0001752724-20-161921.txt : 20200820
0001752724-20-161921.hdr.sgml : 20200820
20200820082815
ACCESSION NUMBER: 0001752724-20-161921
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200630
FILED AS OF DATE: 20200820
PERIOD START: 20201231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY ADVISOR SERIES II
CENTRAL INDEX KEY: 0000795422
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04707
FILM NUMBER: 201118693
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY DIVERSIFIED TRUST
DATE OF NAME CHANGE: 19930706
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH FUND
DATE OF NAME CHANGE: 19920130
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH INVESTMENT SERIES
DATE OF NAME CHANGE: 19911204
0000795422
S000005152
Fidelity Advisor Strategic Income Fund
C000014110
Class A
FSTAX
C000014112
Class C
FSRCX
C000014113
Class M
FSIAX
C000014114
Class I
FSRIX
C000200078
Fidelity Strategic Income Fund
FADMX
C000204998
Class Z
FIWDX
NPORT-P
1
primary_doc.xml
NPORT-P
false
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S000005152
C000204998
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C000014110
C000014112
C000014114
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Fidelity Advisor Series II
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0000795422
EIVUM2R16VT371T5KS40
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Advisor Strategic Income Fund
S000005152
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2020-12-31
2020-06-30
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0.00000000
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
68090000.00000000
0.00000000
0.00000000
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USD
EUR
CAD
JPY
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TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 4.875% 01/01/2026 144A
88033GCY4
18260000.00000000
PA
USD
17884939.60000000
0.121677484003
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
0.04875000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP
594918104
191700.00000000
NS
USD
39012867.00000000
0.265418145462
Long
EC
CORP
US
N
1
N
N
N
COVANTA HLDG CORP
40XIFLS8XDQGGHGPGC04
COVANTA HLDG CORP 6% 01/01/2027
22282EAH5
7080000.00000000
PA
USD
7169208.00000000
0.048774623300
Long
DBT
CORP
US
N
2
2027-01-01
Fixed
0.06000000
N
N
N
N
N
N
INFINEON TECHNOLOGIES AG
TSI2PJM6EPETEQ4X1U25
INFINEON TECHNOLOGIES AG 2% 06/24/2032 REGS
N/A
14000000.00000000
PA
15655356.76000000
0.106508854060
Long
DBT
CORP
DE
N
2
2032-06-24
Fixed
0.02000000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 4.25% 03/15/2046
694308HN0
1475000.00000000
PA
USD
1620656.25000000
0.011025889902
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.04250000
Y
Y
N
N
N
N
KUEHG CORP
549300YNT566T1NYJX62
KINDERCARE TERM 2LN 08/22/2025
50118YAB5
3640000.00000000
PA
USD
2730000.00000000
0.018573142474
Long
LON
CORP
US
N
2
2025-08-22
Variable
0.09250000
N
N
N
N
N
N
ANTERO RESOURCES FINANCE CORPORATION
N/A
ANTERO RESOURCES FINANCE CORPORATION 5.375% 11/01/2021
03674PAL7
1900000.00000000
PA
USD
1757500.00000000
0.011956885676
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
0.05375000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC / OUTFRONT MEDIA CAP CORP
N/A
OUTFRONT MEDIA CAP LLC / OUTFRONT MEDIA CAP CORP 4.625% 03/15/2030 144A
69007TAC8
6620000.00000000
PA
USD
6068024.40000000
0.041282887075
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
0.04625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 11/01/2025#AL8242
3138ETEQ5
980665.85500000
PA
USD
1027992.10000000
0.006993788914
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3415 PC 5% 12/37
31397R3R5
423091.09200000
PA
USD
474981.23000000
0.003231463024
Long
ABS-CBDO
USGSE
US
N
2
2037-12-15
Fixed
0.05000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.487 10/02/2020
N/A
-28100000.00000000
NC
USD
-13797.38000000
-0.00009386838
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/30 3MLV1.487
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-10-06
0.00000000
USD
0.00000000
USD
-28100000.00000000
USD
1.00000000
1.48700000
USD
2020-10-02
XXXX
738580.12000000
N
N
N
CONTINENTAL RESOURCES INC OKLA
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RES 4.5% 4/23
212015AL5
1645000.00000000
PA
USD
1571336.90000000
0.010690353156
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.04500000
N
N
N
N
N
N
NCL CORP LTD
UNZWILHE4KMRP9K2L524
NCL CORP LTD 12.25% 05/15/2024 144A
62886HAR2
9110000.00000000
PA
USD
9528604.50000000
0.064826420863
Long
DBT
CORP
BM
N
2
2024-05-15
Fixed
0.12250000
N
N
N
N
N
N
AVANTOR INC
5493003VM0XB4U8YD238
AVANTOR INC 6% 10/01/2024 144A
05352AAA8
7285000.00000000
PA
USD
7612825.00000000
0.051792704525
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.06000000
N
N
N
N
N
N
WEB COM GROUP INC
254900QSA9ZIGO5F5S30
WEB COM GROUP INC TERM B 1LN 10/11/2025
94732YAS2
6574269.41000000
PA
USD
6201705.56000000
0.042192366647
Long
LON
CORP
US
N
2
2025-10-11
Variable
0.03940130
N
N
N
N
N
N
SS and C TECHNOLOGIES HLDGS INC
529900POY8H7NPPNKK71
SS and C TECHNOLOGIES HOLDINGS INC
78467J100
193939.00000000
NS
USD
10953674.72000000
0.074521670765
Long
EC
CORP
US
N
1
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 04/01/2033#K90336
3132J2LR2
901188.88500000
PA
USD
956891.55000000
0.006510067066
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H17 FA 1ML+33 7/60
38375BDY5
5512009.41870000
PA
USD
5480124.65000000
0.037283199963
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Variable
0.00770880
N
N
N
N
N
N
MAVERICK PURCHASER SUB LLC
N/A
AECOM TERM B 1LN 01/23/27
57776DAB9
1255000.00000000
PA
USD
1229372.90000000
0.008363852756
Long
LON
CORP
US
N
2
2027-01-23
Variable
0.04178250
N
N
N
N
N
N
SPAIN, KINGDOM OF
9598007A56S18711AH60
SPAIN KINGDOM OF 1% 10/31/2050 144A REGS
N/A
5000000.00000000
PA
5215126.14000000
0.035480322644
Long
DBT
NUSS
ES
N
2
2050-10-31
Fixed
0.01000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-15 FJ 1ML+93 6/36
31398MRG3
3092541.76810000
PA
USD
3137353.32000000
0.021344509232
Long
ABS-CBDO
USGSE
US
N
2
2036-06-25
Variable
0.01114500
N
N
N
N
N
N
REDDY ICE HOLDINGS INC
7Z0MRIY211ZHEWECBM22
REDDY ICE HOLDINGS INC(ESCROW)
N/A
133255.00000000
NS
USD
13877.58000000
0.000094414018
Long
EC
CORP
US
N
3
N
N
N
ODEBRECHT FINANCE LTD
N/A
ODEBRECHT FINANCE LTD 4.375% 4/25/25 144A
675758AL0
7474000.00000000
PA
USD
404063.13000000
0.002748982447
Long
DBT
CORP
KY
N
2
2025-04-25
Fixed
0.04375000
Y
Y
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.875% 07/31/2022
9128282P4
43433000.00000000
PA
USD
44975210.71000000
0.305982049932
Long
DBT
UST
US
N
2
2022-07-31
Fixed
0.01875000
N
N
N
N
N
N
ELDORADO RESORTS INC
5299000BKFWWVND5L441
ELDORADO RESORTS INC 8.125% 07/01/2027 144A
28470RAK8
34045000.00000000
PA
USD
33108762.50000000
0.225250462656
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
0.08125000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 5.5% 05/15/2026 144A
126307AU1
31192000.00000000
PA
USD
32014533.04000000
0.217806037872
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2303 ZV 6% 4/31
3133TSTH6
100631.40700000
PA
USD
113183.73000000
0.000770028404
Long
ABS-CBDO
USGSE
US
N
2
2031-04-15
Fixed
0.06000000
N
N
N
N
N
N
ADVANCED DRAIN SYS INC DEL
6QQTOZ5MF5DHM7K92I60
ADVANCED DRAIN SYS INC DEL 5% 09/30/2027 144A
00790RAA2
1400000.00000000
PA
USD
1410500.00000000
0.009596123611
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
0.05000000
N
N
N
N
N
N
NEXSTAR ESCROW INC
N/A
NEXSTAR ESCROW INC 5.625% 07/15/2027 144A
65343HAA9
14270000.00000000
PA
USD
14270856.20000000
0.097089613710
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.05625000
N
N
N
N
N
N
QUEBECOR MEDIA INC
5493006O1E1TBNKPQW25
QUEBECOR MEDIA 5.75 1/23 WI
74819RAP1
14205000.00000000
PA
USD
14879737.50000000
0.101232045627
Long
DBT
CORP
CA
N
2
2023-01-15
Fixed
0.05750000
N
N
N
N
N
N
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
N/A
UNITI GRP/UNITI HLD/CSL 7.875% 02/15/2025 144A
91327AAA0
9940000.00000000
PA
USD
10071903.80000000
0.068522675553
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.07875000
N
N
N
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP 5.375% 11/15/2029
85172FAR0
5560000.00000000
PA
USD
5226400.00000000
0.035557022646
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.05375000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 4.3% 03/15/2045
694308HL4
3690000.00000000
PA
USD
4068225.00000000
0.027677554044
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
0.04300000
Y
Y
N
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA INC 5% 09/15/2029 144A
87901JAC9
7290000.00000000
PA
USD
6868638.00000000
0.046729740724
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.05000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI INC 4% 11/15/2029 144A
55354GAH3
3780000.00000000
PA
USD
3855600.00000000
0.026230991986
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.04000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP
14448C104
459000.00000000
NS
USD
10198980.00000000
0.069387219278
Long
EC
CORP
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 11/34 #735061
31402QTS0
239836.95050000
PA
USD
282180.43000000
0.001919771915
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.06000000
N
N
N
N
N
N
NABORS INDUSTRIES LTD
N/A
NABORS INDUSTRIES LTD 7.25% 01/15/2026 144A
629571AA8
6565000.00000000
PA
USD
4037475.00000000
0.027468351066
Long
DBT
CORP
BM
N
2
2026-01-15
Fixed
0.07250000
N
N
N
N
N
N
CHOICE HOTELS INTL INC (NEW)
5493003CYRY5RFGTIR97
CHOICE HOTELS 5.75% 7/01/22
169905AE6
2690000.00000000
PA
USD
2861998.60000000
0.019471175003
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.05750000
N
N
N
N
N
N
GERMANY FEDERAL REPUBLIC OF
529900AQBND3S6YJLY83
GERMANY FEDERAL REPUBLIC OF 0% 02/15/2030 REGS
N/A
45430000.00000000
PA
53406355.87000000
0.363342072011
Long
DBT
NUSS
DE
N
2
2030-02-15
Fixed
0.00000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 7.5% 04/01/2025 144A
335934AL9
12105000.00000000
PA
USD
11711587.50000000
0.079678015836
Long
DBT
CORP
CA
N
2
2025-04-01
Fixed
0.07500000
N
N
N
N
N
N
BUONI DEL TESORO POLIENNALI
815600DE60799F5A9309
BUONI DEL TESORO POLIENNALI 1.85% 07/01/2025 144A REGS
N/A
50000000.00000000
PA
59244119.08000000
0.403058411875
Long
DBT
NUSS
IT
N
2
2025-07-01
Fixed
0.01850000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 5.0% 04/15/2041
3137A9MV5
2503817.61110000
PA
USD
3062444.86000000
0.020834880843
Long
ABS-CBDO
USGSE
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 4.4%/VAR PERP
38144GAC5
4530000.00000000
PA
USD
4031700.00000000
0.027429061726
Long
EP
CORP
US
N
2
N
N
N
JONAH ENERGY LLC / JONAH ENERGY FINANCE CORP
N/A
JONAH ENERGY LLC / JONAH ENERGY FINANCE CORP 7.25% 10/15/2025 144A
47987LAA9
10845000.00000000
PA
USD
1328512.50000000
0.009038334044
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
0.07250000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE TERM FLLO 06/09/2024
16516FAH2
57825000.00000000
PA
USD
33166685.25000000
0.225644531333
Long
LON
CORP
US
N
2
2024-06-09
Variable
0.09000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035
31394E3H9
3338949.82150000
PA
USD
3878995.57000000
0.026390160211
Long
ABS-CBDO
USGSE
US
N
2
2035-08-25
Fixed
0.05500000
N
N
N
N
N
N
GENESIS ENERGY LP/ FIN CORP
N/A
GENESIS ENERGY LP/ FIN CORP 6.25% 05/15/2026
37185LAK8
5405000.00000000
PA
USD
4636841.40000000
0.031546049799
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.06250000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A3 PP
N/A
403760.00000000
NS
USD
448.62000000
0.000003052118
Long
EC
CORP
LU
Y
3
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H28 KA 3.75% 12/20/2060
38375BJA1
6356.95490000
PA
USD
6387.82000000
0.000043458568
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Fixed
0.03750000
N
N
N
N
N
N
PATTERN ENERGY GROUP INC
549300YTEUCT3H1Y2T51
PATTERN ENERGY GROUP INC 5.875% 02/01/2024 144A
70338PAC4
3540000.00000000
PA
USD
3557700.00000000
0.024204274351
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.05875000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC 8.0% 11/01/2031
36186CBY8
155842000.00000000
PA
USD
201040884.87000000
1.367751281243
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
0.08000000
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM 5.125% 03/15/2027
00774CAB3
7490000.00000000
PA
USD
8051750.00000000
0.054778864437
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.05125000
N
N
N
N
N
N
CF INDS HLDGS INC
529900CG8YAQFZ2JMV97
CF INDUSTRIES HOLDINGS INC
125269100
269200.00000000
NS
USD
7575288.00000000
0.051537327218
Long
EC
CORP
US
N
1
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4.5% 12/15/2026
3137A3LM9
3978272.19300000
PA
USD
4232759.88000000
0.028796942237
Long
ABS-CBDO
USGSE
US
N
2
2026-12-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 28YR 6.00% 6/36 #889046
31410GWF6
767094.79370000
PA
USD
903125.86000000
0.006144280318
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.06000000
N
N
N
N
N
N
ENERGIAS DE PORTUGAL SA
529900CLC3WDMGI9VH80
ENERGIAS DE PORTUGAL SA 1.625% 04/15/2027 REGS
N/A
15000000.00000000
PA
17866720.45000000
0.121553532769
Long
DBT
CORP
PT
N
2
2027-04-15
Fixed
0.01625000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HLDGS LLC 5.375% 02/01/2028 144A
126307AS6
13855000.00000000
PA
USD
14478475.00000000
0.098502116843
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.05375000
N
N
N
N
N
N
SOUTHERN STAR CENT CORP
549300D3EOQ0YB6QHA13
SOUTHERN STAR CENT CORP 5.125% 07/15/22 144A
843830AF7
4930000.00000000
PA
USD
4926125.17000000
0.033514148215
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
0.05125000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
866495.48000000
0.005895071063
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
28877362.04000000
USD
26449000.00000000
EUR
2020-08-13
866495.48000000
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 5.875% 11/15/2028
64110LAT3
38210000.00000000
PA
USD
43511637.50000000
0.296024850756
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.05875000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.92 01/08/25
N/A
-47000000.00000000
NC
USD
-443627.36000000
-0.00301815170
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 01/10/30 3MLV1.92%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-10
0.00000000
USD
0.00000000
USD
-47000000.00000000
USD
1.00000000
1.92000000
USD
2025-01-08
XXXX
867672.64000000
N
N
N
Studio City International Holdings Ltd
N/A
STUDIO CITY INTERNATIONAL HOLDINGS LTD ADR
86389T106
133400.00000000
NS
USD
2121046.66000000
0.014430220443
Long
EC
CORP
VG
N
1
N
N
N
ASBURY AUTOMOTIVE GROUP INC
549300JH4DTA7U42GL91
ASBURY AUTOMOTIVE GROUP INC 4.5% 03/01/2028 144A
043436AS3
1987000.00000000
PA
USD
1927390.00000000
0.013112706620
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04500000
N
N
N
N
N
N
SOTHEBYS
549300P5BAAMQQ7VL735
SOTHEBYS TERM B 1LN 01/03/2027
08883CAB4
6764623.76900000
PA
USD
6302397.03000000
0.042877405848
Long
LON
CORP
US
N
2
2027-01-03
Variable
0.06500000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
ALCOA NEDERLAND HOLDING 6.75% 09/30/2024 144A
013822AA9
5350000.00000000
PA
USD
5463687.50000000
0.037171372297
Long
DBT
CORP
NL
N
2
2024-09-30
Fixed
0.06750000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.25% 12/15/2027
15135BAR2
6820000.00000000
PA
USD
7037626.20000000
0.047879426407
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.04250000
N
N
N
N
N
N
ALGOMA STEEL SCA
N/A
ALGOMA STEEL SCA
N/A
151792.00000000
NS
USD
21250.88000000
0.000144577150
Long
EC
CORP
LU
N
3
N
N
N
KRONOS INC
5493000E2HBSA8M27B95
KRONOS TERM 2LN 11/01/2024
50105JAL1
13470000.00000000
PA
USD
13461648.60000000
0.091584292081
Long
LON
CORP
US
N
2
2024-11-01
Variable
0.09250000
N
N
N
N
N
N
BOISE CASCADE CO DEL
549300Z8B8LSRHC7XA55
BOISE CASCADE CO DEL 5.625% 09/01/2024 144A
09739DAC4
1355000.00000000
PA
USD
1365162.50000000
0.009287676781
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.05625000
N
N
N
N
N
N
RADIOLOGY PARTNERS INC
549300SFTAG2177WUZ08
RADIOLOGY PARTNERS INC 9.25% 02/01/2028 144A
75041VAA2
11755000.00000000
PA
USD
11079087.50000000
0.075374897662
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.09250000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC
629377508
329000.00000000
NS
USD
10712240.00000000
0.072879106130
Long
EC
CORP
US
N
1
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
HERTZ CORP 5.5% 10/15/2024 144A
428040CS6
5950000.00000000
PA
USD
1850450.00000000
0.012589256956
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.05500000
Y
Y
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 5.125%/VAR PERP
060505FP4
22020000.00000000
PA
USD
21784496.10000000
0.148207527395
Long
EP
CORP
US
N
2
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4/VAR PERP
48128BAH4
19100000.00000000
PA
USD
16717848.00000000
0.113737352660
Long
EP
CORP
US
N
2
N
N
N
JBS SA
529900RM0MTMZL9O5050
JBS SA
N/A
4515500.00000000
NS
17561800.08000000
0.119479053108
Long
EC
CORP
BR
N
1
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/27 #462269
36208VQW8
560.62360000
PA
USD
635.43000000
0.000004323051
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07000000
N
N
N
N
N
N
PG and E CORP
8YQ2GSDWYZXO2EDN3511
PG and E CORP 5.25% 07/01/2030
69331CAJ7
5150000.00000000
PA
USD
5175750.00000000
0.035212433025
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.05250000
N
N
N
N
N
N
CNX MIDSTREAM PARTNERS LP / CNX MIDSTREAM FINANCE CORP
N/A
CNX MIDSTREAM PTR/CNX 6.5% 03/15/2026 144A
12654TAA8
3935000.00000000
PA
USD
3620200.00000000
0.024629483657
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.06500000
N
N
N
N
N
N
BUONI DEL TESORO POLIENNALI
815600DE60799F5A9309
BUONI DEL TESORO POLIENNALI 2.45% 09/01/2050 144A REGS
N/A
14339000.00000000
PA
16856449.47000000
0.114680306817
Long
DBT
NUSS
IT
N
2
2050-09-01
Fixed
0.02450000
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM ENERGY CO 5.625% 06/01/2025
78454LAL4
5060000.00000000
PA
USD
2681800.00000000
0.018245221057
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.05625000
N
N
N
N
N
N
TRANSDIGM UK HOLDINGS PLC
549300JTYP71LZZSE903
TRANSDIGM UK HOLDINGS PLC 6.875% 05/15/2026
89365DAB9
21085000.00000000
PA
USD
19609050.00000000
0.133407208582
Long
DBT
CORP
GB
N
2
2026-05-15
Fixed
0.06875000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 2.986% 10/01/2041#1B8864
3128UHGY5
480129.35960000
PA
USD
500623.83000000
0.003405918578
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Variable
0.03838000
N
N
N
N
N
N
FORBES ENERGY SERVICES LLC
N/A
FORBES ENERGY SERVICES LLC TERM 16% PIK 04/13/2021
N/A
1389052.14000000
PA
USD
1399470.03000000
0.009521082877
Long
LON
CORP
US
N
3
2021-04-13
Variable
0.18000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: USD/AUD settle 2020-08-13
N/A
1.00000000
NC
N/A
-5158156.62000000
-0.03509273912
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
112907000.00000000
AUD
72775110.11000000
USD
2020-08-13
-5158156.62000000
N
N
N
NCR CORPORATION NEW
549300YKTY8JX1DV2R67
NCR CORPORATION NEW 6.125% 09/01/2029 144A
62886EAV0
5480000.00000000
PA
USD
5506797.20000000
0.037464662626
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
0.06125000
N
N
N
N
N
N
AIR CANADA 2013-1 PASS THROUGH TRUST
N/A
AIR CANADA 2013-1 PASS THROUGH TRUST 5.375% 11/15/2022 144A
009089AB9
1602031.74290000
PA
USD
1443953.02000000
0.009823716178
Long
DBT
CORP
CA
N
2
2022-11-15
Fixed
0.05375000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H16 BA 3.55% 07/60
38375BDK5
601187.53730000
PA
USD
640407.81000000
0.004356917764
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Fixed
0.03550000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY
595017104
76000.00000000
NS
USD
8003560.00000000
0.054451011054
Long
EC
CORP
US
N
1
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040
674599DJ1
3565000.00000000
PA
USD
2985687.50000000
0.020312673743
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
0.06200000
N
N
N
N
N
N
HILCORP ENERGY I LP/FIN CO
N/A
HILCORP ENERGY I LP/FIN CO 6.25% 11/01/2028 144A
431318AS3
7130000.00000000
PA
USD
5721825.00000000
0.038927571771
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
0.06250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 07/31/2024
9128282N9
118408000.00000000
PA
USD
127515240.02000000
0.867530666850
Long
DBT
UST
US
N
2
2024-07-31
Fixed
0.02125000
N
N
N
N
N
N
NCUA GTD NTS MASTER TR
N/A
NCUA GTD NTS MA 3.45% 6/12/21
62889KAE1
49900000.00000000
PA
USD
51347060.08000000
0.349331964281
Long
DBT
USGA
US
N
2
2021-06-12
Fixed
0.03450000
N
N
N
N
N
N
MOTORS LIQUIDATION COMPANY GUC TRUST
N/A
MOTORS LIQ CO GUC TR
62010U101
5066.00000000
NS
USD
7649.66000000
0.000052043305
Long
EC
CORP
US
N
1
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12ML+187.9 10/42#849255
31300MH89
386470.40020000
PA
USD
402774.35000000
0.002740214427
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Variable
0.04283000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN 1.625% 11/15/22
912828TY6
14901000.00000000
PA
USD
15413803.91000000
0.104865485746
Long
DBT
UST
US
N
2
2022-11-15
Fixed
0.01625000
N
N
N
N
N
N
ARCONIC ROLLED PRODUCTS CORP
549300B4YFWH3U74B152
ARCONIC ROLLED PRODUCTS CORP 6% 05/15/2025 144A
03966VAB3
4090000.00000000
PA
USD
4207587.50000000
0.028625685754
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.06000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046
674599DL6
9520000.00000000
PA
USD
8286874.40000000
0.056378497763
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.06600000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 05/15/2025
912828XB1
12033000.00000000
PA
USD
13101868.77000000
0.089136584374
Long
DBT
UST
US
N
2
2025-05-15
Fixed
0.02125000
N
N
N
N
N
N
GEO GROUP INC NEW
5493003VOR6NTY465495
GEO GROUP INC 5.875% 10/15/2024
36162JAA4
8101000.00000000
PA
USD
6364955.70000000
0.043303014306
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.05875000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
ALTICE FRANCE SA 8.125% 02/01/2027 144A
02156LAA9
4495000.00000000
PA
USD
4916406.25000000
0.033448027011
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
0.08125000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-6602806.65000000
-0.04492119730
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
177000000.00000000
EUR
192446790.00000000
USD
2020-08-13
-6602806.65000000
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A1 PP
N/A
403760.00000000
NS
USD
448.62000000
0.000003052118
Long
EC
CORP
LU
Y
3
N
N
N
ISRAEL, STATE OF
213800T8ZHTFZIBYPE21
AID 5.5% 9/18/23
46513EFF4
57646000.00000000
PA
USD
67092513.43000000
0.456453776877
Long
DBT
NUSS
IL
N
2
2023-09-18
Fixed
0.05500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6.25%/VAR PERP
29278NAA1
40712000.00000000
PA
USD
31246460.00000000
0.212580569006
Long
EP
CORP
US
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/29#FM2692
3140X57E7
12840920.81000000
PA
USD
13445716.62000000
0.091475901263
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.02500000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 6.5% 03/01/2024 144A
335934AP0
6560000.00000000
PA
USD
6166400.00000000
0.041952170605
Long
DBT
CORP
CA
N
2
2024-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/34 #255070
31371LJP5
194464.84040000
PA
USD
227686.63000000
0.001549031581
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.06000000
N
N
N
N
N
N
SOUTHRN NAT GAS
N/A
SOUTHRN NAT GAS CO 7.35% 02/15/2031
843452AY9
14890000.00000000
PA
USD
19154780.25000000
0.130316652982
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.07350000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2013-124 ES -1ML+866.667 04/20/2039
38378WVW0
815044.13950000
PA
USD
846996.48000000
0.005762412563
Long
ABS-CBDO
USGA
US
N
2
2039-04-20
Variable
0.08413330
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 09/01/2041#AI9813
3138AP3X4
48933.38400000
PA
USD
51068.82000000
0.000347438999
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04068000
N
N
N
N
N
N
CANADA, GOVERNMENT OF
4BFD7AQU0A75QLAHK410
CANADA, GOVERNMENT OF 1.25% 03/01/2025
135087K52
74000000.00000000
PA
56757498.53000000
0.386141064713
Long
DBT
NUSS
CA
N
2
2025-03-01
Fixed
0.01250000
N
N
N
N
N
N
TRI POINTE HLDGS INC
N/A
WEYERHAEUSER REAL ESTATE CO 5.875% 06/15/2024
962178AN9
11770000.00000000
PA
USD
12146286.90000000
0.082635427517
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.05875000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.7375 09/20/2024
N/A
55600000.00000000
NC
USD
560362.93000000
0.003812344518
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/29 1.7375V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-24
0.00000000
USD
0.00000000
USD
55600000.00000000
USD
1.00000000
1.73750000
USD
2024-09-20
XXXX
-1008947.07000000
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-139 NI 4.5% 2/40
31398SVQ3
1118740.13160000
PA
USD
75551.88000000
0.000514005799
Long
ABS-CBDO
USGSE
US
N
2
2040-02-25
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.5% 05/20/2065
38376REN2
1086543.41510000
PA
USD
1088822.55000000
0.007407639688
Long
ABS-CBDO
USGA
US
N
2
2065-05-20
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 01/31/2021
9128285X4
42832000.00000000
PA
USD
43414247.50000000
0.295362272608
Long
DBT
UST
US
N
2
2021-01-31
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 8/42 #MA0318
36179MK74
19094443.41900000
PA
USD
20806546.69000000
0.141554196361
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03500000
N
N
N
N
N
N
KEHE DISTRS LLC / KEHE FIN CORP
N/A
KEHE DISTRS LLC / KEHE FIN CORP 8.625% 10/15/2026 144A
487526AB1
5880000.00000000
PA
USD
6262200.00000000
0.042603931428
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.08625000
N
N
N
N
N
N
MOOG INC
549300WM2I4U7OBAHG07
MOOG INC 4.25% 12/15/2027 144A
615394AM5
2025000.00000000
PA
USD
1973767.50000000
0.013428228933
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.04250000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX TECHNOLOGIES INC 4.125% 06/30/2028 144A
05605HAB6
6400000.00000000
PA
USD
6384000.00000000
0.043432579323
Long
DBT
CORP
US
N
2
2028-06-30
Fixed
0.04125000
N
N
N
N
N
N
MPT OPER PARTNERSHIP LP / MPT FIN CORP
N/A
MPT OPER PARTNERSHIP LP/CORP 5% 10/15/2027
55342UAH7
15435000.00000000
PA
USD
15859462.50000000
0.107897456620
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.86% 5/37 #1A1192
3128NFKD8
41269.64620000
PA
USD
43140.08000000
0.000293497015
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
0.03385000
N
N
N
N
N
N
UNITED KINGDOM,G.B. and N.IRELAND
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM G.B. and N.IRELAND 2.0% 07/22/2020 REGS
N/A
24390000.00000000
PA
30253048.79000000
0.205822045952
Long
DBT
NUSS
GB
N
2
2020-07-22
Fixed
0.02000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
3723.61000000
0.000025333017
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
1331145.72000000
USD
1187000.00000000
EUR
2020-08-13
3723.61000000
N
N
N
ARCONIC ROLLED PRODUCTS CORP
549300B4YFWH3U74B152
ARCONIC ROLLED PRODUCTS CORP 6.125% 02/15/2028 144A
03966VAA5
9123000.00000000
PA
USD
9120719.25000000
0.062051435199
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.06125000
N
N
N
N
N
N
WOLVERINE ESCROW LLC
N/A
WOLVERINE ESCROW LLC 8.5% 11/15/2024 144A
97789LAC0
13041000.00000000
PA
USD
8541855.00000000
0.058113219746
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.08500000
N
N
N
N
N
N
ASGN INC
LZBNYYCBUKY537072438
ASGN INC
00191U102
101200.00000000
NS
USD
6748016.00000000
0.045909107174
Long
EC
CORP
US
N
1
N
N
N
VERITAS US INC / VERITAS BERMUDA LTD
N/A
VERITAS US INC / VERITAS BERMUDA LTD 7.5% 02/01/2023 144A
92346LAB9
9915000.00000000
PA
USD
9766275.00000000
0.066443376196
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.07500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 6.375% 05/01/2024
55336VBL3
3185000.00000000
PA
USD
3288584.83000000
0.022373389958
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
0.06375000
N
N
N
N
N
N
EXTERRAN ENERGY SOLUTIONS LP / EES FIN CORP
549300SUVC37AAD0DT62
EXTERRAN ENERGY SOLUTIONS LP / EES FIN CORP 8.125% 05/01/2025
30227KAE9
3270000.00000000
PA
USD
2705925.00000000
0.018409351849
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.08125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545759
31385JJC3
270822.62090000
PA
USD
313091.72000000
0.002130072206
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
HUB INTERNATIONAL LTD
549300JQT6ATTUNS5E06
HUB INTERNATIONAL LTD 7% 05/01/2026 144A
44332PAD3
6980000.00000000
PA
USD
6980000.00000000
0.047487375263
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.07000000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
CLEVELAND-CLIFFS INC 4.875% 01/15/2024 144A
185899AB7
7215000.00000000
PA
USD
6782100.00000000
0.046140992517
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.04875000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H15 TP 5.15% 8/20/60
38375BDS8
16482.18920000
PA
USD
16860.07000000
0.000114704938
Long
ABS-CBDO
USGA
US
N
2
2060-08-20
Fixed
0.05150000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
SENSATA TECHNOLOGIES BV 5.0% 10/01/2025 144A
81725WAJ2
8215000.00000000
PA
USD
8746510.50000000
0.059505562515
Long
DBT
CORP
NL
N
2
2025-10-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.87% 10/35 #1M1052
3128QFEZ3
129773.60100000
PA
USD
135523.19000000
0.000922011544
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.03625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 06/30/2025
912828XZ8
197000.00000000
PA
USD
220963.20000000
0.001503289741
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.02750000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.45 09/04/2024
N/A
-20300000.00000000
NC
USD
-860381.19000000
-0.00585347341
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/06/29 1.45V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-06
0.00000000
USD
0.00000000
USD
-20300000.00000000
USD
1.00000000
1.45000000
USD
2024-09-04
XXXX
-265591.19000000
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-31 BP 5% 3/20/40
38376XL68
3810000.00000000
PA
USD
4349324.17000000
0.029589969771
Long
ABS-CBDO
USGA
US
N
2
2040-03-20
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.375% 08/31/2023
9128282D1
11000000.00000000
PA
USD
11414648.41000000
0.077657835608
Long
DBT
UST
US
N
2
2023-08-31
Fixed
0.01375000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.9% 08/15/2024
674599CW3
8270000.00000000
PA
USD
7070850.00000000
0.048105459510
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02900000
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOC(UNGTD) 2%/VAR 07/25/2029 REGS
N/A
20943000.00000000
PA
23504895.65000000
0.159912005767
Long
DBT
CORP
GB
N
2
2029-07-25
Variable
0.02000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2013-H06 HA 1.65% 01/20/2063
38375BJ60
210039.17490000
PA
USD
210573.77000000
0.001432606824
Long
ABS-CBDO
USGA
US
N
2
2063-01-20
Fixed
0.01650000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5.375% 06/01/2029 144A
1248EPCB7
34085000.00000000
PA
USD
35959675.00000000
0.244646215053
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
0.05375000
N
N
N
N
N
N
VIKING CRUISES LTD
549300IJP90T4MV2GL84
VIKING CRUISES LTD 5.875% 09/15/2027 144A
92676XAD9
3395000.00000000
PA
USD
2021281.15000000
0.013751480871
Long
DBT
CORP
BM
N
2
2027-09-15
Fixed
0.05875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 4/22 #256678
31371NCP8
631.92810000
PA
USD
645.79000000
0.000004393534
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
0.05000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATING CO INC
5493003EG7H0N1E4XV50
HILTON DOMESTIC OPERATING CO INC 4.875% 01/15/2030
432833AF8
11025000.00000000
PA
USD
10859625.00000000
0.073881817706
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.04875000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 5.75% 01/15/2030 144A
126307BA4
61690000.00000000
PA
USD
64434588.10000000
0.438370983529
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 5/22 #888348
31410F5H4
549.69530000
PA
USD
563.17000000
0.000003831441
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
0.05000000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5.125% 05/01/2027 144A
1248EPBT9
42005000.00000000
PA
USD
43458373.00000000
0.295662473779
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05125000
N
N
N
N
N
N
BROOKFIELD RESIDENTIAL PPTYS INC / BROOKFIELD RESIDENTIAL US CORP
N/A
BROOKFIELD RESIDENTIAL PPTYS INC / US CORP 4.875% 02/15/2030 144A
11283YAD2
4370000.00000000
PA
USD
3651572.00000000
0.024842918318
Long
DBT
CORP
CA
N
2
2030-02-15
Fixed
0.04875000
N
N
N
N
N
N
DENBURY RESOURCES INC
549300KCWA5W52MS5559
DENBURY RESOURCES INC 7.75% 02/15/2024 144A
247916AM1
26375000.00000000
PA
USD
10022500.00000000
0.068186564265
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.07750000
N
N
N
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
MASTERCARD INC CL A
57636Q104
54900.00000000
NS
USD
16233930.00000000
0.110445089671
Long
EC
CORP
US
N
1
N
N
N
MGM RESORTS INTERNATIONAL
54930066VBP7DZEGGJ87
MGM RESORTS INTERNATIONAL 6.75% 05/01/2025
552953CG4
15075000.00000000
PA
USD
14925456.00000000
0.101543084534
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06750000
N
N
N
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 6.75% 02/01/2024
451102BM8
6490000.00000000
PA
USD
6538675.00000000
0.044484887313
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.06750000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.89 12/09/24
N/A
-1800000.00000000
NC
USD
-16942.34000000
-0.00011526465
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/29 3MLV1.89
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-11
0.00000000
USD
0.00000000
USD
-1800000.00000000
USD
1.00000000
1.89000000
USD
2024-12-09
XXXX
34357.66000000
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS SA 8.5% 10/15/2024 144A
45824TBA2
12990000.00000000
PA
USD
7810237.50000000
0.053135770638
Long
DBT
CORP
LU
N
2
2024-10-15
Fixed
0.08500000
Y
Y
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2044#MA1600
36179NX52
21253.33200000
PA
USD
22959.76000000
0.000156203257
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03500000
N
N
N
N
N
N
ENDEAVOR ENERGY RES L P / EER FIN INC
N/A
ENDEAVOR ENERGY RES L P / EER FIN INC 5.75% 01/30/2028 144A
29260FAE0
10149000.00000000
PA
USD
9743040.00000000
0.066285300384
Long
DBT
CORP
US
N
2
2028-01-30
Fixed
0.05750000
N
N
N
N
N
N
MURRAY ENERGY CORP
549300WM5IIFYHZYTT63
MURRAY ENERGY TERM DIP 07/31/2020
N/A
3072606.98000000
PA
USD
1636163.22000000
0.011131389229
Long
LON
CORP
US
N
2
2020-07-31
Variable
0.13000000
N
N
N
N
N
N
PG and E CORP
8YQ2GSDWYZXO2EDN3511
PG and E CORP
69331C108
796300.00000000
NS
USD
7063181.00000000
0.048053284627
Long
EC
CORP
US
N
1
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 18-77 FA 1ML+30 06/20/2048
38380XLH8
6152540.08000000
PA
USD
6129300.71000000
0.041699771191
Long
ABS-CBDO
USGA
US
N
2
2048-06-20
Variable
0.00490000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.89% 3/33 #725130
31402CST0
69062.00220000
PA
USD
71718.93000000
0.000487928902
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
0.03760000
N
N
N
N
N
N
NGL ENERGY PARTNERS LP / NGL ENERGY FIN CORP
N/A
NGL ENERGY PARTNERS LP / NGL ENERGY FINANCE CORP 7.5% 04/15/2026
62913TAP7
9630000.00000000
PA
USD
7318800.00000000
0.049792349867
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H27 FA 1ML+38 12/60
38375BJK9
2619406.78340000
PA
USD
2608279.02000000
0.017745032179
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Variable
0.00683380
N
N
N
N
N
N
SUMMIT MATLS LLC / SUMMIT MATLS FIN CORP
N/A
SUMMIT MATLS LLC / FIN CORP 5.125% 06/01/2025 144A
86614RAL1
3060000.00000000
PA
USD
3021750.00000000
0.020558019513
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.05125000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
MOLINA HEALTHCARE INC 4.375% 06/15/2028 144A
60855RAJ9
4690000.00000000
PA
USD
4701725.00000000
0.031987475567
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.04375000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF 1ML+65 05/20/2061
38375BWC2
59329.76170000
PA
USD
59455.58000000
0.000404497054
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.00953380
N
N
N
N
N
N
NUSTAR LOGISTICS LP
N62BF2PKP51FIIOIUN20
NUSTAR LOGISTICS LP 6% 06/01/2026
67059TAF2
7285000.00000000
PA
USD
7139300.00000000
0.048571148741
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.06000000
N
N
N
N
N
N
MPT OPER PARTNERSHIP LP / MPT FIN CORP
N/A
MPT OPER PARTNERSHIP LP/CORP 4.625% 08/01/2029
55342UAJ3
10950000.00000000
PA
USD
11004750.00000000
0.074869153714
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
0.04625000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
NEXSTAR BROADCASTING TERM B 09/19/2026
65336RAW8
2603293.97000000
PA
USD
2470812.34000000
0.016809798394
Long
LON
CORP
US
N
2
2026-09-19
Variable
0.02922630
N
N
N
N
N
N
STUDIO CITY CO LTD
N/A
STUDIO CITY CO LTD 7.25% 11/30/2021 144A
86400GAB5
4230000.00000000
PA
USD
4273621.88000000
0.029074940680
Long
DBT
CORP
VG
N
2
2021-11-30
Fixed
0.07250000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 5.125% 11/01/2027 144A
88033GDA5
10955000.00000000
PA
USD
10809298.50000000
0.073539428968
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
0.05125000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2009-59 HB 5% 8/25/39
31396QRH4
1434369.19840000
PA
USD
1635586.81000000
0.011127467710
Long
ABS-CBDO
USGSE
US
N
2
2039-08-25
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2009-108 CF 1ML+60 11/39
38376ENU5
718178.88920000
PA
USD
725453.32000000
0.004935512040
Long
ABS-CBDO
USGA
US
N
2
2039-11-16
Variable
0.00795130
N
N
N
N
N
N
AIRBUS SE
MINO79WLOO247M1IL051
AIRBUS SE 2% 04/07/2028 REGS
N/A
8069000.00000000
PA
9564415.24000000
0.065070053821
Long
DBT
CORP
NL
N
2
2028-04-07
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2006-72 CY 6% 8/26
31396KHM7
681660.85020000
PA
USD
742824.10000000
0.005053691517
Long
ABS-CBDO
USGSE
US
N
2
2026-08-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 10/01/2034#FM1579
3140X4XH4
3224495.40500000
PA
USD
3426069.58000000
0.023308746679
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY
5493009O8OIWZPZRY516
C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY 6.875% 09/15/2027 144A
12674TAA4
13810000.00000000
PA
USD
13706425.00000000
0.093249591331
Long
DBT
CORP
IE
N
2
2027-09-15
Fixed
0.06875000
N
N
N
N
N
N
LIVENT INC
N/A
LIVENT INC 9.375% 10/15/04
537902AC2
300000.00000000
PA
USD
0.03000000
0.000000000204
Long
DBT
CORP
CA
N
3
2004-10-15
Fixed
0.09375000
Y
Y
N
N
N
N
COMSTOCK RESOURCES INC
I03QQGEA4SS774AURI46
COMSTOCK ESCROW CORP 9.75% 08/15/2026
205677AB3
36490000.00000000
PA
USD
34132016.20000000
0.232212014581
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.09750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/28 #405455
31378QMC2
21121.31880000
PA
USD
24308.96000000
0.000165382336
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07500000
N
N
N
N
N
N
STEVENS HOLDING CO INC
N/A
STEVENS HOLDING CO INC 6.125% 10/01/2026 144A
86024TAA5
1880000.00000000
PA
USD
1964600.00000000
0.013365859232
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
0.06125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 06/30/2022
912828ZX1
5144000.00000000
PA
USD
5140985.92000000
0.034975920860
Long
DBT
UST
US
N
2
2022-06-30
Fixed
0.00125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/35 #AD0723
31418MYV8
1017360.17370000
PA
USD
1176343.05000000
0.008003072185
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042
3136AA2T1
765266.24350000
PA
USD
785435.98000000
0.005343595003
Long
ABS-CBDO
USGSE
US
N
2
2042-06-25
Fixed
0.01750000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-14 ZB 5% 3/35
31394CXY3
1029026.17600000
PA
USD
1173466.88000000
0.007983504597
Long
ABS-CBDO
USGSE
US
N
2
2035-03-25
Fixed
0.05000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE 6.125%VAR PERP U
46625HJW1
12865000.00000000
PA
USD
13128732.50000000
0.089319347701
Long
EP
CORP
US
N
2
N
N
N
TERRAFORM POWER OPERATING LLC
5493000S2OLR3UT5BE13
TERRAFORM POWER OPERATING LLC 4.75% 01/15/2030 144A
88104LAG8
6690000.00000000
PA
USD
6790350.00000000
0.046197120145
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.04750000
N
N
N
N
N
N
GTT COMMUNICATIONS INC
549300ETSL7K1ZX05H30
GTT COMMUNICATIONS TERM B 05/31/2025
36250LAP9
14242436.51000000
PA
USD
10438566.57000000
0.071017210303
Long
LON
CORP
US
N
2
2025-05-31
Variable
0.02930000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
BMC TERM B 10/02/2025
05988HAB3
21773425.00000000
PA
USD
20548669.84000000
0.139799770179
Long
LON
CORP
US
N
2
2025-10-02
Variable
0.04428250
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2877 ZD 5% 10/34
31395HNX4
3311542.85180000
PA
USD
3776154.96000000
0.025690499661
Long
ABS-CBDO
USGSE
US
N
2
2034-10-15
Fixed
0.05000000
N
N
N
N
N
N
PENSON WORLDWIDE INC
N/A
PENSON WORLDWIDE INC CL A
N/A
7403098.00000000
NS
USD
74.03000000
0.000000503651
Long
EC
CORP
US
N
3
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 6.25%/VAR PERP
060505EH3
18480000.00000000
PA
USD
19128093.60000000
0.130135094391
Long
EP
CORP
US
N
2
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: CAD/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-17505.98000000
-0.00011909928
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
1691961.73000000
USD
2273000.00000000
CAD
2020-08-13
-17505.98000000
N
N
N
UNITED RENTALS INC
5323X5O7RN0NKFCDRY08
UNITED RENTALS INC
911363109
112170.00000000
NS
USD
16717816.80000000
0.113737140396
Long
EC
CORP
US
N
1
N
N
N
WEB COM GROUP INC
254900QSA9ZIGO5F5S30
WEB COM TERM 2LN 10/11/2026
94732YAV5
9149742.96900000
PA
USD
7740682.55000000
0.052662564046
Long
LON
CORP
US
N
2
2026-10-11
Variable
0.07940130
N
N
N
N
N
N
WHITING PETROLEUM CORP NEW
52990028CHK9KUB1B293
WHITING PETROLEUM CORP NEW 6.625% 01/15/2026
966387BG6
4965000.00000000
PA
USD
881287.50000000
0.005995706336
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.06625000
Y
Y
N
N
N
N
CONNECT FINCO SARL
2594001KNYIQ456J2792
INMARSAT TERM B 1LN 12/11/2026
N/A
5451337.50000000
PA
USD
5114063.25000000
0.034792756543
Long
LON
CORP
LU
N
2
2026-12-11
Variable
0.05500000
N
N
N
N
N
N
GETTY IMAGES INC
5493005NV20IG4VEKZ40
GETTY IMAGES INC 9.75% 03/01/2027 144A
374276AJ2
6255000.00000000
PA
USD
5893148.25000000
0.040093143614
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
0.09750000
N
N
N
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 5.25% 05/15/2027
451102BZ9
17335000.00000000
PA
USD
16728275.00000000
0.113808291179
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.05250000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.2% 03/15/2029
674599DT9
2440000.00000000
PA
USD
2171600.00000000
0.014774152452
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.07200000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
060505104
296000.00000000
NS
USD
7030000.00000000
0.047827542707
Long
EC
CORP
US
N
1
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY 6.75% 11/15/39
15135UAF6
3215000.00000000
PA
USD
3163059.07000000
0.021519394417
Long
DBT
CORP
CA
N
2
2039-11-15
Fixed
0.06750000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 6.375% 06/15/2026
893647BB2
37890000.00000000
PA
USD
34574625.00000000
0.235223236670
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.06375000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 6.3/VAR PERP
172967HQ7
4120000.00000000
PA
USD
4127168.80000000
0.028078569280
Long
EP
CORP
US
N
2
N
N
N
DTZ US BORROWER LLC
N/A
DTZ US BORROWER LLC 6.75% 05/15/2028 144A
23166MAA1
6575000.00000000
PA
USD
6854437.50000000
0.046633129768
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
0.06750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.0% 01/01/2024#G14293
3128MC7E9
366709.67500000
PA
USD
386394.65000000
0.002628777613
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.06000000
N
N
N
N
N
N
AUSTRALIA, COMMONWEALTH OF
213800J6B7JSBDETCB42
AUSTRALIA COMMONWEALTH OF 2.5% 05/21/2030 REGS
N/A
26770000.00000000
PA
21283209.24000000
0.144797097992
Long
DBT
NUSS
AU
N
2
2030-05-21
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.25% 6/36 #886983
31410EM88
11821.24690000
PA
USD
12337.65000000
0.000083937337
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.04303000
N
N
N
N
N
N
CHASSIX HLDGS INC
5493006KCRRSI22YAP66
UC HOLDINGS INC WT 7/29/20
N/A
30337.00000000
NS
USD
718076.79000000
0.004885326933
Long
EC
CORP
US
N
3
N
N
N
FMG RESOURCES AUG'06 PTY LTD
549300EFD6S2NFE9D745
FMG RES AUGUST 2006 PTY LTD 5.125% 03/15/2023 144A
30251GAY3
7615000.00000000
PA
USD
7824412.50000000
0.053232208109
Long
DBT
CORP
AU
N
2
2023-03-15
Fixed
0.05125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 04/48#784805
3622AAGN8
685844.03000000
PA
USD
758727.03000000
0.005161884698
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
N
N
N
N
N
N
ZAYO GROUP HLDGS INC
529900Z6OTS7RT0V0I47
ZAYO TERM 1LN 03/09/2027
98919XAB7
4867800.00000000
PA
USD
4609417.18000000
0.031359473262
Long
LON
CORP
US
N
2
2027-03-09
Variable
0.03178250
N
N
N
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS SA 9.75% 07/15/2025 144A
45824TAY1
22015000.00000000
PA
USD
13523814.50000000
0.092007228388
Long
DBT
CORP
LU
N
2
2025-07-15
Fixed
0.09750000
Y
Y
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H13 FL 1ML+28 05/63
38376RCN4
176131.76780000
PA
USD
175502.47000000
0.001194004534
Long
ABS-CBDO
USGA
US
N
2
2063-05-20
Variable
0.00583380
N
N
N
N
N
N
DEL MONTE FOODS INC
549300U9K7TD84Q24R17
DEL MONTE FOODS INC 11.875% 05/15/2025 144A
245223AC6
3895000.00000000
PA
USD
3933950.00000000
0.026764034372
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.11875000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.27 03/18/2025
N/A
-32000000.00000000
NC
USD
-1158956.48000000
-0.00788478528
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 03/20/30 1.27%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-03-20
0.00000000
USD
0.00000000
USD
-32000000.00000000
USD
1.00000000
1.27000000
USD
2025-03-18
XXXX
-243756.48000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042
3137AWAE5
575332.91540000
PA
USD
590584.07000000
0.004017949478
Long
ABS-CBDO
USGSE
US
N
2
2042-06-15
Fixed
0.01750000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5% 07/31/2027 144A
92840VAF9
13800000.00000000
PA
USD
14031150.00000000
0.095458808800
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/44#MA1760
36179N5V6
45908.85900000
PA
USD
49594.88000000
0.000337411271
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
0.03500000
N
N
N
N
N
N
MCAFEE LLC
549300713UKUTLV9T378
MCAFEE TERM B 09/29/2024
57906PAG4
2750691.67000000
PA
USD
2671994.38000000
0.018178510003
Long
LON
CORP
US
N
2
2024-09-29
Variable
0.03933630
N
N
N
N
N
N
JORDAN KINGDOM OF
5493000JZ4MYPVMBVN50
JORDAN KINGDOM OF 3.0% 06/30/2025
418097AF8
16691000.00000000
PA
USD
18510267.42000000
0.125931807334
Long
DBT
NUSS
JO
N
2
2025-06-30
Fixed
0.03000000
N
N
N
N
N
N
RP CROWN PARENT LLC
549300B1M4J69ECRY452
JDA ESCROW LLC / JDA BD FIN INC 7.375% 10/15/2024 144A
47215YAA5
2820000.00000000
PA
USD
2812950.00000000
0.019137480264
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.07375000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.5% 06/01/2027
29273VAF7
12065000.00000000
PA
USD
12508714.51000000
0.085101148996
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2711 FC 1ML+90 2/33
31394LYV8
920574.32410000
PA
USD
934411.38000000
0.006357126626
Long
ABS-CBDO
USGSE
US
N
2
2033-02-15
Variable
0.01084750
N
N
N
N
N
N
MGM RESORTS INTERNATIONAL
54930066VBP7DZEGGJ87
MGM RESORTS INTERNATIONAL
552953101
241800.00000000
NS
USD
4062240.00000000
0.027636836001
Long
EC
CORP
US
N
1
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1ML+60 08/20/2063
38375B5N8
775024.11520000
PA
USD
775880.28000000
0.005278584242
Long
ABS-CBDO
USGA
US
N
2
2063-08-20
Variable
0.00903380
N
N
N
N
N
N
OPEN TEXT CORPORATION
549300UQROQS42RKHM85
OPEN TEXT CORPORATION 5.875% 06/01/2026 144A
683715AB2
6000000.00000000
PA
USD
6225660.00000000
0.042355337060
Long
DBT
CORP
CA
N
2
2026-06-01
Fixed
0.05875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 05/31/2023
912828R69
19717000.00000000
PA
USD
20547270.65000000
0.139790251001
Long
DBT
UST
US
N
2
2023-05-31
Fixed
0.01625000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: USD/GBP settle 2020-08-13
N/A
1.00000000
NC
N/A
-61574.62000000
-0.00041891362
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
15644000.00000000
GBP
19328130.71000000
USD
2020-08-13
-61574.62000000
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 5.75% 01/15/2028
629377CE0
20240000.00000000
PA
USD
21353200.00000000
0.145273269551
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.05750000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
BAUSCH HEALTH COS INC
071734107
256100.00000000
NS
4685860.34000000
0.031879542750
Long
EC
CORP
CA
N
1
N
N
N
JAMES HARDIE INTL FIN LTD
635400G32A4Q1LVQ8M88
JAMES HARDIE INTL FIN LTD 4.75% 01/15/2025 144A
47032FAA7
5220000.00000000
PA
USD
5311350.00000000
0.036134967135
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
0.04750000
N
N
N
N
N
N
JOSEPH T RYERSON and SON INC
54930086XMNNXPXPWJ34
JOSEPH T RYERSON and SON INC 11% 05/15/2022 144A
48088LAA5
4505000.00000000
PA
USD
4600821.35000000
0.031300992831
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
0.11000000
N
N
N
N
N
N
FACEBOOK INC
BQ4BKCS1HXDV9HN80Z93
FACEBOOK INC CL A
30303M102
92600.00000000
NS
USD
21026682.00000000
0.143051853678
Long
EC
CORP
US
N
1
N
N
N
HESS MIDSTREAM PARTNERS LP
N/A
HESS INFRASTRUCTURE PARTNERS LP / HESS INFRASTRUCTURE PARTNERS FIN CORP 5.625% 02/15/2026 144A
428102AC1
9140000.00000000
PA
USD
9043938.60000000
0.061529069649
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.0% 06/01/2033#C91709
3128P73S0
979525.14200000
PA
USD
1040069.79000000
0.007075957652
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #AE0746
31419AZL4
687731.51320000
PA
USD
796079.97000000
0.005416009781
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1.75% 03/20/2063
38375BR38
2298882.30720000
PA
USD
2303009.49000000
0.015668177061
Long
ABS-CBDO
USGA
US
N
2
2063-03-20
Fixed
0.01750000
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LIMITED 5.125% 12/15/2029 144A
98313RAE6
9840000.00000000
PA
USD
9544800.00000000
0.064936604500
Long
DBT
CORP
KY
N
2
2029-12-15
Fixed
0.05125000
N
N
N
N
N
N
PBF LOGISTICS LP/PBF LOGISTICS FIN CORP
N/A
PBF LOGISTICS LP/PBF LOGISTICS FIN CORP 6.875% 05/15/2023
69318UAB1
6110000.00000000
PA
USD
5884418.80000000
0.040033754120
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.06875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.87% 1/35 #735833
31402RPS2
105909.87150000
PA
USD
110051.14000000
0.000748716301
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.03548000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 09/30/2021
912828YJ3
25180000.00000000
PA
USD
25596060.22000000
0.174138927926
Long
DBT
UST
US
N
2
2021-09-30
Fixed
0.01500000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO
025816109
80400.00000000
NS
USD
7654080.00000000
0.052073376684
Long
EC
CORP
US
N
1
N
N
N
CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP
N/A
CRESTWOOD MIDSTRM PTN/FIN CORP 5.75% 04/01/2025
226373AP3
2960000.00000000
PA
USD
2556759.20000000
0.017394524869
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.05750000
N
N
N
N
N
N
IQVIA HOLDINGS INC
549300W3R20NM4KQPH86
IQVIA HOLDINGS INC
46266C105
139300.00000000
NS
USD
19763884.00000000
0.134460598304
Long
EC
CORP
US
N
1
N
N
N
FRONTIER COMMUNICATIONS CORP
549300ZCZ76HYCS0H445
FRONTIER COMMUNICATIONS CORP 8.5% 04/01/2026 144A
35906ABA5
25262000.00000000
PA
USD
23885221.00000000
0.162499491815
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
0.08500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.60% 8/35 #735810
31402RN39
98254.44500000
PA
USD
103215.38000000
0.000702210241
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Variable
0.03416000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 6.5% 02/01/2029 144A
126307AZ0
15380000.00000000
PA
USD
16821875.00000000
0.114445084635
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.06500000
N
N
N
N
N
N
TENNESSEE GAS PIPELINE CO
N/A
TENN GAS PIPELI 7.625% 4/01/37
880451AU3
2585000.00000000
PA
USD
3430518.68000000
0.023339015459
Long
DBT
CORP
US
N
2
2037-04-01
Fixed
0.07625000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 07/47#MA4587
36179TCY9
1792286.68900000
PA
USD
1926905.16000000
0.013109408084
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.81% 1/36 #1J1262
3128NHMK6
52317.15190000
PA
USD
54152.18000000
0.000368416173
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Variable
0.03412000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2009-116 KF 1ML+53 12/39
38376PA42
540586.15020000
PA
USD
545074.69000000
0.003708333288
Long
ABS-CBDO
USGA
US
N
2
2039-12-16
Variable
0.00725130
N
N
N
N
N
N
SUMMIT MIDSTREAM HOLDINGS LLC / SUMMIT MIDSTREAM FINANCE CORP
N/A
SUMMIT MIDSTREAM HOLDINGS LLC / SUMMIT MIDSTREAM FINANCE CORP 5.75% 04/15/2025
86614WAD8
3405000.00000000
PA
USD
1906800.00000000
0.012972625666
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.05750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 01/15/2022
9128285V8
136816000.00000000
PA
USD
141695414.03000000
0.964003337983
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.02500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H13 FA 1ML+50 4/61
38375BLW0
2967156.03620000
PA
USD
2964796.55000000
0.020170545322
Long
ABS-CBDO
USGA
US
N
2
2061-04-20
Variable
0.00803380
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H21 HA 2.5% 06/63
38376RGG5
504623.78190000
PA
USD
504336.40000000
0.003431176487
Long
ABS-CBDO
USGA
US
N
2
2063-06-20
Fixed
0.02500000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
SOUTHWESTERN ENERGY CO 7.75% 10/01/2027
845467AN9
7830000.00000000
PA
USD
6812100.00000000
0.046345092984
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
0.07750000
N
N
N
N
N
N
ALLEN MEDIA LLC/CO-ISSR
N/A
ALLEN MEDIA LLC/CO-ISSR 10.5% 02/15/2028 144A
01771YAA8
6415000.00000000
PA
USD
5873894.75000000
0.039962155336
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.10500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H07 FA 1ML+50 3/61
38375BKP6
6351221.76870000
PA
USD
6347844.82000000
0.043186603020
Long
ABS-CBDO
USGA
US
N
2
2061-02-20
Variable
0.00803380
N
N
N
N
N
N
COVANTA HLDG CORP
40XIFLS8XDQGGHGPGC04
COVANTA HLDG CORP 5.875% 07/01/2025
22282EAG7
1995000.00000000
PA
USD
2019937.50000000
0.013742339551
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.05875000
N
N
N
N
N
N
BCP RAPTOR LLC
549300T77NXSQHG00684
EAGLECLAW TERM B 1LN 06/24/2024
05549KAB8
5271950.00000000
PA
USD
3769444.25000000
0.025644844360
Long
LON
CORP
US
N
2
2024-06-24
Variable
0.05250000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 5.75% 03/01/2027 144A
737446AM6
4885000.00000000
PA
USD
5055975.00000000
0.034397561912
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
0.05750000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.57 02/20/2025
N/A
-36100000.00000000
NC
USD
-1668475.58000000
-0.01135122148
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 02/24/30 1.57%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-24
0.00000000
USD
0.00000000
USD
-36100000.00000000
USD
1.00000000
1.57000000
USD
2025-02-20
XXXX
-645943.08000000
N
N
N
CDW LLC / CDW FIN CORP
N/A
CDW LLC / CDW FIN CORP 5% 09/01/2025
12513GBC2
3980000.00000000
PA
USD
4094425.00000000
0.027855801785
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.05000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-121792.50000000
-0.00082859686
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
18603041.49000000
USD
16434000.00000000
EUR
2020-08-13
-121792.50000000
N
N
N
CHARLES RIVER LABS INTL INC
549300BSQ0R4UZ5KX287
CHARLES RIVER LABS INTL INC
159864107
66800.00000000
NS
USD
11646580.00000000
0.079235747133
Long
EC
CORP
US
N
1
N
N
N
PENN NATIONAL GAMING INC
N/A
PENN NATIONAL GAMING
707569109
343406.00000000
NS
USD
10487619.24000000
0.071350932731
Long
EC
CORP
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 2/22 #900946
31410X5F9
4104.54930000
PA
USD
4199.87000000
0.000028573180
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.80% 5/37 #1N1474
3128QHT75
54431.66770000
PA
USD
56872.43000000
0.000386922983
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
0.03576000
N
N
N
N
N
N
ZIGGO BOND CO
213800JYI4P7V5QDOG59
ZIGGO BOND CO 5.125% 02/28/2030 144A
98953GAD7
3375000.00000000
PA
USD
3348675.00000000
0.022782204349
Long
DBT
CORP
NL
N
2
2030-02-28
Fixed
0.05125000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
BOXER PARENT CO INC 7.125% 10/02/2025 144A
103186AB8
3445000.00000000
PA
USD
3618283.50000000
0.024616445039
Long
DBT
CORP
US
N
2
2025-10-02
Fixed
0.07125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.44% 2/37 #888171
31410FW84
276937.10830000
PA
USD
290720.74000000
0.001977874624
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.03784000
N
N
N
N
N
N
FMG RESOURCES AUG'06 PTY LTD
549300EFD6S2NFE9D745
FMG RES AUGUST 2006 PTY LTD 4.75% 05/15/2022 144A
30251GAU1
4780000.00000000
PA
USD
4872110.60000000
0.033146668250
Long
DBT
CORP
AU
N
2
2022-05-15
Fixed
0.04750000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA 1ML+20 04/63
38376RFZ4
202571.05610000
PA
USD
201202.53000000
0.001368851009
Long
ABS-CBDO
USGA
US
N
2
2063-04-20
Variable
0.00503380
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
SOUTHWESTERN ENERGY CO 7.5% 04/01/2026
845467AM1
12420000.00000000
PA
USD
10871226.00000000
0.073960743357
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
0.07500000
N
N
N
N
N
N
EXIDE TECHNOLOGIES
549300KITCGPNNNXQP63
EXIDE TECHNOLOGIES (PAR SHARE)
302051404
418807.00000000
NS
USD
4.19000000
0.000000028506
Long
EC
CORP
US
N
3
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 7.5% 03/15/2027
893647BH9
11028000.00000000
PA
USD
10598790.24000000
0.072107267831
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.07500000
N
N
N
N
N
N
CAMELOT FIN S A
N/A
CAMELOT FIN S A 4.5% 11/01/2026 144A
13323AAB6
6365000.00000000
PA
USD
6365000.00000000
0.043303315694
Long
DBT
CORP
LU
N
2
2026-11-01
Fixed
0.04500000
N
N
N
N
N
N
EXPEDIA INC DEL
CI7MUJI4USF3V0NJ1H64
EXPEDIA INC DEL 7% 05/01/2025 144A
30212PAU9
8465000.00000000
PA
USD
8798965.33000000
0.059862431024
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.07000000
N
N
N
N
N
N
LCPR LOAN FINANCING LLC
N/A
LIBERTY LATIN AMERICA TERM B 1LN 10/22/2026
50183CAB3
1285000.00000000
PA
USD
1272150.00000000
0.008654880292
Long
LON
CORP
US
N
2
2026-10-22
Variable
0.05184750
N
N
N
N
N
N
TERRAFORM POWER OPERATING LLC
5493000S2OLR3UT5BE13
TERRAFORM POWER OPERATING LLC 5% 01/31/2028 144A
88104LAE3
3715000.00000000
PA
USD
3882175.00000000
0.026411790983
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
0.05000000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 8% 01/15/2025
165167CU9
1955000.00000000
PA
USD
43987.50000000
0.000299262309
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.08000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 5.25% 06/15/2037
15135UAP4
1795000.00000000
PA
USD
1551867.21000000
0.010557894063
Long
DBT
CORP
CA
N
2
2037-06-15
Fixed
0.05250000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.4% 08/15/2049
674599CY9
14725000.00000000
PA
USD
10236967.25000000
0.069645659793
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
0.04400000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC 6.125% 01/15/2023 144A
097751BF7
6590000.00000000
PA
USD
4532602.00000000
0.030836872792
Long
DBT
CORP
CA
N
2
2023-01-15
Fixed
0.06125000
N
N
N
N
N
N
MURPHY OIL USA INC
N32S6DTR2ZZ5222WHV58
MURPHY OIL USA INC 4.75% 09/15/2029
626738AE8
4155000.00000000
PA
USD
4248487.50000000
0.028903942724
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.04750000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TVA 5.375% 4/01/56
880591DZ2
3503000.00000000
PA
USD
6012549.20000000
0.040905469935
Long
DBT
USGSE
US
N
2
2056-04-01
Fixed
0.05375000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-73 FA 1ML+86 8/38
38375XJZ8
1143041.89800000
PA
USD
1162266.38000000
0.007907303688
Long
ABS-CBDO
USGA
US
N
2
2038-08-20
Variable
0.01050000
N
N
N
N
N
N
Fidelity Hanover Street Trust
13LNM41WRMGAYS9Y7N22
Fidelity Emerging Markets Debt Central Fund
315808600
265429598.09400000
NS
USD
2354360535.09000000
16.01753613679
Long
EC
RF
US
N
1
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
HERTZ CORP 7.125% 08/01/2026 144A
428040CY3
6315000.00000000
PA
USD
1973437.50000000
0.013425983828
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
0.07125000
Y
Y
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 07/31/2021
912828WY2
52019000.00000000
PA
USD
53181299.53000000
0.361810935210
Long
DBT
UST
US
N
2
2021-07-31
Fixed
0.02250000
N
N
N
N
N
N
VIZIENT INC
5493007V6T3HZ7777P70
VIZIENT INC 6.25% 05/15/2027 144A
92856JAB6
1690000.00000000
PA
USD
1770275.00000000
0.012043798459
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.06250000
N
N
N
N
N
N
DARLING INGREDIENTS INC
L1N0SPPKS7EXZYUMZ898
DARLING INGREDIENTS INC
237266101
489800.00000000
NS
USD
12058876.00000000
0.082040740668
Long
EC
CORP
US
N
1
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS SA 5.5% 08/01/2023
45824TAP0
19430000.00000000
PA
USD
11069271.00000000
0.075308112588
Long
DBT
CORP
LU
N
2
2023-08-01
Fixed
0.05500000
Y
Y
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.893% 10/35 #847787
31408C2U9
27935.55150000
PA
USD
28865.42000000
0.000196381523
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.03693000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.7%/VAR PERP
172967MK4
8755000.00000000
PA
USD
7761745.25000000
0.052805860943
Long
EP
CORP
US
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.22% 3/37 #910296
31411KKH5
42741.55830000
PA
USD
44711.82000000
0.000304190111
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
0.03565000
N
N
N
N
N
N
JAPAN GOVERNMENT OF
N/A
JAPAN GOVERNMENT OF 0.4% 03/20/2056
N/A
3024550000.00000000
PA
26109590.32000000
0.177632652363
Long
DBT
NUSS
JP
N
2
2056-03-20
Fixed
0.00400000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 2.3275 06/11/24
N/A
19200000.00000000
NC
USD
1502428.42000000
0.010221544725
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 6/29 3MLV2.3275
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-06-13
0.00000000
USD
0.00000000
USD
19200000.00000000
USD
1.00000000
2.32750000
USD
2024-06-11
XXXX
972028.42000000
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG ENERGY CORP 7.125% 02/01/2027 144A
552704AE8
6490000.00000000
PA
USD
5394812.50000000
0.036702791642
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
0.07125000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H05 FA 1ML+50 12/60
38375BKD3
3617681.98880000
PA
USD
3614995.14000000
0.024594073178
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Variable
0.00803380
N
N
N
N
N
N
HEINEKEN NV
724500K5PTPSST86UQ23
HEINEKEN NV 1.25% 05/07/2033 REGS
N/A
9100000.00000000
PA
10264076.42000000
0.069830092935
Long
DBT
CORP
NL
N
2
2033-05-07
Fixed
0.01250000
N
N
N
N
N
N
TELENET FINANCE LUXEMBOURG NOTES SARL
2138007RI9GLJPCC3E25
TELENET FINANCE LUXEMBOURG NOTES SARL 5.5% 03/01/2028 144A
N/A
9200000.00000000
PA
USD
9591000.00000000
0.065250919219
Long
DBT
CORP
LU
N
2
2028-03-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2047#MA4322
36179SYT8
11271497.84000000
PA
USD
12146277.66000000
0.082635364655
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
N
N
N
N
N
N
LAREDO PETE INC NEW
549300X0PTWU2QSLSL14
LAREDO PETE INC 10.125% 01/15/2028
516806AG1
4870000.00000000
PA
USD
3360300.00000000
0.022861293280
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.10125000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.625% 04/22/2025
3135G03U5
2128000.00000000
PA
USD
2145415.96000000
0.014596013293
Long
DBT
USGSE
US
N
2
2025-04-22
Fixed
0.00625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.5% 06/30/2027
912828ZV5
118292000.00000000
PA
USD
118365932.50000000
0.805284735675
Long
DBT
UST
US
N
2
2027-06-30
Fixed
0.00500000
N
N
N
N
N
N
GOLDEN NUGGET INC NEW
91D14OD6M4H1RVBN7R43
GOLDEN NUGGET INC NEW 6.75% 10/15/24 144A
38113YAE9
14400000.00000000
PA
USD
10350000.00000000
0.070414661027
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.06750000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 5.375% 07/15/2026 144A
82967NAW8
7940000.00000000
PA
USD
8199955.60000000
0.055787158842
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.05375000
N
N
N
N
N
N
TAYLOR MORRISON CMNTYS INC / MONARCH CMNTYS INC
549300O1Z08HI2MRK572
TAYLOR MORRISON CMNTY/ MONARCH 5.625% 03/01/2024 144A
877249AD4
775000.00000000
PA
USD
794375.00000000
0.005404410275
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
0.05625000
N
N
N
N
N
N
CITGO PETROLEUM CORP
YX52P86PXMLYDOTUQ225
CITGO PETROLEUM CORP 7% 06/15/2025 144A
17302XAK2
13580000.00000000
PA
USD
13596975.00000000
0.092504964795
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.07000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
8928.52000000
0.000060743836
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
15431472.40000000
USD
13730000.00000000
EUR
2020-08-13
8928.52000000
N
N
N
GODADDY INC
N/A
GODADDY INC CL A
380237107
113400.00000000
NS
USD
8315622.00000000
0.056574077716
Long
EC
CORP
US
N
1
N
N
N
PBF HLDG CO LLC / PBF FIN CORP
N/A
PBF HLDG CO LLC / PBF FIN CORP 6% 02/15/2028 144A
69318FAH1
15760000.00000000
PA
USD
13080800.00000000
0.088993246181
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.06000000
N
N
N
N
N
N
STARFRUIT FINCO B V / STARFRUIT US HOLDCO LLC
549300K7VB5G6LULFT41
STARFRUIT FINCO B V / STARFRUIT US HOLDCO LLC 8% 10/01/2026 144A
85529VAA2
4977000.00000000
PA
USD
5094905.13000000
0.034662417168
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
0.08000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.375% 04/30/2025
912828ZL7
82771000.00000000
PA
USD
83146056.09000000
0.565671628539
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.00375000
N
N
N
N
N
N
CVR ENERGY INC
529900SOYZIXZBTXB558
CVR ENERGY INC 5.75% 02/15/2028 144A
12662PAD0
24505000.00000000
PA
USD
21441875.00000000
0.145876556514
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/26 #431748
36207GTD1
102.70160000
PA
USD
112.98000000
0.000000768642
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.08000000
N
N
N
N
N
N
JAGUAR HOLDING CO II / PHARMACEUTICAL PRODUCT DEVELOPMENT LLC
N/A
JAGUAR HOLDING CO II / PHARMACEUTICAL PRODUCT DEVELOPMENT LLC 5% 06/15/2028 144A
47010LAA0
7220000.00000000
PA
USD
7391475.00000000
0.050286783248
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.05000000
N
N
N
N
N
N
JBS INVESTMENTS II GMBH
529900V1Q46CPWIWT649
JBS INVESTMENTS II GMBH 5.75% 01/15/2028 144A
46650CAB5
6485000.00000000
PA
USD
6410811.60000000
0.043614987993
Long
DBT
CORP
AT
N
2
2028-01-15
Fixed
0.05750000
N
N
N
N
N
N
MTS SYSTEMS CORP
549300E7ZL4ZDETLML64
MTS SYSTEMS CORP 5.75% 08/15/2027 144A
553777AA1
1905000.00000000
PA
USD
1747837.50000000
0.011891148318
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.05750000
N
N
N
N
N
N
LAMB WESTON HOLDINGS INC
5493005SMYID1D2OY946
LAMB WESTON HOLDINGS INC 4.625% 11/01/2024 144A
513272AA2
5230000.00000000
PA
USD
5426125.00000000
0.036915821504
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04625000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.4% 04/15/26
674599CH6
670000.00000000
PA
USD
547725.00000000
0.003726364271
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.03400000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
107249.44000000
0.000729655358
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
3100035.59000000
USD
2852000.00000000
EUR
2020-08-13
107249.44000000
N
N
N
MERLIN ENTERTAINMENTS PLC
549300ZTI0VEFO6WV007
MERLIN ENTERTAINMENTS PLC 5.75% 06/15/2026 144A
59010QAB2
4580000.00000000
PA
USD
4411364.40000000
0.030012051101
Long
DBT
CORP
GB
N
2
2026-06-15
Fixed
0.05750000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG 2010-169 Z 4.5% 12/20/2040
38377RM51
5410824.58110000
PA
USD
5975394.89000000
0.040652696201
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90632
3132J2VZ3
2228679.62000000
PA
USD
2366434.75000000
0.016099681233
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
HORIZON PHARMA USA INC
N/A
HORIZON PHARMA USA INC 5.5% 08/01/2027 144A
44055PAA4
7300000.00000000
PA
USD
7594701.00000000
0.051669400630
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
0.05500000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: CAD/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
1082364.50000000
0.007363703321
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
28991538.45000000
USD
40824000.00000000
CAD
2020-08-13
1082364.50000000
N
N
N
HILTON DOMESTIC OPERATING CO INC
5493003EG7H0N1E4XV50
HILTON DOMESTIC OPERATING CO INC 5.125% 05/01/2026
432833AD3
10820000.00000000
PA
USD
10772716.60000000
0.073290549539
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.05125000
N
N
N
N
N
N
1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC
N/A
1011778 BC ULC/NEW RED FIN INC 5% 10/15/2025 144A
68245XAE9
34125000.00000000
PA
USD
33954375.00000000
0.231003459520
Long
DBT
CORP
CA
N
2
2025-10-15
Fixed
0.05000000
N
N
N
N
N
N
GEO GROUP INC NEW
5493003VOR6NTY465495
GEO GROUP 5.125% 4/1/23
36159RAG8
7555000.00000000
PA
USD
6535075.00000000
0.044460395257
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
0.05125000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PG and E TERM EXITB 1LN 06/18/2025
N/A
17015000.00000000
PA
USD
16695968.75000000
0.113588500489
Long
LON
CORP
US
N
2
2025-06-18
Variable
0.00000000
N
N
N
N
N
N
HILCORP ENERGY I LP/FIN CO
N/A
HILCORP ENERGY I LP/FIN CO 5.75% 10/01/2025 144A
431318AQ7
8135000.00000000
PA
USD
6914750.00000000
0.047043456748
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
0.05750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2101 PD 6% 11/28
3133TGPD5
32600.96390000
PA
USD
36263.89000000
0.000246715895
Long
ABS-CBDO
USGSE
US
N
2
2028-11-15
Fixed
0.06000000
N
N
N
N
N
N
MURPHY OIL USA INC
N32S6DTR2ZZ5222WHV58
MURPHY OIL USA INC 5.625% 05/01/2027
626738AD0
3665000.00000000
PA
USD
3784112.50000000
0.025744637582
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05625000
N
N
N
N
N
N
CANADA, GOVERNMENT OF
4BFD7AQU0A75QLAHK410
CANADA GOVERNMENT OF 1.25% 06/01/2030
135087K37
35890000.00000000
PA
28277915.00000000
0.192384521671
Long
DBT
NUSS
CA
N
2
2030-06-01
Fixed
0.01250000
N
N
N
N
N
N
TEMPO ACQUISITION LLC / TEMPO ACQUISITION FIN CORP
N/A
TEMPO ACQUISITION LLC 6.75% 06/01/2025 144A
88023JAA4
5340000.00000000
PA
USD
5406750.00000000
0.036784006619
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.06750000
N
N
N
N
N
N
EXPEDIA INC DEL
CI7MUJI4USF3V0NJ1H64
EXPEDIA INC DEL 6.25% 05/01/2025 144A
30212PAS4
9105000.00000000
PA
USD
9722239.70000000
0.066143788686
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06250000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
12390.78480000
PA
USD
12958.21000000
0.000088159223
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.04294000
N
N
N
N
N
N
ENVIVA PARTNERS LP / ENVIVA PARTNERS FINANCE CORP
N/A
ENVIVA PARTNERS LP / ENVIVA PARTNERS FINANCE CORP 6.5% 01/15/2026 144A
29413XAD9
6600000.00000000
PA
USD
6864000.00000000
0.046698186791
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.06500000
N
N
N
N
N
N
JBS INVESTMENTS II GMBH
529900V1Q46CPWIWT649
JBS INVESTMENTS II GMBH 7% 01/15/2026 144A
46650CAA7
6745000.00000000
PA
USD
7078877.50000000
0.048160073393
Long
DBT
CORP
AT
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-29919.79000000
-0.00020355477
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
2191351.00000000
USD
1922000.00000000
EUR
2020-08-13
-29919.79000000
N
N
N
SUMMIT MIDSTREAM PARTNERS LP
N/A
SUMMIT MIDSTREAM PARTNERS LP 9.5/VAR PERP
866142AA0
8965000.00000000
PA
USD
1165450.00000000
0.007928962965
Long
EP
CORP
US
N
2
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and EL MTN3.5% 10/20
694308GT8
3350000.00000000
PA
USD
3651500.00000000
0.024842428477
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
0.03500000
Y
Y
N
N
N
N
GERMANY FEDERAL REPUBLIC OF
529900AQBND3S6YJLY83
GERMANY FEDERAL REPUBLIC OF 0.25% 02/15/2029 REGS
N/A
269509690.00000000
PA
324059367.82000000
2.204688940866
Long
DBT
NUSS
DE
N
2
2029-02-15
Fixed
0.00250000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.625% 12/15/2029
15135BAT8
23795000.00000000
PA
USD
25193432.15000000
0.171399708692
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.04625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 12/21 #G12483
3128M1UG2
40464.51840000
PA
USD
41518.31000000
0.000282463548
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H12 FA 1ML+49 5/61
38375BLS9
7931245.89300000
PA
USD
7925400.56000000
0.053919265115
Long
ABS-CBDO
USGA
US
N
2
2061-02-20
Variable
0.00793380
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3ML+0 PERP
172967GD7
46925000.00000000
PA
USD
46453620.54000000
0.316040187810
Long
EP
CORP
US
N
2
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.487 10/02/2020
N/A
-28100000.00000000
NC
USD
-2324147.91000000
-0.01581198910
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/30 1.487V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-10-06
0.00000000
USD
0.00000000
USD
-28100000.00000000
USD
1.00000000
1.48700000
USD
2020-10-02
XXXX
-1571770.41000000
N
N
N
VIDEOTRON LTD
549300BBCGA0CYX8IL74
VIDEOTRON LTD / VIDEOTRON LTEE 5.125% 04/15/2027 144A
92660FAK0
7325000.00000000
PA
USD
7600639.02000000
0.051709799052
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
0.05125000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 8% 06/15/2027
165167CZ8
1240000.00000000
PA
USD
27900.00000000
0.000189813434
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.08000000
N
N
N
N
N
N
US SHIPPING PARTNERS CORP
N/A
US SHIPPING CORP 12/31/2029 WT
N/A
214176.00000000
NS
USD
2.14000000
0.000000014559
Long
EC
CORP
US
N
3
N
N
N
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC
N/A
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.625% 01/15/2027 144A
013092AC5
9415000.00000000
PA
USD
9415000.00000000
0.064053529814
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.04625000
N
N
N
N
N
N
JBS USA LLC / JBS USA FIN INC
N/A
JBS USA LLC / JBS USA FIN INC 6.75% 02/15/2028 144A
472141AA8
10725000.00000000
PA
USD
11328388.50000000
0.077070979344
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.06750000
N
N
N
N
N
N
TRIVIUM PACKAGING FINANCE BV
724500GMZWW3PVYET548
TRIVIUM PACKAGING FINANCE BV 5.5% 08/15/2026 144A
89686QAA4
4195000.00000000
PA
USD
4231706.25000000
0.028789774025
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
0.05500000
N
N
N
N
N
N
CHARLES RIVER LABS INTL INC
549300BSQ0R4UZ5KX287
CHARLES RIVER LABS INTL INC 4.25% 05/01/2028 144A
159864AE7
2045000.00000000
PA
USD
2043957.05000000
0.013905752930
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
0.04250000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.5% 11/15/2031
3137BAMN9
3577143.71260000
PA
USD
3867051.89000000
0.026308903189
Long
ABS-CBDO
USGSE
US
N
2
2031-11-15
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 01/31/2027
912828Z78
34389000.00000000
PA
USD
36714287.55000000
0.249780107508
Long
DBT
UST
US
N
2
2027-01-31
Fixed
0.01500000
N
N
N
N
N
N
NORTHWEST FIBER LLC/NORTHWEST FIBER FINANCE SUB INC
N/A
NORTHWEST FIBER LLC/NORTHWEST FIBER FINANCE SUB INC 10.75% 06/01/2028 144A
667449AA0
3695000.00000000
PA
USD
3842800.00000000
0.026143909120
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
0.10750000
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM ENERGY CO 6.75% 09/15/2026
78454LAN0
3175000.00000000
PA
USD
1596644.00000000
0.010862526187
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
0.06750000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PIPECO LLC 4.375% 08/15/2022 144A
62912XAE4
1800000.00000000
PA
USD
1856555.86000000
0.012630797252
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.04375000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 6.75/3ML+378 PERP
46625HJQ4
6270000.00000000
PA
USD
6740250.00000000
0.045856272366
Long
EP
CORP
US
N
2
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
ON SEMICONDUCTOR TERM B4 1LN 09/19/2026
68218EAH7
4699487.50000000
PA
USD
4499759.28000000
0.030613432309
Long
LON
CORP
US
N
2
2026-09-19
Variable
0.02178250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 01/01/2042#AJ8357
3138E1JB4
305753.86940000
PA
USD
318574.71000000
0.002167374900
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Variable
0.03814000
N
N
N
N
N
N
MARRIOTT OWNERSHIP RESORTS INC / ILG LLC
N/A
MARRIOTT OWNERSHIP RESORTS INC / ILG LLC 6.5% 09/15/2026
57165PAB1
4860000.00000000
PA
USD
4896450.00000000
0.033312257680
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
0.06500000
N
N
N
N
N
N
CF INDS INC
5FVKT86LAD2F40NPC183
CF INDUSTRIES INC 4.95% 6/1/43
12527GAD5
40343000.00000000
PA
USD
43481685.40000000
0.295821076170
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
0.04950000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNII RVM 1ML+70 1/20/62
38375BPJ5
2763681.97950000
PA
USD
2774252.23000000
0.018874205833
Long
ABS-CBDO
USGA
US
N
2
2062-01-20
Variable
0.01003380
N
N
N
N
N
N
ALLISON TRANSMISSION INC
MWKQ3I0U1GXP2YDSZW75
ALLISON TRANSMISSION INC 5% 10/01/2024 144A
019736AD9
7960000.00000000
PA
USD
7940100.00000000
0.054019270534
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.05000000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG ENERGY CORP
552704108
870000.00000000
NS
2415954.63000000
0.016436582254
Long
EC
CORP
CA
N
1
N
N
N
BERRY GLOBAL GROUP INC
549300G6KKUMMXM8NH73
BERRY GLOBAL GROUP INC
08579W103
247500.00000000
NS
USD
10969200.00000000
0.074627294661
Long
EC
CORP
US
N
1
N
N
N
CARRIZO OIL and GAS INC
6X88M1NLGKDIRGWMPT94
CARRIZO OIL and GAS INC 6.25% 04/15/2023
144577AH6
5395000.00000000
PA
USD
2043464.15000000
0.013902399559
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.06250000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/GBP settle 2020-08-13
N/A
1.00000000
NC
N/A
507892.81000000
0.003455371985
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
77000000.00000000
GBP
95944310.00000000
USD
2020-08-13
507892.81000000
N
N
N
NOVUS HOLDINGS LTD
529900ABRA476F0PVJ28
NOVUS HOLDINGS LTD
N/A
48111.00000000
NS
3133.00000000
0.000021314892
Long
EC
CORP
ZA
N
1
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.4% 04/15/2046
674599CJ2
5820000.00000000
PA
USD
4057704.00000000
0.027605976010
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
0.04400000
N
N
N
N
N
N
ISRAEL, STATE OF
213800T8ZHTFZIBYPE21
ISRAEL GLBL 5.5% 12/4/23
46513EGV8
19812000.00000000
PA
USD
23322987.54000000
0.158674421428
Long
DBT
NUSS
IL
N
2
2023-12-04
Fixed
0.05500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-22052.04000000
-0.00015002772
N/A
DFE
CORP
US
N
2
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
7551074.92000000
USD
6695000.00000000
EUR
2020-08-13
-22052.04000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065
38376RLC8
1665341.78460000
PA
USD
1674889.69000000
0.011394858915
Long
ABS-CBDO
USGA
US
N
2
2062-09-20
Variable
0.01750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2043 #MA1090
36179NF78
713791.37000000
PA
USD
773778.40000000
0.005264284419
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.03500000
N
N
N
N
N
N
EXIDE TECHNOLOGIES
549300KITCGPNNNXQP63
EXIDE TECHNOLOGIES PIK 11% 10/31/2024 144A
302051BA4
1560000.00000000
PA
USD
1014000.00000000
0.006898595776
Long
DBT
CORP
US
N
3
2024-10-31
Variable
0.11000000
Y
Y
N
N
N
N
MURRAY ENERGY CORP
549300WM5IIFYHZYTT63
MURRAY ENERGY TERM B-2 10/17/2022
627048AQ4
14942224.84000000
PA
USD
199179.86000000
0.001355090079
Long
LON
CORP
US
N
2
2022-10-17
Variable
0.00000000
Y
Y
N
N
N
N
SANCHEZ ENERGY CORP
549300SB0HTIM17TVR61
SANCHEZ ENERGY DIP ROLL UP TERM 12/31/2049
N/A
1476000.00000000
PA
USD
1180800.00000000
0.008033394371
Long
LON
CORP
US
N
3
2049-12-31
Variable
0.07250000
Y
Y
N
N
N
N
TERRIER MEDIA BUYER INC
N/A
TERRIER MEDIA BUYER INC 8.875% 12/15/2027 144A
88146LAA1
23835000.00000000
PA
USD
22851806.25000000
0.155468810721
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.08875000
N
N
N
N
N
N
LABL ESCROW ISSUER LLC
N/A
LABL ESCROW ISSUER LLC 6.75% 07/15/2026 144A
50168AAB6
11010000.00000000
PA
USD
11453813.10000000
0.077924286658
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.06750000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELE 3.75% 8/15/42
694308HA8
6290000.00000000
PA
USD
6510150.00000000
0.044290821786
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
0.03750000
Y
Y
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 5.5% 11/15/2027
893647BL0
57420000.00000000
PA
USD
50124214.80000000
0.341012521201
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.05500000
N
N
N
N
N
N
CHS/CMNTY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/CMNTY HEALTH SYSTEMS INC 8.125% 06/30/2024 144A
12543DBA7
25507000.00000000
PA
USD
17089690.00000000
0.116267123519
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
0.08125000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
ALCOA NEDERLAND HOLDING 6.125% 05/15/2028 144A
013822AC5
2110000.00000000
PA
USD
2161441.80000000
0.014705042674
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
0.06125000
N
N
N
N
N
N
HAWAIIAN AIRLS 2013-1B PASS THRU TR
N/A
HAWAIIAN AIRLS 2013-1B PASS THRU TR 4.95% 01/15/2022
419839AA3
3081826.88800000
PA
USD
2921457.25000000
0.019875692943
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.04950000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX TECHNOLOGIES INC 5.375% 07/15/2026 144A
05605HAA8
4990000.00000000
PA
USD
5141596.20000000
0.034980072808
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.05375000
N
N
N
N
N
N
CONTINENTAL RESOURCES INC OKLA
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC OKLA 4.9% 06/01/2044
212015AQ4
7565000.00000000
PA
USD
6023631.25000000
0.040980864988
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
0.04900000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2770 FH 1ML+40 3/34
31394TZB4
1246635.71820000
PA
USD
1249887.82000000
0.008503422914
Long
ABS-CBDO
USGSE
US
N
2
2034-03-15
Variable
0.00584750
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-678573.62000000
-0.00461657308
N/A
DFE
CORP
FR
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
28187000.00000000
EUR
31019793.50000000
USD
2020-08-13
-678573.62000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 9/21 #G12375
3128M1Q44
19767.67200000
PA
USD
20282.35000000
0.000137987903
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
0.06500000
N
N
N
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
FX Forward: JPY/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-23640.34000000
-0.00016083348
N/A
DFE
CORP
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
4050427.73000000
USD
434555000.00000000
JPY
2020-08-13
-23640.34000000
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 4.625% 09/01/2024 144A
88033GDC1
7305000.00000000
PA
USD
7140637.50000000
0.048580248220
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.04625000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.0% 12/25/2023
31393UQG1
358854.09150000
PA
USD
377469.29000000
0.002568055275
Long
ABS-CBDO
USGSE
US
N
2
2023-12-25
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FHR 2014-4335 AL 4.25% 03/40
3137BAPM8
1521208.20180000
PA
USD
1563386.59000000
0.010636264424
Long
ABS-CBDO
USGSE
US
N
2
2040-03-15
Fixed
0.04250000
N
N
N
N
N
N
GO DADDY OPERATING CO LLC / GD FINANCE CO INC
N/A
GO DADDY OPERATING CO LLC / GD FINANCE CO INC 5.25% 12/01/2027 144A
38016LAA3
5665000.00000000
PA
USD
5764137.50000000
0.039215438471
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.05250000
N
N
N
N
N
N
STARWOOD PPTY TR INC
BUGSFQZERKRBFWIG5267
STARWOOD PPTY TR INC 4.75% 03/15/2025
85571BAL9
6855000.00000000
PA
USD
6238050.00000000
0.042439630553
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.04750000
N
N
N
N
N
N
KAISER ALUMINUM CORP
N/A
KAISER ALUMINUM CORP 4.625% 03/01/2028 144A
483007AJ9
6615000.00000000
PA
USD
6326056.80000000
0.043038371518
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 02/28/2021
9128286D7
90000000.00000000
PA
USD
91392187.50000000
0.621772937527
Long
DBT
UST
US
N
2
2021-02-28
Fixed
0.02500000
N
N
N
N
N
N
ALG STUDENT LOAN TRUST II
N/A
ALG STUDENT LOAN TRUST 2007-1A A3 3ML+9 06/28/2023 144A
001621AC5
7207894.74670000
PA
USD
7152938.15000000
0.048663933834
Long
ABS-CBDO
CORP
US
N
2
2023-06-28
Variable
0.00977130
N
N
N
N
N
N
TERRAFORM POWER OPERATING LLC
5493000S2OLR3UT5BE13
TERRAFORM POWER OPERATING LLC 4.25% 01/31/2023 144A
88104LAC7
3700000.00000000
PA
USD
3718500.00000000
0.025298252853
Long
DBT
CORP
US
N
2
2023-01-31
Fixed
0.04250000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-83 FB 1ML+90 9/38
38375YFB3
874499.94910000
PA
USD
890671.81000000
0.006059551071
Long
ABS-CBDO
USGA
US
N
2
2038-09-20
Variable
0.01090000
N
N
N
N
N
N
GTT COMMUNICATIONS INC
549300ETSL7K1ZX05H30
GTT COMMUNICATIONS INC 7.875% 12/31/2024 144A
362393AA8
640000.00000000
PA
USD
336000.00000000
0.002285925227
Long
DBT
CORP
US
N
2
2024-12-31
Fixed
0.07875000
N
N
N
N
N
N
DENBURY RESOURCES INC
549300KCWA5W52MS5559
DENBURY RESOURCES INC CONV 6.375% 12/31/2024
247916AN9
24702000.00000000
PA
USD
2470200.00000000
0.016805632431
Long
DBT
CORP
US
N
2
2024-12-31
Fixed
0.06375000
N
N
N
N
N
DENBURY RESOURCES INC
DENBURY RESOURCES INC
USD
XXXX
N
N
N
REALOGY GROUP LLC / REALOGY CO-ISSUER CORP
N/A
REALOGY GROUP LLC / REALOGY CO-ISSUER CORP 7.625% 06/15/2025 144A
75606DAJ0
20305000.00000000
PA
USD
20254237.50000000
0.137796644245
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.07625000
N
N
N
N
N
N
VS BUYER LLC
N/A
VEEAM SOFTWARE TERM B 1LN 02/28/2027
91834WAC4
1306725.00000000
PA
USD
1257722.81000000
0.008556727085
Long
LON
CORP
US
N
2
2027-02-28
Variable
0.03428250
N
N
N
N
N
N
MURRAY ENERGY CORP
549300WM5IIFYHZYTT63
MURRAY ENERGY CORP PIK VAR 04/15/2024 144A
62704PAM5
6364050.00000000
PA
USD
63.64000000
0.000000432965
Long
DBT
CORP
US
N
2
2024-04-15
Variable
0.12000000
Y
Y
Y
N
N
N
PBF HLDG CO LLC / PBF FIN CORP
N/A
PBF HLDG CO LLC / PBF FIN CORP 9.25% 05/15/2025 144A
69318FAK4
10160000.00000000
PA
USD
10845800.00000000
0.073787761408
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.09250000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: USD/NOK settle 2020-08-13
N/A
1.00000000
NC
N/A
-2476413.55000000
-0.01684790538
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
362697000.00000000
NOK
35211591.67000000
USD
2020-08-13
-2476413.55000000
N
N
N
CF INDS INC
5FVKT86LAD2F40NPC183
CF INDUSTRIES INC 5.375% 03/15/2044
12527GAE3
34489000.00000000
PA
USD
37292955.70000000
0.253716988825
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 06/01/2042#AO2244
3138LSP61
114199.49140000
PA
USD
118783.55000000
0.000808125933
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Variable
0.03051000
N
N
N
N
N
N
US AWYS 2013-1 PASS THRU TRS
N/A
US AWYS 2013-1B 5.375% 5/15/23
90346WAB9
2981736.27920000
PA
USD
2422166.65000000
0.016478844793
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.05375000
N
N
N
N
N
N
CONSOLIDATED ENERGY FINANCE SA
549300PUNIS0USNSL750
CONSOLIDATED ENERGY FINANCE SA FRN 3ML+375 06/15/2022 144A
20914UAC0
1820000.00000000
PA
USD
1620066.72000000
0.011021879123
Long
DBT
CORP
LU
N
2
2022-06-15
Variable
0.04063380
N
N
N
N
N
N
SOUTHEASTERN GROCERS INC
N/A
SOUTHEASTERN GROCERS INC
84169Q103
134915.00000000
NS
USD
7223349.10000000
0.049142964093
Long
EC
CORP
US
N
3
N
N
N
UNITED RENTALS NORTH AMER INC
NGIZXNT70J2LYT3FBI09
UNITED RENTALS NORTH AMER INC 3.875% 11/15/2027
911365BM5
3345000.00000000
PA
USD
3336637.50000000
0.022700309037
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.03875000
N
N
N
N
N
N
ELDORADO RESORTS INC
5299000BKFWWVND5L441
ELDORADO RESORTS INC 6.25% 07/01/2025 144A
28470RAH5
25535000.00000000
PA
USD
25335827.00000000
0.172368470537
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.06250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.75% 07/31/2021
9128287F1
9325000.00000000
PA
USD
9483087.84000000
0.064516755145
Long
DBT
UST
US
N
2
2021-07-31
Fixed
0.01750000
N
N
N
N
N
N
NCR CORPORATION NEW
549300YKTY8JX1DV2R67
NCR CORPORATION NEW 8.125% 04/15/2025 144A
62886EAX6
2910000.00000000
PA
USD
3084600.00000000
0.020985609990
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.08125000
N
N
N
N
N
N
ULTRA PETROLEUM CORP
N/A
ULTRA PETROLEUM CORP WT 07/14/25
903914117
127890.00000000
NS
USD
1.28000000
0.000000008708
Long
EC
CORP
CA
N
2
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-7044553.50000000
-0.04792655524
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
187171000.00000000
EUR
203443085.20000000
USD
2020-08-13
-7044553.50000000
N
N
N
LIONS GATE ENTERTAINMENT CORP
5493000JSMHPHZURLM72
LG FINANCECO CORP 5.875% 11/1/2024 144A
535919AL8
2640000.00000000
PA
USD
2521200.00000000
0.017152603225
Long
DBT
CORP
CA
N
2
2024-11-01
Fixed
0.05875000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.75% 05/20/2064
38375UJP6
3081781.14560000
PA
USD
3151184.09000000
0.021438604785
Long
ABS-CBDO
USGA
US
N
2
2064-05-20
Fixed
0.02750000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
SOUTHWESTERN ENERGY CO 4.95%/VAR 01/23/2025
845467AL3
1095000.00000000
PA
USD
937593.75000000
0.006378777399
Long
DBT
CORP
US
N
2
2025-01-23
Variable
0.06200000
N
N
N
N
N
N
T-MOBILE US INC
549300QHIJYOHPACPG31
T-MOBILE US INC RT 07/28/20
872590112
346800.00000000
NS
USD
58262.40000000
0.000396379434
Long
EC
CORP
US
N
1
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2038#G31067
3132J4MR7
3542612.10000000
PA
USD
3785363.57000000
0.025753149048
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
FLY LEASING LTD
549300LI58A0MHGHTZ98
FLY LEASING LTD 5.25% 10/15/2024
34407DAC3
5695000.00000000
PA
USD
4612950.00000000
0.031383508269
Long
DBT
CORP
BM
N
2
2024-10-15
Fixed
0.05250000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 5%/VAR PERP
38148BAD0
50754000.00000000
PA
USD
46947450.00000000
0.319399881920
Long
EP
CORP
US
N
2
N
N
N
ALLEN MEDIA LLC
N/A
ALLEN MEDIA TERM B 1LN 02/10/2027
01771JAE3
4797216.67000000
PA
USD
4541381.10000000
0.030896600072
Long
LON
CORP
US
N
2
2027-02-10
Variable
0.05807880
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.82% 6/37 #1N1614
3128QHYK0
33872.33000000
PA
USD
35459.61000000
0.000241244098
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Variable
0.03978000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV 6.625% 04/15/2023 144A
67091GAA1
3185000.00000000
PA
USD
3200925.00000000
0.021777009550
Long
DBT
CORP
NL
N
2
2023-04-15
Fixed
0.06625000
N
N
N
N
N
N
NAVIOS SOUTH AMERICAN LOGISTIC S INC/ NAVIOS LOGISTICS FIN US INC
N/A
NAVIOS SOUTH AMERN LOG/FIN US 7.25% 05/01/2022 144A
63938NAE4
7680000.00000000
PA
USD
7677600.00000000
0.052233391450
Long
DBT
CORP
MH
N
2
2022-05-01
Fixed
0.07250000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 6.5% 05/15/2025
893647AZ0
9710000.00000000
PA
USD
9079723.90000000
0.061772529530
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.06500000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
CHEMOURS CO/ THE
163851108
278110.00000000
NS
USD
4268988.50000000
0.029043418179
Long
EC
CORP
US
N
1
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMWARE INC CL A
928563402
43200.00000000
NS
USD
6689952.00000000
0.045514077523
Long
EC
CORP
US
N
1
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H01 FA 1ML+70 11/61
38375BNX6
4221100.34460000
PA
USD
4237700.24000000
0.028830553230
Long
ABS-CBDO
USGA
US
N
2
2061-11-20
Variable
0.01003380
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 4.95/VAR PERP
38144GAB7
7885000.00000000
PA
USD
7490750.00000000
0.050962185709
Long
EP
CORP
US
N
2
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/25 #413724
36206KSM4
2128.38960000
PA
USD
2323.25000000
0.000015805880
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07000000
N
N
N
N
N
N
PENHALL ACQUISITION COMPANY
N/A
PENHALL ACQUISITION CMPNY CL B
N/A
3850.00000000
NS
USD
295641.50000000
0.002011352271
Long
EC
CORP
US
N
3
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 02/28/2026
9128286F2
38997000.00000000
PA
USD
43662930.21000000
0.297054147847
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.02500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.9% VAR PERP
172967GF2
25875000.00000000
PA
USD
25729582.50000000
0.175047326582
Long
EP
CORP
US
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 06/01/2033#AT6090
3138WTXU5
875224.16200000
PA
USD
929073.64000000
0.006320812118
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
VERTIV GROUP CORP
549300ZT8RQ5VK10E643
VERTIV TERM B 1LN 03/02/2027
92537EAB4
19191900.00000000
PA
USD
18088365.75000000
0.123061463075
Long
LON
CORP
US
N
2
2027-03-02
Variable
0.03182500
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.50% 02/15/2045
912810RK6
216056000.00000000
PA
USD
266415615.85000000
1.812518384794
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.02500000
N
N
N
N
N
N
EP ENERGY LLC / EVEREST ACQUISITION FIN INC
N/A
EP ENERGY LLC/EVRST AC FIN INC 7.75% 05/15/2026 144A
268787AJ7
55595000.00000000
PA
USD
11119000.00000000
0.075646436325
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.07750000
Y
Y
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.5% 01/15/2030 144A
46590XAB2
12225000.00000000
PA
USD
12530625.00000000
0.085250213704
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.05500000
N
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
SPRINT CORP 7.625% 03/01/2026
85207UAK1
3615000.00000000
PA
USD
4267037.55000000
0.029030145186
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
0.07625000
N
N
N
N
N
N
HOLLY EN PART LP/ HOL FIN CORP
N/A
HOLLY EN PART LP/ HOL FIN CORP 5% 02/01/2028 144A
435765AH5
4350000.00000000
PA
USD
4143375.00000000
0.028188825713
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/25 #404391
36205YF80
130.76350000
PA
USD
143.10000000
0.000000973559
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.7375 09/20/24
N/A
55600000.00000000
NC
USD
2940581.70000000
0.020005803249
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/29 3MLV1.7375
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-24
0.00000000
USD
0.00000000
USD
55600000.00000000
USD
1.00000000
1.73750000
USD
2024-09-20
XXXX
1371271.70000000
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-118 PB 4.5% 10/40
31398NUY8
3068694.44320000
PA
USD
3440892.40000000
0.023409591495
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.04500000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5.5% 09/01/2026 144A
92840VAA0
9975000.00000000
PA
USD
10205821.50000000
0.069433764389
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 11/36 #995606
31416CAF3
16036.46260000
PA
USD
16757.16000000
0.000114004805
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.03744000
N
N
N
N
N
N
MURRAY ENERGY CORP
549300WM5IIFYHZYTT63
MURRAY ENERGY CORP 11.25% 04/15/2021 144A
62704PAF0
5925000.00000000
PA
USD
59.25000000
0.000000403098
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
0.11250000
Y
Y
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTGE 2016-H04 1ML+65 11/20/2065
38376RQU3
125420.06450000
PA
USD
125449.10000000
0.000853473995
Long
ABS-CBDO
USGA
US
N
2
2065-11-20
Variable
0.00953380
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A9 PP
N/A
403760.00000000
NS
USD
448.62000000
0.000003052118
Long
EC
CORP
LU
Y
3
N
N
N
ALTICE USA INC
54930064K3612MGCER95
ALTICE USA INC A
02156K103
482800.00000000
NS
USD
10882312.00000000
0.074036165283
Long
EC
CORP
US
N
1
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNMA 2017-H06 FA 12ML+35 08/66
38376RV60
11080515.90880000
PA
USD
10969271.96000000
0.074627784230
Long
ABS-CBDO
USGA
US
N
2
2066-08-20
Variable
0.00520000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2016-H02 FM 1ML+50 09/20/2062
38376RPN0
455965.87330000
PA
USD
455867.84000000
0.003101427963
Long
ABS-CBDO
USGA
US
N
2
2062-09-20
Variable
0.00803380
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068
38380LGR8
8205387.87000000
PA
USD
8911872.59000000
0.060630578507
Long
ABS-CBDO
USGA
US
N
2
2068-08-20
Fixed
0.03250000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-39 FG 1ML+92 3/36
31398PU56
1999524.63380000
PA
USD
2043372.81000000
0.013901778142
Long
ABS-CBDO
USGSE
US
N
2
2036-03-25
Variable
0.01104500
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
186579.08700000
NS
USD
186597.74000000
0.001269489527
Long
STIV
RF
US
N
1
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2016-H13 FB T1Y+50 05/20/2066
38376RUU8
10070841.08820000
PA
USD
10003154.97000000
0.068054953277
Long
ABS-CBDO
USGA
US
N
2
2066-05-20
Variable
0.00670000
N
N
N
N
N
N
LAREDO PETE INC NEW
549300X0PTWU2QSLSL14
LAREDO PETE INC NEW 9.5% 01/15/2025
516806AF3
6490000.00000000
PA
USD
4486212.50000000
0.030521268839
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.09500000
N
N
N
N
N
N
UNITED KINGDOM,G.B. and N.IRELAND
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM G.B. and N.IRELAND 0.875% 10/22/2029 REGS
N/A
73660000.00000000
PA
97510619.89000000
0.663398767746
Long
DBT
NUSS
GB
N
2
2029-10-22
Fixed
0.00875000
N
N
N
N
N
N
CALLON PETROLEUM CO DEL
549300EFOWPEB0WLZW21
CALLON PETROLEUM CO DEL 6.125% 10/01/2024
13123XAT9
2855000.00000000
PA
USD
970700.00000000
0.006604010769
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.06125000
N
N
N
N
N
N
GEMS MENASA KY LTD/GEMS
N/A
GEMS MENASA KY LTD/GEMS 7.125% 07/31/2026 144A
36166LAA5
5300000.00000000
PA
USD
5030031.25000000
0.034221057529
Long
DBT
CORP
KY
N
2
2026-07-31
Fixed
0.07125000
N
N
N
N
N
N
UNIT CORP
549300XGK22FZCTN8B67
UNIT CORP 6.625% 5/15/21
909218AB5
1660000.00000000
PA
USD
219501.80000000
0.001493347327
Long
DBT
CORP
US
N
2
2021-05-15
Fixed
0.06625000
Y
Y
N
N
N
N
CASCADES INC/USA INC
FPD41G4F3GH7OJ38TS94
CASCADES INC/USA INC 5.375% 01/15/2028 144A
14739LAB8
3310000.00000000
PA
USD
3359650.00000000
0.022856871103
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
0.05375000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC
11135F101
23000.00000000
NS
USD
7259030.00000000
0.049385713704
Long
EC
CORP
US
N
1
N
N
N
BCP RAPTOR II LLC
254900ZZQV4TQNP45753
CAPROCK MIDSTREAM TERM B 11/03/2025
05550DAB0
3494700.00000000
PA
USD
2254081.50000000
0.015335302874
Long
LON
CORP
US
N
2
2025-11-03
Variable
0.04928250
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 5.4% 06/15/2047
15135UAR0
10235000.00000000
PA
USD
8783758.57000000
0.059758974131
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
0.05400000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PG and E 6.05% 3/01/34
694308GE1
75170000.00000000
PA
USD
89640225.00000000
0.609853725395
Long
DBT
CORP
US
N
2
2034-03-01
Fixed
0.06050000
Y
Y
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 6.25% 02/01/2027 144A
88033GCX6
11115000.00000000
PA
USD
11031637.50000000
0.075052078757
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
0.06250000
N
N
N
N
N
N
PG and E CORP
8YQ2GSDWYZXO2EDN3511
PG and E CORP 5% 07/01/2028
69331CAH1
13615000.00000000
PA
USD
13563943.75000000
0.092280241677
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
0.05000000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
CLEVELAND-CLIFFS INC 5.75% 03/01/2025
18683KAM3
1889000.00000000
PA
USD
1608105.70000000
0.010940504131
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
0.05750000
N
N
N
N
N
N
MCAFEE LLC
549300713UKUTLV9T378
MCAFEE TERM 2LN 09/29/2025
57906PAF6
14800625.00000000
PA
USD
14697020.63000000
0.099988959012
Long
LON
CORP
US
N
2
2025-09-29
Variable
0.09500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT 3857 ZP 5% 05/15/2041
3137AAL35
2470199.01570000
PA
USD
3117988.70000000
0.021212764966
Long
ABS-CBDO
USGSE
US
N
2
2041-05-15
Fixed
0.05000000
N
N
N
N
N
N
PBF HLDG CO LLC / PBF FIN CORP
N/A
PBF HLDG CO LLC / PBF FIN CORP 7.25% 06/15/2025
69318FAG3
13580000.00000000
PA
USD
12323850.00000000
0.083843451237
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.07250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1578
3140X4XG6
4508016.37700000
PA
USD
4810959.13000000
0.032730633464
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
HILCORP ENERGY I LP/FIN CO
N/A
HILCORP ENERGY I LP/FIN CO 5.0% 12/01/2024 144A
431318AN4
7550000.00000000
PA
USD
6493000.00000000
0.044174144353
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.05000000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP
N/A
HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP 4.625% 04/01/2025
432891AH2
11100000.00000000
PA
USD
10852581.00000000
0.073833894917
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.04625000
N
N
N
N
N
N
NEWFIELD EXPLORATION CO
T8W3X1PFLPW2YE0UIP44
NEWFIELD EXPL CO 5.375% 01/01/2026
651290AR9
6813000.00000000
PA
USD
6379915.85000000
0.043404793426
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
0.05375000
N
N
N
N
N
N
CAMELOT FIN S A
N/A
CLARIVATE ANALYTICS TERM B 10/31/26
N/A
686550.00000000
PA
USD
663811.46000000
0.004516140960
Long
LON
CORP
LU
N
2
2026-10-31
Variable
0.03178250
N
N
N
N
N
N
PDC ENERGY INC
5493008W8H2T511J5Y59
PDC ENERGY INC 6.125% 09/15/2024
69327RAG6
2480000.00000000
PA
USD
2306400.00000000
0.015691243883
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.06125000
N
N
N
N
N
N
IRON MTN INC
SQL3F6CKNNBM3SQGHX24
IRON MTN INC 5% 07/15/2028 144A
46284VAG6
6370000.00000000
PA
USD
6218712.50000000
0.042308070793
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
0.05000000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
CHEMOURS CO 5.375% 05/15/2027
163851AE8
18470000.00000000
PA
USD
16691154.30000000
0.113555746106
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.05375000
N
N
N
N
N
N
ALTICE FING SA
549300DIYGW8HVDF7Q17
ALTICE FING SA 5% 01/15/2028 144A
02154CAF0
6470000.00000000
PA
USD
6427039.20000000
0.043725390017
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.242% 9/1/41#1B8659
3128UHAK1
71997.24550000
PA
USD
74470.38000000
0.000506647977
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04130000
N
N
N
N
N
N
HOWARD HUGHES CORP
549300BVHY25JZC1KI49
HOWARD HUGHES CORP 5.375% 03/15/2025 144A
44267DAB3
7940000.00000000
PA
USD
7388964.00000000
0.050269700039
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.05375000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 3.95% 12/01/2047
694308HY6
32835000.00000000
PA
USD
34345410.00000000
0.233663807054
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
0.03950000
Y
Y
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-6593662.66000000
-0.04485898754
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
176000000.00000000
EUR
191331360.00000000
USD
2020-08-13
-6593662.66000000
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
LENNAR CORP 4.75% 11/29/2027
526057CD4
7175000.00000000
PA
USD
7784875.00000000
0.052963220702
Long
DBT
CORP
US
N
2
2027-11-29
Fixed
0.04750000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 5.375% 11/15/2029 144A
64110LAU0
6760000.00000000
PA
USD
7424778.40000000
0.050513357897
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.05375000
N
N
N
N
N
N
GERMANY FEDERAL REPUBLIC OF
529900AQBND3S6YJLY83
GERMANY FEDERAL REPUBLIC OF 0% 09/11/2020 REGS
N/A
62050000.00000000
PA
69785056.05000000
0.474772083726
Long
DBT
NUSS
DE
N
2
2020-09-11
Fixed
0.00000000
N
N
N
N
N
N
CROWN CORK and SEAL INC
7HLDMDH0ZXNUH6PT7Z42
CROWN CORK and SE 7.375 12/15/26
228255AH8
16535000.00000000
PA
USD
19345950.00000000
0.131617247489
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.07375000
N
N
N
N
N
N
INFRABUILD AUSTRALIA PTY LTD
549300W2CPB5W6GFH859
INFRABUILD AUSTRALIA PTY LTD 12% 10/01/2024 144A
45682RAA8
5460000.00000000
PA
USD
4927650.00000000
0.033524522165
Long
DBT
CORP
AU
N
2
2024-10-01
Fixed
0.12000000
N
N
N
N
N
N
MPH ACQUISITION HLDGS LLC
5493002WXOPRPTXWTU06
MPH ACQUISITION HLDGS LLC 7.125% 06/01/2024 144A
553283AB8
4280000.00000000
PA
USD
3980400.00000000
0.027080049928
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
0.07125000
N
N
N
N
N
N
NABORS INDUSTRIES LTD
N/A
NABORS INDUSTRIES LTD 7.5% 01/15/2028 144A
629571AB6
5660000.00000000
PA
USD
3480900.00000000
0.023681777156
Long
DBT
CORP
BM
N
2
2028-01-15
Fixed
0.07500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC
91324P102
51300.00000000
NS
USD
15130935.00000000
0.102941029860
Long
EC
CORP
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #888034
31410FSX4
173095.70190000
PA
USD
199504.83000000
0.001357300964
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2004-91 Z 5 12/34
31394BZJ6
2635295.57600000
PA
USD
3004308.64000000
0.020439359855
Long
ABS-CBDO
USGSE
US
N
2
2034-12-25
Fixed
0.05000000
N
N
N
N
N
N
EXIDE TECHNOLOGIES
549300KITCGPNNNXQP63
EXIDE TECHNOLOGIES PIK 11% 10/31/2024 144A
302051BC0
632320.00000000
PA
USD
284544.00000000
0.001935852107
Long
DBT
CORP
US
N
3
2024-10-31
Variable
0.11000000
Y
Y
N
N
N
N
SABLE INTL FINANCE LTD
2138009IE9A35LO5JS73
SABLE INTL FIN LTD 5.75% 09/07/2027 144A
785712AG5
12405000.00000000
PA
USD
12653100.00000000
0.086083453860
Long
DBT
CORP
KY
N
2
2027-09-07
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/32 #735415
31402RAQ2
99338.52320000
PA
USD
114847.55000000
0.000781347951
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.06500000
N
N
N
N
N
N
COMSTOCK RESOURCES INC
I03QQGEA4SS774AURI46
COMSTOCK RESOURCES INC 9.75% 08/15/2026
205768AR5
4500000.00000000
PA
USD
4201875.00000000
0.028586821623
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.09750000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 1.471% 09/29/2021
903724BL5
6753000.00000000
PA
USD
6852782.46000000
0.046621869953
Long
DBT
NUSS
UA
N
2
2021-09-29
Fixed
0.01471000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: NOK/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
1214582.28000000
0.008263227008
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
18418256.44000000
USD
188940000.00000000
NOK
2020-08-13
1214582.28000000
N
N
N
SUNOCO LP / SUNOCO FIN CORP
N/A
SUNOCO LP / SUNOCO FIN CORP 4.875% 01/15/2023
86765LAJ6
5390000.00000000
PA
USD
5309150.00000000
0.036119999767
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 5/27 #256738
31371NEK7
40380.21770000
PA
USD
44893.15000000
0.000305423762
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 4/35 #735503
31402RDG1
465810.53390000
PA
USD
546321.74000000
0.003716817404
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.06000000
N
N
N
N
N
N
RITCHIE BROS AUCTIONEERS INC
5493002H8U24DJXQ4886
RITCHIE BROS AUCTIONEERS INC 5.375% 01/15/2025 144A
767744AA3
2315000.00000000
PA
USD
2381556.25000000
0.016202558073
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
0.05375000
N
N
N
N
N
N
PTC INC
54930050SSMU8SKDJ030
PTC INC 4% 02/15/2028 144A
69370CAC4
3715000.00000000
PA
USD
3687360.40000000
0.025086399290
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.04000000
N
N
N
N
N
N
CONSOLIDATED ENERGY FINANCE SA
549300PUNIS0USNSL750
CONSOLIDATED ENERGY FINANCE SA 6.875% 06/15/2025 144A
20914UAD8
6400000.00000000
PA
USD
5440000.00000000
0.037010217970
Long
DBT
CORP
LU
N
2
2025-06-15
Fixed
0.06875000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.5% MAC 09/16/2022
N/A
82762000.00000000
NC
USD
72305.85000000
0.000491921924
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2022-09-16
0.00000000
USD
0.00000000
USD
83177630.76000000
USD
72305.85000000
N
N
N
JAZZ PHARMACEUTICALS PLC
635400GAUMJCLEZRRV50
JAZZ PHARMA PLC
N/A
51000.00000000
NS
USD
5627340.00000000
0.038284757351
Long
EC
CORP
IE
N
1
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.36% 7/36 #1B7105
3128QPH96
90887.99010000
PA
USD
94972.51000000
0.000646131120
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
0.04784000
N
N
N
N
N
N
ASCEND LEARNING LLC
549300T466HKRLVCD610
ASCEND LEARNING LLC 6.875% 08/01/2025 144A
043502AB9
7330000.00000000
PA
USD
7366650.00000000
0.050117890112
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
0.06875000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 1.57125 09/05/24
N/A
19800000.00000000
NC
USD
234203.90000000
0.001593370843
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 9/29 1.57125V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-09
0.00000000
USD
0.00000000
USD
19800000.00000000
USD
1.00000000
1.57125000
USD
2024-09-05
XXXX
-334427.35000000
N
N
N
PILGRIMS PRIDE CORP NEW
549300ZSLGV64ZL3HD75
PILGRIMS PRIDE CORP 5.75% 03/15/2025 144A
72147KAC2
12675000.00000000
PA
USD
12637989.00000000
0.085980648455
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.05750000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: USD/CAD settle 2020-08-13
N/A
1.00000000
NC
N/A
-6853209.92000000
-0.04662477811
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
291097000.00000000
CAD
207589836.50000000
USD
2020-08-13
-6853209.92000000
N
N
N
ULTIMATE SOFTWARE GROUP INC
529900FKHWSTQ1GXK240
ULTIMATE SOFTWARE TERM 1LN 05/03/2026
N/A
6805000.00000000
PA
USD
6712520.05000000
0.045667615841
Long
LON
CORP
US
N
2
2026-05-03
Variable
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 07/01/2041#AI6050
3138AKWL9
119365.29000000
PA
USD
124403.67000000
0.000846361570
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.04501000
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC
K5K33XN0PQAU1XF7NN66
TALEN ENERGY SUPPLY LLC 7.625% 06/01/2028 144A
87422VAJ7
6835000.00000000
PA
USD
6835000.00000000
0.046500889673
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
0.07625000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 5.9%/VAR PERP
949746RG8
46445000.00000000
PA
USD
45977298.85000000
0.312799605169
Long
EP
CORP
US
N
2
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 5/VAR PERP
48128BAF8
18675000.00000000
PA
USD
17961708.38000000
0.122199768798
Long
EP
CORP
US
N
2
N
N
N
BCPE CYCLE MERGER SUB II INC
N/A
BCPE CYCLE MERGER SUB II INC 10.625% 07/15/2027 144A
07335BAA4
18900000.00000000
PA
USD
19467000.00000000
0.132440792872
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.10625000
N
N
N
N
N
N
PRIVATE EXPORT FUNDING CORP
CYQE6SAYPFKNQJ6FMH60
PRIVATE EXPORT FUNDING CORP 1.75% 11/15/2024
742651DX7
11520000.00000000
PA
USD
12137302.54000000
0.082574303782
Long
DBT
USGSE
US
N
2
2024-11-15
Fixed
0.01750000
N
N
N
N
N
N
CONSOLIDATED ENERGY FINANCE SA
549300PUNIS0USNSL750
CONSOLIDATED ENERGY FINANCE SA 6.5% 05/15/2026 144A
20914UAE6
31160000.00000000
PA
USD
26174400.00000000
0.178073575227
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
0.06500000
N
N
N
N
N
N
VALEANT PHARMACEUTICALS INTL INC
KOO0397YRO83WY5MGD97
VALEANT PHARMACEUTICALS TERM B INCR 06/1/2025
N/A
1045914.49000000
PA
USD
1014934.50000000
0.006904953505
Long
LON
CORP
US
N
2
2025-06-01
Variable
0.03190000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO (PVT BACKSTOP) RT
N/A
261363.64000000
NS
USD
261363.64000000
0.001778148030
Long
EC
CORP
US
N
3
N
N
N
TAYLOR MORRISON CMNTYS INC / MONARCH CMNTYS INC
549300O1Z08HI2MRK572
TAYLOR MORRISON CMNTY/ MONARCH 5.875% 01/31/2025 144A
87724RAE2
4625000.00000000
PA
USD
4694375.00000000
0.031937470952
Long
DBT
CORP
US
N
2
2025-01-31
Fixed
0.05875000
N
N
N
N
N
N
CASCADES INC/USA INC
FPD41G4F3GH7OJ38TS94
CASCADES INC/USA INC 5.125% 01/15/2026 144A
14739LAA0
3310000.00000000
PA
USD
3359650.00000000
0.022856871103
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
0.05125000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.92 01/08/25
N/A
-47000000.00000000
NC
USD
-2795749.88000000
-0.01902046184
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 01/10/30 1.92V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-10
0.00000000
USD
0.00000000
USD
-47000000.00000000
USD
1.00000000
1.92000000
USD
2025-01-08
XXXX
-1484449.88000000
N
N
N
LANDESK GROUP INC
N/A
LANDESK SOFTWARE TERM 2LN 01/20/2025
51501EAE6
6500000.00000000
PA
USD
5744375.00000000
0.039080987289
Long
LON
CORP
US
N
2
2025-01-20
Variable
0.10000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC
444859102
37500.00000000
NS
USD
14540625.00000000
0.098924944976
Long
EC
CORP
US
N
1
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 5.5% 12/15/2029 144A
737446AP9
9145000.00000000
PA
USD
9457027.40000000
0.064339456879
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.05500000
N
N
N
N
N
N
MINERAL RES LTD
5299007V1ACKFFX2P066
MINERAL RES LTD 8.125% 05/01/2027 144A
603051AA1
11025000.00000000
PA
USD
11714062.50000000
0.079694854125
Long
DBT
CORP
AU
N
2
2027-05-01
Fixed
0.08125000
N
N
N
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FIN CRP MED TRM NTS 6.875% 03/15/2025
85172FAM1
30605000.00000000
PA
USD
31398817.19000000
0.213617108126
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.06875000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
6269.09000000
0.000042650806
N/A
DFE
CORP
US
N
2
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
1406000.00000000
EUR
1587420.12000000
USD
2020-08-13
6269.09000000
N
N
N
ADVANCED DISPOSAL SERVICES INC
549300ML1GEF4BKIM713
ADVANCED DISP SVCS INC 5.625% 11/15/2024 144A
00790XAA9
6910000.00000000
PA
USD
7169125.00000000
0.048774058622
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.05625000
N
N
N
N
N
N
NCR CORPORATION NEW
549300YKTY8JX1DV2R67
NCR CORPORATION NEW 5.75% 09/01/2027 144A
62886EAU2
5480000.00000000
PA
USD
5480000.00000000
0.037282351925
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
0.05750000
N
N
N
N
N
N
KAR AUCTION SVCS INC
5493004HKD20LBSG7D03
KAR AUCTION SVCS INC 5.125% 06/01/2025 144A
48238TAA7
6210000.00000000
PA
USD
6116850.00000000
0.041615064667
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.05125000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5.875% 05/01/2027 144A
1248EPBK8
10315000.00000000
PA
USD
10763186.75000000
0.073225714645
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05875000
N
N
N
N
N
N
TRAVELPORT FIN (LUX) SARL
2221005SGFWYZHL40F77
TRAVELPORT TERM B 2LN 05/28/2027
N/A
7655000.00000000
PA
USD
2174020.00000000
0.014790616557
Long
LON
CORP
LU
N
2
2027-05-28
Variable
0.10072000
N
N
N
N
N
N
CARGO AIRCRAFT MANAGEMENT INC
549300GH5J7LOMV44F11
CARGO AIRCRAFT MANAGEMENT INC 4.75% 02/01/2028 144A
14180LAA4
3960000.00000000
PA
USD
3925350.00000000
0.026705525571
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.04750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.68% 2/62 #765177
36176F2J6
6926.29720000
PA
USD
6975.40000000
0.000047456079
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Variable
0.04940000
N
N
N
N
N
N
TEINE ENERGY LTD
5493002EE80G6ER7SM91
TEINE ENERGY LTD 6.875% 09/30/22 144A
879068AA2
8820000.00000000
PA
USD
8709750.00000000
0.059255468008
Long
DBT
CORP
CA
N
2
2022-09-30
Fixed
0.06875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.47% 8/59 #725598
3620ACDB7
7798.48470000
PA
USD
8129.08000000
0.000055304967
Long
ABS-MBS
USGA
US
N
2
2059-08-20
Variable
0.05470000
N
N
N
N
N
N
SESI LLC
XDZ56K6RXS5J1ESBZS35
SESI LLC 7.75% 09/15/2024
78412FAU8
4340000.00000000
PA
USD
1584100.00000000
0.010777184979
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.07750000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT SEP20 TUU0
N/A
22.00000000
NC
USD
474.21000000
0.000003226216
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UNDERLYING TREASURY 2 YR NOTE GENERIC IV FOR FUTURES TRADING
2020-09-30
4857744.54000000
USD
474.21000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.625% 12/31/2023
9128285U0
69183000.00000000
PA
USD
75033827.76000000
0.510481308922
Long
DBT
UST
US
N
2
2023-12-31
Fixed
0.02625000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
ALTICE FRANCE SA 5.5% 01/15/2028 144A
02156LAC5
13345000.00000000
PA
USD
13478450.00000000
0.091698597867
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
0.05500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)SEP20 TYU0
N/A
1271.00000000
NC
USD
354780.59000000
0.002413696133
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UNDERLYING TREASURY 10 YR NOTEGENERIC IV FOR FUTURES TRADING
2020-09-21
176532672.54000000
USD
354780.59000000
N
N
N
VOC ESCROW LTD
N/A
VOC CRUISE LTD 5% 02/15/2028 144A
91832VAA2
6285000.00000000
PA
USD
4666612.50000000
0.031748592979
Long
DBT
CORP
BM
N
2
2028-02-15
Fixed
0.05000000
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
ZIGGO BV 4.875% 01/15/2030 144A
98955DAA8
4805000.00000000
PA
USD
4831043.10000000
0.032867271719
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
0.04875000
N
N
N
N
N
N
EPAM SYSTEMS INC
549300XCR4R530HJP604
EPAM SYSTEMS INC
29414B104
85100.00000000
NS
USD
21446051.00000000
0.145904967299
Long
EC
CORP
US
N
1
N
N
N
CHAPARRAL ENERGY INC-NEW
V5IUQSDP5WPR92NJWH73
CHAPARRAL ENERGY INC CL A
15942R208
108327.00000000
NS
USD
70217.56000000
0.000477714558
Long
EC
CORP
US
N
1
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
1113647.97000000
0.007576535682
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
26738676.10000000
USD
24767000.00000000
EUR
2020-08-13
1113647.97000000
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
42864.54000000
0.000291622420
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
1415707.93000000
USD
1297000.00000000
EUR
2020-08-13
42864.54000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #434034
36207KEF3
3612.82000000
PA
USD
4109.78000000
0.000027960267
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 6.375% 12/15/2025
451102BQ9
32405000.00000000
PA
USD
32080950.00000000
0.218257895623
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.06375000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 4.75% 03/01/2030 144A
1248EPCD3
51010000.00000000
PA
USD
52192921.90000000
0.355086657356
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
0.04750000
N
N
N
N
N
N
CURIE MERGER SUB LLC
549300RZMZYU7GPVZ531
COLE-PARMER TERM 1LN 11/04/2026
12594WAJ5
359100.00000000
PA
USD
344736.00000000
0.002345359283
Long
LON
CORP
US
N
2
2026-11-04
Variable
0.05943390
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 4.625% 04/15/2030 144A
737446AQ7
6415000.00000000
PA
USD
6295039.50000000
0.042827350004
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04625000
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US RENAL CARE TERM B 1LN 06/13/2026
90290PAN4
26340950.00000000
PA
USD
25283624.27000000
0.172013317152
Long
LON
CORP
US
N
2
2026-06-13
Variable
0.05178250
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 08/31/2021
912828YC8
22000000.00000000
PA
USD
22337734.32000000
0.151971400026
Long
DBT
UST
US
N
2
2021-08-31
Fixed
0.01500000
N
N
N
N
N
N
SRC ENERGY INC
549300RFZV39PJ73PH67
SRC ENERGY INC 6.25% 12/01/2025
78470VAC2
4370000.00000000
PA
USD
3681725.00000000
0.025048059697
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
0.06250000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025 144A
780153AZ5
12420000.00000000
PA
USD
12959653.22000000
0.088169042369
Long
DBT
CORP
LR
N
2
2025-06-01
Fixed
0.11500000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 5% 08/01/2027 144A
82967NBA5
8740000.00000000
PA
USD
8965666.80000000
0.060996559286
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
0.05000000
N
N
N
N
N
N
ALEXION PHARMACEUTICALS INC
M1YXUUZR0EIMU8T0EM75
ALEXION PHARMACEUTICALS INC
015351109
67800.00000000
NS
USD
7609872.00000000
0.051772614236
Long
EC
CORP
US
N
1
N
N
N
LAM RESEARCH CORP
549300I4GMO6D34U1T02
LAM RESEARCH CORP
512807108
60200.00000000
NS
USD
19472292.00000000
0.132476796194
Long
EC
CORP
US
N
1
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
BOYD GAMING CORP
103304101
449600.00000000
NS
USD
9396640.00000000
0.063928620328
Long
EC
CORP
US
N
1
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.28% 2/36 #1H1311
3128NGDQ5
1255.78810000
PA
USD
1317.62000000
0.000008964228
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
0.03910000
N
N
N
N
N
N
DYNASTY ACQUISITION CO INC
549300L1RCRPOAUCB870
STANDARDAERO TERM B-1 04/08/2026
26812CAE6
1544700.30000000
PA
USD
1314926.13000000
0.008945901229
Long
LON
CORP
US
N
2
2026-04-08
Variable
0.03807880
N
N
N
N
N
N
Fidelity Central Investment Portfolios LLC
S2V1M15I679NQK6BNY65
Fidelity Floating Rate Central Fund
31606V708
15321340.50200000
NS
USD
1438673873.14000000
9.787800300179
Long
EC
RF
US
N
1
N
N
N
FORBES ENERGY SVCS LTD
5493000KNGZL65YWY755
FORBES ENERGY SVCS LTD NEW
345143200
135187.00000000
NS
USD
10814.96000000
0.000073577946
Long
EC
CORP
US
N
1
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 1.57125 09/05/2024
N/A
19800000.00000000
NC
USD
925215.19000000
0.006294561737
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 9/29 3MLV1.57125
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-09
0.00000000
USD
0.00000000
USD
19800000.00000000
USD
1.00000000
1.57125000
USD
2024-09-05
XXXX
356583.94000000
N
N
N
JAPAN GOVERNMENT OF
N/A
JAPAN GOVT #323 .9% 6/20/22
N/A
5350000000.00000000
PA
50559609.60000000
0.343974663931
Long
DBT
NUSS
JP
N
2
2022-06-20
Fixed
0.00900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 01/01/2035#787546
31405E5F8
252440.95030000
PA
USD
298486.94000000
0.002030710792
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.06000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.4025 02/26/2025
N/A
20100000.00000000
NC
USD
813536.24000000
0.005534770876
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 3MLV1.40250003%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
20100000.00000000
USD
1.00000000
1.40250000
USD
2025-02-26
XXXX
246716.24000000
N
N
N
CATALENT PHARMA SOLUTIONS
549300HALRZ339MSTH85
CATALENT PHARMA SOLUTIONS 5% 07/15/2027 144A
14879EAE8
2295000.00000000
PA
USD
2382508.35000000
0.016209035542
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.05000000
N
N
N
N
N
N
ZEBRA TECHNOLOGIES CORP
PO0I32GKZ3HZMMDPZZ08
ZEBRA TECHNOLOGIES CORP CL A
989207105
123100.00000000
NS
USD
31507445.00000000
0.214356141017
Long
EC
CORP
US
N
1
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS SA 8% 02/15/2024 144A
45824TAR6
12960000.00000000
PA
USD
13143772.80000000
0.089421672110
Long
DBT
CORP
LU
N
2
2024-02-15
Fixed
0.08000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.45 09/04/24
N/A
-20300000.00000000
NC
USD
-272231.73000000
-0.00185208743
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/06/29 3MLV1.45
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-06
0.00000000
USD
0.00000000
USD
-20300000.00000000
USD
1.00000000
1.45000000
USD
2024-09-04
XXXX
322558.27000000
N
N
N
CATALENT PHARMA SOLUTIONS
549300HALRZ339MSTH85
CATALENT PHARMA SOLUTIONS INC 4.875% 01/15/2026 144A
14879EAD0
2365000.00000000
PA
USD
2400948.00000000
0.016334486914
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.04875000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO (PVT BACKSTOP) RT 8/29/2020
N/A
6000000.00000000
NS
USD
360000.00000000
0.002449205600
Long
EC
CORP
US
N
3
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FIN CRP MED TRM NTS 7.125% 03/15/2026
85172FAN9
41215000.00000000
PA
USD
42657112.85000000
0.290211221426
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.07125000
N
N
N
N
N
N
NCUA GTD NTS TR 2010-A1
N/A
NGN 2010-A1 A 1ML+35 12/7/20
62889AAA1
1391917.12110000
PA
USD
1390201.86000000
0.009458028283
Long
ABS-CBDO
USGA
US
N
2
2020-12-07
Variable
0.00530130
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3% 02/15/2049
912810SF6
145860000.00000000
PA
USD
201258312.08000000
1.369230514411
Long
DBT
UST
US
N
2
2049-02-15
Fixed
0.03000000
N
N
N
N
N
N
VIKING CRUISES LTD
549300IJP90T4MV2GL84
VIKING CRUISES LTD 13% 05/15/2025 144A
92676XAE7
5740000.00000000
PA
USD
6055700.00000000
0.041199039882
Long
DBT
CORP
BM
N
2
2025-05-15
Fixed
0.13000000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5% 02/01/2028 144A
1248EPBX0
54720000.00000000
PA
USD
56498400.00000000
0.384378327016
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.05000000
N
N
N
N
N
N
NGL ENERGY PARTNERS LP / NGL ENERGY FIN CORP
N/A
NGL ENERGY PARTNERS LP / NGL ENERGY FINANCE CORP 6.125% 03/01/2025
62913TAM4
7480000.00000000
PA
USD
5647400.00000000
0.038421232530
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
0.06125000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A4 PP
N/A
403760.00000000
NS
USD
448.62000000
0.000003052118
Long
EC
CORP
LU
Y
3
N
N
N
DCP MIDSTREAM LP
52990024YYS3MLGW0E91
DCP MIDSTREAM LP 7.375%/VAR PERP
23311PAA8
8965000.00000000
PA
USD
6222970.93000000
0.042337042378
Long
EP
CORP
US
N
2
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC 7.5% 01/15/2026 144A
893830BF5
7620000.00000000
PA
USD
4152900.00000000
0.028253627611
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
0.07500000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS LP
549300NELT611CL6XM83
EQM MIDSTREAM PARTNERS LP 6.5% 07/01/2027 144A
26885BAH3
6805000.00000000
PA
USD
6970565.65000000
0.047423190088
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
0.06500000
N
N
N
N
N
N
PARSLEY ENERGY LLC / PARSLEY FINANCE CORP
N/A
PARSLEY ENERGY LLC / PARSLEY FINANCE CORP 5.625% 10/15/2027 144A
701885AH8
2270000.00000000
PA
USD
2235950.00000000
0.015211947954
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.05625000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.83% 5/37 #1N1484
3128QHUH1
23666.39500000
PA
USD
24774.86000000
0.000168552016
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
0.03580000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC 7.875% 04/15/2027 144A
097751BT7
30330000.00000000
PA
USD
19866150.00000000
0.135156349582
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
0.07875000
N
N
N
N
N
N
HUNTINGTON BANCSHARES INC
549300XTVCVV9I7B5T19
HUNTINGTON BANCSHARES INC 5.7%/VAR PERP
446150AL8
7660000.00000000
PA
USD
6491850.00000000
0.044166320501
Long
EP
CORP
US
N
2
N
N
N
EXTRACTION OIL and GAS INC
5493002FL3WIE1JVUP20
EXTRACTION OIL AND GAS INC 7.375% 05/15/2024 144A
30227MAA3
4315000.00000000
PA
USD
830637.50000000
0.005651116714
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.07375000
Y
Y
N
N
N
N
FAIR ISAAC CORPORATION
RI6HET5SJUEY30V1PS26
FAIR ISAAC CORPORATION 4% 06/15/2028 144A
303250AF1
6420000.00000000
PA
USD
6436050.00000000
0.043786693633
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 3/22 #G18186
3128MMF40
2464.82470000
PA
USD
2543.04000000
0.000017301188
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
0.06500000
N
N
N
N
N
N
VISTRA ENERGY CORP
549300KP43CPCUJOOG15
VISTRA ENERGY CORP
92840M102
984600.00000000
NS
USD
18333252.00000000
0.124727509673
Long
EC
CORP
US
N
1
N
N
N
JAPAN GOVERNMENT OF
N/A
JAPAN GOVERNMENT OF 0.1% 09/20/2029
N/A
8451850000.00000000
PA
78938154.27000000
0.537043804356
Long
DBT
NUSS
JP
N
2
2029-09-20
Fixed
0.00100000
N
N
N
N
N
N
ANTERO RESOURCES CORPORATION
APVBKPOULHUX7YZLKU17
ANTERO RES CORP 5.625% 06/01/2023
03674XAF3
1645000.00000000
PA
USD
1052800.00000000
0.007162565713
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
0.05625000
N
N
N
N
N
N
CHS/CMNTY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/CMNTY HEALTH SYSTEMS INC 8% 03/15/2026 144A
12543DBC3
37390000.00000000
PA
USD
35341028.00000000
0.240437343671
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.08000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.125% 11/15/2028
9128285M8
31330000.00000000
PA
USD
37875032.81000000
0.257677062486
Long
DBT
UST
US
N
2
2028-11-15
Fixed
0.03125000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.466% 2/37 #848189
31300LC29
19350.36220000
PA
USD
20157.28000000
0.000137137008
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.03597000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
8665.09000000
0.000058951630
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2354000.00000000
EUR
2655912.27000000
USD
2020-08-13
8665.09000000
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA 2.731%/VAR 01/15/2032 REGS
N/A
11593000.00000000
PA
11762638.58000000
0.080025334145
Long
DBT
CORP
IT
N
2
2032-01-15
Variable
0.02731000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3ML+0 PERP
38148BAB4
22175000.00000000
PA
USD
20327822.50000000
0.138297268673
Long
EP
CORP
US
N
2
N
N
N
CONTINENTAL RESOURCES INC OKLA
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC OKLA 3.8% 06/01/2024
212015AN1
11880000.00000000
PA
USD
11207710.80000000
0.076249966848
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
0.03800000
N
N
N
N
N
N
ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER
N/A
ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 6.75% 10/15/2027 144A
01883LAA1
3340000.00000000
PA
USD
3328710.80000000
0.022646380931
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.06750000
N
N
N
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO LOGISTICS INC 6.25% 05/01/2025 144A
983793AH3
11590000.00000000
PA
USD
12140525.00000000
0.082596227302
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06250000
N
N
N
N
N
N
TESLA INC
54930043XZGB27CTOV49
TESLA INC 5.3% 08/15/2025 144A
88160RAE1
835000.00000000
PA
USD
834131.60000000
0.005674888296
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.05300000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+880 08/20/2039
38378WVT7
3248542.01270000
PA
USD
3358892.39000000
0.022851716818
Long
ABS-CBDO
USGA
US
N
2
2039-08-20
Variable
0.08546670
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC WT 05/01/2039
45174J145
26.00000000
NS
USD
217.08000000
0.000001476870
Long
EC
CORP
US
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/34 #725703
31402DGL8
303546.58370000
PA
USD
355995.88000000
0.002421964175
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.06000000
N
N
N
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO LOGISTICS INC
983793100
100100.00000000
NS
USD
7732725.00000000
0.052608426057
Long
EC
CORP
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.58% 7/35 #995273
31416BT65
74000.65510000
PA
USD
77459.90000000
0.000526986724
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.03719000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 11.5% 01/01/2025 144A
165167DD6
14711000.00000000
PA
USD
1544655.00000000
0.010508826882
Long
DBT
CORP
US
N
2
2025-01-01
Fixed
0.11500000
N
N
N
N
N
N
CDW CORP
N/A
CDW CORPORATION
12514G108
96400.00000000
NS
USD
11199752.00000000
0.076195820355
Long
EC
CORP
US
N
1
N
N
N
NABORS INDUSTRIES INC
549300VFQWRKICUFNU92
NABORS INDUSTRIES INC 5.75% 02/01/2025
62957HAF2
11690000.00000000
PA
USD
4734450.00000000
0.032210115159
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.05750000
N
N
N
N
N
N
CF INDS INC
5FVKT86LAD2F40NPC183
CF INDUSTRIES INC 5.15% 03/15/2034
12527GAF0
19208000.00000000
PA
USD
