0001752724-22-095177.txt : 20220427
0001752724-22-095177.hdr.sgml : 20220427
20220427140644
ACCESSION NUMBER: 0001752724-22-095177
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220228
FILED AS OF DATE: 20220427
PERIOD START: 20220228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GMO TRUST
CENTRAL INDEX KEY: 0000772129
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04347
FILM NUMBER: 22858664
BUSINESS ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
BUSINESS PHONE: 6173467646
MAIL ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
FORMER COMPANY:
FORMER CONFORMED NAME: GMO CORE TRUST
DATE OF NAME CHANGE: 19900927
0000772129
S000061716
GMO High Yield Fund
C000199930
Class VI
GHVIX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000772129
XXXXXXXX
S000061716
C000199930
GMO TRUST
811-04347
0000772129
549300Y2Q6TQD4HU5C66
40 ROWES WHARF
BOSTON
02110
617-346-7646
GMO High Yield Fund
S000061716
5493003UZ8Q1SLUPQX65
2022-02-28
2022-02-28
N
91945224.66
7361305.90
84583918.76
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
214724.15000000
JPY
USD
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XL2
1050000.00000000
PA
USD
1061812.50000000
1.255336139027
Long
DBT
CORP
US
N
2
2025-08-04
Fixed
4.13000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN22
000000000
94.00000000
NC
USD
123213.70000000
0.145670361229
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year US Treasury Note
TYM2 COMDTY
2022-06-21
11855911.30000000
USD
123213.70000000
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBF6
375000.00000000
PA
USD
399243.75000000
0.472009048354
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
5.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS37V1-5Y
000000000
5774000.00000000
OU
Notional Amount
USD
-378186.09000000
-0.44711346499
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S37
2I65BRYQ7
Y
buy protection
2026-12-21
0.00000000
USD
-321849.57000000
USD
5774000.00000000
USD
-56336.52000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
218398.77000000
0.258203655259
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2371000000.00000000
JPY
20866477.16000000
USD
2022-04-25
218398.77000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCP6
250000.00000000
PA
USD
229850.00000000
0.271741961556
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAG8
250000.00000000
PA
USD
256250.00000000
0.302953568191
Long
DBT
CORP
NL
N
2
2023-10-15
Fixed
4.88000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153AY8
400000.00000000
PA
USD
429348.00000000
0.507600033545
Long
DBT
CORP
LR
N
2
2023-06-01
Fixed
10.88000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855RAL4
750000.00000000
PA
USD
734771.25000000
0.868689061433
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
3.88000000
N
N
N
N
N
N
Quebecor Media Inc
5493006O1E1TBNKPQW25
Quebecor Media Inc
74819RAP1
500000.00000000
PA
USD
508750.00000000
0.601473669532
Long
DBT
CORP
CA
N
2
2023-01-15
Fixed
5.75000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YT4
802000.00000000
PA
USD
794381.00000000
0.939163154942
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
3.82000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BG9
325000.00000000
PA
USD
323529.38000000
0.382495141798
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.35000000
N
N
N
N
N
N
Hexcel Corp
S6Q7LW43WUBUHXY2QP69
Hexcel Corp
428291AN8
670000.00000000
PA
USD
690239.35000000
0.816040874103
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.20000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAQ2
375000.00000000
PA
USD
400653.75000000
0.473676031890
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796P94
23170000.00000000
PA
USD
23059821.79000000
27.26265480254
Long
STIV
UST
US
N
1
2022-12-01
None
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796M89
5900000.00000000
PA
USD
5874786.11000000
6.945511861030
Long
STIV
UST
US
N
1
2022-10-06
None
0.00000000
N
N
N
N
N
N
KB HOME
549300LGUCWQURMWLG09
KB Home
48666KAY5
500000.00000000
PA
USD
499625.00000000
0.590685566860
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.80000000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCN8
625000.00000000
PA
USD
650000.00000000
0.768467587608
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
6.75000000
N
N
N
N
N
N
JAGUAR LAND ROVER AUTOMO
529900L73GEWN1O5NH84
Jaguar Land Rover Automotive PLC
47010BAA2
190000.00000000
PA
USD
189939.88000000
0.224557909806
Long
DBT
CORP
GB
N
2
2023-02-01
Fixed
5.63000000
N
N
N
N
N
N
BRINKER INTERNATIONAL IN
52990067JY6PBGJNTG76
Brinker International Inc
109641AG5
250000.00000000
PA
USD
252362.50000000
0.298357540889
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.88000000
N
N
N
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AW6
525000.00000000
PA
USD
543472.13000000
0.642524179498
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
4.70000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
500000.00000000
PA
USD
514280.00000000
0.608011555316
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.55000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BD7
750000.00000000
PA
USD
627701.25000000
0.742104715887
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.50000000
N
N
N
N
N
N
COGENT COMMUNICATIONS GR
549300KFWFYF8Q1U0Y26
Cogent Communications Group Inc
19240CAC7
250000.00000000
PA
USD
241875.00000000
0.285958611927
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fluor Corp
CQ7WZ4NOFWT7FAE6Q943
Fluor Corp
343412AF9
125000.00000000
PA
USD
122343.75000000
0.144641856033
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.25000000
N
N
N
N
N
N
MOUNTAIN PROVINCE DIAMON
549300Y5548SJTH51N28
Mountain Province Diamonds Inc
62426EAA3
125000.00000000
PA
USD
124687.50000000
0.147412772815
Long
DBT
CORP
CA
N
2
2022-12-15
Fixed
8.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS37V1-5Y
000000000
29562000.00000000
OU
Notional Amount
USD
-3708973.87000000
-4.38496338828
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S37
2I65BRYQ7
Y
sell protection
2026-12-21
0.00000000
USD
-2822614.51000000
USD
29562000.00000000
USD
-886359.36000000
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AS8
250000.00000000
PA
USD
249089.23000000
0.294487691811
Long
DBT
CORP
IT
N
2
2035-06-30
Fixed
5.46000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796R27
320000.00000000
PA
USD
317616.40000000
0.375504474912
Long
STIV
UST
US
N
1
2022-12-29
None
0.00000000
N
N
N
N
N
N
ENACT HOLDINGS INC
N/A
Enact Holdings Inc
37255LAA5
400000.00000000
PA
USD
413960.00000000
0.489407450102
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
6.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
EQUITY: IBOXHY INDEX
000000000
5000003.25000000
OU
Notional Amount
USD
-164854.01000000
-0.19489994364
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Markit iBoxx USD Liquid High Yield Index
IBOXHY INDEX
Y
equity-performance leg
2022-03-21
0.00000000
USD
-26.86000000
USD
5000003.25000000
USD
-164827.15000000
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAT9
250000.00000000
PA
USD
234375.00000000
0.277091678224
Long
DBT
US
N
2
2025-03-15
Fixed
4.50000000
N
N
N
N
N
N
Transocean Guardian Ltd
N/A
Transocean Guardian Ltd
893800AA0
227403.04000000
PA
USD
217558.76000000
0.257210546862
Long
DBT
CORP
KY
N
2
2024-01-15
Fixed
5.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796L64
650000.00000000
PA
USD
648159.86000000
0.766292067690
Long
STIV
UST
US
N
1
2022-08-11
None
0.00000000
N
N
N
N
N
N
PBF LOGISTICS LP/FINANCE
N/A
PBF Logistics LP / PBF Logistics Finance Corp
69318UAB1
250000.00000000
PA
USD
248750.00000000
0.294086634488
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
6.88000000
N
N
N
N
N
N
Avon Products Inc
5493007RY69UEB1F1B45
Avon Products Inc
054303BA9
350000.00000000
PA
USD
355687.50000000
0.420514330873
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
6.50000000
N
N
N
N
N
N
Sealed Air Corp
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAU4
625000.00000000
PA
USD
635937.50000000
0.751842086915
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
5.25000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAR6
1000000.00000000
PA
USD
945470.00000000
1.117789307779
Long
DBT
CORP
GB
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN22
000000000
-1.00000000
NC
USD
-2407.62000000
-0.00284642758
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CME Ultra Long Term US Treasury Bond Future
WNM2 COMDTY
2022-06-21
-183529.88000000
USD
-2407.62000000
N
N
N
Cleaver-Brooks Inc
549300TRZDD68CZBS255
Cleaver-Brooks Inc
185401AG1
275000.00000000
PA
USD
264475.75000000
0.312678525513
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
7.88000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
EQUITY: IBOXHY INDEX
000000000
626001.50000000
OU
Notional Amount
USD
-11557.20000000
-0.01366359015
N/A
DE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Markit iBoxx USD Liquid High Yield Index
IBOXHY INDEX
Y
equity-performance leg
2022-03-21
0.00000000
USD
0.00000000
USD
626001.50000000
USD
-11557.20000000
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55616XAH0
207000.00000000
PA
USD
206766.09000000
0.244450828279
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
2.88000000
N
N
N
N
N
N
W & T OFFSHORE INC
549300Q7EOY2YIO3YK85
W&T Offshore Inc
92922PAL0
375000.00000000
PA
USD
367968.75000000
0.435033934812
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
9.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
37.00000000
NC
USD
25992.87000000
0.030730274006
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
7937389.92000000
USD
25992.87000000
N
N
N
ARCONIC CORP
549300B4YFWH3U74B152
Arconic Corp
03966VAB3
446000.00000000
PA
USD
459380.00000000
0.543105600608
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.00000000
N
N
N
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AL8
125000.00000000
PA
USD
138153.75000000
0.163333352279
Long
DBT
CORP
US
N
2
2035-11-01
Fixed
6.88000000
N
N
N
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines Inc/AAdvantage Loyalty IP Ltd
00253XAB7
250000.00000000
PA
USD
255580.00000000
0.302161455447
Long
DBT
CORP
XX
N
2
2029-04-20
Fixed
5.75000000
N
N
N
N
N
N
OWENS-BROCKWAY
V2UQUCDZJ9WY98W8QU33
Owens-Brockway Glass Container Inc
69073TAR4
250000.00000000
PA
USD
254375.00000000
0.300736834766
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
5.88000000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAK8
91000.00000000
PA
USD
92789.06000000
0.109700592453
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
EQUITY: IBOXHY INDEX
000000000
23090000.21000000
OU
Notional Amount
USD
-638497.36000000
-0.75486850143
N/A
DE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Markit iBoxx USD Liquid High Yield Index
IBOXHY INDEX
Y
equity-performance leg
2022-03-21
0.00000000
USD
0.00000000
USD
23090000.21000000
USD
-638497.36000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN22
000000000
22.00000000
NC
USD
19459.73000000
0.023006418105
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note
FVM2 COMDTY
2022-06-30
2582727.77000000
USD
19459.73000000
N
N
N
Rolls-Royce PLC
X57JK1U580XATGR67572
Rolls-Royce PLC
77578JAB4
725000.00000000
PA
USD
707998.75000000
0.837037063757
Long
DBT
CORP
GB
N
2
2025-10-14
Fixed
3.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796N96
5380000.00000000
PA
USD
5353515.07000000
6.329235093954
Long
STIV
UST
US
N
1
2022-11-03
None
0.00000000
N
N
N
N
N
N
MURPHY OIL USA INC
N32S6DTR2ZZ5222WHV58
Murphy Oil USA Inc
626738AF5
625000.00000000
PA
USD
579687.50000000
0.685340084141
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAF2
600000.00000000
PA
USD
645000.00000000
0.762556298473
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR22
000000000
7.00000000
NC
USD
-8922.25000000
-0.01054839989
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note
FVH2 COMDTY
2022-03-31
839133.19000000
USD
-8922.25000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CCQ2
3630000.00000000
PA
USD
3635686.43000000
4.298318738714
Long
DBT
UST
US
N
1
2023-07-31
Floating
0.39000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAM1
250000.00000000
PA
USD
266773.75000000
0.315395353999
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.88000000
N
N
N
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
2371000000.00000000
PA
20626495.37000000
24.38583559662
Long
STIV
NUSS
JP
N
2
2022-04-25
None
0.00000000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITE
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
71429MAC9
750000.00000000
PA
USD
687773.81000000
0.813125970140
Long
DBT
CORP
IE
N
2
2030-06-15
Fixed
3.90000000
N
N
N
N
N
N
Southwestern Energy Co
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AL3
85000.00000000
PA
USD
88612.50000000
0.104762821703
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
5.95000000
N
N
N
N
N
N
METHANEX CORP
549300TSJHRXT9QXRD13
Methanex Corp
59151KAL2
825000.00000000
PA
USD
833250.00000000
0.985116334423
Long
DBT
CORP
CA
N
2
2029-12-15
Fixed
5.25000000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/CORP
N/A
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
983130AU9
925000.00000000
PA
USD
928774.00000000
1.098050331098
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.25000000
N
N
N
N
N
N
Spirit AeroSystems Inc
ZD2NBKV6GCC3UMGBM518
Spirit AeroSystems Inc
85205TAG5
800000.00000000
PA
USD
792000.00000000
0.936348199055
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.85000000
N
N
N
N
N
N
AMERIGAS PART/FIN CORP
N/A
AmeriGas Partners LP / AmeriGas Finance Corp
030981AH7
373000.00000000
PA
USD
380460.00000000
0.449801812894
Long
DBT
CORP
US
N
2
2024-05-20
Fixed
5.63000000
N
N
N
N
N
N
ANTERO RESOURCES CORP
APVBKPOULHUX7YZLKU17
Antero Resources Corp
03674XAQ9
375000.00000000
PA
USD
405948.75000000
0.479936087085
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
7.63000000
N
N
N
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
439953.37000000
NS
USD
439953.37000000
0.520138315237
Long
STIV
RF
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR22
000000000
-7.00000000
NC
USD
11823.30000000
0.013978188967
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year US Treasury Note
FVH2 COMDTY
2022-03-31
-842034.24000000
USD
11823.30000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
ODB22J20USDP CDX S37 V1
000000000
-16748000.00000000
NC
USD
-116703.58000000
-0.13797372090
N/A
DCR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
16748000.00000000
OU
Notional Amount
N/A
-116703.58000000
-0.14000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
16748000.00000000
USD
1.00000000
102.50000000
USD
2022-04-20
XXXX
82597.62000000
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AM8
625000.00000000
PA
USD
608593.75000000
0.719514724455
Long
DBT
US
N
2
2027-02-01
Fixed
4.25000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
375000.00000000
PA
USD
385338.75000000
0.455569753268
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBC9
625000.00000000
PA
USD
647156.25000000
0.765105541913
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.88000000
N
N
N
N
N
N
G-III APPAREL GROUP LTD
529900O5KABM3R3SFM87
G-III Apparel Group Ltd
36237HAA9
375000.00000000
PA
USD
395156.25000000
0.467176569486
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
7.88000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AD3
125000.00000000
PA
USD
125293.75000000
0.148129516623
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.50000000
N
N
N
N
N
N
2022-03-25
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer