
1
N
N
N
SLM Student Loan Trust
549300BLEHJGFV7XSO25
SLM Private Credit Student Loan Trust 2003-B
78443CAN4
2307000.00000000
PA
USD
2302711.29000000
0.177058718878
Long
ABS-O
CORP
US
N
2
2033-03-15
Floating
4.30000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR20 XCBT 20200320
000000000
386.00000000
NC
USD
-6691.31000000
-0.00051450426
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
49577535.06
USD
-6691.31
N
N
N
American Builders & Contractors Supply Co., Inc.
549300H5GQ4C1BEKG397
American Builders & Contractors Supply Co., Inc. 2019 Term Loan
02474RAH6
2214450.00000000
PA
USD
2224149.29000000
0.171017975892
Long
LON
CORP
US
N
2
2027-01-15
Floating
3.80000000
N
N
N
N
N
N
Coinstar Funding LLC Series 2017-1
N/A
Coinstar Funding LLC Series 2017-1
19260MAA4
3427125.00000000
PA
USD
3516037.30000000
0.270353067086
Long
ABS-O
CORP
US
N
2
2047-04-25
Fixed
5.22000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183BE3
775000.00000000
PA
USD
779212.51000000
0.059914748910
Long
ABS-O
CORP
US
N
2
2029-11-15
Fixed
3.26000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
COMCAST CORP FEB20 45 CALL
000000000
-18.00000000
NC
USD
-2403.00000000
-0.00018477005
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Comcast Corp. Class A
Comcast Corp. Class A
100.00000000
45
USD
2020-02-21
XXXX
-644.24
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BE1
5520000.00000000
PA
USD
5601044.81000000
0.430672235266
Long
DBT
CORP
US
N
2
2020-12-29
Fixed
3.50000000
N
N
N
N
N
N
Accelerated Assets LLC
N/A
Accelerated Assets 2018-1 LLC
00436MAB1
799791.61000000
PA
USD
818934.62000000
0.062969037973
Long
ABS-O
CORP
US
N
2
2033-12-02
Fixed
4.51000000
N
N
N
N
N
N
Harbour Aircraft Investments Limited
N/A
Harbour Aircraft Investments Limited 2017 Term Loan C
000000000
4995281.81000000
PA
USD
5003558.99000000
0.384730707860
Long
LON
CORP
KY
N
2
2037-11-15
Floating
1.71000000
N
N
N
N
N
N
CFLD CAYMAN INVESTMENT
3003006ZC30FH27GHL08
CFLD Cayman Investment Ltd
000000000
740000.00000000
PA
USD
739075.00000000
0.056828519156
Long
DBT
CORP
KY
N
2
2020-12-21
Fixed
6.50000000
N
N
N
N
N
N
Sprite Limited
N/A
Sprite 2017-1 Ltd
85208HAB9
1072418.76000000
PA
USD
1110439.33000000
0.085383246269
Long
ABS-O
CORP
KY
N
2
2037-12-15
Fixed
5.75000000
N
N
N
N
N
N
Capital One Multi-Asset Execution Trust
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust
14041NFT3
3440000.00000000
PA
USD
3509751.85000000
0.269869769970
Long
ABS-O
CORP
US
N
2
2024-12-15
Fixed
2.84000000
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
Ziggo BV
98955DAA8
1725000.00000000
PA
USD
1781390.25000000
0.136973608831
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
4.88000000
N
N
N
N
N
N
Bruin E&P Partners LLC
549300NZ4QCWC7W8KP34
Bruin E&P Partners LLC
11680JAA0
4155000.00000000
PA
USD
2705154.30000000
0.208003129530
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.88000000
N
N
N
N
N
N
Nissan Auto Receivables Owner Trust
N/A
Nissan Auto Receivables 2018-A Owner Trust
65478DAD9
3162965.10000000
PA
USD
3176538.65000000
0.244248537052
Long
ABS-O
CORP
US
N
2
2022-05-16
Fixed
2.65000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
BRISTOL-MYERS SQUIBB CO FEB20 65 CALL
000000000
-22.00000000
NC
USD
-3707.00000000
-0.00028503645
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Bristol-Myers Squibb Co
Bristol-Myers Squibb Co
100.00000000
65
USD
2020-02-21
XXXX
-523.42
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2018-5
80286AAF1
2720000.00000000
PA
USD
2760600.08000000
0.212266433756
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
3.81000000
N
N
N
N
N
N
Volkswagen Auto Loan Enhanced Trust
N/A
Volkswagen Auto Loan Enhanced Trust 2018-1
92868LAC5
1110242.09000000
PA
USD
1110268.40000000
0.085370103220
Long
ABS-O
CORP
US
N
2
2021-07-20
Floating
1.94000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
APPLIED MATERIALS INC FEB20 62.5 CALL
000000000
-23.00000000
NC
USD
-4864.50000000
-0.00037403826
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Applied Materials Inc
Applied Materials Inc
100.00000000
62.5
USD
2020-02-21
XXXX
579.74
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP3 Trust
67113AAP5
2315875.60000000
PA
USD
2332187.70000000
0.179325201617
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.50000000
N
N
N
N
N
N
GM Financial Automobile Leasing Trust
N/A
GM Financial Automobile Leasing Trust 2018-3
36256GAC3
379141.58000000
PA
USD
379155.61000000
0.029153809621
Long
ABS-O
CORP
US
N
2
2020-09-21
Floating
1.93000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WF-RBS Commercial Mortgage Trust 2011-C2
92935JAN5
2987500.00000000
PA
USD
3041364.33000000
0.233854792934
Long
ABS-MBS
CORP
US
N
2
2044-02-15
Variable
5.65000000
N
N
N
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244109
2295.00000000
NS
USD
201776.40000000
0.015514871985
Long
EC
CORP
US
N
1
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740BJ7
6865000.00000000
PA
USD
7008095.09000000
0.538862315827
Long
DBT
CORP
US
N
2
2021-09-21
Fixed
3.65000000
N
N
N
N
N
N
Garmin Ltd
2549001E0HIPIJQ0W046
Garmin Ltd
000000000
2033.00000000
NS
USD
198339.48000000
0.015250602359
Long
EC
CORP
CH
N
1
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BF4
4020000.00000000
PA
USD
4045366.20000000
0.311053912783
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
2.25000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183AP9
580000.00000000
PA
USD
587574.97000000
0.045179468170
Long
ABS-O
CORP
US
N
2
2029-05-15
Fixed
3.71000000
N
N
N
N
N
N
Unilever Capital Corp
MYF1DAS6G5WY7PRWCU78
Unilever Capital Corp
904764BF3
7040000.00000000
PA
USD
7207692.80000000
0.554209665266
Long
DBT
CORP
US
N
2
2022-03-07
Fixed
3.00000000
N
N
N
N
N
N
Yum! Brands Inc
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498101
1993.00000000
NS
USD
200754.89000000
0.015436326640
Long
EC
CORP
US
N
1
N
N
N
Toyota Auto Receivables Owner Trust
N/A
Toyota Auto Receivables 2019-A Owner Trust
89239AAD5
9550000.00000000
PA
USD
9691425.00000000
0.745187337230
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.91000000
N
N
N
N
N
N
Grand Avenue Mortgage Loan Trust 2017-RPL1
N/A
Grand Avenue Mortgage Loan Trust 2017-RPL1
385210AA7
720975.73000000
PA
USD
711743.13000000
0.054726933122
Long
ABS-MBS
CORP
US
N
2
2064-08-25
Fixed
3.25000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
INTEL CORP FEB20 60 CALL
000000000
-24.00000000
NC
USD
-5112.00000000
-0.00039306889
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Intel Corp
Intel Corp
100.00000000
60
USD
2020-02-21
XXXX
-247.04
N
N
N
Nissan Auto Receivables Owner Trust
N/A
Nissan Auto Receivables 2019-A Owner Trust
65479KAD2
8095000.00000000
PA
USD
8221375.90000000
0.632153188544
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
2.90000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR2 Trust
02665UAD7
300000.00000000
PA
USD
324098.13000000
0.024920362330
Long
ABS-O
CORP
US
N
2
2036-10-17
Fixed
5.15000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2017-B
00969DAA8
1179739.58000000
PA
USD
1180234.48000000
0.090749893793
Long
ABS-O
CORP
US
N
2
2056-09-25
Variable
3.16000000
N
N
N
N
N
N
FIXED INC CLEARING CORP.REPO
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
44862196.43000000
PA
USD
44862196.43000000
3.449517558043
Long
RA
CORP
US
N
2
Repurchase
N
0.90000000
2020-01-02
43930000.00000000
USD
45764440.62000000
USD
UST
N
N
N
Elevation CLO Ltd
549300FXZU8M44ED2J89
Elevation CLO 2015-4 Ltd
28623DAA7
5046147.50000000
PA
USD
5045783.67000000
0.387977423060
Long
ABS-CBDO
CORP
KY
N
2
2027-04-18
Floating
2.99000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAC4
1915000.00000000
PA
USD
1996387.50000000
0.153505050619
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
8.00000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
45042.23000000
0.003463360593
N/A
DFE
GB
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
1777748.50000000
USD
1375000.00000000
GBP
2020-01-31
45042.23
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494103
2179.00000000
NS
USD
198376.16000000
0.015253422736
Long
EC
CORP
US
N
1
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324P102
669.00000000
NS
USD
196672.62000000
0.015122435142
Long
EC
CORP
US
N
1
N
N
N
AMSR Trust
N/A
AMSR 2019-SFR1 Trust
00178XAB9
1281000.00000000
PA
USD
1280387.68000000
0.098450814599
Long
ABS-O
CORP
US
N
2
2039-01-19
Fixed
3.02000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2019-2
80286GAG6
4140000.00000000
PA
USD
4220169.44000000
0.324494780453
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
3.22000000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076102
844.00000000
NS
USD
184312.72000000
0.014172064999
Long
EC
CORP
US
N
1
N
N
N
Limerock CLO
N/A
Limerock CLO III LLC
532619AL7
350168.06000000
PA
USD
349904.07000000
0.026904617454
Long
ABS-CBDO
CORP
KY
N
2
2026-10-20
Floating
3.17000000
N
N
N
N
N
N
Venture CDO Ltd
549300C7PSULF5Z6ZE61
Venture XII CLO Ltd
92329JAY5
194275.93000000
PA
USD
193949.95000000
0.014913085206
Long
ABS-CBDO
CORP
KY
N
2
2026-02-28
Floating
2.71000000
N
N
N
N
N
N
Social Professional Loan Program LLC
549300MIP15HTYPHSM46
Sofi Professional Loan Program 2016-A LLC
78469PAC8
904215.90000000
PA
USD
916908.56000000
0.070502392404
Long
ABS-O
CORP
US
N
2
2038-01-26
Fixed
3.57000000
N
N
N
N
N
N
Bank of America Merrill Lynch International Limited
EYKN6V0ZCB8VD9IULB80
Long: SP2S07KF CDS EUR R V 03MEVENT SP2S07KF_PRO CORPORATE / Short: SP2S07KF CDS EUR P F 1.00000 SP2S07KF_FEE CORPORATE
000000000
550000.00000000
OU
Notional Amount
-13563.17000000
-0.00104289127
N/A
DCR
GB
N
2
Bank of America Merrill Lynch International Limited
EYKN6V0ZCB8VD9IULB80
Enel SpA
Enel SpA
Y
buy protection
2023-06-20
0
EUR
-186.11
EUR
550000
EUR
-13342.25
N
N
N
Enterprise Products Partners LP
K4CDIF4M54DJZ6TB4Q48
Enterprise Products Partners LP
293792107
7100.00000000
NS
USD
199936.00000000
0.015373361033
Long
EC
CORP
US
N
1
N
N
N
Horizon Aircraft Finance I Limited
N/A
Horizon Aircraft Finance I Ltd
440405AE8
4573284.51000000
PA
USD
4694985.10000000
0.361004026240
Long
ABS-O
CORP
US
N
2
2038-12-15
Fixed
4.46000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2019-B
17327VAA9
2201125.86000000
PA
USD
2203709.54000000
0.169446334686
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
3.26000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS3
52474WAA5
2370185.94000000
PA
USD
2389461.71000000
0.183729081026
Long
ABS-O
CORP
US
N
2
2059-04-25
Variable
3.75000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-J1
12667FT88
568882.32000000
PA
USD
582106.27000000
0.044758972114
Long
ABS-MBS
CORP
US
N
2
2025-02-25
Fixed
5.50000000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust 2018-1
12508VAD5
250000.00000000
PA
USD
252940.28000000
0.019448934881
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
3.42000000
N
N
N
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156R108
3903.00000000
NS
USD
198935.91000000
0.015296462703
Long
EC
CORP
US
N
1
N
N
N
Dominos Pizza Master Issuer LLC
N/A
Domino's Pizza Master Issuer LLC
25755TAH3
2850820.00000000
PA
USD
2952993.39000000
0.227059826718
Long
ABS-O
CORP
US
N
2
2047-07-25
Fixed
4.12000000
N
N
N
N
N
N
METHANEX CORP
549300TSJHRXT9QXRD13
Methanex Corp
59151KAL2
3770000.00000000
PA
USD
3895817.76000000
0.299554922305
Long
DBT
CORP
CA
N
2
2029-12-15
Fixed
5.25000000
N
N
N
N
N
N
Parallel Ltd
549300IVH7GEF68EFD31
Parallel 2015-1 Ltd
69915VAN0
3965000.00000000
PA
USD
3957825.33000000
0.304322771819
Long
ABS-CBDO
CORP
KY
N
2
2027-07-20
Floating
2.82000000
N
N
N
N
N
N
Dukinfield
213800B7W4OACLGF5491
Dukinfield II PLC
000000000
1395691.27000000
PA
1863215.36000000
0.143265256946
Long
ABS-MBS
CORP
GB
N
2
2052-12-20
Floating
2.05000000
N
N
N
N
N
N
Florida Power & Light Co
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FW2
8230000.00000000
PA
USD
8230247.31000000
0.632835323771
Long
DBT
CORP
US
N
2
2022-05-06
Floating
2.31000000
N
N
N
N
N
N
KLA Corp
549300H0BF5JCG96TJ81
KLA Corp
482480100
1143.00000000
NS
USD
203648.31000000
0.015658805785
Long
EC
CORP
US
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-39700.60000000
-0.00305263512
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3020000.00000000
CAD
2286216.09000000
USD
2020-01-21
-39700.6
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust
14313FAC3
2227338.62000000
PA
USD
2227726.85000000
0.171293059527
Long
ABS-O
CORP
US
N
2
2021-10-15
Floating
1.94000000
N
N
N
N
N
N
First Investors Auto Owner Trust
N/A
First Investors Auto Owner Trust 2016-2
32057HAJ6
220000.00000000
PA
USD
221836.23000000
0.017057300606
Long
ABS-O
CORP
US
N
2
2022-11-15
Fixed
3.35000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C7
92936TAK8
950000.00000000
PA
USD
814773.20000000
0.062649060520
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
4.81000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-5
576434RG1
355949.27000000
PA
USD
366799.21000000
0.028203708597
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Fixed
6.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-HYB4
12669FV75
63773.74000000
PA
USD
62483.35000000
0.004804432909
Long
ABS-MBS
CORP
US
N
3
2034-09-20
Variable
4.22000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX HIGH YIELD CORPO MAR20 86 PUT
000000000
5240.00000000
NC
USD
264620.00000000
0.020347005025
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
iShares iBoxx High Yield Corporate Bond ETF
iShares iBoxx High Yield Corporate Bond ETF
100.00000000
86
USD
2020-03-20
XXXX
-21464.43
N
N
N
Bank of America Credit Card Trust
5493006DQ60M1CRKHH19
BA Credit Card Trust
05522RCY2
5875000.00000000
PA
USD
5932886.96000000
0.456188046217
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.70000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
STARBUCKS CORP FEB20 90 CALL
000000000
-9.00000000
NC
USD
-1620.00000000
-0.00012456408
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Starbucks Corp
Starbucks Corp
100.00000000
90
USD
2020-02-21
XXXX
312.35
N
N
N
World Omni Automobile Lease Securitization Trust
549300JMLWTKGTW3CW74
World Omni Automobile Lease Securitization Trust 2018-B
98162CAC5
2405837.85000000
PA
USD
2405312.66000000
0.184947882928
Long
ABS-O
CORP
US
N
2
2021-06-15
Floating
1.92000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AL9
1460000.00000000
PA
USD
1492850.00000000
0.114787342045
Long
DBT
CORP
CA
N
2
2025-04-01
Fixed
7.50000000
N
N
N
N
N
N
Volvo Financial Equipment Master Owner Trust
N/A
Volvo Financial Equipment Master Owner Trust
92887MAB2
4605000.00000000
PA
USD
4621123.03000000
0.355324667501
Long
ABS-O
CORP
US
N
2
2023-07-17
Floating
2.26000000
N
N
N
N
N
N
EL PASO ENERGY CAP TRST
N/A
El Paso Energy Capital Trust I
283678209
2329.00000000
NS
USD
119850.34000000
0.009215461681
Long
EP
CORP
US
N
1
N
N
N
Vericrest Opportunity Loan Transferee
N/A
Vericrest Opportunity Loan Trust 2019-NPL5
91834DAA0
4941118.84000000
PA
USD
4938927.45000000
0.379761097592
Long
ABS-O
CORP
US
N
2
2049-09-25
Variable
3.35000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Commercial Mortgage Securities Corp 2019-SLKZ
12655GAL1
790000.00000000
PA
USD
793943.92000000
0.061047467803
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
5.34000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
PHILLIPS 66 FEB20 115 CALL
000000000
-14.00000000
NC
USD
-2345.00000000
-0.00018031035
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Phillips 66
Phillips 66
100.00000000
115
USD
2020-02-21
XXXX
1024.88
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2018-A
12595MAC1
230000.00000000
PA
USD
230992.82000000
0.017761363726
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
3.05000000
N
N
N
N
N
N
Ludgate Funding PLC
213800LADM2GPWI3P269
Ludgate Funding PLC
000000000
1615527.85000000
PA
2075105.18000000
0.159557764060
Long
ABS-MBS
CORP
GB
N
2
2061-01-01
Floating
1.36000000
N
N
N
N
N
N
AEGON Funding Co LLC
KEIOKM01PSK5VZ5CCI74
AEGON Funding Co LLC
007634AA6
4545000.00000000
PA
USD
4705709.84000000
0.361828666625
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
5.75000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
Americredit Automobile Receivables Trust 2018-2
03066LAG3
2805000.00000000
PA
USD
2921120.83000000
0.224609100626
Long
ABS-O
CORP
US
N
2
2024-07-18
Fixed
4.01000000
N
N
N
N
N
N
Jamestown CLO Ltd
549300UY2VE3PHVMFV71
Jamestown CLO VII Ltd
47048BAK6
3447833.64000000
PA
USD
3446889.62000000
0.265036204444
Long
ABS-CBDO
CORP
KY
N
2
2027-07-25
Floating
2.77000000
N
N
N
N
N
N
Enel SpA
WOCMU6HCI0OJWNPRZS33
Enel SpA
29265WAA6
2855000.00000000
PA
USD
3351056.25000000
0.257667441459
Long
DBT
CORP
IT
N
2
2073-09-24
Variable
8.75000000
N
N
N
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAC2
1487350.00000000
PA
USD
1542024.99000000
0.118568476384
Long
ABS-O
CORP
US
N
2
2048-04-20
Fixed
4.74000000
N
N
N
N
N
N
Navient Private Education Refi Loan Trust 2018-A
N/A
Navient Private Education Refi Loan Trust 2018-A
63940PAD7
1035000.00000000
PA
USD
1053458.19000000
0.081001886047
Long
ABS-O
CORP
US
N
2
2042-02-18
Fixed
3.68000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAG4
3250000.00000000
PA
USD
3286916.88000000
0.252735674836
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0ET2
1181911.39000000
PA
USD
1189384.14000000
0.091453424055
Long
ABS-MBS
USGSE
US
N
2
2027-10-25
Floating
3.64000000
N
N
N
N
N
N
TAL Advantage LLC
549300DUZ8I1AWFHN784
TAL Advantage V LLC
87407PAE0
1453083.34000000
PA
USD
1450846.46000000
0.111557630612
Long
ABS-O
CORP
US
N
2
2038-11-20
Fixed
3.55000000
N
N
N
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAD6
5544000.00000000
PA
USD
5672509.92000000
0.436167288370
Long
ABS-O
CORP
US
N
2
2048-11-25
Fixed
4.32000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAE0
4295000.00000000
PA
USD
4406412.30000000
0.338815256639
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
7.50000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2019-A
12596HAD9
830000.00000000
PA
USD
857330.41000000
0.065921344420
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
4.35000000
N
N
N
N
N
N
Newgate Funding PLC
2138006KF4KS6D5P1697
Newgate Funding PLC
000000000
631899.24000000
PA
687848.48000000
0.052889639782
Long
ABS-MBS
CORP
GB
N
2
2050-12-15
Floating
0.20000000
N
N
N
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BR1
3825000.00000000
PA
USD
3973218.75000000
0.305506393594
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.75000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579TM0
2984473.66000000
PA
USD
2353951.67000000
0.180998663966
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.10000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
AT+T INC FEB20 40 CALL
000000000
-52.00000000
NC
USD
-3146.00000000
-0.00024190037
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
AT&T Inc
AT&T Inc
100.00000000
40
USD
2020-02-21
XXXX
218.9
N
N
N
Banco Hipotecario SA
579100KKDKKHFCBKB005
Banco Hipotecario SA
05961AAF0
14994930.00000000
PA
200542.28000000
0.015419978758
Long
DBT
CORP
AR
N
2
2020-01-12
Floating
50.67000000
N
N
N
N
N
N
RMAC Securities PLC
213800C48M2JTBGZT736
RMAC Securities No 1 PLC
000000000
271824.75000000
PA
339617.75000000
0.026113687801
Long
ABS-MBS
CORP
GB
N
2
2044-06-12
Floating
0.93000000
N
N
N
N
N
N
BRF SA
254900MTXR9LUVQFU480
BRF SA
10552TAG2
4415000.00000000
PA
USD
4553012.90000000
0.350087583541
Long
DBT
CORP
BR
N
2
2030-01-24
Fixed
4.88000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2018-1 LLC
69358VAB0
895000.00000000
PA
USD
896394.59000000
0.068925044317
Long
ABS-O
CORP
US
N
2
2023-04-25
Variable
5.00000000
N
N
N
N
N
N
Ziggo Secured Finance Partnership
N/A
Ziggo Secured Finance Partnership USD Term Loan E
000000000
0.00000000
PA
USD
0.00000000
0.0000000
Long
LON
CORP
US
N
2
2025-04-15
Floating
4.24000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-2N
525221HA8
479133.53000000
PA
USD
442463.67000000
0.034021655645
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
2.05000000
N
N
N
N
N
N
DISH Network Corp
529900U350CWHH15G169
DISH Network Corp
25470MAB5
3625000.00000000
PA
USD
3486887.50000000
0.268111697851
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.38000000
N
N
N
N
Y
DISH Network Corp
DISH Network Corp
USD
XXXX
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
PLAINS GP HOLDINGS LP FEB20 20 CALL
000000000
-71.00000000
NC
USD
-2130.00000000
-0.00016377870
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Plains GP Holdings LP
Plains GP Holdings LP
100.00000000
20
USD
2020-02-21
XXXX
405.44
N
N
N
Prestige Auto Receivables Trust
N/A
Prestige Auto Receivables Trust 2019-1
74113NAG3
910000.00000000
PA
USD
916478.84000000
0.070469350627
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
3.90000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209S103
3848.00000000
NS
USD
192053.68000000
0.014767278331
Long
EC
CORP
US
N
1
N
N
N
SoFi Consumer Loan Program Trust
N/A
SoFi Consumer Loan Program 2018-4 Trust
83406HAC2
1010000.00000000
PA
USD
1043607.25000000
0.080244433377
Long
ABS-O
CORP
US
N
2
2027-11-26
Fixed
4.17000000
N
N
N
N
N
N
Science Applications International Corporation
549300LZPNZIXQGZPZ48
Science Applications International Corporation 2018 Term Loan B
80862QAD3
367608.76000000
PA
USD
368468.96000000
0.028332098030
Long
LON
CORP
US
N
2
2025-10-31
Floating
3.55000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
580135101
875.00000000
NS
USD
172908.75000000
0.013295197661
Long
EC
CORP
US
N
1
N
N
N
BAYVIEW OPPORTUNITY MASTER FUND TRUST
N/A
Bayview Opportunity Master Fund IVa Trust 2019-RN2
07334RAA0
826539.29000000
PA
USD
827388.31000000
0.063619054120
Long
ABS-O
CORP
US
N
2
2034-03-28
Variable
3.97000000
N
N
N
N
N
N
ELEMENT COMM AVIATION
N/A
ELEMENT COMM AVIATION 03/40 FIXED 0
000000000
900.00000000
PA
USD
7776000.00000000
0.597907607426
Long
ABS-O
CORP
US
Y
3
N/A
None
0.00000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RBD3
4070000.00000000
PA
USD
4151602.97000000
0.319222607867
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
3.00000000
N
N
N
N
N
N
Avid Automobile Receivables Trust
N/A
Avid Automobile Receivables Trust 2019-1
05369DAD7
1035000.00000000
PA
USD
1031363.01000000
0.079302956493
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
4.03000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2018-4
14315EAG5
1125000.00000000
PA
USD
1166362.31000000
0.089683243076
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
4.15000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust 2012-C2
90269CAT7
1370000.00000000
PA
USD
1144130.70000000
0.087973823227
Long
ABS-MBS
CORP
US
N
2
2063-05-10
Variable
4.89000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0AX7
282980.22000000
PA
USD
283786.63000000
0.021820754239
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Floating
3.44000000
N
N
N
N
N
N
Drive Auto Receivables Trust 2018-1
N/A
Drive Auto Receivables Trust 2018-1
26208GAG4
2955000.00000000
PA
USD
3003661.46000000
0.230955766083
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
3.81000000
N
N
N
N
N
N
Leonardo US Holdings Inc
529900WVR776KSXHSA85
Leonardo US Holdings Inc
583491AC9
2550000.00000000
PA
USD
2798676.00000000
0.215194144948
Long
DBT
CORP
US
N
2
2040-01-15
Fixed
6.25000000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
CoreVest American Finance 2019-2Trust
21872GAG0
1830000.00000000
PA
USD
1863466.13000000
0.143284539005
Long
ABS-O
CORP
US
N
2
2052-06-15
Fixed
3.42000000
N
N
N
N
N
N
NextGear Floorplan Master Owner Trust
N/A
NextGear Floorplan Master Owner Trust
65341KAS5
3045000.00000000
PA
USD
3049094.92000000
0.234449208903
Long
ABS-O
CORP
US
N
2
2022-04-18
Floating
2.59000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2018-4
14315EAH3
2735305.23000000
PA
USD
2736068.93000000
0.210380199034
Long
ABS-O
CORP
US
N
2
2022-02-15
Floating
1.94000000
N
N
N
N
N
N
Sequoia Mortgage Trust 2018-CH1
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAA7
1059409.87000000
PA
USD
1075822.04000000
0.082721474016
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
4.00000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BZ1
4910000.00000000
PA
USD
4931281.07000000
0.379173156649
Long
DBT
CORP
US
N
2
2021-11-05
Floating
2.49000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2018-D
22411XAC8
1795000.00000000
PA
USD
1827783.70000000
0.140540866635
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.83000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2019-SFR1 Trust
74333BAJ7
2398000.00000000
PA
USD
2444341.35000000
0.187948853949
Long
ABS-O
CORP
US
N
2
2035-08-17
Fixed
4.47000000
N
N
N
N
N
N
Phillips 66
5493005JBO5YSIGK1814
Phillips 66
718546104
1846.00000000
NS
USD
205662.86000000
0.015813707376
Long
EC
CORP
US
N
1
N
N
N
Delta Air Lines Inc
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361702
927.00000000
NS
USD
54210.96000000
0.004168357174
Long
EC
CORP
US
N
1
N
N
N
SLM Student Loan Trust
549300BLEHJGFV7XSO25
SLM Private Credit Student Loan Trust 2003-B
78443CAP9
250000.00000000
PA
USD
249855.75000000
0.019211761019
Long
ABS-O
CORP
US
N
2
2033-03-15
Floating
4.59000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833CT5
6045000.00000000
PA
USD
6047501.60000000
0.465000927541
Long
DBT
CORP
US
N
2
2020-05-11
Floating
1.97000000
N
N
N
N
N
N
AmerisourceBergen Corp
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp
03073E105
2235.00000000
NS
USD
190019.70000000
0.014610882740
Long
EC
CORP
US
N
1
N
N
N
SCF Equipment Trust LLC
N/A
SCF Equipment Leasing 2018-1 LLC
78411KAD6
3718000.00000000
PA
USD
3732703.20000000
0.287012813727
Long
ABS-O
CORP
US
N
2
2027-04-20
Fixed
4.21000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDN9
1245000.00000000
PA
USD
1274562.29000000
0.098002892146
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
3.20000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust 2018-3
96042GAE2
2167747.51000000
PA
USD
2168027.15000000
0.166702665392
Long
ABS-O
CORP
US
N
2
2022-01-18
Floating
2.09000000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2019-1
252722AB9
2201140.95000000
PA
USD
2199585.62000000
0.169129240661
Long
ABS-O
CORP
US
N
2
2032-02-20
Fixed
3.53000000
N
N
N
N
N
N
American Express Credit Account Master Trust
549300Y4SA5G3GIJTP18
American Express Credit Account Master Trust
02588QAB4
2385000.00000000
PA
USD
2436807.92000000
0.187369597891
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
2.87000000
N
N
N
N
N
N
Tidewater Auto Receivables Trust
549300045J2AQZL8DT48
Tidewater Auto Receivables Trust 2018-A
88642MAE0
353000.00000000
PA
USD
359525.73000000
0.027644440461
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
4.30000000
N
N
N
N
N
N
CarMax Auto Owner Trust
549300LQMUNTYT3DC014
Carmax Auto Owner Trust 2019-1
14315NAG5
2350000.00000000
PA
USD
2442062.43000000
0.187773624576
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
4.04000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
TARGET CORP FEB20 130 CALL
000000000
-10.00000000
NC
USD
-3550.00000000
-0.00027296450
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Target Corp
Target Corp
100.00000000
130
USD
2020-02-21
XXXX
237.03
N
N
N
OCTAGON INVESTMENT PARTNERS 39, LTD.
N/A
Octagon Investment Partners 39 Ltd
67592AAA8
495000.00000000
PA
USD
472408.55000000
0.036324159703
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
7.72000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXI Ltd
55819DAJ5
475000.00000000
PA
USD
459495.19000000
0.035331233240
Long
ABS-CBDO
CORP
KY
N
2
2031-01-23
Floating
4.08000000
N
N
N
N
N
N
Ascentium Equipment Receivables LLC
N/A
Ascentium Equipment Receivables 2017-2 Trust
04364YAE7
350000.00000000
PA
USD
353109.02000000
0.027151050579
Long
ABS-O
CORP
US
N
2
2022-08-10
Fixed
2.87000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAQ2
5680000.00000000
PA
USD
5340947.74000000
0.410673004708
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37000000
N
N
N
N
N
N
Toyota Industries Corp
35380000WKGEAHEMW830
Toyota Industries Corp
892330AD3
7925000.00000000
PA
USD
8070543.81000000
0.620555496407
Long
DBT
CORP
JP
N
2
2022-03-12
Fixed
3.11000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2019-1
68267DAD8
3230000.00000000
PA
USD
3343629.14000000
0.257096360496
Long
ABS-O
CORP
US
N
2
2031-02-14
Fixed
4.22000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAZ2
4935000.00000000
PA
USD
5566680.00000000
0.428029876557
Long
DBT
CORP
NL
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
NextGear Floorplan Master Owner Trust
N/A
NextGear Floorplan Master Owner Trust
65341KAZ9
2590000.00000000
PA
USD
2596368.29000000
0.199638419787
Long
ABS-O
CORP
US
N
2
2023-02-15
Floating
2.38000000
N
N
N
N
N
N
CIG AUTO RECEIVABLES TRUST 2017-1
N/A
CIG AUTO RECEIVABLES TRUST 2017-1
171787AA2
89067.53000000
PA
USD
89165.52000000
0.006856062593
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
2.71000000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913Q2B4
3050000.00000000
PA
USD
3053254.01000000
0.234769007199
Long
DBT
CORP
US
N
2
2020-09-04
Floating
2.19000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CN9
6000000.00000000
PA
USD
6000804.96000000
0.461410357029
Long
DBT
CORP
US
N
2
2020-01-10
Floating
2.33000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206R102
5221.00000000
NS
USD
204036.68000000
0.015688668102
Long
EC
CORP
US
N
1
N
N
N
Trestles CLO LTD
6354005OLPZ8XONXGL10
Trestles CLO II LTD
89531VAA0
895000.00000000
PA
USD
858574.48000000
0.066017002717
Long
ABS-CBDO
CORP
KY
N
2
2031-07-25
Floating
7.69000000
N
N
N
N
N
N
United Auto Credit Securitization Trust
N/A
United Auto Credit Securitization Trust 2019-1
90945QAC5
3025000.00000000
PA
USD
3047642.43000000
0.234337524898
Long
ABS-O
CORP
US
N
2
2024-08-12
Fixed
3.16000000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAQ0
4243654.00000000
PA
USD
3606116.28000000
0.277279366907
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
5.24000000
N
N
N
N
N
N
USAA Capital Corp
N/A
USAA Capital Corp
90327QD30
3535000.00000000
PA
USD
3574290.85000000
0.274832264707
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
2.63000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2019-SFR1 Trust
89612LAA4
1660000.00000000
PA
USD
1663142.38000000
0.127881363327
Long
ABS-O
CORP
US
N
2
2038-03-17
Fixed
2.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TN9
13550000.00000000
PA
USD
13390599.29000000
1.029622065777
Long
STIV
UST
US
N
2
2020-10-08
None
0.00000000
N
N
N
N
N
N
CPS Auto Receivables Trust 2017-D
54930087Z25SUMBR4I05
CPS Auto Receivables Trust 2017-D
12652BAD3
815000.00000000
PA
USD
826358.98000000
0.063539907485
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.73000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
1330000.00000000
PA
USD
1364855.62000000
0.104945673641
Long
DBT
CORP
KY
N
2
2022-06-14
Fixed
7.25000000
N
N
N
N
N
N
NBM US Holdings Inc
5493008K1QMSP0J8UC24
NBM US Holdings Inc
62877VAA9
6390000.00000000
PA
USD
6920433.90000000
0.532121923289
Long
DBT
CORP
US
N
2
2026-05-14
Fixed
7.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
LEIDOS HOLDINGS INC FEB20 100 CALL
000000000
-20.00000000
NC
USD
-5400.00000000
-0.00041521361
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Leidos Holdings Inc
Leidos Holdings Inc
100.00000000
100
USD
2020-02-21
XXXX
-220.69
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2011-C2
617459AK8
2515000.00000000
PA
USD
2444992.46000000
0.187998918715
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
5.49000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
19135.23000000
0.001471334823
N/A
DFE
HU
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1174530.35000000
USD
351995000.00000000
HUF
2020-01-15
19135.23
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2005-A8CB
45660LSX8
1213784.01000000
PA
USD
1095387.51000000
0.084225890600
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.38000000
N
N
N
N
N
N
FINDETER
54930036EU95I2CWYJ76
Financiera de Desarrollo Territorial SA Findeter
31772MAA0
18670000000.00000000
PA
5988879.06000000
0.460493357758
Long
DBT
NUSS
CO
N
2
2024-08-12
Fixed
7.88000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2005-7
61748HNZ0
439751.26000000
PA
USD
398057.82000000
0.030607227208
Long
ABS-MBS
CORP
US
N
3
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
Americredit Automobile Receivables Trust 2018-3
03066MAG1
3845000.00000000
PA
USD
4015687.62000000
0.308771884908
Long
ABS-O
CORP
US
N
2
2024-11-18
Fixed
4.04000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-423751.51000000
-0.03258285127
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
45150000.00000000
SGD
33158909.39000000
USD
2020-02-18
-423751.51
N
N
N
Paychex Inc
529900K900DW6SUBM174
Paychex Inc
704326107
2351.00000000
NS
USD
199976.06000000
0.015376441303
Long
EC
CORP
US
N
1
N
N
N
Lam Research Corp
549300I4GMO6D34U1T02
Lam Research Corp
512807108
247.00000000
NS
USD
72222.80000000
0.005553312956
Long
EC
CORP
US
N
1
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCH7
3585000.00000000
PA
USD
3592048.11000000
0.276197645474
Long
DBT
CORP
US
N
2
2021-04-09
Floating
2.86000000
N
N
N
N
N
N
GREENBRIER COS INC
5493001GAGGFR30BP390
Greenbrier Cos Inc/The
393657AK7
600000.00000000
PA
USD
579192.82000000
0.044534952834
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
2.88000000
N
N
N
N
Y
Greenbrier Cos Inc/The
Greenbrier Cos Inc/The
USD
XXXX
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-6162.08000000
-0.00047381102
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1955000.00000000
EUR
2189214.47000000
USD
2020-01-21
-6162.08
N
N
N
Automatic Data Processing Inc
HGBOLILQXWER4SAL2I23
Automatic Data Processing Inc
053015103
1215.00000000
NS
USD
207157.50000000
0.015928632354
Long
EC
CORP
US
N
1
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BD5
5805000.00000000
PA
USD
5939024.97000000
0.456660006463
Long
DBT
CORP
US
N
2
2021-07-29
Fixed
3.65000000
N
N
N
N
N
N
SMB Private Education Loan Trust
549300V1P5RKG8RJI005
SMB Private Education Loan Trust 2018-C
78449QAA5
482429.12000000
PA
USD
482202.57000000
0.037077235715
Long
ABS-O
CORP
US
N
2
2025-09-15
Floating
2.04000000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933Y105
2336.00000000
NS
USD
212459.20000000
0.016336287544
Long
EC
CORP
US
N
1
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-3
26209WAD5
2365000.00000000
PA
USD
2375972.18000000
0.182691852038
Long
ABS-O
CORP
US
N
2
2023-06-15
Fixed
2.49000000
N
N
N
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830109
518.00000000
NS
USD
201698.84000000
0.015508908287
Long
EC
CORP
US
N
1
N
N
N
Honda Auto Receivables Owner Trust
N/A
Honda Auto Receivables 2019-1 Owner Trust
43814WAC9
3135000.00000000
PA
USD
3183068.96000000
0.244750661798
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
2.83000000
N
N
N
N
N
N
DT Auto Owner Trust
549300ERSPQZPRKKQD37
DT Auto Owner Trust 2016-1
23340UAD6
1825471.18000000
PA
USD
1827595.66000000
0.140526407974
Long
ABS-O
CORP
US
N
2
2022-12-15
Fixed
4.66000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-17336.46000000
-0.00133302486
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1665000.00000000
EUR
1855997.15000000
USD
2020-02-21
-17336.46
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-2 Trust
78471WAC9
1690000.00000000
PA
USD
1721467.97000000
0.132366100206
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
3.79000000
N
N
N
N
N
N
PRPM 2017-3 LLC
N/A
PRPM 2017-3 LLC
69358JAB7
405000.00000000
PA
USD
403014.41000000
0.030988346404
Long
ABS-O
CORP
US
N
2
2022-11-25
Variable
5.00000000
N
N
N
N
N
N
Progressive Corp/The
529900TACNVLY9DCR586
Progressive Corp/The
743315103
2800.00000000
NS
USD
202692.00000000
0.015585273760
Long
EC
CORP
US
N
1
N
N
N
Evergy Inc
549300PGTHDQY6PSUI61
Evergy Inc
30034W106
2150.00000000
NS
USD
139943.50000000
0.010760453094
Long
EC
CORP
US
N
1
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-8
576434UQ5
1066942.22000000
PA
USD
1115215.27000000
0.085750475032
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
Cisco Systems Inc
8E6NF1YAL0WT6CWXXV93
Cisco Systems Inc
17275R102
4253.00000000
NS
USD
203973.88000000
0.015683839322
Long
EC
CORP
US
N
1
N
N
N
Cemex SAB de CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290889
673076.00000000
NS
USD
2544227.28000000
0.195629223988
Long
EC
CORP
MX
N
1
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2019-2
33845WAG4
3305000.00000000
PA
USD
3366715.59000000
0.258871510198
Long
ABS-O
CORP
US
N
2
2025-05-15
Fixed
3.53000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2017-BRBK Mortgage Trust
23305JAJ1
750000.00000000
PA
USD
760836.68000000
0.058501805424
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.53000000
N
N
N
N
N
N
EXPORT-IMPORT BANK KOREA
549300APVP4R32PI3Y06
Export-Import Bank of Korea
302154CX5
4120000.00000000
PA
USD
4130774.42000000
0.317621071280
Long
DBT
NUSS
KR
N
2
2022-06-25
Floating
2.47000000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160104
1414.00000000
NS
USD
206260.18000000
0.015859636153
Long
EC
CORP
US
N
1
N
N
N
Banco Macro SA
579100KKDKKIFEBKK040
Banco Macro SA
05963GAJ7
21970000.00000000
PA
137516.95000000
0.010573872242
Long
DBT
CORP
AR
N
2
2022-05-08
Fixed
17.50000000
N
N
N
N
N
N
MINERA MEXICO SA DE CV
N/A
Minera Mexico SA de CV
60284MAB8
3665000.00000000
PA
USD
3724006.50000000
0.286344112198
Long
DBT
CORP
MX
N
2
2050-01-26
Fixed
4.50000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AZ0
6740000.00000000
PA
USD
6788888.05000000
0.522007177348
Long
DBT
CORP
US
N
2
2029-11-19
Fixed
3.90000000
N
N
N
N
N
N
Nissan Auto Receivables Owner Trust
N/A
Nissan Auto Receivables 2018-B Owner Trust
65479GAC3
1195464.56000000
PA
USD
1195366.77000000
0.091913436914
Long
ABS-O
CORP
US
N
2
2021-07-15
Floating
1.84000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AB6
6900000.00000000
PA
USD
6900386.47000000
0.530580448121
Long
DBT
CORP
US
N
2
2021-09-17
Floating
2.55000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2011-GC5
36191YAL2
2170000.00000000
PA
USD
2159261.54000000
0.166028665276
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
5.39000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XNX8
1505000.00000000
PA
USD
1530913.84000000
0.117714124389
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Floating
3.99000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
Intel Corp
458140100
3445.00000000
NS
USD
206183.25000000
0.015853720897
Long
EC
CORP
US
N
1
N
N
N
Hexion Holdings Corp
549300LBB370MUHGLV84
Hexion Holdings Corp
42830K103
138555.00000000
NS
USD
1766576.25000000
0.135834539477
Long
EC
CORP
US
N
2
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20337YAA5
230000.00000000
PA
USD
230259.90000000
0.017705008474
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
6.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2004-16CB
12667FLZ6
355343.63000000
PA
USD
364064.62000000
0.027993442115
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
5.50000000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AL5
497500.00000000
PA
USD
515424.93000000
0.039631749833
Long
ABS-O
CORP
US
N
2
2049-05-20
Fixed
4.35000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2011-LC1 Mortgage Trust
233050AJ2
2552340.00000000
PA
USD
2605860.02000000
0.200368252295
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
5.70000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2018-2
14314XAG4
1435000.00000000
PA
USD
1477474.42000000
0.113605092013
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
3.99000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
61585.41000000
0.004735389036
N/A
DFE
CO
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
5535832.48000000
USD
18400000000.00000000
COP
2020-01-02
61585.41
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2018-RPL2 Trust
12653LAA6
2555286.41000000
PA
USD
2554733.96000000
0.196437097432
Long
ABS-MBS
CORP
US
N
2
2062-08-25
Variable
4.03000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0TH2
130000.00000000
PA
USD
130256.78000000
0.010015627530
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
3.59000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2018-C
17327KAA3
2822778.05000000
PA
USD
2851290.37000000
0.219239738066
Long
ABS-MBS
CORP
US
N
2
2059-03-25
Variable
4.13000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558103
2999.00000000
NS
USD
194875.02000000
0.014984215143
Long
EC
CORP
US
N
1
N
N
N
Gavilan Resources, LLC
54930045U6YHRH5DKI14
Gavilan Resources, LLC 2nd Lien Term Loan
36808UAB7
3740000.00000000
PA
USD
1421200.00000000
0.109278072488
Long
LON
CORP
US
N
2
2024-03-01
Floating
7.80000000
N
N
N
N
N
N
Hospitality Mortgage Trust
N/A
HPLY Trust 2019-HIT
40443RAJ0
1825661.73000000
PA
USD
1822207.76000000
0.140112124744
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
3.34000000
N
N
N
N
N
N
Planet Fitness Master Issuer LLC
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAC7
2430000.00000000
PA
USD
2422493.73000000
0.186268959633
Long
ABS-O
CORP
US
N
2
2049-12-05
Fixed
3.86000000
N
N
N
N
N
N
IQVIA Inc.
549300PLWY28YB00C717
IQVIA Inc. 2018 USD Term Loan B3
44969CBJ8
4672603.00000000
PA
USD
4693069.00000000
0.360856694608
Long
LON
CORP
US
N
2
2025-06-11
Floating
3.69000000
N
N
N
N
N
N
SMB Private Education Loan Trust
549300INMCHM7L5O6M41
SMB Private Education Loan Trust 2018-B
78449LAD0
190000.00000000
PA
USD
196686.65000000
0.015123513929
Long
ABS-O
CORP
US
N
2
2042-07-15
Fixed
4.00000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-4 Trust
05953YBT7
409905.95000000
PA
USD
409746.54000000
0.031505989375
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
5.50000000
N
N
N
N
N
N
Banco Supervielle SA
579100KDDBKHFJKKF050
Banco Supervielle SA
05970MAA4
46000000.00000000
PA
631720.30000000
0.048573864857
Long
DBT
CORP
AR
N
2
2020-08-09
Floating
52.77000000
N
N
N
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAB7
12555000.00000000
PA
USD
13728679.07000000
1.055617496896
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
Five Guys Funding, LLC
549300LV8X8T05G1H175
Five Guys Funding LLC
33830JAA3
2168612.50000000
PA
USD
2250016.57000000
0.173006947535
Long
ABS-O
CORP
US
N
2
2047-07-25
Fixed
4.60000000
N
N
N
N
N
N
CALAMP CORP
5493007SIGZIX83TOW07
CalAmp Corp
128126AD1
2590000.00000000
PA
USD
2152678.50000000
0.165522486045
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
2.00000000
N
N
N
N
Y
CalAmp Corp
CalAmp Corp
USD
XXXX
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389X105
3552.00000000
NS
USD
188184.96000000
0.014469806994
Long
EC
CORP
US
N
1
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2018-2
23343DAG4
1390000.00000000
PA
USD
1425122.66000000
0.109579691348
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
4.15000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2018-5
26208MAG1
2395000.00000000
PA
USD
2473301.17000000
0.190175615354
Long
ABS-O
CORP
US
N
2
2026-04-15
Fixed
4.30000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust 2017-3
22534UAE2
525000.00000000
PA
USD
532491.23000000
0.040944001711
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
3.48000000
N
N
N
N
N
N
Target Corp
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612E106
1548.00000000
NS
USD
198469.08000000
0.015260567485
Long
EC
CORP
US
N
1
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2019-D
12655KAD0
760000.00000000
PA
USD
756869.79000000
0.058196785657
Long
ABS-O
CORP
US
N
2
2025-09-15
Fixed
2.72000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2004-S1
466247EV1
1246881.32000000
PA
USD
1284142.25000000
0.098739508782
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
GMR HYDERABAD INTERNATIO
335800NSPGIN89SVOU83
GMR Hyderabad International Airport Ltd
000000000
1645000.00000000
PA
USD
1703298.06000000
0.130968990199
Long
DBT
CORP
IN
N
2
2024-04-10
Fixed
5.38000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2019-RP10 Trust
12597FAC4
2600000.00000000
PA
USD
2600582.40000000
0.199962448649
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
3.32000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2011-C2
617459AJ1
1570000.00000000
PA
USD
1582083.51000000
0.121648632486
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
5.49000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2018-2
80285FAG9
3585000.00000000
PA
USD
3671285.93000000
0.282290353212
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
3.88000000
N
N
N
N
N
N
MLCC Mortgage Investors Inc
N/A
Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2
590219AE1
77649.12000000
PA
USD
78445.94000000
0.006031818968
Long
ABS-MBS
CORP
US
N
3
2036-05-25
Variable
3.92000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR2
45661EAF1
2666308.25000000
PA
USD
2258956.07000000
0.173694318299
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
2.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
100434.12000000
0.007722521141
N/A
DFE
HU
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5596246.23000000
USD
1679870000.00000000
HUF
2020-01-15
100434.12
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BH4
3125000.00000000
PA
USD
3138217.81000000
0.241301993616
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
2.50000000
N
N
N
N
N
N
JP MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
48125LRN4
3960000.00000000
PA
USD
3973595.63000000
0.305535372429
Long
DBT
CORP
US
N
2
2021-04-26
Variable
3.09000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-F
63935CAC5
3410000.00000000
PA
USD
3316438.47000000
0.255005631529
Long
ABS-O
CORP
US
N
2
2068-08-15
Fixed
3.12000000
N
N
N
N
N
N
First Investors Auto Owner Trust
N/A
First Investors Auto Owner Trust 2019-2
32058RAD6
635000.00000000
PA
USD
634114.05000000
0.048757923671
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
2.80000000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913Q2N8
2400000.00000000
PA
USD
2453247.31000000
0.188633645775
Long
DBT
CORP
US
N
2
2021-09-07
Fixed
3.15000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183BM5
2125000.00000000
PA
USD
2158019.74000000
0.165933181522
Long
ABS-O
CORP
US
N
2
2030-04-15
Fixed
3.92000000
N
N
N
N
N
N
Marlette Funding Trust
549300FK0U6W6777SM18
Marlette Funding Trust 2019-1
57109XAA5
960723.49000000
PA
USD
967694.40000000
0.074407387271
Long
ABS-O
CORP
US
N
2
2029-04-16
Fixed
3.44000000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2018-3
36255JAC8
1288846.72000000
PA
USD
1288595.01000000
0.099081887779
Long
ABS-O
CORP
US
N
2
2021-07-16
Floating
1.85000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816CB3
3375000.00000000
PA
USD
3415413.13000000
0.262615932732
Long
DBT
CORP
US
N
2
2021-02-22
Fixed
3.00000000
N
N
N