20539306.48000000
0.139736067974
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
0.05150000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 10/31/2024
912828YM6
480000.00000000
PA
USD
505968.75000000
0.003442281934
Long
DBT
UST
US
N
2
2024-10-31
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.66% 4/36 #868559
31409D5U3
226055.15270000
PA
USD
238942.04000000
0.001625606062
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Variable
0.03889000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
AMAZON.COM INC
023135106
4900.00000000
NS
USD
13518218.00000000
0.091969153446
Long
EC
CORP
US
N
1
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.12% 10/36 #1A1201
3128NFKN6
245325.53250000
PA
USD
256224.76000000
0.001743186436
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
0.03588000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/GBP settle 2020-08-13
N/A
1.00000000
NC
N/A
62514.41000000
0.000425307341
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
9492000.00000000
GBP
11827221.84000000
USD
2020-08-13
62514.41000000
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI PROPERTIES / NOTE 4.625% 12/01/2029 144A
92564RAB1
7220000.00000000
PA
USD
7039500.00000000
0.047892174522
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
0.04625000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-67 AI IO 4% 7/26
31397U4B2
346436.79100000
PA
USD
21005.71000000
0.000142909173
Long
ABS-CBDO
USGSE
US
N
2
2026-07-25
Fixed
0.04000000
N
N
N
N
N
N
VOLKSWAGEN FIN SERV AG
529900USFSZYPS075O24
VOLKSWAGEN FIN SERV AG 3.375% 04/06/2028 REGS
N/A
18219000.00000000
PA
22826692.88000000
0.155297955703
Long
DBT
CORP
DE
N
2
2028-04-06
Fixed
0.03375000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+30 05/20/2048
38380WJ75
5195473.84300000
PA
USD
5175082.13000000
0.035207889272
Long
ABS-CBDO
USGA
US
N
2
2048-05-20
Variable
0.00490000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2003-70 BJ 5% 7/33
31393DAN1
318346.41880000
PA
USD
362361.22000000
0.002465269804
Long
ABS-CBDO
USGSE
US
N
2
2033-07-25
Fixed
0.05000000
N
N
N
N
N
N
J2 CLOUD SERVICES LLC / J2 GLOBAL CO OBLIGOR INC
N/A
J2 CLOUD SERVICES LLC / J2 GLOBAL CO OBLIGOR INC 6% 07/15/2025 144A
466253AA9
4875000.00000000
PA
USD
4960312.50000000
0.033746736548
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.06000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 5.875%/VAR PERP
060505FL3
60475000.00000000
PA
USD
61777858.89000000
0.420296327803
Long
EP
CORP
US
N
2
N
N
N
OPEN TEXT HOLDINGS INC
N/A
OPEN TEXT HOLDINGS INC 4.125% 02/15/2030 144A
683720AA4
3220000.00000000
PA
USD
3163650.00000000
0.021523414720
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04125000
N
N
N
N
N
N
ODEBRECHT FINANCE LTD
N/A
ODEBRECHT FINANCE LTD 5.25% 06/27/2029 144A
675758AM8
6800000.00000000
PA
USD
272000.00000000
0.001850510898
Long
DBT
CORP
KY
N
2
2029-06-27
Fixed
0.05250000
Y
Y
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12M+1.75 9/1/41 #1B8787
3128UHEK7
795480.82400000
PA
USD
824995.71000000
0.005612733649
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04008000
N
N
N
N
N
N
FORTIVE CORP
549300MU9YQJYHDQEF63
FORTIVE CORP
34959J108
134900.00000000
NS
USD
9127334.00000000
0.062096437652
Long
EC
CORP
US
N
1
N
N
N
DENBURY RESOURCES INC
549300KCWA5W52MS5559
DENBURY RESOURCES INC 9.25% 03/31/2022 144A
247916AH2
4210000.00000000
PA
USD
1684000.00000000
0.011456839533
Long
DBT
CORP
US
N
2
2022-03-31
Fixed
0.09250000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP
N/A
HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP 4.875% 04/01/2027
432891AK5
5210000.00000000
PA
USD
5086262.50000000
0.034603618341
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04875000
N
N
N
N
N
N
SABRE GLBL INC
F2TJC7HPPHLHU1AQMP98
SABRE GLBL INC 9.25% 04/15/2025 144A
78573NAC6
5090000.00000000
PA
USD
5363587.50000000
0.036490357073
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.09250000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.6%/VAR PERP
48128BAG6
13385000.00000000
PA
USD
11934066.00000000
0.081191614693
Long
EP
CORP
US
N
2
N
N
N
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC
N/A
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A
013092AE1
18930000.00000000
PA
USD
19367850.90000000
0.131766246952
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04875000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031
674599DD4
680000.00000000
PA
USD
632202.80000000
0.004301096218
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
0.07500000
N
N
N
N
N
N
ASGN INC
LZBNYYCBUKY537072438
ASGN INC 4.625% 05/15/2028 144A
00191UAA0
5670000.00000000
PA
USD
5537435.40000000
0.037673104990
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
0.04625000
N
N
N
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
VIRGIN MEDIA FINANCE PLC 5% 07/15/2030 144A
92769VAJ8
14025000.00000000
PA
USD
13712382.75000000
0.093290123983
Long
DBT
CORP
GB
N
2
2030-07-15
Fixed
0.05000000
N
N
N
N
N
N
HOLOGIC INC
549300DYP6F5ZJL0LB74
HOLOGIC INC 4.375% 10/15/2025 144A
436440AK7
3700000.00000000
PA
USD
3736223.00000000
0.025418828605
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
0.04375000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP INC
549300JH4DTA7U42GL91
ASBURY AUTOMOTIVE GROUP INC 4.75% 03/01/2030 144A
043436AT1
1980000.00000000
PA
USD
1930500.00000000
0.013133865035
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
0.04750000
N
N
N
N
N
N
TRONOX INC
549300EPZ4YXC7E5P181
TRONOX INC 6.5% 05/01/2025 144A
897051AB4
5410000.00000000
PA
USD
5464100.00000000
0.037174178678
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 5.25% 2/15/29
912810FG8
5406000.00000000
PA
USD
7539680.63000000
0.051295077857
Long
DBT
UST
US
N
2
2029-02-15
Fixed
0.05250000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A2 PP
N/A
403760.00000000
NS
USD
448.62000000
0.000003052118
Long
EC
CORP
LU
Y
3
N
N
N
LAMB WESTON HOLDINGS INC
5493005SMYID1D2OY946
LAMB WESTON HOLDINGS INC 4.875% 11/01/2026 144A
513272AB0
5285000.00000000
PA
USD
5469975.00000000
0.037214148353
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
0.04875000
N
N
N
N
N
N
MYLAN NV
549300A0CD4KNFGIIS89
MYLAN NV 3.125% 11/22/2028 REGS
N/A
21360000.00000000
PA
26940541.75000000
0.183285904853
Long
DBT
CORP
NL
N
2
2028-11-22
Fixed
0.03125000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-37456.94000000
-0.00025483263
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
15798000.00000000
EUR
17728562.99000000
USD
2020-08-13
-37456.94000000
N
N
N
COMMERCIAL METALS CO
549300OQS2LO07ZJ7N73
COMMERCIAL METALS CO 5.75% 04/15/2026
201723AN3
5405000.00000000
PA
USD
5540125.00000000
0.037691403277
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.05750000
N
N
N
N
N
N
ASCEND LEARNING LLC
549300T466HKRLVCD610
ASCEND LEARNING LLC 6.875% 08/01/2025 144A
043502AA1
2480000.00000000
PA
USD
2498290.00000000
0.016996738502
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
0.06875000
N
N
N
N
N
N
ACPRODUCTS INC
N/A
ACPRODUCTS TERM 1LN 08/13/2025
N/A
2621812.50000000
PA
USD
2557918.93000000
0.017402414917
Long
LON
CORP
US
N
2
2025-08-13
Variable
0.07500000
N
N
N
N
N
N
ELAH HOLDINGS INC
549300QGHCFUEGYWKU13
ELAH HOLDINGS INC
28413L105
517.00000000
NS
USD
24816.00000000
0.000168831906
Long
EC
CORP
US
N
1
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
299685.65000000
0.002038866034
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
9104002.07000000
USD
8362000.00000000
EUR
2020-08-13
299685.65000000
N
N
N
ALGOMA STEEL GP
N/A
ALGOMA STEEL GP
N/A
151792.00000000
NS
USD
3035.84000000
0.000020653878
Long
EC
CORP
LU
N
3
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 4.875% 04/15/2028
64110LAS5
16980000.00000000
PA
USD
18156204.60000000
0.123522994440
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
0.04875000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 4.5%/VAR 03/18/2030 REGS
N/A
12510000.00000000
PA
15162377.63000000
0.103154945042
Long
DBT
CORP
GB
N
2
2030-03-18
Variable
0.04500000
N
N
N
N
N
N
ALGOMA STEEL SCA
N/A
ALGOMA STEEL SCA 0% 12/31/2023
N/A
1517920.00000000
PA
USD
925931.20000000
0.006299433003
Long
DBT
CORP
LU
N
3
2023-12-31
Fixed
0.00000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: NOK/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
1170621.04000000
0.007964143354
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
16884545.46000000
USD
173757000.00000000
NOK
2020-08-13
1170621.04000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.5% 06/20/2065
38376RGD2
244582.73970000
PA
USD
245043.04000000
0.001667113294
Long
ABS-CBDO
USGA
US
N
2
2065-06-20
Fixed
0.02500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO
46625H100
115500.00000000
NS
USD
10863930.00000000
0.073911106123
Long
EC
CORP
US
N
1
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
HERTZ CORP 6% 01/15/2028 144A
428040CZ0
3435000.00000000
PA
USD
1073437.50000000
0.007302969825
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.06000000
Y
Y
N
N
N
N
COLT MERGER SUB INC
N/A
COLT MERGER SUB INC 5.75% 07/01/2025 144A
12770RAA1
8510000.00000000
PA
USD
8552550.00000000
0.058185981562
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.05750000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043
3136AA4A0
715659.60880000
PA
USD
735696.50000000
0.005005199967
Long
ABS-CBDO
USGSE
US
N
2
2043-01-25
Fixed
0.01750000
N
N
N
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT TERM DIP DD 1LN 07/13/2021
N/A
3146737.42000000
PA
USD
3188054.08000000
0.021689444191
Long
LON
CORP
LU
N
2
2021-07-13
Variable
0.05050000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.75% 02/20/2064
38375UDD9
10001090.21070000
PA
USD
10346096.82000000
0.070388106332
Long
ABS-CBDO
USGA
US
N
2
2064-02-20
Fixed
0.02750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 09/30/2026
912828YG9
3093000.00000000
PA
USD
3321592.03000000
0.022597949455
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.01625000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS INC
335934105
709700.00000000
NS
5656271.36000000
0.038481587487
Long
EC
CORP
CA
N
1
N
N
N
W and T OFFSHORE INC
549300Q7EOY2YIO3YK85
W and T OFFSHORE INC 9.75% 11/01/2023 144A
92922PAL0
24200000.00000000
PA
USD
15149200.00000000
0.103065293028
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
0.09750000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.27 03/18/2025
N/A
-32000000.00000000
NC
USD
-609740.80000000
-0.00414827939
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 03/20/30 3MLV1.27%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-03-20
0.00000000
USD
0.00000000
USD
-32000000.00000000
USD
1.00000000
1.27000000
USD
2025-03-18
XXXX
305459.20000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2017-134 BA 2.5% 11/46
38380GF25
836719.73100000
PA
USD
879324.91000000
0.005982354151
Long
ABS-CBDO
USGA
US
N
2
2046-11-20
Fixed
0.02500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 4.75% 2/15/37
912810PT9
74200000.00000000
PA
USD
118308421.50000000
0.804893468277
Long
DBT
UST
US
N
2
2037-02-15
Fixed
0.04750000
N
N
N
N
N
N
ULTIMATE SOFTWARE GROUP INC
529900FKHWSTQ1GXK240
ULTIMATE SOFTWARE GROUP INC TERM 2LN 05/03/2027
N/A
1430000.00000000
PA
USD
1451450.00000000
0.009874720748
Long
LON
CORP
US
N
2
2027-05-03
Variable
0.00000000
N
N
N
N
N
N
ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA
N/A
ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA 7.25% 02/01/2028 144A
68752DAA6
4155000.00000000
PA
USD
4223474.40000000
0.028733769877
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.07250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 6/36 #782394
36241KUT3
2936543.76510000
PA
USD
3433817.79000000
0.023361460455
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
0.06000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-109515.97000000
-0.00074507535
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
12078000.00000000
EUR
13473088.71000000
USD
2020-08-13
-109515.97000000
N
N
N
GCI INC
5493008K7JEOCBQEK325
GCI INC 6.875% 04/15/2025
36155WAK2
8000000.00000000
PA
USD
8240000.00000000
0.056059594866
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.06875000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV SA NV
5493008H3828EMEXB082
ANHEUSER BUSCH INBEV SA NV 3.7% 04/02/2040 REGS
N/A
7879000.00000000
PA
10719840.38000000
0.072930814167
Long
DBT
CORP
BE
N
2
2040-04-02
Fixed
0.03700000
N
N
N
N
N
N
FMG RESOURCES AUG'06 PTY LTD
549300EFD6S2NFE9D745
FMG RES AUGUST 2006 PTY LTD 4.5% 09/15/2027 144A
30251GBA4
5450000.00000000
PA
USD
5452016.50000000
0.037091970412
Long
DBT
CORP
AU
N
2
2027-09-15
Fixed
0.04500000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TVA 5.25% 9/15/39
880591EH1
2106000.00000000
PA
USD
3248689.42000000
0.022101967564
Long
DBT
USGSE
US
N
2
2039-09-15
Fixed
0.05250000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.56% 6/33 #780605
31342AU64
190688.28230000
PA
USD
199985.00000000
0.001360567728
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
0.03926000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 7.25% 05/15/22 144A
335934AH8
4105000.00000000
PA
USD
3941826.25000000
0.026817619248
Long
DBT
CORP
CA
N
2
2022-05-15
Fixed
0.07250000
N
N
N
N
N
N
IAA INC
549300PZCOPC5178W747
IAA SPINCO INC 5.5% 06/15/2027 144A
449253AB9
2830000.00000000
PA
USD
2925597.40000000
0.019903859828
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.05500000
N
N
N
N
N
N
DCP MIDSTREAM LLC
VQOHU6HCVU6YY1KUKU03
DCP MIDSTREAM LLC 5.85%/VAR 05/21/2043 144A
23311RAH9
10780000.00000000
PA
USD
7546000.00000000
0.051338070735
Long
DBT
CORP
US
N
2
2043-05-21
Variable
0.05850000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
SPRINT CAPITAL CORP 6.875% 11/15/2028
852060AD4
78162000.00000000
PA
USD
95256029.40000000
0.648060002035
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.06875000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
8928.52000000
0.000060743836
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
15431472.40000000
USD
13730000.00000000
EUR
2020-08-13
8928.52000000
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A7 PP
N/A
403760.00000000
NS
USD
448.62000000
0.000003052118
Long
EC
CORP
LU
Y
3
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.64% 2/62 #759733
36230UY60
48375.54770000
PA
USD
49148.85000000
0.000334376774
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Variable
0.04700000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 6.125% 8/15/29
912810FJ2
3663000.00000000
PA
USD
5470318.49000000
0.037216485235
Long
DBT
UST
US
N
2
2029-08-15
Fixed
0.06125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 05/31/2022
912828ZR4
66923000.00000000
PA
USD
66873330.42000000
0.454962598389
Long
DBT
UST
US
N
2
2022-05-31
Fixed
0.00125000
N
N
N
N
N
N
SOUTHRN NAT GAS
N/A
SOUTHRN NAT GAS 8% 3/01/32
843452AZ6
9400000.00000000
PA
USD
13625214.46000000
0.092697087694
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 17-161 DF 1ML+25 10/20/2047
38380HZJ4
4396154.40100000
PA
USD
4371983.03000000
0.029744125901
Long
ABS-CBDO
USGA
US
N
2
2047-10-20
Variable
0.00440000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.03% 1/37 #1A1202
3128NFKP1
27952.35640000
PA
USD
29088.21000000
0.000197897241
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Variable
0.03415000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90684
3132J2XM0
1234651.82400000
PA
USD
1310965.90000000
0.008918958402
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2% 02/15/2050
912810SL3
12270000.00000000
PA
USD
14044357.09000000
0.095548661241
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.02000000
N
N
N
N
N
N
GLOBAL PARTNERS LP / GLP FIN CORP
N/A
GLOBAL PARTNERS LP / GLP FIN CORP 7.0% 06/15/2023
37954FAD6
8125000.00000000
PA
USD
7810156.25000000
0.053135217866
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H17 XP 5.3019% 7/60
38375BED0
201487.67850000
PA
USD
201521.73000000
0.001371022638
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Variable
0.05310000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 6.875%/VAR PERP
55336VAU4
18000000.00000000
PA
USD
16020000.00000000
0.108989649243
Long
EP
CORP
US
N
2
N
N
N
ALERIS CORP
549300FXGXTJUK0JO727
ALERIS CORP
014475107
72811.00000000
NS
USD
0.73000000
0.000000004966
Long
EC
CORP
US
N
3
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A5 PP
N/A
403760.00000000
NS
USD
448.62000000
0.000003052118
Long
EC
CORP
LU
Y
3
N
N
N
US WEST COMMUNICATIONS
N/A
US WEST COMMUNICATIONS 7.25% 09/15/2025
912920AK1
955000.00000000
PA
USD
1083375.66000000
0.007370582595
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
0.07250000
N
N
N
N
N
N
WAND NEWCO 3 INC
549300Y3VZEWMSQW8494
CALIBER COLLISION TERM B 1LN 02/05/2026
93369PAF1
11350951.50000000
PA
USD
10755026.55000000
0.073170197957
Long
LON
CORP
US
N
2
2026-02-05
Variable
0.04072000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4% 05/29#BM5499
3140JADD7
2703570.88000000
PA
USD
2863022.89000000
0.019478143605
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.04000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
UBER TECHNOLOGIES INC 8% 11/01/2026 144A
90353TAC4
29170000.00000000
PA
USD
29695060.00000000
0.202025853536
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
0.08000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 4.625% 07/15/2024
88033GCS7
3640000.00000000
PA
USD
3566945.20000000
0.024267172672
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.04625000
N
N
N
N
N
N
CALIFORNIA RESOURCES CORPORATION
5493003Q8F0T4F4YMR48
CALIFORNIA RESOURCES TERM 1 1/2LN 12/31/21
N/A
59940000.00000000
PA
USD
2697300.00000000
0.018350672965
Long
LON
CORP
US
N
2
2021-12-31
Variable
0.11375000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H07 FA 1ML+63 3/20/62
38375BQA3
2571862.47760000
PA
USD
2576222.56000000
0.017526940898
Long
ABS-CBDO
USGA
US
N
2
2062-03-20
Variable
0.00933380
N
N
N
N
N
N
HCA HEALTHCARE INC
529900PH4ZGUH2MNEU89
HCA HEALTHCARE INC
40412C101
101300.00000000
NS
USD
9832178.00000000
0.066891737298
Long
EC
CORP
US
N
1
N
N
N
SCIENTIFIC GAMES INTL INC
RLTHESQ0RNFQJWPBJN60
SCIENTIFIC GAMES INTL INC 7.25% 11/15/2029 144A
80874YBE9
4965000.00000000
PA
USD
3972000.00000000
0.027022901797
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.07250000
N
N
N
N
N
N
LCPR SENIOR SECURED FINANCING DESIGNATED ACTIVITY COMPANY
549300LE5FM8IKMXSP90
LCPR SENIOR SECURED FINANCING DESIGNATED ACTIVITY COMPANY 6.75% 10/15/2027 144A
50201DAA1
6785000.00000000
PA
USD
6920700.00000000
0.047083936673
Long
DBT
CORP
IE
N
2
2027-10-15
Fixed
0.06750000
N
N
N
N
N
N
DENBURY RESOURCES INC
549300KCWA5W52MS5559
DENBURY RESOURCES INC 9% 05/15/2021 144A
247916AF6
27890000.00000000
PA
USD
10807375.00000000
0.073526342727
Long
DBT
CORP
US
N
2
2021-05-15
Fixed
0.09000000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PIPECO LLC 4.875% 08/15/2027 144A
62912XAF1
1800000.00000000
PA
USD
1977733.84000000
0.013455213328
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.04875000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.75% 01/15/2025
15135BAP6
5425000.00000000
PA
USD
5553409.75000000
0.037781784067
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04750000
N
N
N
N
N
N
ACRISURE LLC / ACRISURE FINANCE INC
N/A
ACRISURE LLC / ACRISURE FINANCE INC 7% 11/15/2025 144A
00489LAA1
20290000.00000000
PA
USD
19402312.50000000
0.132000701241
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.07000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
EG GLOBAL FINANCE PLC 8.5% 10/30/2025 144A
28228PAB7
9545000.00000000
PA
USD
9783625.00000000
0.066561414299
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
0.08500000
N
N
N
N
N
N
LGI HOMES INC
549300W02B4WNV8CV109
LGI HOMES INC 6.875% 07/15/2026 144A
50187TAE6
7205000.00000000
PA
USD
7331087.50000000
0.049875946017
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.06875000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 5.375% 08/15/2026 144A
15135BAM3
4655000.00000000
PA
USD
4842177.55000000
0.032943023267
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.05375000
N
N
N
N
N
N
COMPASS MINERALS INTL INC
2549008X9G8XP7YJGC47
COMPASS MINERALS INTL INC 6.75% 12/01/2027 144A
20451NAG6
14455000.00000000
PA
USD
15177750.00000000
0.103259528639
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.06750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545762
31385JJF6
53205.12460000
PA
USD
61471.47000000
0.000418211857
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
CLEARWAY ENERGY OPERATING LLC
549300Z3NFMM54NWBB87
CLEARWAY ENERGY OPER LLC 4.75% 03/15/2028 144A
18539UAC9
4055000.00000000
PA
USD
4135856.70000000
0.028137676095
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.19% 9/33 #748643
31403GWC2
242014.01830000
PA
USD
249613.91000000
0.001698210517
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
0.03375000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.25% 05/15/2050
912810SN9
6020000.00000000
PA
USD
5779435.14000000
0.039319513653
Long
DBT
UST
US
N
2
2050-05-15
Fixed
0.01250000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-49694.17000000
-0.00033808677
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
2426000.00000000
EUR
2678522.34000000
USD
2020-08-13
-49694.17000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H21 FA 1ML+60 10/61
38375BNE8
4511361.98470000
PA
USD
4518437.60000000
0.030740507437
Long
ABS-CBDO
USGA
US
N
2
2061-10-20
Variable
0.00903380
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 04/30/2024
9128286R6
24428000.00000000
PA
USD
26325941.03000000
0.179104561726
Long
DBT
UST
US
N
2
2024-04-30
Fixed
0.02250000
N
N
N
N
N
N
CITADEL SECS LP
549300NV5RXBUS3X7L47
CITADEL TERM B 1LN 02/27/2026
17288YAC6
2205081.68000000
PA
USD
2140759.45000000
0.014564333431
Long
LON
CORP
US
N
2
2026-02-27
Variable
0.02928250
N
N
N
N
N
N
NEW COTAI LLC / NEW COTAI CAP CORP
N/A
NEW COTAI LLC / NEW COTAI CAP CORP 10.625% PIK 05/01/2019 144A
643639AA5
19049960.00000000
PA
USD
8572482.00000000
0.058321585912
Long
DBT
CORP
US
N
2
2019-05-01
Variable
0.10625000
Y
Y
Y
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/35 #745092
31403CXV8
115019.16810000
PA
USD
133901.14000000
0.000910976172
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 07/01/2033#MA1490
31418AUQ9
4316447.65200000
PA
USD
4582023.57000000
0.031173104976
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 13-H08 MA 3% 03/20/2063
38375BN40
2564535.86900000
PA
USD
2584582.59000000
0.017583817098
Long
ABS-CBDO
USGA
US
N
2
2063-03-20
Fixed
0.03000000
N
N
N
N
N
N
INDIGO NATURAL RESOURCES LLC
549300F7DOI6H6TA3C86
INDIGO NATURAL RESOURCES LLC 6.875% 02/15/2026 144A
45569LAA9
13168000.00000000
PA
USD
12246240.00000000
0.083315443330
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.06875000
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC 7.25% 11/01/2025 144A
893830BK4
7140000.00000000
PA
USD
3891300.00000000
0.026473871541
Long
DBT
CORP
KY
N
2
2025-11-01
Fixed
0.07250000
N
N
N
N
N
N
MELCO RESORTS FIN LTD
529900NRV6LBR3T6B421
MCE FINANCE LTD 4.875% 06/06/2025 144A
58547DAA7
17840000.00000000
PA
USD
17929964.27000000
0.121983802542
Long
DBT
CORP
KY
N
2
2025-06-06
Fixed
0.04875000
N
N
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
HEALTHSOUTH CORP 5.75% 11/01/2024
421924BK6
10048000.00000000
PA
USD
10048000.00000000
0.068360049662
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.05750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.08% 7/35 #1G0277
3128NCJW5
49377.13890000
PA
USD
51137.40000000
0.000347905573
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04350000
N
N
N
N
N
N
ARD FIN SA
6354006P6QPGGPVJW880
ARD FIN SA PIK 6.5% 06/30/2027 144A
00191AAD8
6625000.00000000
PA
USD
6554609.38000000
0.044593294460
Long
DBT
CORP
LU
N
2
2027-06-30
Variable
0.06500000
N
N
Y
N
N
N
BBA US HOLDINGS INC
213800CSNQ87U1MC8N11
BBA US HOLDINGS INC 5.375% 05/01/2026 144A
05545MAA0
2610000.00000000
PA
USD
2611827.00000000
0.017769170325
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.05375000
N
N
N
N
N
N
TEMPUR SEALY INTERNATIONAL INC
549300HFEKVR3US71V91
TEMPUR SEALY INTERNATIONAL INC
88023U101
183762.00000000
NS
USD
13221675.90000000
0.089951674079
Long
EC
CORP
US
N
1
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2012-64 KI 3.5% 11/20/2036
38378EZH9
382896.93600000
PA
USD
5643.25000000
0.000038392998
Long
ABS-CBDO
USGA
US
N
2
2036-11-20
Fixed
0.03500000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS LP
549300NELT611CL6XM83
EQM MIDSTREAM PARTNERS LP 6% 07/01/2025 144A
26885BAF7
5705000.00000000
PA
USD
5762050.00000000
0.039201236480
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.06000000
N
N
N
N
N
N
PORTLAND GENERAL ELECTRIC CO
GJOUP9M7C39GLSK9R870
PORTLAND GENERAL ELECTRIC CO
736508847
13962.00000000
NS
USD
583751.22000000
0.003971463215
Long
EC
CORP
US
N
1
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 7.5% 04/01/2028 144A
126307AY3
8475000.00000000
PA
USD
9248343.75000000
0.062919709200
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
0.07500000
N
N
N
N
N
N
CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP
N/A
CRESTWOOD MIDSTRM PTN/FIN CORP 5.625% 05/01/2027 144A
226373AQ1
11025000.00000000
PA
USD
9191432.25000000
0.062532520410
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 03/31/2024
912828W71
56643000.00000000
PA
USD
60689876.69000000
0.412894405309
Long
DBT
UST
US
N
2
2024-03-31
Fixed
0.02125000
N
N
N
N
N
N
ZIGGO BOND CO
213800JYI4P7V5QDOG59
ZIGGO BOND CO 6% 01/15/2027 144A
98954UAB9
7930000.00000000
PA
USD
8048950.00000000
0.054759815060
Long
DBT
CORP
NL
N
2
2027-01-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90806
3132J23P6
1903769.29000000
PA
USD
2021441.65000000
0.013752572808
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
VALVOLINE INC 4.25% 02/15/2030 144A
92047WAD3
4680000.00000000
PA
USD
4609800.00000000
0.031362077720
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04250000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
ALCOA NEDERLAND HOLDING 7% 09/30/2026 144A
013822AB7
4430000.00000000
PA
USD
4540750.00000000
0.030892306479
Long
DBT
CORP
NL
N
2
2026-09-30
Fixed
0.07000000
N
N
N
N
N
N