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
09228YAC6
1361484.38000000
PA
USD
1413185.12000000
0.108661797061
Long
ABS-O
CORP
KY
N
2
2041-12-16
Variable
5.68000000
N
N
N
N
N
N
Apidos CLO
5493008YDOADR1DMZM86
Apidos CLO XX
03765LAV4
480000.00000000
PA
USD
461949.36000000
0.035519937833
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
3.95000000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAS0
6000000.00000000
PA
USD
6349745.28000000
0.488240870387
Long
DBT
CORP
BM
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MICROSOFT CORP FEB20 160 CALL
000000000
-5.00000000
NC
USD
-1837.50000000
-0.00014128796
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Microsoft Corp
Microsoft Corp
100.00000000
160
USD
2020-02-21
XXXX
11.02
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891AAY3
7750000.00000000
PA
USD
7969536.89000000
0.612788931866
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
Banco Hipotecario SA
579100KKDKKHFCBKB005
Banco Hipotecario SA
05961AAG8
44570000.00000000
PA
569825.88000000
0.043814715607
Long
DBT
CORP
AR
N
2
2022-11-07
Floating
44.31000000
N
N
N
N
N
N
Cummins Inc
ZUNI8PYC725B6H8JU438
Cummins Inc
231021106
1100.00000000
NS
USD
196856.00000000
0.015136535489
Long
EC
CORP
US
N
1
N
N
N
Progress Residential Trust
N/A
Progress Residential 2017-SFR2 Trust
74333KAJ7
681000.00000000
PA
USD
684833.21000000
0.052657791419
Long
ABS-O
CORP
US
N
2
2034-12-17
Fixed
4.14000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DBG3
1362000.00000000
PA
USD
1392241.17000000
0.107051387206
Long
ABS-O
CORP
US
N
2
2023-10-25
Fixed
3.29000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AX2
6720000.00000000
PA
USD
6749448.32000000
0.518974600881
Long
DBT
CORP
JP
N
2
2021-07-26
Floating
2.59000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
Americredit Automobile Receivables Trust 2018-3
03066MAC0
1623015.16000000
PA
USD
1622807.58000000
0.124779963666
Long
ABS-O
CORP
US
N
2
2022-01-18
Floating
1.99000000
N
N
N
N
N
N
NextGear Floorplan Master Owner Trust
N/A
NextGear Floorplan Master Owner Trust
65341KBC9
2820000.00000000
PA
USD
2827000.37000000
0.217372045707
Long
ABS-O
CORP
US
N
2
2023-10-15
Floating
2.34000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAF8
10035000.00000000
PA
USD
7225200.00000000
0.555555818566
Long
DBT
CORP
NL
N
2
2046-10-01
Fixed
4.10000000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508104
1512.00000000
NS
USD
193974.48000000
0.014914971352
Long
EC
CORP
US
N
1
N
N
N
CSC Holdings, LLC
3HG2WD2W22M120IUNG49
CSC Holdings, LLC 2019 Term Loan B5
64072UAK8
919528.80000000
PA
USD
922590.83000000
0.070939310159
Long
LON
CORP
US
N
2
2027-04-15
Floating
4.24000000
N
N
N
N
N
N
NBCUNIVERSAL ENTERPRISE
N/A
NBCUniversal Enterprise Inc
63946CAE8
4040000.00000000
PA
USD
4171300.00000000
0.320737140285
Long
DBT
CORP
US
N
2
2049-12-31
Fixed
5.25000000
N
N
N
N
N
N
Oxford Finance Funding Trust
N/A
Oxford Finance Funding 2019-1 LLC
69145AAB4
810000.00000000
PA
USD
821984.52000000
0.063203549086
Long
ABS-O
CORP
US
N
2
2027-02-15
Fixed
4.46000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2018-1
14314AAH2
25338.21000000
PA
USD
25338.21000000
0.001948290704
Long
ABS-O
CORP
US
N
2
2021-05-17
Floating
1.89000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300E4QCAQ0FY44H36
GS Mortgage Securities Corp Trust 2013-PEMB
36197VAG3
3195000.00000000
PA
USD
2774569.63000000
0.213340572159
Long
ABS-MBS
CORP
US
N
2
2033-03-05
Variable
3.55000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89171YAN1
1685650.75000000
PA
USD
1681276.65000000
0.129275732924
Long
ABS-O
CORP
US
N
2
2060-11-25
Variable
2.50000000
N
N
N
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284V101
6125.00000000
NS
USD
195203.75000000
0.015009491656
Long
EC
US
N
1
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBG1
2830000.00000000
PA
USD
2900750.00000000
0.223042758775
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBF7
7945000.00000000
PA
USD
8089088.93000000
0.621981456840
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
2.75000000
N
N
N
N
N
N
John Deere Capital Corp
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EUK3
6875000.00000000
PA
USD
7033520.11000000
0.540817281475
Long
DBT
CORP
US
N
2
2021-09-10
Fixed
3.13000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR1 Trust
46185JAJ7
2614642.62000000
PA
USD
2617144.31000000
0.201235917268
Long
ABS-O
CORP
US
N
2
2037-03-17
Floating
3.74000000
N
N
N
N
N
N
Ziggo B.V.
213800TQASLF9JXH5J59
Ziggo B.V. 2019 EUR Term Loan H
000000000
1930000.00000000
PA
2163430.45000000
0.166349218646
Long
LON
CORP
NL
N
2
2029-01-31
Floating
3.00000000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust
34531LAC4
1632335.07000000
PA
USD
1632205.95000000
0.125502617591
Long
ABS-O
CORP
US
N
2
2021-04-15
Floating
1.90000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172109
2297.00000000
NS
USD
195451.73000000
0.015028559188
Long
EC
CORP
US
N
1
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27
22541QL75
186348.71000000
PA
USD
191486.05000000
0.014723632460
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.75000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CF INDUSTRIES HOLDINGS INC FEB20 50 CALL
000000000
-16.00000000
NC
USD
-1792.00000000
-0.00013778940
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
CF Industries Holdings Inc
CF Industries Holdings Inc
100.00000000
50
USD
2020-02-21
XXXX
267.33
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-38236.71000000
-0.00294007456
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
6897714.50000000
USD
27615000.00000000
BRL
2020-01-30
-38236.71
N
N
N
Campbell Soup Co
5493007JDSMX8Z5Z1902
Campbell Soup Co
134429BB4
3065000.00000000
PA
USD
3065911.19000000
0.235742235621
Long
DBT
CORP
US
N
2
2020-03-16
Floating
2.39000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-61678.77000000
-0.00474256761
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
18400000000.00000000
COP
5507497.98000000
USD
2020-04-07
-61678.77
N
N
N
LPL Financial Holdings Inc
549300XROQ4Y8G2L7682
LPL Financial Holdings Inc
50212V100
2133.00000000
NS
USD
196769.25000000
0.015129865159
Long
EC
CORP
US
N
1
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2018-1
96042NAL1
740000.00000000
PA
USD
748420.53000000
0.057547110139
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
3.41000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR7
45660NU45
611877.44000000
PA
USD
575111.87000000
0.044221162833
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
3.01000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KV2
4885000.00000000
PA
USD
4915147.78000000
0.377932645227
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
2.35000000
N
N
N
N
N
N
Wendy's Funding LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAE8
3376100.00000000
PA
USD
3433088.57000000
0.263975022244
Long
ABS-O
CORP
US
N
2
2048-03-15
Fixed
3.88000000
N
N
N
N
N
N
Global Container Asset Ltd
N/A
Global Container Assets Ltd
37890RAF2
873083.93000000
PA
USD
862539.08000000
0.066321846403
Long
ABS-O
CORP
BM
N
2
2030-02-05
Fixed
4.50000000
N
N
N
N
N
N
Eurosail PLC
213800NEJVUXH4MS6Y78
Eurosail-UK 2007-2np PLC
000000000
465937.71000000
PA
603784.47000000
0.046425839488
Long
ABS-MBS
CORP
GB
N
2
2045-03-13
Floating
0.93000000
N
N
N
N
N
N
IHS NETHERLANDS HOLDCO
5493006Z6YQYCCN2XI74
IHS Netherlands Holdco BV
44963LAB2
1985000.00000000
PA
USD
2072498.80000000
0.159357355825
Long
DBT
CORP
NL
N
2
2025-03-18
Fixed
7.13000000
N
N
N
N
N
N
AIA Group Ltd
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAG0
2770000.00000000
PA
USD
2770055.40000000
0.212993466647
Long
DBT
CORP
HK
N
2
2021-09-20
Floating
2.43000000
N
N
N
N
N
N
1011778 B.C. Unlimited Liability Company
549300RHSHNRWI5LLA86
1011778 B.C. Unlimited Liability Company Term Loan B4
000000000
2050782.40000000
PA
USD
2052812.67000000
0.157843661524
Long
LON
CORP
CA
N
2
2026-11-19
Floating
3.55000000
N
N
N
N
N
N
LyondellBasell Industries NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
000000000
331.00000000
NS
USD
31272.88000000
0.002404615851
Long
EC
CORP
NL
N
1
N
N
N
Chesapeake Energy Corp
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167768
1714.00000000
NS
USD
293899.58000000
0.022598353228
Long
EP
CORP
US
N
3
N
N
N
Bunge Ltd
5493007M0RIN8HY3MM77
Bunge Ltd
000000000
42272.00000000
NS
USD
4352925.00000000
0.334702542702
Long
EP
CORP
BM
N
2
N
N
N
Octagon Investment Partners Ltd
549300EY2ULL20U3RR38
Octagon Investment Partners XXIII Ltd
67590WCE2
600000.00000000
PA
USD
598672.32000000
0.046032759064
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.85000000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
Colony American Finance 2015-1 Ltd
19624VAD9
2200000.00000000
PA
USD
2205533.00000000
0.169586543097
Long
ABS-O
CORP
KY
N
2
2047-10-15
Fixed
5.65000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162100
821.00000000
NS
USD
197918.47000000
0.015218230306
Long
EC
CORP
US
N
1
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287Y109
2228.00000000
NS
USD
197267.12000000
0.015168147086
Long
EC
CORP
US
N
1
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAS0
7975000.00000000
PA
USD
8172822.19000000
0.628419825301
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.25000000
N
N
N
N
N
N
BIOMARIN PHARMACEUTICAL
NSLL8ITTRR0J5HEMR848
BioMarin Pharmaceutical Inc
09061GAH4
3460000.00000000
PA
USD
3655485.68000000
0.281075449705
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
0.60000000
N
N
N
N
Y
BioMarin Pharmaceutical Inc
BioMarin Pharmaceutical Inc
USD
XXXX
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0AL3
812000.99000000
PA
USD
820752.90000000
0.063108848087
Long
ABS-MBS
USGSE
US
N
2
2024-02-25
Floating
3.99000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
AUTOMATIC DATA PROCESSING INC FEB20 175 CALL
000000000
-8.00000000
NC
USD
-2320.00000000
-0.00017838807
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Automatic Data Processing Inc
Automatic Data Processing Inc
100.00000000
175
USD
2020-02-21
XXXX
357.63
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCM2
1200000.00000000
PA
USD
1225859.09000000
0.094258034406
Long
DBT
CORP
US
N
2
2022-06-30
Fixed
3.00000000
N
N
N
N
N
N
MITSUBISHI UFJ LEASE&FIN
353800MZ3QX9RLMH7B09
Mitsubishi UFJ Lease & Finance Co Ltd
60682LAD4
6550000.00000000
PA
USD
6685716.00000000
0.514074132907
Long
DBT
CORP
JP
N
2
2022-02-28
Fixed
3.41000000
N
N
N
N
N
N
Galaxy CLO Ltd
N/A
Galaxy XXVI CLO Ltd
36321MAA5
1405000.00000000
PA
USD
1324590.02000000
0.101849594866
Long
ABS-CBDO
CORP
KY
N
2
2031-11-22
Floating
7.75000000
N
N
N
N
N
N
Nissan Auto Receivables Owner Trust
N/A
Nissan Auto Receivables 2017-A Owner Trust
654747AD6
559042.55000000
PA
USD
558685.04000000
0.042958080706
Long
ABS-O
CORP
US
N
2
2021-08-16
Fixed
1.74000000
N
N
N
N
N
N
Wingstop Funding LLC
N/A
Wingstop Funding 2018-1 LLC
974153AA6
893250.00000000
PA
USD
919457.96000000
0.070698419366
Long
ABS-O
CORP
US
N
2
2048-12-05
Fixed
4.97000000
N
N
N
N
N
N
ACC Trust 2018-1
549300U9SU9NK6P6TK25
ACC Trust 2018-1
00435QAA5
26361.40000000
PA
USD
26378.56000000
0.002028284683
Long
ABS-O
CORP
US
N
2
2020-12-21
Fixed
3.70000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
169978.98000000
0.013069923513
N/A
DFE
AU
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
7472269.49000000
USD
10885000.00000000
AUD
2020-01-22
169978.98
N
N
N
CIFI HOLDINGS GROUP
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
370000.00000000
PA
USD
372406.37000000
0.028634851038
Long
DBT
CORP
KY
N
2
2022-01-23
Fixed
5.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
JOHNSON + JOHNSON FEB20 150 CALL
000000000
-9.00000000
NC
USD
-1701.00000000
-0.00013079228
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Johnson & Johnson
Johnson & Johnson
100.00000000
150
USD
2020-02-21
XXXX
60.36
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2019-2
36257NAC7
5030000.00000000
PA
USD
5113847.59000000
0.393210953868
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
3.54000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust 2018-3
96042GAL6
1140000.00000000
PA
USD
1166041.36000000
0.089658564778
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
4.00000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAM3
1860000.00000000
PA
USD
1910592.00000000
0.146908113617
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
7.13000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
TYSON FOODS INC FEB20 92.5 CALL
000000000
-17.00000000
NC
USD
-4887.50000000
-0.00037580676
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Tyson Foods Inc
Tyson Foods Inc
100.00000000
92.5
USD
2020-02-21
XXXX
-149.51
N
N
N
RMAC Securities PLC
213800C48M2JTBGZT736
RMAC Securities No 1 PLC
000000000
357961.92000000
PA
385504.59000000
0.029641991648
Long
ABS-MBS
CORP
GB
N
2
2044-06-12
None
0.00000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentina POM Politica Monetaria
000000000
29460000.00000000
PA
262866.87000000
0.020212204387
Long
DBT
NUSS
AR
N
2
2020-06-21
Floating
56.59000000
N
N
N
N
N
N
Planet Fitness Master Issuer LLC
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAA1
2987187.50000000
PA
USD
3036834.56000000
0.233506492530
Long
ABS-O
CORP
US
N
2
2048-09-05
Fixed
4.26000000
N
N
N
N
N
N
ALLIANCE DATA SYSTEMS CO
549300G8S4PO686J7H97
Alliance Data Systems Corp
018581AK4
2515000.00000000
PA
USD
2508712.50000000
0.192898442463
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
4.75000000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDIN
549300K1IE3K7YU6VG29
MassMutual Global Funding II
57629WCD0
2420000.00000000
PA
USD
2454101.04000000
0.188699290278
Long
DBT
CORP
US
N
2
2022-04-13
Fixed
2.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DELTA AIR LINES INC FEB20 62.5 CALL
000000000
-7.00000000
NC
USD
-392.00000000
-0.00003014143
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Delta Air Lines Inc
Delta Air Lines Inc
100.00000000
62.5
USD
2020-02-21
XXXX
312.96
N
N
N
CVP Cascade CLO Ltd
254900WPOZSM5XGTH559
CVP Cascade CLO-2 Ltd
126611AL6
3275187.63000000
PA
USD
3275027.80000000
0.251821506706
Long
ABS-CBDO
CORP
KY
N
2
2026-07-18
Floating
3.20000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2019-CH1
81747MAA7
4103401.57000000
PA
USD
4175664.11000000
0.321072702858
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
4.50000000
N
N
N
N
N
N
World Financial Network Credit Card Master Trust
N/A
World Financial Network Credit Card Master Trust
981464HG8
6995000.00000000
PA
USD
6986184.90000000
0.537177610416
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
2.71000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
METLIFE INC FEB20 52.5 CALL
000000000
-27.00000000
NC
USD
-1890.00000000
-0.00014532476
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
MetLife Inc
MetLife Inc
100.00000000
52.5
USD
2020-02-21
XXXX
127.15
N
N
N
SHIMAO PROPERTY HLDGS
254900WTJ6B5CU69ZD26
Shimao Property Holdings Ltd
000000000
740000.00000000
PA
USD
754764.34000000
0.058034894637
Long
DBT
CORP
KY
N
2
2022-07-03
Fixed
4.75000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183BL7
790000.00000000
PA
USD
805055.98000000
0.061901889769
Long
ABS-O
CORP
US
N
2
2030-04-15
Fixed
3.57000000
N
N
N
N
N
N
Leidos Holdings Inc
549300IUTGTP6EJP8124
Leidos Holdings Inc
525327102
2087.00000000
NS
USD
204296.43000000
0.015708640646
Long
EC
CORP
US
N
1
N
N
N
Dommo Energia SA
254900VV84SMDXCU2986
Dommo Energia SA
257553206
1884.00000000
NS
USD
8383.80000000
0.000644642206
Long
EC
CORP
BR
N
1
N
N
N
TENNESSEE GAS PIPELINE
N/A
Tennessee Gas Pipeline Co LLC
880451AS8
800000.00000000
PA
USD
996515.89000000
0.076623512288
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
7.00000000
N
N
N
N
N
N
Illinois Tool Works Inc
76NA4I14SZCFAYMNSV04
Illinois Tool Works Inc
452308109
1109.00000000
NS
USD
199209.67000000
0.015317512495
Long
EC
CORP
US
N
1
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CG8
7380000.00000000
PA
USD
7495777.44000000
0.576360899556
Long
DBT
CORP
US
N
2
2022-05-01
Fixed
2.70000000
N
N
N
N
N
N
Genesis Sales Finance Master Trust
N/A
Genesis Sales Finance Master Trust Series 2019-A
37186XAA3
640000.00000000
PA
USD
651479.55000000
0.050093181459
Long
ABS-O
CORP
US
N
2
2023-08-20
Fixed
4.68000000
N
N
N
N
N
N
Discover Card Execution Note Trust
549300CKCX1QE4RUW216
Discover Card Execution Note Trust
254683CK9
3190000.00000000
PA
USD
3266173.69000000
0.251140701700
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
3.04000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
EXELON CORP FEB20 46 CALL
000000000
-17.00000000
NC
USD
-1530.00000000
-0.00011764385
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Exelon Corp
Exelon Corp
100.00000000
46
USD
2020-02-21
XXXX
-225.94
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MERCK + CO INC FEB20 92.5 CALL
000000000
-9.00000000
NC
USD
-1552.50000000
-0.00011937391
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Merck & Co Inc
Merck & Co Inc
100.00000000
92.5
USD
2020-02-21
XXXX
343.86
N
N
N
Verizon Owner Trust
5493002I20BBOB4UPY82
Verizon Owner Trust 2017-3
92348RAB4
4531458.65000000
PA
USD
4533429.38000000
0.348581779067
Long
ABS-O
CORP
US
N
2
2022-04-20
Floating
1.99000000
N
N
N
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826C839
345.00000000
NS
USD
64825.50000000
0.004984524126
Long
EC
CORP
US
N
1
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AQ3
1770000.00000000
PA
USD
1575300.00000000
0.121127038834
Long
DBT
CORP
AR
N
2
2027-07-21
Fixed
6.95000000
N
N
N
N
N
N
Apollo Global Management Inc
54930054P2G7ZJB0KM79
Apollo Global Management Inc
03768E105
562.00000000
NS
USD
26813.02000000
0.002061690925
Long
EC
CORP
US
N
1
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXI Ltd
55819DAL0
300000.00000000
PA
USD
292948.77000000
0.022525244106
Long
ABS-CBDO
CORP
KY
N
2
2031-01-23
Floating
4.93000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-G
63941JAB4
695000.00000000
PA
USD
680280.60000000
0.052307734815
Long
ABS-O
CORP
US
N
2
2068-10-15
Fixed
3.08000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAK5
950000.00000000
PA
USD
1152350.00000000
0.088605816797
Long
DBT
CORP
NL
N
2
2044-03-17
Fixed
7.25000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-1118139.77000000
-0.08597534396
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
315790000.00000000
ZAR
21345094.46000000
USD
2020-01-31
-1118139.77
N
N
N
Gulfport Energy Corp
549300FJX18IDUFPHD40
Gulfport Energy Corp
402635AL0
3080000.00000000
PA
USD
1955800.00000000
0.150384220499
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.38000000
N
N
N
N
N
N
GCA2014 Holddings Ltd
549300P7I2VS2S4LJI66
GCA2014 Holdings Ltd
36163UAB6
942002.24000000
PA
USD
558136.33000000
0.042915889620
Long
ABS-O
CORP
BM
Y
3
2030-01-05
Fixed
7.50000000
N
N
N
N
N
N
Intuit Inc
VI90HBPH7XSFMB9E4M29
Intuit Inc
461202103
100.00000000
NS
USD
26193.00000000
0.002014016713
Long
EC
CORP
US
N
1
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EM1
6860000.00000000
PA
USD
7005385.35000000
0.538653960097
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.00000000
N
N
N
N
N
N
CarMax Auto Owner Trust
549300LQMUNTYT3DC014
Carmax Auto Owner Trust 2019-1
14315NAC4
7285000.00000000
PA
USD
7405650.53000000
0.569430914329
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
3.05000000
N
N
N
N
N
N
MIDWEST CONNECTOR CAPIT
N/A
Midwest Connector Capital Co LLC
59833CAB8
4960000.00000000
PA
USD
5078560.76000000
0.390497699740
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
3.63000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WDF5
2645000.00000000
PA
USD
2654597.09000000
0.204115714347
Long
DBT
CORP
US
N
2
2022-05-20
Fixed
1.95000000
N
N
N
N
N
N
Prestige Auto Receivables Trust
N/A
Prestige Auto Receivables Trust 2016-1
74113FAN5
3045000.00000000
PA
USD
3091841.84000000
0.237736079873
Long
ABS-O
CORP
US
N
2
2021-11-15
Fixed
5.15000000
N
N
N
N
N
N
MAPS LTD
N/A
MAPS 2018-1 Ltd
56564RAB6
1778472.00000000
PA
USD
1823885.10000000
0.140241097783
Long
ABS-O
CORP
BM
N
2
2043-05-15
Fixed
5.19000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343V104
3300.00000000
NS
USD
202620.00000000
0.015579737579
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SP9I77QQ CDS EUR R V 03MEVENT SP9I77QQ_PRO CORPORATE / Short: SP9I77QQ CDS EUR P F 1.00000 SP9I77QQ_FEE CORPORATE
000000000
6115000.00000000
OU
Notional Amount
-155603.72000000
-0.01196458949
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Enel SpA
Enel SpA
Y
buy protection
2023-12-20
28022.79
EUR
0
EUR
6115000
EUR
-188050.15
N
N
N
Stack Infrastructure Issuer LLC
N/A
Stack Infrastructure Issuer LLC
85236KAA0
2588249.99000000
PA
USD
2709934.23000000
0.208370665090
Long
ABS-O
CORP
US
N
2
2044-02-25
Fixed
4.54000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MAM2
8070000.00000000
PA
USD
8196112.63000000
0.630210660082
Long
DBT
CORP
JP
N
2
2022-01-11
Fixed
2.85000000
N
N
N
N
N
N
ViacomCBS Inc
5KYC8KF17ROCY24M3H09
ViacomCBS Inc
92556H206
4429.00000000
NS
USD
185885.13000000
0.014292969821
Long
EC
CORP
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
416.00000000
NC
USD
106538.43000000
0.008191890146
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
49234961.57
USD
106538.43
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XUX0
320000.00000000
PA
USD
325914.66000000
0.025060037883
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Floating
4.19000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT LXXV LLC
91833JAA8
3039576.12000000
PA
USD
3057693.51000000
0.235110366616
Long
ABS-O
CORP
US
N
2
2049-01-25
Variable
4.34000000
N
N
N
N
N
N
Rockwell Automation Inc
VH3R4HHBHH12O0EXZJ88
Rockwell Automation Inc
773903109
609.00000000
NS
USD
123426.03000000
0.009490401529
Long
EC
CORP
US
N
1
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
GILEAD SCIENCES INC FEB20 70 CALL
000000000
-29.00000000
NC
USD
-2842.00000000
-0.00021852538
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Gilead Sciences Inc
Gilead Sciences Inc
100.00000000
70
USD
2020-02-21
XXXX
1760.52
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2019-E
17328DAA8
4089403.82000000
PA
USD
4087128.88000000
0.314265104151
Long
ABS-MBS
CORP
US
N
2
2070-11-25
Variable
3.23000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2003-9
576434KX1
311384.93000000
PA
USD
317942.42000000
0.024447041106
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.25000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BV0
6860000.00000000
PA
USD
6875021.27000000
0.528630082118
Long
DBT
CORP
GB
N
2
2021-09-11
Floating
2.54000000
N
N
N
N
N
N
Eaton Corp PLC
549300VDIGTMXUNT7H71
Eaton Corp PLC
000000000
2095.00000000
NS
USD
198438.40000000
0.015258208457
Long
EC
CORP
IE
N
1
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
BEST BUY CO INC FEB20 92.5 CALL
000000000
-15.00000000
NC
USD
-2392.50000000
-0.00018396269
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Best Buy Co Inc
Best Buy Co Inc
100.00000000
92.5
USD
2020-02-21
XXXX
213.11
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2018-1
252724AC3
1549540.55000000
PA
USD
1584265.60000000
0.121816416463
Long
ABS-O
CORP
US
N
2
2031-01-21
Fixed
4.53000000
N
N
N
N
N
N
Rolls-Royce PLC
X57JK1U580XATGR67572
Rolls-Royce PLC
77578JAA6
8700000.00000000
PA
USD
8695998.00000000
0.668647551229
Long
DBT
CORP
GB
N
2
2020-10-14
Fixed
2.38000000
N
N
N
N
N
N
Unum Group
549300E32YFDO6TZ8R31
Unum Group
91529Y106
6743.00000000
NS
USD
196625.88000000
0.015118841238
Long
EC
CORP
US
N
1
N
N
N
Avid Automobile Receivables Trust
N/A
Avid Automobile Receivables Trust 2019-1
05369DAC9
1210000.00000000
PA
USD
1205710.31000000
0.092708766293
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
3.14000000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
216360000.00000000
PA
1757660.99000000
0.135149032561
Long
DBT
NUSS
AR
N
2
2022-05-31
Floating
45.98000000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EAV7
5985000.00000000
PA
USD
5994615.44000000
0.460934436107
Long
DBT
CORP
US
N
2
2021-04-12
Floating
2.41000000
N
N
N
N
N
N
CALIFORNIA RESOURCES CRP
5493003Q8F0T4F4YMR48
California Resources Corp
13057QAG2
5895000.00000000
PA
USD
2635477.65000000
0.202645593639
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
8.00000000
N
N
N
N
N
N
Capital One Multi-Asset Execution Trust
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust
14041NFK2
2585000.00000000
PA
USD
2585312.27000000
0.198788306816
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
2.00000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C7
92936TAE2
605000.00000000
PA
USD
617669.43000000
0.047493473646
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
4.81000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CITIGROUP INC FEB20 80 CALL
000000000
-17.00000000
NC
USD
-4054.50000000
-0.00031175622
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Citigroup Inc
Citigroup Inc
100.00000000
80
USD
2020-02-21
XXXX
-812.48
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
QUALCOMM INC FEB20 95 CALL
000000000
-18.00000000
NC
USD
-2439.00000000
-0.00018753815
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
QUALCOMM Inc
QUALCOMM Inc
100.00000000
95
USD
2020-02-21
XXXX
651.73
N
N
N
CITIGROUP GLOBAL MARKETS
82VOJDD5PTRDMVVMGV31
Citigroup Global Markets Inc. (HP Inc.)
000000000
38287.00000000
PA
USD
697589.14000000
0.053638612868
Long
CORP
US
N
3
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FAV0
5245000.00000000
PA
USD
5311447.44000000
0.408404685033
Long
DBT
CORP
US
N
2
2022-02-19
Variable
3.17000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2019-JWDR
95002NAJ6
4885000.00000000
PA
USD
4788255.51000000
0.368175719615
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Fixed
3.14000000
N
N
N
N
N
N
Gulfport Energy Corp
549300FJX18IDUFPHD40
Gulfport Energy Corp
402635AH9
2075000.00000000
PA
USD
1473250.00000000
0.113280270401
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
6.00000000
N
N
N
N
N
N
Plains GP Holdings LP
549300O56BSKRD8FAM12
Plains GP Holdings LP
72651A207
10149.00000000
NS
USD
192323.55000000
0.014788029016
Long
EC
CORP
US
N
1
N
N
N
Fairstone Financial Issuance Trust I
549300LY2ZF7LX6T3F37
Fairstone Financial Issuance Trust I
30575PAE6
3100000.00000000
PA
2398331.22000000
0.184411070160
Long
ABS-O
CORP
CA
N
2
2033-03-21
Fixed
3.95000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust 2004-4
576433MH6
262741.60000000
PA
USD
262534.55000000
0.020186651833
Long
ABS-MBS
CORP
US
N
3
2034-05-25
Variable
4.76000000
N
N
N
N
N
N
NextGear Floorplan Master Owner Trust
N/A
NextGear Floorplan Master Owner Trust
65341KAW6
4355000.00000000
PA
USD
4364726.89000000
0.335610006670
Long
ABS-O
CORP
US
N
2
2022-10-17
Floating
2.42000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EZ7
4675000.00000000
PA
USD
4777488.06000000
0.367347795198
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
2.95000000
N
N
N
N
N
N
Republic Finance Issuance Trust 2019-A
N/A
Republic FInance Issuance Trust 2019-A
76041QAA1
3980000.00000000
PA
USD
3973154.00000000
0.305501414876
Long
ABS-O
CORP
US
N
2
2027-11-22
Fixed
3.43000000
N
N
N
N
N
N
GREENLAND GLB INVST
549300RR3CIGB2A33O28
Greenland Global Investment Ltd
000000000
1565000.00000000
PA
USD
1514857.21000000
0.116479507461
Long
DBT
CORP
VG
N
2
2024-07-03
Fixed
5.88000000
N
N
N
N
N
N
LOGAN PROPERTY HOLDINGS
549300NJ0E6Q0S1VOG90
Logan Property Holdings Co Ltd
000000000
370000.00000000
PA
USD
369523.13000000
0.028413154648
Long
DBT
CORP
KY
N
2
2023-02-23
Fixed
5.25000000
N
N
N
N
N
N
Expedia Group Inc
CI7MUJI4USF3V0NJ1H64
Expedia Group Inc
30212P303
1434.00000000
NS
USD
155072.76000000
0.011923763234
Long
EC
CORP
US
N
1
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2018-RPL7 Trust
12654JAA0
1109717.89000000
PA
USD
1118831.45000000
0.086028528212
Long
ABS-MBS
CORP
US
N
2
2058-08-26
Fixed
4.00000000
N
N
N
N
N
N
Republic of South Africa
549300KEVMSOSY8T8R35
Republic of South Africa Government Bond
000000000
338660000.00000000
PA
21409863.96000000
1.646234636785
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
Vericrest Opportunity Loan Trust 2019-NPL3
92872LAA3
2189582.25000000
PA
USD
2200819.19000000
0.169224091598
Long
ABS-O
CORP
US
N
2
2049-03-25
Variable
3.97000000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BF4
3425000.00000000
PA
USD
3435092.55000000
0.264129111092
Long
DBT
CORP
US
N
2
2021-05-11
Floating
2.28000000
N
N
N
N
N
N
Bellatrix Exploration Ltd
549300S2235IL73TH941
Bellatrix Exploration Ltd
078314705
349549.00000000
NS
USD
0.00000000
0.0000000
Long
EC
CORP
CA
Y
3
N
N
N
SINOPEC GRP DEV 2018
549300C6OZZ8LTVR8209
Sinopec Group Overseas Development 2018 Ltd
82939GAK4
6730000.00000000
PA
USD
6752007.10000000
0.519171349085
Long
DBT
CORP
VG
N
2
2024-11-12
Fixed
2.50000000
N
N
N
N
N
N
UNITED AIR 2019-2 B PTT
N/A
United Airlines 2019-2 Class B Pass Through Trust
90932KAA7
6950000.00000000
PA
USD
6983846.50000000
0.536997807542
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
EASY TACTIC LTD
549300WYFMC41MKE6E16
Easy Tactic Ltd
000000000
1365000.00000000
PA
USD
1398955.63000000
0.107567671505
Long
DBT
CORP
VG
N
2
2023-02-27
Fixed
8.13000000
N
N
N
N
N
N
2020-02-18
Natixis Funds Trust II
John Sgroi
John Sgroi
VP