ROTECH HEALTHCARE INC
549300N0KGF3DQ2YCT10
ROTECH HEALTHCARE INC
778669200
129242.00000000
NS
USD
1345409.22000000
0.009153288325
Long
EC
CORP
US
N
3
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.55% 4/37 #847748
3128JRTD8
13265.77900000
PA
USD
13939.13000000
0.000094832764
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Variable
0.03793000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.72% 8/37 #1N1651
3128QHZQ6
89210.79180000
PA
USD
92725.12000000
0.000630841342
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Variable
0.03595000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.12% 7/35 #1L0109
3128Q2DN0
159719.36110000
PA
USD
166482.76000000
0.001132640300
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04956000
N
N
N
N
N
N
HOLOGIC INC
549300DYP6F5ZJL0LB74
HOLOGIC INC 4.625% 02/01/2028 144A
436440AM3
2505000.00000000
PA
USD
2598937.50000000
0.017681478559
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.04625000
N
N
N
N
N
N
GEO GROUP INC NEW
5493003VOR6NTY465495
GEO GROUP INC 6% 04/15/2026
36162JAB2
5755000.00000000
PA
USD
4416962.50000000
0.030050136928
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.06000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 6%/VR PERP
48126HAA8
54840000.00000000
PA
USD
55251300.00000000
0.375893870613
Long
EP
CORP
US
N
2
N
N
N
DYNASTY ACQUISITION CO INC
549300L1RCRPOAUCB870
STANDARDAERO TERM B-2 1LN 04/08/2026
26812CAF3
832575.94000000
PA
USD
708730.27000000
0.004821739296
Long
LON
CORP
US
N
2
2026-04-08
Variable
0.04950130
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 4.625% 05/15/2023 144A
82967NAL2
4550000.00000000
PA
USD
4575025.00000000
0.031125491262
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.04625000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 6.5% 04/15/2029 144A
46590XAA4
17835000.00000000
PA
USD
18927393.75000000
0.128769663289
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.06500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 5.3% VAR PERP
46625HKK5
12280000.00000000
PA
USD
11646966.00000000
0.079238373226
Long
EP
CORP
US
N
2
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM ENERGY CO 6.625% 01/15/2027
78454LAP5
12830000.00000000
PA
USD
6286700.00000000
0.042770613476
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.06625000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036
674599DF9
11875000.00000000
PA
USD
10163931.25000000
0.069148770403
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
0.06450000
N
N
N
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
54483.27000000
0.000370668694
N/A
DFE
CORP
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1500802.56000000
USD
1383000.00000000
EUR
2020-08-13
54483.27000000
N
N
N
ENDEAVOR ENERGY RES L P / EER FIN INC
N/A
ENDEAVOR ENERGY RES L P / EER FIN INC 5.5% 01/30/2026 144A
29260FAD2
5820000.00000000
PA
USD
5572650.00000000
0.037912682200
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
0.05500000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
ALPHABET INC CL A
02079K305
13900.00000000
NS
USD
19710895.00000000
0.134100095650
Long
EC
CORP
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.869% 5/36 #995608
31416CAH9
15280.44540000
PA
USD
16020.94000000
0.000108996044
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.02972000
N
N
N
N
N
N
US AWYS INC
5493004XNBKB5SFUJI60
US AWYS 12-2 B 6.75% 12/3/22
90345WAE4
2255580.94400000
PA
USD
1821798.44000000
0.012394330397
Long
DBT
CORP
US
N
2
2022-12-03
Fixed
0.06750000
N
N
N
N
N
N
U S CONCRETE INC
549300J94Q38BL8BMH45
U S CONCRETE INC 6.375% 06/01/2024
90333LAP7
3885000.00000000
PA
USD
3855862.50000000
0.026232777865
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
0.06375000
N
N
N
N
N
N
IRON MTN INC
SQL3F6CKNNBM3SQGHX24
IRON MTN INC NEW 4.875% 09/15/2029 144A
46284VAF8
14590000.00000000
PA
USD
14188775.00000000
0.096531186669
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.04875000
N
N
N
N
N
N
FRONT RANGE BIDCO INC
N/A
FRONT RANGE BIDCO INC 4% 03/01/2027 144A
98919VAA3
9545000.00000000
PA
USD
9058777.70000000
0.061630025224
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
0.04000000
N
N
N
N
N
N
ACRISURE LLC / ACRISURE FINANCE INC
N/A
ACRISURE LLC 8.125% 02/15/2024 144A
00489LAC7
7875000.00000000
PA
USD
8187637.50000000
0.055703354510
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.08125000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H18 PL 5.01% 9/60
38375BEV0
56626.17560000
PA
USD
62422.51000000
0.000424682114
Long
ABS-CBDO
USGA
US
N
2
2060-09-20
Variable
0.05010000
N
N
N
N
N
N
MELCO RESORTS FIN LTD
529900NRV6LBR3T6B421
MELCO RESORTS FIN LTD 5.25% 04/26/2026 144A
58547DAB5
7345000.00000000
PA
USD
7395293.93000000
0.050312764761
Long
DBT
CORP
KY
N
2
2026-04-26
Fixed
0.05250000
N
N
N
N
N
N
LABL ESCROW ISSUER LLC
N/A
LABL ESCROW ISSUER LLC 10.5% 07/15/2027 144A
50168AAA8
7340000.00000000
PA
USD
7798750.00000000
0.053057617168
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.10500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #339861
36224VQN8
1121.08200000
PA
USD
1183.23000000
0.000008049926
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FIN CRP MED TRM NTS 6.625% 01/15/2028
85172FAQ2
4415000.00000000
PA
USD
4370850.00000000
0.029736417502
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.06625000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 9.125% 06/15/2023 144A
780153BC5
9880000.00000000
PA
USD
9793478.27000000
0.066628449532
Long
DBT
CORP
LR
N
2
2023-06-15
Fixed
0.09125000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
CLEVELAND-CLIFFS INC 5.875% 06/01/2027
185899AH4
11010000.00000000
PA
USD
9097012.50000000
0.061890149908
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
0.05875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.68% 1/62 #765173
36176F2E7
40309.50730000
PA
USD
41102.78000000
0.000279636552
Long
ABS-MBS
USGA
US
N
2
2062-01-20
Variable
0.05196000
N
N
N
N
N
N
JBS USA LLC / JBS USA FIN INC
N/A
JBS USA LLC / JBS USA FIN INC 5.75% 06/15/2025 144A
466112AR0
17240000.00000000
PA
USD
17455500.00000000
0.118755856577
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.05750000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6.625/VAR PERP
29278NAB9
15640000.00000000
PA
USD
11967649.80000000
0.081420097001
Long
EP
CORP
US
N
2
N
N
N
BLOCK COMMUNICATIONS INC
M5G68A9OHJWIL4SFC742
BLOCK COMMUNICATIONS INC 4.875% 03/01/2028 144A
093645AJ8
4405000.00000000
PA
USD
4351214.95000000
0.029602833407
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04875000
N
N
N
N
N
N
UNITED STATES STEEL CORP NEW
JNLUVFYJT1OZSIQ24U47
UNITED STATES STEEL CORP NEW 6.25% 03/15/2026
912909AN8
7180000.00000000
PA
USD
4541350.00000000
0.030896388488
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.06250000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.75% MAC 09/16/2030
N/A
46349000.00000000
NC
USD
190075.85000000
0.001293152323
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2030-09-16
0.00000000
USD
0.00000000
USD
46617546.11000000
USD
190075.85000000
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
QORVO INC 5.5% 07/15/2026
74736KAF8
3615000.00000000
PA
USD
3759600.00000000
0.025577870492
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.05500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.0% 05/15/2045
912810RM2
20100000.00000000
PA
USD
26978753.86000000
0.183545875169
Long
DBT
UST
US
N
2
2045-05-15
Fixed
0.03000000
N
N
N
N
N
N
PAYPAL HLDGS INC
5493005X2GO78EFZ3E94
PAYPAL HLDGS INC
70450Y103
128000.00000000
NS
USD
22301440.00000000
0.151724477104
Long
EC
CORP
US
N
1
N
N
N
BANFF MERGER SUB INC
549300DSDR5SWIGOZV63
BANFF MERGER SUB INC 9.75% 09/01/2026 144A
05988LAA6
5645000.00000000
PA
USD
5680281.25000000
0.038644935146
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.09750000
N
N
N
N
N
N
CVR ENERGY INC
529900SOYZIXZBTXB558
CVR ENERGY INC 5.25% 02/15/2025 144A
12662PAB4
9740000.00000000
PA
USD
8960800.00000000
0.060963448747
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.05250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 06/15/2023
912828ZU7
3146000.00000000
PA
USD
3152636.11000000
0.021448483384
Long
DBT
UST
US
N
2
2023-06-15
Fixed
0.00250000
N
N
N
N
N
N
SCIENTIFIC GAMES INTL INC
RLTHESQ0RNFQJWPBJN60
SCIENTIFIC GAMES INTL INC 7% 05/15/2028 144A
80874YBC3
4965000.00000000
PA
USD
3972000.00000000
0.027022901797
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
ULTRA RESOURCES INC
VZ4O3I6KP00FINKB5W86
ULTRA RESOURCES INC PIK STEP 07/12/2024
90400GAE1
6493336.00000000
PA
USD
340900.14000000
0.002319262589
Long
DBT
CORP
US
N
2
2024-07-12
Variable
0.11000000
Y
Y
Y
N
N
N
IRON MTN INC
SQL3F6CKNNBM3SQGHX24
IRON MTN INC 5.25% 07/15/2030 144A
46284VAJ0
5915000.00000000
PA
USD
5791968.00000000
0.039404779072
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.05250000
N
N
N
N
N
N
NINE ENERGY SERVICE INC
549300KRLJCZBPZMKT65
NINE ENERGY SERVICE INC 8.75% 11/01/2023 144A
65441VAA9
3620000.00000000
PA
USD
1764750.00000000
0.012006209956
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
0.08750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2043#MA1376
36179NQ50
241468.56600000
PA
USD
263378.19000000
0.001791853717
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #565049
36213UWJ5
1234.33710000
PA
USD
1426.73000000
0.000009706541
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
REDDY ICE HOLDINGS INC
7Z0MRIY211ZHEWECBM22
REDDY ICE HOLDINGS INC NEW
75734R303
331236.00000000
NS
USD
3.31000000
0.000000022519
Long
EC
CORP
US
N
3
N
N
N
CROWN CORK and SEAL INC
7HLDMDH0ZXNUH6PT7Z42
CROWN CORK and SE 7.5% 12/15/96
228255AJ4
7695000.00000000
PA
USD
8156700.00000000
0.055492875903
Long
DBT
CORP
US
N
2
2096-12-15
Fixed
0.07500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.375% 04/15/2021
9128284G2
74550000.00000000
PA
USD
75848801.15000000
0.516025857231
Long
DBT
UST
US
N
2
2021-04-15
Fixed
0.02375000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-117 JN 4.5% 1/36
31394VDE7
442238.37090000
PA
USD
488831.41000000
0.003325690631
Long
ABS-CBDO
USGSE
US
N
2
2036-01-25
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 03/31/2021
912828C57
9900000.00000000
PA
USD
10055460.89000000
0.068410808700
Long
DBT
UST
US
N
2
2021-03-31
Fixed
0.02250000
N
N
N
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
ON SEMICONDUCTOR CORP
682189105
460400.00000000
NS
USD
9125128.00000000
0.062081429464
Long
EC
CORP
US
N
1
N
N
N
PALO ALTO NETWORKS INC
549300QXR2YVZV231H43
PALO ALTO NETWORKS INC
697435105
42900.00000000
NS
USD
9852843.00000000
0.067032328503
Long
EC
CORP
US
N
1
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.627% 6/1/41#1B8372
3128UGVQ7
154840.53350000
PA
USD
161625.09000000
0.001099591876
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.04611000
N
N
N
N
N
N
AUSTRALIA, COMMONWEALTH OF
213800J6B7JSBDETCB42
AUSTRALIA GOVT 3% 3/21/47 RGS
N/A
58350000.00000000
PA
51220854.16000000
0.348473341375
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
0.03000000
N
N
N
N
N
N
LANDESK GROUP INC
N/A
LANDESK SOFTWARE TERM B 1LN 01/20/2024
51501EAC0
1986997.73000000
PA
USD
1895099.08000000
0.012893020225
Long
LON
CORP
US
N
2
2024-01-20
Variable
0.05250000
N
N
N
N
N
N
SENSATA TECHNOLOGIES UK FINANCING CO PLC
635400EUADS212PJER83
SENSATA TECHNOLOGIES UK FINANCING CO PLC 6.25% 02/15/2026 144A
81727TAA6
7880000.00000000
PA
USD
8175500.00000000
0.055620778863
Long
DBT
CORP
GB
N
2
2026-02-15
Fixed
0.06250000
N
N
N
N
N
N
NEXSTAR MEDIA GROUP INC
52990083ZRR5UT591988
NEXSTAR MEDIA GROUP INC A
65336K103
137200.00000000
NS
USD
11482268.00000000
0.078117875270
Long
EC
CORP
US
N
1
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A6 PP
N/A
403760.00000000
NS
USD
448.62000000
0.000003052118
Long
EC
CORP
LU
Y
3
N
N
N
SUNCOKE ENERGY PARTNERS L P / SUNCOKE ENERGY PARTNERS FIN CORP
N/A
SUNCOKE ENERGY PARTNERS L P / SUNCOKE ENERGY PARTNERS FIN CORP 7.5% 06/15/2025 144A
86723CAF5
5880000.00000000
PA
USD
4969776.00000000
0.033811120041
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.07500000
N
N
N
N
N
N
CITGO HLDG INC
549300NYHOALWZ2BSL72
CITGO HOLDING TERM B 1LN 08/01/2023
17304YAD4
843625.00000000
PA
USD
799689.01000000
0.005440563339
Long
LON
CORP
US
N
2
2023-08-01
Variable
0.08000000
N
N
N
N
N
N
TAYLOR MORRISON CMNTYS INC / MONARCH CMNTYS INC
549300O1Z08HI2MRK572
TAYLOR MORRISON CMNTY/ MONARCH 5.875% 06/15/2027 144A
87724RAA0
5610000.00000000
PA
USD
5810501.40000000
0.039530868259
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.05875000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 5.375% 04/15/2025 144A
82967NAU2
8845000.00000000
PA
USD
9083815.00000000
0.061800362711
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.05375000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 5% 08/15/2026 144A
737446AK0
12030000.00000000
PA
USD
12075112.50000000
0.082151203242
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.05000000
N
N
N
N
N
N
CHS/CMNTY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/CMNTY HEALTH SYSTEMS INC STEP 06/30/2023 144A
12543DAZ3
21652000.00000000
PA
USD
16844173.40000000
0.114596788430
Long
DBT
CORP
US
N
2
2023-06-30
Variable
0.09875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.228% 7/41#AI3469
3138AG2B3
90941.99110000
PA
USD
94833.38000000
0.000645184570
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.04270000
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION 11.5% 04/01/2023 144A
143658BC5
20180000.00000000
PA
USD
21895300.00000000
0.148961364985
Long
DBT
CORP
PA
N
2
2023-04-01
Fixed
0.11500000
N
N
N
N
N
N
SANCHEZ ENERGY CORP
549300SB0HTIM17TVR61
SANCHEZ TERM 1LN DIP 12/31/2049
N/A
3422530.60000000
PA
USD
2738024.48000000
0.018627735811
Long
LON
CORP
US
N
3
2049-12-31
Variable
0.00000000
Y
Y
N
N
N
N
ALLISON TRANSMISSION HLDGS INC
529900RP7DJ882LI9T83
ALLISON TRANSMISSION HLDGS INC
01973R101
151000.00000000
NS
USD
5553780.00000000
0.037784303007
Long
EC
CORP
US
N
1
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H14 FC 1ML+50 5/61
38375BMB5
3451741.85080000
PA
USD
3448978.39000000
0.023464603306
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.00803380
N
N
N
N
N
N
MELCO RESORTS FIN LTD
529900NRV6LBR3T6B421
MELCO RESORTS FIN LTD 5.375% 12/04/2029 144A
58547DAD1
4785000.00000000
PA
USD
4776146.03000000
0.032493787799
Long
DBT
CORP
KY
N
2
2029-12-04
Fixed
0.05375000
N
N
N
N
N
N
BRINKS CO
XFP140TFNOQMIVFTVQ13
BRINKS CO 4.625% 10/15/2027 144A
109696AA2
7200000.00000000
PA
USD
6912000.00000000
0.047024747538
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.04625000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-84449.81000000
-0.00057454152
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
2115000.00000000
EUR
2294024.18000000
USD
2020-08-13
-84449.81000000
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
HERTZ CORP 6.25% 10/15/2022
428040CN7
4635000.00000000
PA
USD
1448437.50000000
0.009854225660
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.06250000
Y
Y
N
N
N
N
NORTHWEST FIBER LLC
254900LE3FBC16P2QY79
ZIPLY FIBER TERM B 1LN 05/01/2027
N/A
13740000.00000000
PA
USD
13602600.00000000
0.092543233632
Long
LON
CORP
US
N
2
2027-05-01
Variable
0.05672790
N
N
N
N
N
N
ALLISON TRANSMISSION INC
MWKQ3I0U1GXP2YDSZW75
ALLISON TRANSMISSION INC 5.875% 06/01/2029 144A
019736AF4
4830000.00000000
PA
USD
5023200.00000000
0.034174582152
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
0.05875000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030 144A
785592AW6
84000.00000000
PA
USD
92750.96000000
0.000631017140
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.464% 5/1/41#1B8304
3128UGTL1
103775.16260000
PA
USD
109007.79000000
0.000741618027
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.04420000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 11/01/2033#G30872
3132J4FN4
6725136.21600000
PA
USD
7187053.54000000
0.048896032735
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: USD/CAD settle 2020-08-13
N/A
1.00000000
NC
N/A
-223720.96000000
-0.00152205174
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
9002000.00000000
CAD
6407801.54000000
USD
2020-08-13
-223720.96000000
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
SPRINT CAPITAL CORP 8.75% 03/15/2032
852060AT9
39078000.00000000
PA
USD
55930387.50000000
0.380513939804
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
0.08750000
N
N
N
N
N
N
WESTROCK CO
549300JEB576INN13W07
WESTROCK CO
96145D105
279900.00000000
NS
USD
7909974.00000000
0.053814312845
Long
EC
CORP
US
N
1
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 4.5% 08/15/2030 144A
1248EPCE1
16805000.00000000
PA
USD
17149502.50000000
0.116674048824
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
0.04500000
N
N
N
N
N
N
CANADA, GOVERNMENT OF
4BFD7AQU0A75QLAHK410
CANADA GOVT 1.75% 08/01/2020
135087J21
126760000.00000000
PA
93487367.41000000
0.636027177446
Long
DBT
NUSS
CA
N
2
2020-08-01
Fixed
0.01750000
N
N
N
N
N
N
1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC
N/A
1011778 BC ULC/NEW RED FIN INC 4.375% 01/15/2028 144A
68245XAJ8
6265000.00000000
PA
USD
6140890.35000000
0.041778619556
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
0.04375000
N
N
N
N
N
N
RPI INTERMEDIATE FINANCE TRUST
5493009EMOUZYHVGX031
ROYALTY PHARMA TERM B 1LN 02/11/2027
74968YAC4
2868504.85000000
PA
USD
2772897.58000000
0.018864989677
Long
LON
CORP
US
N
2
2027-02-11
Variable
0.01923630
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 5.25% 04/01/2025 144A
15135BAL5
5705000.00000000
PA
USD
5874438.50000000
0.039965854657
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.05250000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.4025 02/26/2025
N/A
20100000.00000000
NC
USD
332358.12000000
0.002261148247
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 1.40250003%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
20100000.00000000
USD
1.00000000
1.40250000
USD
2025-02-26
XXXX
-234461.88000000
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 4.375% 11/15/2026
64110LAN6
3920000.00000000
PA
USD
4077466.40000000
0.027740426512
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
0.04375000
N
N
N
N
N
N
BURLINGTON COAT FACTORY WHSE CORP
549300SIFDMGE3Y2SW49
BURLINGTON COAT FACTORY WHSE CORP 6.25% 04/15/2025 144A
121579AH9
2035000.00000000
PA
USD
2126575.00000000
0.014467831669
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.06250000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 05/01/2041#1B8124
3128UGMY0
139162.08320000
PA
USD
145671.72000000
0.000991055534
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.04284000
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC 4.75% 01/15/2028 144A
45174HBG1
4965000.00000000
PA
USD
4580212.50000000
0.031160783635
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.04750000
N
N
N
N
N
N
VAIL RESORTS INC
529900PSZHRNU9HKH870
VAIL RESORTS INC 6.25% 05/15/2025 144A
91879QAL3
3855000.00000000
PA
USD
4033293.75000000
0.027439904563
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.06250000
N
N
N
N
N
N
ODEBRECHT FINANCE LTD
N/A
ODEBRECHT FIN 7.5% PERP 144A
675758AF3
1825000.00000000
PA
USD
103226.56000000
0.000702286302
Long
EP
CORP
KY
N
2
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-6558823.67000000
-0.04462196574
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
175000000.00000000
EUR
190241625.00000000
USD
2020-08-13
-6558823.67000000
N
N
N
EPIC CRUDE SERVICES LP
549300FRS682IQ7J9S42
PROJECT EPIC CRUDE TERM B 1LN 03/01/2026
29428XAB6
22150000.00000000
PA
USD
16907759.50000000
0.115029386853
Long
LON
CORP
US
N
2
2026-03-01
Variable
0.05370000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.89 12/09/2024
N/A
-1800000.00000000
NC
USD
-105216.75000000
-0.00071582625
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/29 1.89V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-11
0.00000000
USD
0.00000000
USD
-1800000.00000000
USD
1.00000000
1.89000000
USD
2024-12-09
XXXX
-53916.75000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 2.3275 06/11/24
N/A
19200000.00000000
NC
USD
88514.30000000
0.000602193664
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 6/29 2.3275V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-06-13
0.00000000
USD
0.00000000
USD
19200000.00000000
USD
1.00000000
2.32750000
USD
2024-06-11
XXXX
-441885.70000000
N
N
N
ELEMENT SOLUTIONS INC
549300FLGN6P5CU20J91
PLATFORM SPECIALTY PRODS CORP 5.875% 12/01/2025 144A
72766QAD7
10955000.00000000
PA
USD
11061126.56000000
0.075252703121
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
0.05875000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H14 FB 1ML+50 5/61
38375BLZ3
3915233.31490000
PA
USD
3911996.98000000
0.026614680317
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.00803380
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.75% MAC 09/16/2027
N/A
-10214000.00000000
NC
USD
-34507.79000000
-0.00023476853
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-09-16
0.00000000
USD
0.00000000
USD
-10374856.00000000
USD
-34507.79000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.625% 05/15/2030
912828ZQ6
93835000.00000000
PA
USD
93549096.02000000
0.636447138716
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.00625000
N
N
N
N
N
N
TRAVERSE MIDSTREAM PARTNERS LLC
549300DHTM8B2X5QMJ22
TRAVERSE MIDSTREAM TERM B 09/27/2024
89435TAB0
1763587.50000000
PA
USD
1461573.14000000
0.009943592001
Long
LON
CORP
US
N
2
2024-09-27
Variable
0.05000000
N
N
N
N
N
N
AIR CANADA INC
4B4HI3CGXMBDC0G6BM51
AIR CANADA VTG
008911877
1531900.00000000
NS
19126182.23000000
0.130122090674
Long
EC
CORP
CA
N
1
N
N
N
U.S AWYS 2011-1 PASS THRU TR
N/A
US AWYS PTC 2 11-1 7.125 04/25
903436AA1
4596840.60890000
PA
USD
3831775.56000000
0.026068906008
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
0.07125000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2004-22 AZ 5.5% 04/20/2034
38374GDS8
648319.85630000
PA
USD
887673.32000000
0.006039151297
Long
ABS-CBDO
USGA
US
N
2
2034-04-20
Fixed
0.05500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.5% MAC 09/16/25
N/A
23510000.00000000
NC
USD
1069457.67000000
0.007275893653
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2025-09-16
0.00000000
USD
0.00000000
USD
22628626.56000000
USD
1069457.67000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H17 FA 1ML+53 6/61
38375BML3
4046929.35000000
PA
USD
4046649.71000000
0.027530769819
Long
ABS-CBDO
USGA
US
N
2
2061-06-20
Variable
0.00833380
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC
37940X102
122500.00000000
NS
USD
20778450.00000000
0.141363044776
Long
EC
CORP
US
N
1
N
N
N
GOODRICH PETROLEUM CORP
5493000G2GU65EVWSF15
GOODRICH PETE CORP
382410843
90737.00000000
NS
USD
653306.40000000
0.004444671372
Long
EC
CORP
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #888544
31410GER0
825945.87040000
PA
USD
957219.56000000
0.006512298632
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 5.875%/VAR PERP
949746RN3
36775000.00000000
PA
USD
38222831.75000000
0.260043260019
Long
EP
CORP
US
N
2
N
N
N
HD SUPPLY HLDGS INC
549300B7Z7O7RWEXS689
HD SUPPLY HLDGS INC
40416M105
358700.00000000
NS
USD
12428955.00000000
0.084558517222
Long
EC
CORP
US
N
1
N
N
N
CANADA, GOVERNMENT OF
4BFD7AQU0A75QLAHK410
CANADA GOVERNMENT OF 2% 12/01/2051
135087H72
14000000.00000000
PA
13119843.84000000
0.089258875046
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 9/42 #MA0392
36179MNH9
1607560.96700000
PA
USD
1751702.92000000
0.011917446119
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
0.03500000
N
N
N
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 6.25% 05/15/2026
451102BT3
14625000.00000000
PA
USD
14645182.50000000
0.099636286128
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.06250000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC 7.5% 03/15/2025 144A
097751BM2
16070000.00000000
PA
USD
10487282.00000000
0.071348638370
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2996 MK 5.5% 6/35
31395UYX3
71309.40060000
PA
USD
80203.52000000
0.000545652528
Long
ABS-CBDO
USGSE
US
N
2
2035-06-15
Fixed
0.05500000
N
N
N
N
N
N
SPIRIT AEROSYSTEMS INC
ZD2NBKV6GCC3UMGBM518
SPIRIT AEROSYSTEMS INC 7.5% 04/15/2025 144A
85205TAL4
9205000.00000000
PA
USD
9078431.25000000
0.061763735182
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.07500000
N
N
N
N
N
N
CONTINENTAL AIRLS PASS THRU TR 2007 1B
N/A
CONT AIR CLB 6.903% 10/19/2023
21079RAA0
152130.03450000
PA
USD
127593.03000000
0.000868059899
Long
DBT
CORP
US
N
2
2023-10-19
Fixed
0.06903000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: AUD/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-18172.00000000
-0.00012363045
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1443523.80000000
USD
2065000.00000000
AUD
2020-08-13
-18172.00000000
N
N
N
OPEN TEXT CORPORATION
549300UQROQS42RKHM85
OPEN TEXT CORPORATION 3.875% 02/15/2028 144A
683715AC0
3220000.00000000
PA
USD
3100248.20000000
0.021092070155
Long
DBT
CORP
CA
N
2
2028-02-15
Fixed
0.03875000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 4.5% 03/15/2023
00130HCA1
2769000.00000000
PA
USD
2746294.20000000
0.018683997601
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04500000
N
N
N
N
N
N
ASSUREDPARTNERS INC
549300HNDSDQWQ3L2P80
ASSUREDPARTNERS INC 7% 08/15/2025 144A
04624VAA7
2930000.00000000
PA
USD
2930000.00000000
0.019933812252
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.07000000
N
N
N
N
N
N
US SHIPPING PARTNERS CORP
N/A
US SHIPPING CORP
N/A
22876.00000000
NS
USD
0.23000000
0.000000001564
Long
EC
CORP
US
N
3
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 6.875% 03/01/2026 144A
335934AR6
14330000.00000000
PA
USD
13891143.75000000
0.094506297434
Long
DBT
CORP
CA
N
2
2026-03-01
Fixed
0.06875000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA 5.2% PERP
060505ED2
48090000.00000000
PA
USD
46362227.29000000
0.315418407644
Long
EP
CORP
US
N
2
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H06 FA 1ML+63 1/62
38375BPQ9
3991089.64790000
PA
USD
4000122.28000000
0.027214227479
Long
ABS-CBDO
USGA
US
N
2
2062-01-20
Variable
0.00933380
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC
883556102
39200.00000000
NS
USD
14203728.00000000
0.096632917145
Long
EC
CORP
US
N
1
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/AUD settle 2020-08-13
N/A
1.00000000
NC
N/A
-13109.58000000
-0.00008918904
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
3175000.00000000
AUD
2178411.95000000
USD
2020-08-13
-13109.58000000
N
N
N
EXIDE TECHNOLOGIES
549300KITCGPNNNXQP63
EXIDE TECHNOLOGIES
302051305
7093.00000000
NS
USD
7093.00000000
0.000048256153
Long
EC
CORP
US
N
3
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
447622523.41800000
NS
USD
447712047.92000000
3.045941264965
Long
STIV
RF
US
N
1
N
N
N
ENSEMBLE S MERGER SUB INC
5493004PHY9OSX9W7627
ENSEMBLE S MERGER SUB INC 9% 09/30/2023 144A
29359FAA0
13310000.00000000
PA
USD
13443100.00000000
0.091458099484
Long
DBT
CORP
US
N
2
2023-09-30
Fixed
0.09000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 5.125% 05/01/2025
88033GCU2
3640000.00000000
PA
USD
3513364.40000000
0.023902643796
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.05125000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
3723.61000000
0.000025333017
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
1331145.72000000
USD
1187000.00000000
EUR
2020-08-13
3723.61000000
N
N
N
EXIDE INTERNATIONAL HOLDINGS LP
N/A
EXIDE TECHNOLOGIES PIK VAR 10/31/2021
30206GAA1
623776.00000000
PA
USD
580111.68000000
0.003946702155
Long
DBT
CORP
KY
N
3
2021-10-31
Variable
0.10750000
N
N
Y
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
FISERV INC
337738108
112625.00000000
NS
USD
10994452.50000000
0.074799096229
Long
EC
CORP
US
N
1
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
GENERAL MOTORS ACCEPT CORP 8.0% 11/01/2031
370425RZ5
16761000.00000000
PA
USD
21194416.41000000
0.144193009390
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
0.08000000
N
N
N
N
N
N
COVANTA HLDG CORP
40XIFLS8XDQGGHGPGC04
COVANTA HLDG CORP 5.875% 03/01/2024
22282EAF9
5895000.00000000
PA
USD
5946581.25000000
0.040456666955
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
0.05875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.5% 07/32#BM3929
3140J8LK7
9911237.28000000
PA
USD
10586974.54000000
0.072026881501
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
DELTA AIRLINES INC
Q2CCMS6R0AS67HJMBN42
DELTA AIRLINES INC 7% 05/01/2025 144A
247361ZX9
2860000.00000000
PA
USD
2952286.71000000
0.020085436516
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 07/01/2033#C91714
3128P73X9
4447721.97400000
PA
USD
4722636.56000000
0.032129744205
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
NEON HOLDINGS INC
N/A
NEON HOLDINGS INC 10.125% 04/01/2026 144A
64051NAA1
7305000.00000000
PA
USD
7250212.50000000
0.049325725175
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
0.10125000
N
N
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA INC 5% 05/15/2027 144A
46266TAA6
5660000.00000000
PA
USD
5789840.40000000
0.039390304267
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 10/01/2041#AI6819
3138ALSH1
50793.53000000
PA
USD
53174.55000000
0.000361765015
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Variable
0.03888000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT CORP 3.9% 10/01/2027
26884LAF6
15848000.00000000
PA
USD
12891238.64000000
0.087703594112
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
0.03900000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: USD/JPY settle 2020-08-13
N/A
1.00000000
NC
N/A
2249488.14000000
0.015304052643
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
18744168000.00000000
JPY
175941608.60000000
USD
2020-08-13
2249488.14000000
N
N
N
FELCOR LODGING LP
N/A
FELCOR LODGING LP 6% 6/1/25
31430QBG1
7895000.00000000
PA
USD
7666123.95000000
0.052155315877
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.06000000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV 5.25% 11/01/2024 144A
67091GAC7
10040000.00000000
PA
USD
9638400.00000000
0.065573397956
Long
DBT
CORP
NL
N
2
2024-11-01
Fixed
0.05250000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-97 CI 4.5% IO 8/25
31398NGJ7
1532.38200000
PA
USD
0.22000000
0.000000001496
Long
ABS-CBDO
USGSE
US
N
2
2025-08-25
Fixed
0.04500000
N
N
N
N
N
N
UNITED RENTALS NORTH AMER INC
NGIZXNT70J2LYT3FBI09
UNITED RENTALS NORTH AMER INC 5.5% 05/15/2027
911365BF0
4980000.00000000
PA
USD
5129400.00000000
0.034897097804
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.05500000
N
N
N
N
N
N
UC HOLDINGS INC
N/A
UC HOLDINGS INC
N/A
560355.00000000
NS
USD
21949105.35000000
0.149327421554
Long
EC
CORP
US
N
3
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
NUMERICABLE SFR 7.375% 05/01/2026 144A
67054KAA7
62475000.00000000
PA
USD
65148930.00000000
0.443230900703
Long
DBT
CORP
FR
N
2
2026-05-01
Fixed
0.07375000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-848973.40000000
-0.00577586223
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
27608000.00000000
EUR
30198265.38000000
USD
2020-08-13
-848973.40000000
N
N
N
REGENERON PHARMACEUTICALS INC
549300RCBFWIRX3HYQ56
REGENERON PHARMACEUTICALS INC
75886F107
900.00000000
NS
USD
561285.00000000
0.003818617682
Long
EC
CORP
US
N
1
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 7.25% 04/01/2023 144A
335934AK1
1985000.00000000
PA
USD
1895675.00000000
0.012896938410
Long
DBT
CORP
CA
N
2
2023-04-01
Fixed
0.07250000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H18 AF 1ML+30 9/60
38375BER9
6535551.46820000
PA
USD
6494834.98000000
0.044186628362
Long
ABS-CBDO
USGA
US
N
2
2060-09-20
Variable
0.00603380
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.5% 06/25/2035
31394EFK9
543066.42300000
PA
USD
582438.30000000
0.003962530962
Long
ABS-CBDO
USGSE
US
N
2
2035-06-25
Fixed
0.05500000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA COMMUNICATIONS CORP 3.875% 02/15/2027 144A
78410GAC8
9720000.00000000
PA
USD
9671400.00000000
0.065797908470
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.03875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 03/31/2026
9128286L9
34717000.00000000
PA
USD
38420598.80000000
0.261388738260
Long
DBT
UST
US
N
2
2026-03-31
Fixed
0.02250000
N
N
N
N
N
N
COMMERZBANK AG
851WYGNLUQLFZBSYGB56
COMMERZBANK AG 4% 03/23/2026 REGS
N/A
12050000.00000000
PA
14016370.36000000
0.095358257752
Long
DBT
CORP
DE
N
2
2026-03-23
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.283 6/1/41
3128UGXF9
66606.55850000
PA
USD
69061.96000000
0.000469852609
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.04660000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.2% 08/15/2026
674599CR4
515000.00000000
PA
USD
415723.45000000
0.002828311672
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03200000
N
N
N
N
N
N
HESS MIDSTREAM PARTNERS LP
N/A
HESS MIDSTREAM PARTNERS LP 5.125% 06/15/2028 144A
428104AA1
6600000.00000000
PA
USD
6351972.00000000
0.043214681665
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.05125000
N
N
N
N
N
N
FORUM ENERGY TECHNOLOGIES INC
549300SF93HLCR1REE27
FORUM ENERGY TECHNOLOGIES INC 6.25% 10/01/2021
34984VAB6
10950000.00000000
PA
USD
4284187.50000000
0.029146822279
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.06250000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 1.741%/VAR 05/04/2030 REGS
N/A
20118000.00000000
PA
23498674.52000000
0.159869681249
Long
DBT
CORP
US
N
2
2030-05-04
Variable
0.01741000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.75% MAC 09/16/2050
N/A
2752000.00000000
NC
USD
395539.76000000
0.002690994987
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2050-09-16
0.00000000
USD
0.00000000
USD
2225726.23000000
USD
395539.76000000
N
N
N
ENDEAVOR ENERGY RES L P / EER FIN INC
N/A
ENDEAVOR ENERGY RES L P / EER FIN INC 6.625% 07/15/2025 144A
29260FAF7
3395000.00000000
PA
USD
3421548.90000000
0.023277990916
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.06625000
N
N
N
N
N
N
JAMES HARDIE INTL FIN LTD
635400G32A4Q1LVQ8M88
JAMES HARDIE INTL FIN LTD 5% 01/15/2028 144A
47032FAB5
5270000.00000000
PA
USD
5375400.00000000
0.036570721631
Long
DBT
CORP
IE
N
2
2028-01-15
Fixed
0.05000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-681.71000000
-0.00000463791
N/A
DFE
CORP
FR
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
1675000.00000000
EUR
1882979.73000000
USD
2020-08-13
-681.71000000
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: JPY/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-157441.28000000
-0.00107112795
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
14754250.22000000
USD
1575230000.00000000
JPY
2020-08-13
-157441.28000000
N
N
N
HARVEST OIL and GAS CORP
54930021ZVE2EXF2SS09
HARVEST OIL and GAS CORP
41755V201
19388.00000000
NS
USD
407148.00000000
0.002769969894
Long
EC
CORP
US
N
1
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.375% 03/31/2022
912828ZG8
92800000.00000000
PA
USD
93133500.00000000
0.633619693994
Long
DBT
UST
US
N
2
2022-03-31
Fixed
0.00375000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 6.625% 01/15/2027
629377CC4
15685000.00000000
PA
USD
16390825.00000000
0.111512501095
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.06625000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 5.375% 06/01/2026 144A
15137TAA8
18035000.00000000
PA
USD
18696163.10000000
0.127196520503
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.05375000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2007-59 FC 1ML+50 7/37
38375LQB9
650187.85850000
PA
USD
654593.27000000
0.004453426397
Long
ABS-CBDO
USGA
US
N
2
2037-07-20
Variable
0.00690000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 6.25% 03/15/2026 144A
893647BE6
11120000.00000000
PA
USD
11113050.00000000
0.075605956399
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.06250000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK AS (UNGTD) 2.5%/VAR 06/21/2029 REGS
N/A
23652000.00000000
PA
27110434.69000000
0.184441745798
Long
DBT
CORP
DK
N
2
2029-06-21
Variable
0.02500000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP INC
549300OMUOGBYK0FFO76
PERFORMANCE FOOD GROUP INC 5.5% 10/15/2027 144A
69346VAA7
5345000.00000000
PA
USD
5157925.00000000
0.035091163331
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.05500000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING PARTNERS LP
549300KJEC5IUVJWR786
NEXTERA ENERGY OPERATING PARTNERS LP 4.25% 07/15/2024 144A
65342QAK8
4030000.00000000
PA
USD
4075337.50000000
0.027725942863
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.04250000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 09/20/2049
38381YTV6
13259290.86100000
PA
USD
13284296.56000000
0.090377704276
Long
ABS-CBDO
USGA
US
N
2
2049-09-20
Variable
0.00640000
N
N
N
N
N
N
ODEBRECHT FINANCE LTD
N/A
ODEBRECHT FIN 7.125 6/42 144A
675758AJ5
3310000.00000000
PA
USD
182050.00000000
0.001238549665
Long
DBT
CORP
KY
N
2
2042-06-26
Fixed
0.07125000
Y
Y
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5%/VAR PERP
172967MG3
36455000.00000000
PA
USD
34315273.78000000
0.233458779835
Long
EP
CORP
US
N
2
N
N
N
ADOBE INC
FU4LY2G4933NH2E1CP29
ADOBE INC
00724F101
93600.00000000
NS
USD
40745016.00000000
0.277202559441
Long
EC
CORP
US
N
1
N
N
N
MAPFRE SA
95980020140005693107
MAPFRE SA 4.375/VAR 03/31/2047 REGS
N/A
6100000.00000000
PA
7427660.70000000
0.050532967190
Long
EP
CORP
ES
N
2
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-2 FD 1ML+48 1/38
38374DMX4
165711.68700000
PA
USD
166783.94000000
0.001134689333
Long
ABS-CBDO
USGA
US
N
2
2038-01-20
Variable
0.00670000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: AUD/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-3360.80000000
-0.00002286469
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1605414.81000000
USD
2321000.00000000
AUD
2020-08-13
-3360.80000000
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.224% 4/41#1B8179
3128UGPP6
33961.71760000
PA
USD
35624.82000000
0.000242368079
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Variable
0.03719000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-69 GX 4.5% 5/40
38377VH66
9450000.00000000
PA
USD
10136161.67000000
0.068959844262
Long
ABS-CBDO
USGA
US
N
2
2040-05-16
Fixed
0.04500000
N
N
N
N
N
N
SUNOCO LP / SUNOCO FIN CORP
N/A
SUNOCO LP / SUNOCO FIN CORP 5.5% 02/15/2026
86765LAL1
6865000.00000000
PA
USD
6659050.00000000
0.045303840436
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05500000
N
N
N
N
N
N
NORTONLIFELOCK INC
YF6ZV0M6AU4FY94MK914
SYMANTEC CORP 5% 04/15/2025 144A
871503AU2
6360000.00000000
PA
USD
6455400.00000000
0.043918338434
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.05000000
N
N
N
N
N
N
FMG RESOURCES AUG'06 PTY LTD
549300EFD6S2NFE9D745
FMG RES AUGUST 2006 PTY LTD 5.125% 05/15/2024 144A
30251GAW7
5885000.00000000
PA
USD
6061550.00000000
0.041238839473
Long
DBT
CORP
AU
N
2
2024-05-15
Fixed
0.05125000
N
N
N
N
N
N
ONEMAIN HLDGS INC
549300E3VEW8SMS5XW09
ONEMAIN HOLDINGS INC
68268W103
262600.00000000
NS
USD
6444204.00000000
0.043842168140
Long
EC
CORP
US
N
1
N
N
N
TRIVIUM PACKAGING FINANCE BV
724500GMZWW3PVYET548
TRIVIUM PACKAGING FINANCE BV 8.5% 08/15/2027 144A
89686QAB2
7180000.00000000
PA
USD
7673625.00000000
0.052206348138
Long
DBT
CORP
NL
N
2
2027-08-15
Fixed
0.08500000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP
125523100
57400.00000000
NS
USD
10771110.00000000
0.073279619279
Long
EC
CORP
US
N
1
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI PROPERTIES / NOTE 4.25% 12/01/2026 144A
92564RAA3
12650000.00000000
PA
USD
12138813.50000000
0.082584583370
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
0.04250000
N
N
N
N
N
N
COVEY PK ENERGY LLC / COVEY PK FIN CORP
N/A
COVEY PK ENERGY LLC / COVEY PK FIN CORP 7.5% 05/15/2025 144A
22304LAA8
6555000.00000000
PA
USD
5940468.75000000
0.040415081485
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.07500000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: AUD/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
426024.18000000
0.002898391132
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
5619124.04000000
USD
8758000.00000000
AUD
2020-08-13
426024.18000000
N
N
N
PARSLEY ENERGY LLC / PARSLEY FINANCE CORP
N/A
PARSLEY ENERGY LLC / PARSLEY FINANCE CORP 5.375% 01/15/2025 144A
701885AD7
685000.00000000
PA
USD
665532.30000000
0.004527848435
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.05375000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1ML+60 08/20/2063
38375B5Q1
1932196.71870000
PA
USD
1934103.22000000
0.013158378997
Long
ABS-CBDO
USGA
US
N
2
2063-08-20
Variable
0.00903380
N
N
N
N
N
N
VERITAS US INC / VERITAS BERMUDA LTD
N/A
VERITAS US INC / VERITAS BERMUDA LTD 10.5% 02/01/2024 144A
92346LAA1
8750000.00000000
PA
USD
7831250.00000000
0.053278726007
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.10500000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A8 PP
N/A
403760.00000000
NS
USD
448.62000000
0.000003052118
Long
EC
CORP
LU
Y
3
N
N
N
IRON MTN INC
SQL3F6CKNNBM3SQGHX24
IRON MTN INC 5.625% 07/15/2032 144A
46284VAL5
5915000.00000000
PA
USD
5902578.50000000
0.040157300895
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
0.05625000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2042#MA0699
36179MX47
14523.43100000
PA
USD
15780.29000000
0.000107358818
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03500000
N
N
N
N
N
N
ELDORADO RESORTS INC
5299000BKFWWVND5L441
ELDORADO RESORTS INC
28470R102
394353.00000000
NS
USD
15797781.18000000
0.107477817080
Long
EC
CORP
US
N
1
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/23 #340722
36224WPF4
1324.99340000
PA
USD
1378.17000000
0.000009376171
Long
ABS-MBS
USGA
US
N
2
2023-04-15
Fixed
0.07500000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
70697.06000000
0.000480976764
N/A
DFE
CORP
FR
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
2758731.10000000
USD
2516000.00000000
EUR
2020-08-13
70697.06000000
N
N
N
SANCHEZ ENERGY CORP
549300SB0HTIM17TVR61
SANCHEZ ENERGY CORP 7.25% 02/15/2023 144A
79970YAE5
12834000.00000000
PA
USD
128340.00000000
0.000873141796
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.07250000
Y
Y
N
N
N
N
LSB INDUSTRIES INC
5493001H215A0HG0MI71
LSB INDUSTRIES INC 9.625% 05/01/2023 144A
502160AM6
3600000.00000000
PA
USD
3465756.00000000
0.023578747241
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.09625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 3/22 #912487
31411NXQ5
134.74670000
PA
USD
138.22000000
0.000000940358
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
0.05000000
N
N
N
N
N
N
PENSKE AUTOMOTIVE GROUP INC
549300W7UTQ0M4C7LB15
PENSKE AUTOMOTIVE GROUP INC 5.5% 05/15/2026
70959WAG8
5975000.00000000
PA
USD
5960062.50000000
0.040548384603
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.05500000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 10.875% 06/01/2023 144A
780153AY8
8545000.00000000
PA
USD
8780516.35000000
0.059736916177
Long
DBT
CORP
LR
N
2
2023-06-01
Fixed
0.10875000
N
N
N
N
N
N
CHS/CMNTY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/CMNTY HEALTH SYSTEMS INC 6.625% 02/15/2025 144A
12543DBF6
7415000.00000000
PA
USD
6970100.00000000
0.047420022109
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.06625000
N
N
N
N
N
N
ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP
N/A
ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP 5.75% 01/15/2028 144A
03690AAF3
10640000.00000000
PA
USD
8405600.00000000
0.057186229443
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.05750000
N
N
N
N
N
N
T-MOBILE US INC
549300QHIJYOHPACPG31
T-MOBILE US INC
872590104
346800.00000000
NS
USD
36119220.00000000
0.245731655351
Long
EC
CORP
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/22 #254229
31371KLJ8
607.80850000
PA
USD
625.68000000
0.000004256719
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
0.06500000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
VISA INC CL A
92826C839
84900.00000000
NS
USD
16400133.00000000
0.111575826667
Long
EC
CORP
US
N
1
N
N
N
ACRISURE LLC / ACRISURE FINANCE INC
N/A
ACRISURE LLC 10.125% 08/01/2026 144A
00489LAD5
6810000.00000000
PA
USD
7320750.00000000
0.049805616398
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
0.10125000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
UBER TECHNOLOGIES INC 7.5% 09/15/2027 144A
90353TAE0
31625000.00000000
PA
USD
31625000.00000000
0.215155908696
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/27 #423153
36206WBW4
124.37440000
PA
USD
137.37000000
0.000000934576
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 12/31/2020
9128285S5
80000000.00000000
PA
USD
80931249.60000000
0.550603527260
Long
DBT
UST
US
N
2
2020-12-31
Fixed
0.02500000
N
N
N
N
N
N
DELTA AIR INC DEL PASS THRU TR
N/A
DELTA AIR PTC 8.021% 2/24
247367BJ3
2156947.79300000
PA
USD
2023940.04000000
0.013769570227
Long
DBT
CORP
US
N
2
2024-02-10
Fixed
0.08021000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/28 #456712
36208PKZ0
13401.28270000
PA
USD
15365.89000000
0.000104539510
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07500000
N
N
N
N
N
N
HEINEKEN NV
724500K5PTPSST86UQ23
HEINEKEN NV 1.75% 05/07/2040 REGS
N/A
13600000.00000000
PA
15312389.96000000
0.104175531261
Long
DBT
CORP
NL
N
2
2040-05-07
Fixed
0.01750000
N
N
N
N
N
N
CITGO HLDG INC
549300NYHOALWZ2BSL72
CITGO HLDG INC 9.25% 08/01/2024 144A
17302WAB4
16430000.00000000
PA
USD
16347850.00000000
0.111220127177
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
0.09250000
N
N
N
N
N
N
SABERT CORPORATION
54930029JPYBTHDWT603
SABERT TERM B 1LN 12/10/2026
78516EAB8
4837875.00000000
PA
USD
4700818.00000000
0.031981304929
Long
LON
CORP
US
N
2
2026-12-10
Variable
0.05500000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELEC 5.8% 3/1/37
694308GJ0
23540000.00000000
PA
USD
28071450.00000000
0.190979868242
Long
DBT
CORP
US
N
2
2037-03-01
Fixed
0.05800000
Y
Y
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 7% 10/01/2024
165167DA2
3985000.00000000
PA
USD
99625.00000000
0.000677783633
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/28 #464767
36208YJL4
319.81780000
PA
USD
368.93000000
0.000002509959
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 5%/VAR PERP V
48127FAA1
30810000.00000000
PA
USD
27189825.00000000
0.184981865776
Long
EP
CORP
US
N
2
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.57 02/20/25
N/A
-36100000.00000000
NC
USD
-505347.66000000
-0.00343805644
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 02/24/30 3MLV1.57%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-24
0.00000000
USD
0.00000000
USD
-36100000.00000000
USD
1.00000000
1.57000000
USD
2025-02-20
XXXX
517184.84000000
N
N
N
TAYLOR MORRISON CMNTYS INC / MONARCH CMNTYS INC
549300O1Z08HI2MRK572
TAYLOR MORRISON CMNTY/ MONARCH 6% 09/01/2023 144A
87724RAC6
4385000.00000000
PA
USD
4483662.50000000
0.030503920299
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.06000000
N
N
N
N
N
N
PTC INC
54930050SSMU8SKDJ030
PTC INC 3.625% 02/15/2025 144A
69370CAB6
3755000.00000000
PA
USD
3726837.50000000
0.025354975774
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.03625000
N
N
N
N
N
N
CONTINENTAL RESOURCES INC OKLA
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC OKLA 4.375% 01/15/2028
212015AS0
3040000.00000000
PA
USD
2675868.80000000
0.018204869034
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.04375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/42 #MA0462
36179MQP8
1452769.43000000
PA
USD
1583032.00000000
0.010769919002
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.48% 6/47 #939994
31413AXX6
91008.24920000
PA
USD
96065.12000000
0.000653564527
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Variable
0.03722000
N
N
N
N
N
N
WOLVERINE ESCROW LLC
N/A
WOLVERINE ESCROW LLC 9% 11/15/2026 144A
97789LAB2
13634000.00000000
PA
USD
8930270.00000000
0.060755742506
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
0.09000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.182% 6/37 #848188
31300LCZ6
44260.49320000
PA
USD
46256.88000000
0.000314701693
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Variable
0.03995000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING PARTNERS LP
549300KJEC5IUVJWR786
NEXTERA ENERGY OPERATING PARTNERS LP 4.25% 09/15/2024 144A
65342QAC6
2830000.00000000
PA
USD
2830000.00000000
0.019253477363
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.04250000
N
N
N
N
N
N
EG AMERICA LLC
549300BY1CRYVPEG9R57
EG AMERICA LLC TERM 2LN 03/23/2026
N/A
3290000.00000000
PA
USD
2993900.00000000
0.020368546246
Long
LON
CORP
US
N
2
2026-03-23
Variable
0.09072000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2009-118 XZ 5% 12/39
38376PLJ7
12063472.95340000
PA
USD
14017638.56000000
0.095366885759
Long
ABS-CBDO
USGA
US
N
2
2039-12-20
Fixed
0.05000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5.625% 02/15/2027 144A
92840VAB8
17455000.00000000
PA
USD
17925935.90000000
0.121956396135
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.05625000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H19 FG 1ML+30 8/60
38375BFQ0
6732827.51080000
PA
USD
6692336.96000000
0.045530303238
Long
ABS-CBDO
USGA
US
N
2
2060-08-20
Variable
0.00603380
N
N
N
N
N
N
DIAMOND OFFSHORE DRILLING INC
F14FQJ2EEHW5VPYUHL14
DIAMOND OFFSHORE 4.875% 11/43
25271CAN2
308000.00000000
PA
USD
35084.28000000
0.000238690597
Long
DBT
CORP
US
N
2
2043-11-01
Fixed
0.04875000
Y
Y
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 05/01/2033#AT3000
3138WQKN1
825553.39400000
PA
USD
876346.80000000
0.005962093030
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03000000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC 7.5% 12/01/2024 144A
097751BR1
5505000.00000000
PA
USD
3578250.00000000
0.024344083171
Long
DBT
CORP
CA
N
2
2024-12-01
Fixed
0.07500000
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
ZIGGO BV 5.5% 01/15/2027 144A
98954NAA7
14355000.00000000
PA
USD
14535298.80000000
0.098888708979
Long
DBT
CORP
NL
N
2
2027-01-15
Fixed
0.05500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.625% 06/15/2045
674599CF0
4795000.00000000
PA
USD
3356500.00000000
0.022835440554
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
0.04625000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 08/20/2049
38381YAW4
29309057.75900000
PA
USD
29333557.20000000
0.199566423862
Long
ABS-CBDO
USGA
US
N
2
2049-08-20
Variable
0.00640000
N
N
N
N
N
N
PENHALL ACQUISITION COMPANY
N/A
PENHALL ACQUISITION CMPNY CL A
N/A
11553.00000000
NS
USD
887154.87000000
0.006035624101
Long
EC
CORP
US
N
3
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 4% 12/01/2046
694308HR1
14690000.00000000
PA
USD
15461225.00000000
0.105188107966
Long
DBT
CORP
US
N
2
2046-12-01
Fixed
0.04000000
Y
Y
N
N
N
N
CALIFORNIA RESOURCES CORPORATION
5493003Q8F0T4F4YMR48
CALIFORNIA RESOURCES TERM 1 1/4LN 12/31/2022
13057LAB4
71920000.00000000
PA
USD
24542700.00000000
0.166972550841
Long
LON
CORP
US
N
2
2022-12-31
Variable
0.05750000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A. PREF PP
N/A
193792711.00000000
NS
USD
65443.80000000
0.000445237004
Long
EP
CORP
LU
Y
3
N
N
N
DIAMOND OFFSHORE DRILLING INC
F14FQJ2EEHW5VPYUHL14
DIAMOND OFFSHORE 5.7% 10/15/39
25271CAL6
1585000.00000000
PA
USD
160734.85000000
0.001093535263
Long
DBT
CORP
US
N
2
2039-10-15
Fixed
0.05700000
Y
Y
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/22 #316084
36223SCV3
549.54620000
PA
USD
567.18000000
0.000003858723
Long
ABS-MBS
USGA
US
N
2
2022-02-15
Fixed
0.07500000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5.5% 05/01/2026 144A
1248EPBR3
12355000.00000000
PA
USD
12802868.75000000
0.087102382919
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.05500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-136 WI 4.5% 5/40
38377YTR1
781398.42000000
PA
USD
47960.52000000
0.000326292150
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.691% 02/01/2042#AK2344
3138E6TA4
340582.42310000
PA
USD
356376.05000000
0.002424550604
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Variable
0.03825000
N
N
N
N
N
N
TRI POINTE GROUP INC
N/A
TRI POINTE GROUP INC 5.7% 06/15/2028
87265HAG4
2010000.00000000
PA
USD
2040150.00000000
0.013879852241
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.05700000
N
N
N
N
N
N
2020-07-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer