0001752724-22-010653.txt : 20220124 0001752724-22-010653.hdr.sgml : 20220124 20220124092000 ACCESSION NUMBER: 0001752724-22-010653 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20211130 FILED AS OF DATE: 20220124 PERIOD START: 20211130 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MFS CHARTER INCOME TRUST CENTRAL INDEX KEY: 0000851170 IRS NUMBER: 043055815 FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-05822 FILM NUMBER: 22547706 BUSINESS ADDRESS: STREET 1: 111 HUNTINGTON AVENUE STREET 2: 24TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 18006372929 MAIL ADDRESS: STREET 1: 111 HUNTINGTON AVENUE STREET 2: 24TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 FORMER COMPANY: FORMER CONFORMED NAME: MFS PRINCIPAL INCOME TRUST DATE OF NAME CHANGE: 19890906 NPORT-P 1 primary_doc.xml NPORT-P false 0000851170 XXXXXXXX MFS CHARTER INCOME TRUST 811-05822 0000851170 1LFFWFMKO22SVR346G33 111 HUNTINGTON AVENUE BOSTON 02199 617-954-5000 MFS CHARTER INCOME TRUST 1LFFWFMKO22SVR346G33 2021-11-30 2021-11-30 N 474982451.01 106082128.75 368900322.26 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 100000000.00000000 0.00000000 0.00000000 0.00000000 2669176.11000000 0.00000000 0.00000000 1058122.24000000 AUD CAD CNY EUR GBP JPY USD N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAC5 157000.00000000 PA USD 168642.41000000 0.045714899072 Long DBT CORP US N 2 2026-06-15 Fixed 3.70000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 24959.79000000 0.006765998426 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 662354.98000000 AUD 497380.37000000 USD 2022-01-14 24959.79000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F4X56 38000000.00000000 PA USD 200073.80000000 0.054235192524 Long ABS-MBS USGSE US N 2 2025-02-25 Variable 0.26000000 N N N N N N ELEMENT FLEET MANAGEMENT 5493000PGBS1C22ELQ16 286181AF9 261000.00000000 PA USD 262230.51000000 0.071084380841 Long DBT CORP CA Y 2 2024-04-06 Fixed 1.60000000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 91831AAC5 1288000.00000000 PA USD 1300880.00000000 0.352637263104 Long DBT CORP CA Y 2 2025-04-15 Fixed 6.13000000 N N N N N N HERENS HOLDCO SARL 2221002FZ55AMAUX4G64 427169AA5 785000.00000000 PA USD 763412.50000000 0.206942757686 Long DBT CORP LU Y 2 2028-05-15 Fixed 4.75000000 N N N N N N NATIONSTAR MTG HLD INC N/A 63861CAA7 705000.00000000 PA USD 727933.65000000 0.197325295228 Long DBT CORP US Y 2 2027-01-15 Fixed 6.00000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05578QAD5 250000.00000000 PA USD 270072.47000000 0.073210147485 Long DBT CORP FR Y 2 2025-03-15 Fixed 4.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468P7 119000.00000000 PA USD 129922.42000000 0.035218841556 Long DBT CORP US N 2 2031-04-01 Fixed 3.62000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 4000.00000000 PA USD 3938.24000000 0.001067562092 Long DBT CORP US Y 2 2036-11-15 Fixed 3.19000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 77694.68000000 0.021061158072 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 16194134.75000000 BRL 2958265.09000000 USD 2021-12-02 77694.68000000 N N N HOSPITAL SPECIAL SURGERY 549300U0XV0GGBTV6I72 44107HAF9 300000.00000000 PA USD 293464.56000000 0.079551180167 Long DBT CORP US N 2 2050-10-01 Fixed 2.67000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDB5 904000.00000000 PA USD 924945.68000000 0.250730515585 Long DBT CORP MX N 2 2027-01-23 Fixed 6.49000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -44056.15000000 -0.01194256208 N/A DFE N/A N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 1483392.70000000 USD 1267000.00000000 EUR 2022-01-14 -44056.15000000 N N N COMMONWEALTH BANK AUST MSFSBD3QN1GSN7Q6C537 202712BN4 221000.00000000 PA USD 218422.80000000 0.059209164866 Long DBT CORP AU Y 2 2031-03-11 Fixed 2.69000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -894.97000000 -0.00024260483 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 97799.00000000 EUR 110206.59000000 USD 2022-01-14 -894.97000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0326C9 100000.00000000 PA USD 104445.31000000 0.028312610127 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.50000000 N N N N N N Shelter Growth CRE N/A 822866AG4 157500.00000000 PA USD 157499.86000000 0.042694421906 Long ABS-CBDO CORP KY Y 2 2036-09-15 Floating 2.24000000 N N N N N N PEACH PROPERTY FINANCE 5299006REENAMLK8A121 000000000 200000.00000000 PA 231356.57000000 0.062715198670 Long DBT CORP DE N 2 2025-11-15 Fixed 4.38000000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 000000000 100000.00000000 PA 130883.17000000 0.035479277762 Long DBT CORP GB N 2 2028-06-26 Fixed 2.25000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599EB7 570000.00000000 PA USD 612750.00000000 0.166101779539 Long DBT CORP US N 2 2025-09-01 Fixed 5.88000000 N N N N N N Russian Federation 5493004EHVGF71PDBU58 000000000 1000000.00000000 PA USD 1107300.00000000 0.300162383490 Long DBT NUSS RU N 2 2029-03-21 Fixed 4.38000000 N N N N N N APT PIPELINES LTD 261700SS8OEHDOCOUJ33 000000000 200000.00000000 PA 220020.96000000 0.059642387583 Long DBT CORP AU N 2 2033-03-15 Fixed 1.25000000 N N N N N N CROWN AMER/CAP CORP V N/A 22819KAB6 980000.00000000 PA USD 1031450.00000000 0.279601273775 Long DBT CORP US N 2 2026-09-30 Fixed 4.25000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 227000.00000000 PA 229122.34000000 0.062109552682 Long DBT NUSS RS Y 2 2033-03-03 Fixed 1.65000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -39016.27000000 -0.01057637189 N/A DFE SE N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1500093.44000000 USD 13150000.00000000 SEK 2022-01-14 -39016.27000000 N N N HUNGARY 5299003F3UFKGCCMAP43 445545AF3 470000.00000000 PA USD 765076.34000000 0.207393784671 Long DBT NUSS HU N 2 2041-03-29 Fixed 7.63000000 N N N N N N JBS FINANCE LUXEMBOURG N/A 46592QAA7 781000.00000000 PA USD 773439.92000000 0.209660949944 Long DBT CORP LU Y 2 2032-01-15 Fixed 3.63000000 N N N N N N OMAN GOV INTERNTL BOND 549300SZ20F0QTKNQC75 000000000 800000.00000000 PA USD 792182.40000000 0.214741585246 Long DBT NUSS OM N 2 2051-01-25 Fixed 7.00000000 N N N N N N SOUTHWESTERN ENERGY CO EFWMP121W54QV9MGOP87 845467AP4 305000.00000000 PA USD 336021.55000000 0.091087356048 Long DBT CORP US N 2 2028-09-15 Fixed 8.38000000 N N N N N N Allied Universal N/A 019576AA5 216000.00000000 PA USD 221983.20000000 0.060174303627 Long DBT CORP US Y 2 2026-07-15 Fixed 6.63000000 N N N N N N MOOG INC 549300WM2I4U7OBAHG07 615394AM5 990000.00000000 PA USD 1005518.25000000 0.272571800382 Long DBT CORP US Y 2 2027-12-15 Fixed 4.25000000 N N N N N N Ziggo BV 213800TQASLF9JXH5J59 000000000 320000.00000000 PA 369263.15000000 0.100098353869 Long DBT CORP NL N 2 2027-01-15 Fixed 4.25000000 N N N N N N JAPAN (20 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 115600000.00000000 PA 1044598.15000000 0.283165420837 Long DBT NUSS JP N 2 2036-03-20 Fixed 0.40000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBH0 104000.00000000 PA USD 101347.04000000 0.027472743688 Long DBT CORP US N 2 2031-08-01 Fixed 2.25000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AG2 900000.00000000 PA USD 885375.00000000 0.240003856482 Long DBT CORP US Y 2 2030-07-15 Fixed 4.38000000 N N N N N N BAFFINLAND IRON CORP/LP N/A 056623AA9 760000.00000000 PA USD 792300.00000000 0.214773463776 Long DBT CORP CA Y 2 2026-07-15 Fixed 8.75000000 N N N N N N INDIAN RAILWAY FINANCE 335800F2JHSOGXQEBY56 45434L2C7 299000.00000000 PA USD 290103.20000000 0.078639996360 Long DBT CORP IN Y 2 2031-02-10 Fixed 2.80000000 N N N N N N OSLO KOMMUNE 5967007LIEEXZXGVU850 000000000 3000000.00000000 PA 333127.68000000 0.090302897530 Long DBT NUSS NO N 2 2029-05-18 Fixed 2.17000000 N N N N N N VIAVI SOLUTIONS INC 5493006K3E3N1QOBF092 925550AF2 830000.00000000 PA USD 811325.00000000 0.219930683451 Long DBT CORP US Y 2 2029-10-01 Fixed 3.75000000 N N N N N N CNH INDUSTRIAL CAP LLC 549300PNSJ5B81UMVO28 12592BAL8 251000.00000000 PA USD 252265.59000000 0.068383130829 Long DBT CORP US N 2 2026-01-15 Fixed 1.88000000 N N N N N N BOSTON GAS COMPANY FN7P4E7K9JOBORDEUX61 100743AK9 198000.00000000 PA USD 207077.62000000 0.056133759583 Long DBT CORP US Y 2 2027-08-01 Fixed 3.15000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 13992.55000000 0.003793043582 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3105000.00000000 NZD 2132275.38000000 USD 2022-01-14 13992.55000000 N N N SS&C Technologies Inc 549300KY09TR3J12JU49 78466CAC0 860000.00000000 PA USD 893862.50000000 0.242304613485 Long DBT CORP US Y 2 2027-09-30 Fixed 5.50000000 N N N N N N BXMT Ltd N/A 05609GAE8 549000.00000000 PA USD 547626.35000000 0.148448325185 Long ABS-CBDO CORP US Y 2 2038-05-15 Floating 1.64000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 90754.74000000 0.024601426055 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 37488674.12000000 ZAR 2433744.92000000 USD 2022-01-14 90754.74000000 N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 000000000 865000000.00000000 PA 974000.61000000 0.264028126631 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.70000000 N N N N N N CANPACK SA/CANPACK US N/A 13806CAA0 976000.00000000 PA USD 949160.00000000 0.257294435034 Long DBT CORP N/A Y 2 2029-11-15 Fixed 3.88000000 N N N N N N PETSMART INC/PETSMART FI N/A 71677KAB4 500000.00000000 PA USD 534375.00000000 0.144856203086 Long DBT CORP US Y 2 2029-02-15 Fixed 7.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1469.65000000 -0.00039838674 N/A DFE KR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 442245.40000000 USD 523707000.00000000 KRW 2021-12-13 -1469.65000000 N N N NOVELIS SHEET INGOT GMBH 9845005E95899E77AY49 000000000 350000.00000000 PA 402913.05000000 0.109220031994 Long DBT CORP DE Y 2 2029-04-15 Fixed 3.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390ABV1 3251.34000000 PA USD 3623.08000000 0.000982129800 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 6.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -5851.79000000 -0.00158627944 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 170942.78000000 USD 53117000.00000000 HUF 2022-01-14 -5851.79000000 N N N BELGIUM KINGDOM 549300SZ25JZFHRHWD76 000000000 1106000.00000000 PA 1239639.76000000 0.336036507749 Long DBT NUSS BE Y 2 2040-06-22 Fixed 0.40000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 18467.34000000 0.005006051468 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 736730.45000000 EUR 855407.41000000 USD 2022-01-14 18467.34000000 N N N NCR CORP 549300YKTY8JX1DV2R67 62886EAY4 815000.00000000 PA USD 823150.00000000 0.223136156389 Long DBT CORP US Y 2 2028-10-01 Fixed 5.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -5205.27000000 -0.00141102343 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 260809.63000000 USD 225000.00000000 EUR 2022-01-14 -5205.27000000 N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BM3 166000.00000000 PA USD 176756.11000000 0.047914327891 Long DBT CORP US N 2 2026-04-01 Fixed 3.00000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BS7 795000.00000000 PA USD 890837.25000000 0.241484541011 Long DBT CORP US N 2 2026-02-15 Fixed 5.88000000 N N N N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAH8 275000.00000000 PA USD 308145.75000000 0.083530897482 Long DBT CORP US N 2 2024-06-15 Fixed 7.13000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881EAG2 275500.00000000 PA USD 273777.02000000 0.074214361842 Long ABS-CBDO CORP KY Y 2 2036-05-15 Floating 2.04000000 N N N N N N LAMB WESTON HLD 5493005SMYID1D2OY946 513272AD6 1655000.00000000 PA USD 1650357.73000000 0.447372265735 Long DBT CORP US Y 2 2030-01-31 Fixed 4.13000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -20345.94000000 -0.00551529472 N/A DFE N/A N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 2228239.92000000 USD 1943535.49000000 EUR 2022-01-14 -20345.94000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 67102.11000000 0.018189767249 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5411481.78000000 CAD 4305303.05000000 USD 2022-01-14 67102.11000000 N N N BANQUE OUEST AFRICAINE D 529900LIZJABE4JJS826 000000000 100000.00000000 PA 118513.51000000 0.032126160604 Long DBT NUSS N/A N 2 2033-01-22 Fixed 2.75000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163CBE8 1998160.71000000 PA USD 164878.83000000 0.044694683102 Long ABS-MBS CORP US N 2 2054-03-15 Variable 1.27000000 N N N N N N ENEL SPA WOCMU6HCI0OJWNPRZS33 000000000 150000.00000000 PA 164485.98000000 0.044588190921 Long DBT CORP IT N 2 2030-06-08 Fixed 1.88000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BG6 800000.00000000 PA USD 778000.00000000 0.210897077897 Long DBT CORP LR Y 2 2028-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KML2 13150.56000000 PA USD 14982.08000000 0.004061281353 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 6.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 29588.62000000 0.008020762849 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1324000.00000000 CAD 1066527.90000000 USD 2022-01-14 29588.62000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BG7 90000.00000000 PA USD 90392.35000000 0.024503190847 Long DBT CORP US N 2 2031-04-15 Fixed 2.85000000 N N N N N N MATTAMY GROUP CORP 5493008TNY7A82WCXU31 57701RAJ1 255000.00000000 PA USD 264786.90000000 0.071777356652 Long DBT CORP CA Y 2 2027-12-15 Fixed 5.25000000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 28470RAK8 574000.00000000 PA USD 629764.10000000 0.170713892615 Long DBT CORP US Y 2 2027-07-01 Fixed 8.13000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCP6 450000.00000000 PA USD 432900.00000000 0.117348772521 Long DBT CORP US Y 2 2034-01-15 Fixed 4.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -28092.49000000 -0.00761519801 N/A DFE CZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1519053.22000000 USD 33565000.00000000 CZK 2022-01-14 -28092.49000000 N N N PATRICK INDUSTRIES INC 549300FZ5ZTCCJ3Z5W14 703343AC7 695000.00000000 PA USD 736700.00000000 0.199701641756 Long DBT CORP US Y 2 2027-10-15 Fixed 7.50000000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348BK1 38000.00000000 PA USD 43657.35000000 0.011834456997 Long DBT CORP US N 2 2049-08-15 Fixed 3.80000000 N N N N N N AXALTA COAT/DUTCH HLD BV N/A 05454NAA7 540000.00000000 PA USD 558063.00000000 0.151277449849 Long DBT CORP N/A Y 2 2027-06-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405GT91 3618.06000000 PA USD 4029.58000000 0.001092322168 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -3391.39000000 -0.00091932421 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 202837.65000000 USD 4490000.00000000 CZK 2022-01-14 -3391.39000000 N N N TPG Real Estate Finance N/A 87276WAE3 310000.00000000 PA USD 309242.36000000 0.083828162064 Long ABS-CBDO CORP KY Y 2 2038-03-15 Floating 1.94000000 N N N N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAD7 550000.00000000 PA USD 539055.00000000 0.146124838465 Long DBT CORP US N 2 2031-03-18 Fixed 5.50000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BL5 1250000.00000000 PA USD 1281862.50000000 0.347482076498 Long DBT CORP PA Y 2 2026-03-01 Fixed 7.63000000 N N N N N N Appvion Holding Corp N/A 03835B118 274.00000000 NS USD 2.74000000 0.000000742748 N/A DE US N 2 N/A N/A Call Purchased APPVION HLDG APPVION HLDG 1.00000000 11.50000000 USD 2023-06-13 XXXX 2.74000000 N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 8192.29000000 0.002220732676 N/A DFE US N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 3000779.43000000 ZAR 195736.85000000 USD 2022-01-14 8192.29000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -3792.52000000 -0.00102806090 N/A DFE AU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 150007.50000000 USD 205000.00000000 AUD 2022-01-14 -3792.52000000 N N N Neste Oyj 5493009GY1X8GQ66AM14 000000000 100000.00000000 PA 116642.47000000 0.031618966686 Long DBT CORP FI N 2 2024-06-07 Fixed 1.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 135000.00000000 PA USD 132460.82000000 0.035906940711 Long DBT CORP US N 2 2032-07-21 Fixed 2.38000000 N N N N N N ENTEGRIS INC IYX6OWO7BT5DKO3BYG52 29362UAD6 1005000.00000000 PA USD 997462.50000000 0.270388080414 Long DBT CORP US Y 2 2029-05-01 Fixed 3.63000000 N N N N N N GALP ENERGIA SGPS SA 2138003319Y7NM75FG53 000000000 200000.00000000 PA 238323.07000000 0.064603649175 Long DBT CORP PT N 2 2026-01-15 Fixed 2.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 25706.57000000 0.006968432513 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 902684.60000000 AUD 669540.76000000 USD 2022-01-14 25706.57000000 N N N LYB INT FINANCE III N/A 50249AAD5 139000.00000000 PA USD 160794.16000000 0.043587427361 Long DBT CORP US N 2 2050-05-01 Fixed 4.20000000 N N N N N N DYCOM INDUSTRIES INC 549300F56EKTHQI3WT60 267475AD3 755000.00000000 PA USD 760141.55000000 0.206056081855 Long DBT CORP US Y 2 2029-04-15 Fixed 4.50000000 N N N N N N QBE INSURANCE GROUP LTD 549300D2FBW76FPUSG65 000000000 100000.00000000 PA 128199.46000000 0.034751788562 Long DBT CORP AU N 2 2038-09-13 Fixed 2.50000000 N N N N N N HIGHLAND HOLDINGS SARL 549300WGY8GPJM4PQR36 000000000 100000.00000000 PA 113325.23000000 0.030719742749 Long DBT CORP LU N 2 2026-12-15 Fixed 0.32000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDD1 200000.00000000 PA USD 180420.00000000 0.048907520301 Long DBT CORP MX N 2 2050-01-23 Fixed 7.69000000 N N N N N N AVANTOR FUNDING INC 5493003VM0XB4U8YD238 05352TAA7 984000.00000000 PA USD 1016176.80000000 0.275461076795 Long DBT CORP US Y 2 2028-07-15 Fixed 4.63000000 N N N N N N NEXTERA ENERGY OPERATING 549300KJEC5IUVJWR786 65342QAC6 102000.00000000 PA USD 106515.54000000 0.028873799661 Long DBT CORP US Y 2 2024-09-15 Fixed 4.25000000 N N N N N N Oklahoma Development Finance Authority 549300PXGPHUWC32DJ91 67884XCQ8 221000.00000000 PA USD 260190.06000000 0.070531263948 Long DBT MUN US N 2 2030-08-15 Fixed 4.65000000 N N N N N N PRESTIGE BRANDS INC 549300JBVP4J6D42I235 74112BAM7 400000.00000000 PA USD 383250.00000000 0.103889852318 Long DBT CORP US Y 2 2031-04-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KG3Z4 27715.76000000 PA USD 28772.47000000 0.007799524224 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N US Renal Care Inc 54930058SS5MF69JGN89 07335BAA4 480000.00000000 PA USD 490800.00000000 0.133044069192 Long DBT CORP US Y 2 2027-07-15 Fixed 10.63000000 N N N N N N AXALTA COATING SYSTEMS 549300G80QONCHILSF69 05453GAC9 860000.00000000 PA USD 817133.30000000 0.221505173807 Long DBT CORP US Y 2 2029-02-15 Fixed 3.38000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 1264.58000000 0.000342797206 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 52278.56000000 EUR 60654.04000000 USD 2022-01-14 1264.58000000 N N N OMV AG 549300V62YJ9HTLRI486 000000000 100000.00000000 PA 116936.20000000 0.031698589820 Long DBT CORP AT N 2 2026-06-01 Fixed 2.50000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599ED3 555000.00000000 PA USD 665816.85000000 0.180486925552 Long DBT CORP US N 2 2030-09-01 Fixed 6.63000000 N N N N N N ENI SPA BUCRF72VH5RBN7X3VL35 000000000 100000.00000000 PA 116670.60000000 0.031626592052 Long DBT CORP IT N 2 2025-10-13 Fixed 2.63000000 N N N N N N BOYD GAMING CORP 254900787YGRYS2A1Z35 103304BU4 665000.00000000 PA USD 674975.00000000 0.182969479632 Long DBT CORP US N 2 2027-12-01 Fixed 4.75000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 168000.00000000 PA USD 165139.35000000 0.044765303805 Long DBT CORP US Y 2 2035-11-15 Fixed 3.14000000 N N N N N N Diebold Nixdorf Inc 549300XZK6EWDBAZSY16 253651AC7 240000.00000000 PA USD 236899.20000000 0.064217672283 Long DBT CORP US N 2 2024-04-15 Fixed 8.50000000 N N N N N N KOHL'S CORPORATION 549300JF6LPRTRJ0FH50 500255AX2 125000.00000000 PA USD 128576.08000000 0.034853881181 Long DBT CORP US N 2 2031-05-01 Fixed 3.38000000 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 000000000 554000.00000000 PA USD 568542.50000000 0.154118190116 Long DBT CORP KY N 2 2027-02-12 Fixed 2.75000000 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 000000000 100000.00000000 PA 109159.00000000 0.029590378054 Long DBT CORP LU N 2 2031-01-27 Fixed 1.50000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -142430.10000000 -0.03860937261 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 3949500.99000000 USD 4861000.00000000 CAD 2022-01-14 -142430.10000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 248.79000000 0.000067440982 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1012000.00000000 TWD 36644.10000000 USD 2022-02-18 248.79000000 N N N Barclays Commercial Mortgage Securities LLC N/A 05551VBK8 998184.79000000 PA USD 95498.53000000 0.025887353368 Long ABS-MBS CORP US N 2 2054-07-15 Variable 1.43000000 N N N N N N PM GENERAL PURCHASER LLC N/A 69356MAA4 305000.00000000 PA USD 312278.83000000 0.084651276010 Long DBT CORP US Y 2 2028-10-01 Fixed 9.50000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 33663.42000000 0.009125343072 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 1151000.00000000 AUD 854607.03000000 USD 2022-01-14 33663.42000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -80.84000000 -0.00002191377 N/A DFE NZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4004.81000000 USD 5751.80000000 NZD 2022-01-14 -80.84000000 N N N Republic of Angola 549300QHR2R3J8JSGK83 000000000 454000.00000000 PA USD 412165.72000000 0.111728208171 Long DBT NUSS AO N 2 2048-05-08 Fixed 9.38000000 N N N N N N IAA Inc 549300PZCOPC5178W747 449253AB9 715000.00000000 PA USD 742313.00000000 0.201223190983 Long DBT CORP US Y 2 2027-06-15 Fixed 5.50000000 N N N N N N FS Rialto Issuer Ltd N/A 30319YAC2 297500.00000000 PA USD 297316.74000000 0.080595413465 Long ABS-CBDO CORP US Y 2 2028-04-16 Floating 1.64000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 7076.21000000 0.001918190246 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1487731.94000000 USD 9548000.00000000 CNY 2022-01-14 7076.21000000 N N N TERRAFORM POWER OPERATIN 5493000S2OLR3UT5BE13 88104LAE3 980000.00000000 PA USD 1019200.00000000 0.276280593564 Long DBT CORP US Y 2 2028-01-31 Fixed 5.00000000 N N N N N N Eskom Holdings SOC Ltd 3789001900ED06F65111 000000000 624000.00000000 PA USD 656760.00000000 0.178031831465 Long DBT CORP ZA N 2 2028-08-10 Fixed 6.35000000 N N N N N N REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SBB1 446000.00000000 PA USD 243832.66000000 0.066097166439 Long DBT NUSS LK Y 2 2030-03-28 Fixed 7.55000000 N N N N N N ARD FINANCE SA 6354006P6QPGGPVJW880 00191AAD8 405000.00000000 PA USD 414112.50000000 0.112255933381 Long DBT CORP LU Y 2 2027-06-30 Fixed 6.50000000 N N Y N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJT7 223000.00000000 PA USD 225817.00000000 0.061213554549 Long DBT CORP US N 2 2032-04-22 Fixed 2.69000000 N N N N N N DEUTSCHE BAHN FIN GMBH 52990002BAIDUAIIYU29 000000000 75000.00000000 PA 77050.91000000 0.020886647517 Long DBT CORP DE N 2 2050-12-08 Fixed 0.63000000 N N N N N N BANK MANDIRI PT 549300RSKQN4Z5ZSGH94 000000000 317000.00000000 PA USD 344257.48000000 0.093319918478 Long DBT CORP ID N 2 2025-05-13 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411LSY8 38609.63000000 PA USD 45235.74000000 0.012262320543 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N Halliburton Co ENYF8GB5SMQZ25S06U51 406216BK6 74000.00000000 PA USD 90579.70000000 0.024553976923 Long DBT CORP US N 2 2045-11-15 Fixed 5.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 3511.93000000 0.000951999710 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 183000.00000000 CAD 146835.11000000 USD 2022-01-14 3511.93000000 N N N ELDORADO GOLD CORP 5493004PWQ01YDD1IH62 284902AF0 610000.00000000 PA USD 613885.70000000 0.166409640479 Long DBT CORP CA Y 2 2029-09-01 Fixed 6.25000000 N N N N N N EFSF 222100OW6UHQXNHKN143 000000000 326000.00000000 PA 444432.12000000 0.120474852739 Long DBT NUSS LU N 2 2040-09-05 Fixed 1.45000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 2229.12000000 0.000604260789 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 99732.00000000 EUR 115526.60000000 USD 2022-01-14 2229.12000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 106292.85000000 0.028813433761 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 4446000.00000000 EUR 5157035.00000000 USD 2022-01-14 106292.85000000 N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAB8 380000.00000000 PA USD 416683.30000000 0.112952815396 Long DBT CORP US Y 2 2028-01-15 Fixed 5.75000000 N N N N N N THERMO FISHER SC FNCE I 549300SM0PJC1F3RPL91 000000000 100000.00000000 PA 115015.26000000 0.031177869212 Long DBT CORP NL N 2 2033-10-18 Fixed 1.13000000 N N N N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 271000.00000000 PA USD 266528.50000000 0.072249462501 Long DBT CORP IL N 2 2026-03-30 Fixed 4.88000000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756CC2 500000.00000000 PA USD 470225.00000000 0.127466681817 Long DBT NUSS BR N 2 2030-06-12 Fixed 3.88000000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 85172FAS8 332000.00000000 PA USD 356070.00000000 0.096522008389 Long DBT CORP US N 2 2025-06-01 Fixed 8.88000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -5045.39000000 -0.00136768381 N/A DFE GB N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 144334.09000000 USD 104642.66000000 GBP 2022-01-14 -5045.39000000 N N N REPUBLIC OF PARAGUAY 529900UXKJTJPCU0HK83 699149AJ9 280000.00000000 PA USD 308002.80000000 0.083492147177 Long DBT NUSS PY Y 2 2031-04-28 Fixed 4.95000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAB9 183000.00000000 PA USD 180934.83000000 0.049047078324 Long DBT CORP US N 2 2027-05-04 Fixed 1.59000000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BG9 210000.00000000 PA USD 239431.50000000 0.064904117874 Long DBT CORP US N 2 2049-07-01 Fixed 5.35000000 N N N N N N NCR CORP 549300YKTY8JX1DV2R67 62886EBA5 390000.00000000 PA USD 394114.50000000 0.106834956821 Long DBT CORP US Y 2 2029-04-15 Fixed 5.13000000 N N N N N N Republic of Paraguay 529900UXKJTJPCU0HK83 000000000 200000.00000000 PA USD 222002.00000000 0.060179399855 Long DBT NUSS PY N 2 2048-03-13 Fixed 5.60000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 2502.26000000 0.000678302470 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 100000.00000000 EUR 116104.20000000 USD 2022-01-14 2502.26000000 N N N EURONET WORLDWIDE INC YG3575C4DSHJPA5KET68 000000000 200000.00000000 PA 231730.32000000 0.062816513301 Long DBT CORP US N 2 2026-05-22 Fixed 1.38000000 N N N N N N SOUTHERN GAS CORRIDOR 213800DG58KG59XY6318 000000000 1065000.00000000 PA USD 1225923.63000000 0.332318394977 Long DBT CORP AZ N 2 2026-03-24 Fixed 6.88000000 N N N N N N ADLER GROUP SA 391200OYYFJ3DWAMEC69 000000000 300000.00000000 PA 270870.85000000 0.073426569090 Long DBT CORP LU N 2 2029-01-14 Fixed 2.25000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGH1 86000.00000000 PA USD 85776.05000000 0.023251823005 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N REPUBLIC OF CYPRUS 213800IOEYYAHPDLUL60 000000000 384000.00000000 PA 430695.48000000 0.116751180199 Long DBT NUSS CY N 2 2026-02-09 None 0.00000000 N N N N N N ALLIED UNIVERSAL N/A 019576AC1 400000.00000000 PA USD 380000.00000000 0.103008855528 Long DBT CORP US Y 2 2029-06-01 Fixed 6.00000000 N N N N N N EUTELSAT SA 549300MCOOY1V7P2PG30 000000000 100000.00000000 PA 117434.30000000 0.031833612744 Long DBT CORP FR N 2 2027-07-13 Fixed 2.25000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAD0 331000.00000000 PA USD 352957.68000000 0.095678333333 Long DBT CORP N/A Y 2 2030-05-01 Fixed 3.40000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAB2 475000.00000000 PA USD 509527.75000000 0.138120711545 Long DBT CORP N/A Y 2 2030-01-15 Fixed 5.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAQ4 79000.00000000 PA USD 86323.89000000 0.023400329246 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N NFP CORP VO2L9FZNXDJNQNEYH039 65342RAE0 540000.00000000 PA USD 531900.00000000 0.144185290145 Long DBT CORP US Y 2 2028-08-15 Fixed 4.88000000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 92939UAE6 37000.00000000 PA USD 35179.07000000 0.009536199313 Long DBT CORP US N 2 2030-10-15 Fixed 1.80000000 N N N N N N CATALENT PHARMA SOLUTION 549300HALRZ339MSTH85 14879EAH1 1297000.00000000 PA USD 1236624.65000000 0.335219183985 Long DBT CORP US Y 2 2029-02-15 Fixed 3.13000000 N N N N N N SWITCH LTD 5493002D70VTFFLT8L43 87105NAC4 250000.00000000 PA USD 251131.25000000 0.068075638552 Long DBT CORP US Y 2 2029-06-15 Fixed 4.13000000 N N N N N N PFP III N/A 69290LAG2 199990.02000000 PA USD 198761.28000000 0.053879399937 Long ABS-CBDO CORP KY Y 2 2038-04-14 Floating 1.74000000 N N N N N N JAZZ SECURITIES DAC 6354009DV8VV7K6KOO02 47216FAA5 960000.00000000 PA USD 978067.20000000 0.265130481320 Long DBT CORP IE Y 2 2029-01-15 Fixed 4.38000000 N N N N N N Bayview Financial Revolving Mortgage Loan Trust N/A 073250BW1 178580.50000000 PA USD 197847.73000000 0.053631758516 Long ABS-MBS CORP US Y 2 2040-12-28 Floating 1.69000000 N N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 -83.00000000 NC -82775.84000000 -0.02243853827 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Short Montreal Exchange 10 Year Canadian Bond Future CNH2 COMDTY 2022-03-22 -11610538.00000000 CAD -82775.84000000 N N N SWISS LIFE FINANCE I AG 549300GDVNT1NHIHOW12 000000000 100000.00000000 PA 111517.02000000 0.030229580531 Long DBT CORP LI N 2 2031-09-15 Fixed 0.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BY4 103000.00000000 PA USD 127046.98000000 0.034439378968 Long DBT CORP US N 2 2039-06-15 Fixed 5.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -15020.81000000 -0.00407178012 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4951000.00000000 CNY 762059.53000000 USD 2021-12-13 -15020.81000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -22382.41000000 -0.00606733273 N/A DFE SE N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 752920.99000000 USD 6575000.00000000 SEK 2022-01-14 -22382.41000000 N N N SCRIPPS ESCROW INC N/A 81104PAA7 860000.00000000 PA USD 882317.00000000 0.239174906271 Long DBT CORP US Y 2 2027-07-15 Fixed 5.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KHW31 22792.64000000 PA USD 23661.68000000 0.006414112043 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N PETRA DIAMONDS LTD 213800X4QZIAVSA12860 000000000 66215.36000000 NS 70189.29000000 0.019026627455 Long EC CORP BM N 2 N N N CLEARWAY ENERGY OP LLC 549300Z3NFMM54NWBB87 18539UAD7 1735000.00000000 PA USD 1714908.70000000 0.464870480322 Long DBT CORP US Y 2 2031-02-15 Fixed 3.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -2198.20000000 -0.00059587912 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 232617.93000000 USD 202830.81000000 EUR 2022-01-14 -2198.20000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -62.33000000 -0.00001689616 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1348678.00000000 JPY 11879.17000000 USD 2022-01-14 -62.33000000 N N N MICHAELS COS INC/THE 549300H9LWMBP7HYLR98 55916AAB0 445000.00000000 PA USD 441662.50000000 0.119724075407 Long DBT CORP US Y 2 2029-05-01 Fixed 7.88000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBM9 835000.00000000 PA USD 791162.50000000 0.214465114899 Long DBT CORP US Y 2 2031-09-01 Fixed 3.88000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 447000.00000000 PA USD 479966.25000000 0.130107300275 Long DBT CORP CH N 2 2024-05-15 Fixed 5.13000000 N N N N N N INVEST ENERGY RES LTD 254900A71Y7WHN7L5K89 46143NAB6 200000.00000000 PA USD 208280.00000000 0.056459695866 Long DBT CORP BM Y 2 2029-04-26 Fixed 6.25000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -22855.57000000 -0.00619559502 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 1113354.39000000 USD 959929.77000000 EUR 2022-01-14 -22855.57000000 N N N Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth N/A 74527JAD9 85000.00000000 PA USD 87125.00000000 0.023617490889 Long DBT MUN US N 2 2022-06-01 Fixed 9.12000000 N N N N N N API ESCROW CORP N/A 00185PAA9 595000.00000000 PA USD 602437.50000000 0.163306308953 Long DBT CORP US Y 2 2029-10-15 Fixed 4.75000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 000000000 150000.00000000 PA 170589.71000000 0.046242765242 Long DBT CORP NL N 2 2028-08-03 Fixed 1.54000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FXZ50 3189870.57000000 PA USD 83662.65000000 0.022678931123 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.42000000 N N N N N N NORWEGIAN GOVERNMENT 549300L0BT3FJTN9MX24 000000000 9300000.00000000 PA 1034518.69000000 0.280433121788 Long DBT NUSS NO N 2 2026-02-19 Fixed 1.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 150000.00000000 OU Notional Amount 267.18000000 0.000072426068 N/A DCR LA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Daimler AG Daimler AG Y sell protection 2031-12-20 1417.30000000 EUR 0.00000000 EUR 150000.00000000 EUR -1378.27000000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AU2 250000.00000000 PA USD 253367.29000000 0.068681775187 Long DBT CORP CH Y 2 2032-05-14 Fixed 3.09000000 N N N N N N CORPORATE OFFICE PROP LP H0TWO5VRNEP6CQAWPX27 22003BAN6 52000.00000000 PA USD 50329.85000000 0.013643211177 Long DBT CORP US N 2 2029-01-15 Fixed 2.00000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BP1 835000.00000000 PA USD 799955.05000000 0.216848563617 Long DBT CORP US N 2 2029-01-15 Fixed 4.63000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAK6 727000.00000000 PA USD 811971.76000000 0.220106004523 Long DBT NUSS MX N 2 2032-04-27 Fixed 4.75000000 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CN4 1435000.00000000 PA USD 1420592.60000000 0.385088468152 Long DBT CORP US Y 2 2028-03-15 Fixed 5.13000000 N N N N N N GRAFTECH FINANCE INC 1Z010BU876CF2HDBIN43 384311AA4 490000.00000000 PA USD 495978.00000000 0.134447700387 Long DBT CORP US Y 2 2028-12-15 Fixed 4.63000000 N N N N N N IRON MOUNTAIN INC SQL3F6CKNNBM3SQGHX24 46284VAJ0 453000.00000000 PA USD 461693.07000000 0.125153880910 Long DBT CORP US Y 2 2030-07-15 Fixed 5.25000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAH3 111000.00000000 PA USD 119880.00000000 0.032496583159 Long DBT CORP US Y 2 2027-07-01 Fixed 6.50000000 N N N N N N INTERCONTINENTAL HOTELS 2138007ZFQYRUSLU3J98 000000000 100000.00000000 PA 140748.39000000 0.038153501503 Long DBT CORP GB N 2 2028-10-08 Fixed 3.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JPLF0 61003.81000000 PA USD 65928.63000000 0.017871665060 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.50000000 N N N N N N JAB HOLDINGS BV 529900RRNKUM3INJGF98 000000000 100000.00000000 PA 110573.45000000 0.029973801411 Long DBT CORP NL N 2 2031-07-14 Fixed 1.00000000 N N N N N N Equate Petrochemical BV 635400Y3Z5R4NJSMQ630 000000000 1022000.00000000 PA USD 1107461.68000000 0.300206211047 Long DBT CORP NL N 2 2026-11-03 Fixed 4.25000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAF5 329000.00000000 PA USD 317973.41000000 0.086194939611 Long DBT CORP NL Y 2 2031-07-13 Fixed 3.06000000 N N N N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAK1 1235000.00000000 PA USD 1458843.75000000 0.395457434426 Long DBT CORP US N 2 2026-03-01 Fixed 7.63000000 N N N N N N GARFUNKELUX HOLDCO 3 SA 2221007QVSNJV7EWBX69 000000000 265000.00000000 PA 364349.10000000 0.098766273167 Long DBT CORP LU N 2 2025-11-01 Fixed 7.75000000 N N N N N N BRUCE POWER LP 549300R8DACS3G0K8262 116705AK0 200000.00000000 PA 157263.30000000 0.042630296183 Long DBT CORP CA N 2 2028-12-21 Fixed 2.68000000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 38930000.00000000 PA 6196449.94000000 1.679708464887 Long DBT NUSS CN N 2 2026-03-11 Fixed 3.03000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 63.00000000 NC -5225.10000000 -0.00141639887 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 5 Year Euro BOBL Future OEZ1 Comdty 2021-12-08 8541107.26000000 EUR -5225.10000000 N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822CB8 200000.00000000 PA USD 200710.20000000 0.054407705249 Long DBT CORP JP N 2 2032-10-13 Fixed 2.49000000 N N N N N N DT MIDSTREAM INC N/A 23345MAA5 519000.00000000 PA USD 515756.25000000 0.139809108010 Long DBT CORP US Y 2 2029-06-15 Fixed 4.13000000 N N N N N N HAMMERSON IRELAND 63540093EUHUMTGSHN61 000000000 100000.00000000 PA 111960.72000000 0.030349856924 Long DBT CORP IE N 2 2027-06-03 Fixed 1.75000000 N N N N N N Allegro CLO Ltd 635400THLJMIHHPCEN50 01749TAQ3 250000.00000000 PA USD 250012.25000000 0.067772304580 Long ABS-CBDO CORP KY Y 2 2030-01-15 Floating 1.67000000 N N N N N N US ACUTE CARE SOLUTIONS N/A 90367UAA9 470000.00000000 PA USD 481162.50000000 0.130431574863 Long DBT CORP US Y 2 2026-03-01 Fixed 6.38000000 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBA8 400000.00000000 PA USD 389848.00000000 0.105678411342 Long DBT CORP BM Y 2 2026-03-15 Fixed 5.88000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBF2 1090000.00000000 PA USD 1246940.78000000 0.338015638577 Long DBT CORP US N 2 2031-03-01 Fixed 4.25000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEE4 2249000.00000000 PA USD 2091570.00000000 0.566974294624 Long DBT NUSS DO Y 2 2060-01-30 Fixed 5.88000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAC4 1735000.00000000 PA USD 1839100.00000000 0.498535753163 Long DBT CORP US N 2 2028-07-15 Fixed 5.50000000 N N N N N N VULCAN MATERIALS CO 549300Q8LSNHAVWBNI21 929160AZ2 137000.00000000 PA USD 148505.54000000 0.040256278197 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HRV4 421000.00000000 PA USD 443844.09000000 0.120315451957 Long DBT CORP US N 2 2026-10-01 Fixed 2.95000000 N N N N N N MICHAELS COS INC/THE 549300H9LWMBP7HYLR98 55916AAA2 370000.00000000 PA USD 366070.60000000 0.099232930390 Long DBT CORP US Y 2 2028-05-01 Fixed 5.25000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FVNL2 821458.00000000 PA USD 86344.19000000 0.023405832087 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 1.44000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05493EAZ5 2297202.10000000 PA USD 273243.00000000 0.074069601871 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.76000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 16727.22000000 0.004534346811 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1281273350.00000000 KRW 1095105.43000000 USD 2021-12-13 16727.22000000 N N N ZURICH FINANCE IRELAND 549300E0FVHYR37EGX65 000000000 105000.00000000 PA 123030.23000000 0.033350534704 Long DBT CORP IE N 2 2050-09-17 Fixed 1.88000000 N N N N N N AA BOND CO LTD 2138002EPF6QVRZBMC58 000000000 100000.00000000 PA 133755.19000000 0.036257813270 Long DBT CORP JE N 2 2028-07-31 Fixed 3.25000000 N N N N N N iHeartCommunications Inc 54930076J6KDZL504O62 45174HBD8 605000.00000000 PA USD 636550.75000000 0.172553590113 Long DBT CORP US N 2 2027-05-01 Fixed 8.38000000 N N N N N N AMERICAN TRANSMISSION SY N/A 030288AC8 24000.00000000 PA USD 24243.94000000 0.006571948718 Long DBT CORP US Y 2 2032-01-15 Fixed 2.65000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286T2 12609000.00000000 PA USD 13500988.27000000 3.659793026823 Long DBT UST US N 2 2029-05-15 Fixed 2.38000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 580.24000000 0.000157289100 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 24591.09000000 EUR 28516.19000000 USD 2022-01-14 580.24000000 N N N iShares iBoxx High Yield Corporate Bond ETF 549300WY6QQ9HGWLNX87 464288513 19500.00000000 NS USD 1669980.00000000 0.452691390934 Long EC RF US N 1 N N N OOREDOO INTL FINANCE 549300BHXCDJ03WU7N77 000000000 200000.00000000 PA USD 199988.80000000 0.054212151069 Long DBT CORP BM N 2 2031-04-08 Fixed 2.63000000 N N N N N N MOL HUNGARIAN OIL & GAS 213800R83KX5FQFGXS67 000000000 110000.00000000 PA 127157.76000000 0.034469408760 Long DBT CORP HU N 2 2027-10-08 Fixed 1.50000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BR2 160000.00000000 PA USD 155493.60000000 0.042150573099 Long DBT CORP PA Y 2 2029-05-01 Fixed 6.00000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 2449000.00000000 PA 2695542.28000000 0.730696645502 Long DBT NUSS IT Y 2 2031-08-01 Fixed 0.60000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 21864.52000000 0.005926945215 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 698312.19000000 GBP 951380.25000000 USD 2022-01-14 21864.52000000 N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880WAG3 300000.00000000 PA USD 299436.90000000 0.081170137820 Long ABS-CBDO CORP KY Y 2 2035-02-15 Floating 2.21000000 N N N N N N UMBS, TBA N/A 01F0224C6 50000.00000000 PA USD 51839.35000000 0.014052400302 Long ABS-MBS USGSE US N 2 2036-12-15 Fixed 2.50000000 N N N N N N Callon Petroleum Co 549300EFOWPEB0WLZW21 13123XAT9 325000.00000000 PA USD 312812.50000000 0.084795941105 Long DBT CORP US N 2 2024-10-01 Fixed 6.13000000 N N N N N N REALOGY GROUP/CO-ISSUER N/A 75606DAL5 325000.00000000 PA USD 328656.25000000 0.089090800459 Long DBT CORP US Y 2 2029-01-15 Fixed 5.75000000 N N N N N N ENLINK MIDSTREAM LLC 54930000GY1H533OBE23 29336TAC4 461000.00000000 PA USD 472525.00000000 0.128090156469 Long DBT CORP US Y 2 2028-01-15 Fixed 5.63000000 N N N N N N REPUBLIC OF CYPRUS 213800IOEYYAHPDLUL60 000000000 610000.00000000 PA 691491.43000000 0.187446686347 Long DBT NUSS CY N 2 2030-01-21 Fixed 0.63000000 N N N N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 400000.00000000 PA 444458.56000000 0.120482019987 Long DBT NUSS BJ N 2 2052-01-19 Fixed 6.88000000 N N N N N N JERSEY CENTRAL PWR & LT 549300W9UGH9ZPLNPF79 476556DD4 98000.00000000 PA USD 99886.41000000 0.027076802044 Long DBT CORP US Y 2 2032-03-01 Fixed 2.75000000 N N N N N N PETSMART INC/PETSMART FI N/A 71677KAA6 250000.00000000 PA USD 253026.25000000 0.068589327450 Long DBT CORP US Y 2 2028-02-15 Fixed 4.75000000 N N N N N N Securitized Term Auto Receivables Trust 549300DC604TIE09UO03 81379MAC8 164439.27000000 PA USD 166519.03000000 0.045139301852 Long ABS-O CORP CA Y 2 2026-03-25 Fixed 2.85000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BA4 1350000.00000000 PA USD 1322163.00000000 0.358406572241 Long DBT CORP US Y 2 2030-01-15 Fixed 5.75000000 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 200000.00000000 PA USD 202356.00000000 0.054853842024 Long DBT CORP US Y 2 2028-03-20 Fixed 3.38000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 678000.00000000 PA 755937.75000000 0.204916532837 Long DBT NUSS IT N 2 2051-09-01 Fixed 1.70000000 N N N N N N WHITBREAD GROUP PLC 2138006LIAYQKUCYBB20 000000000 100000.00000000 PA 135489.85000000 0.036728037853 Long DBT CORP GB N 2 2031-05-31 Fixed 3.00000000 N N N N N N PROVINCE OF ALBERTA LQPXMHHNJKIPJYE53543 013051DB0 255000.00000000 PA 251508.71000000 0.068177958874 Long DBT NUSS CA N 2 2040-12-01 Fixed 4.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -12251.86000000 -0.00332118441 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 160000000.00000000 JPY 1404424.05000000 USD 2022-01-14 -12251.86000000 N N N IQVIA Inc 549300PLWY28YB00C717 46266TAA6 1210000.00000000 PA USD 1246300.00000000 0.337841938539 Long DBT CORP US Y 2 2027-05-15 Fixed 5.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 187000.00000000 PA USD 192689.11000000 0.052233380773 Long DBT CORP US Y 2 2034-04-15 Fixed 3.47000000 N N N N N N FAIR ISAAC CORP RI6HET5SJUEY30V1PS26 303250AF1 311000.00000000 PA USD 310222.50000000 0.084093854431 Long DBT CORP US Y 2 2028-06-15 Fixed 4.00000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PBB6 683000.00000000 PA USD 881944.24000000 0.239073860005 Long DBT NUSS QA Y 2 2049-03-14 Fixed 4.82000000 N N N N N N PRESTIGE BRANDS INC 549300JBVP4J6D42I235 74112BAL9 630000.00000000 PA USD 653625.00000000 0.177182008406 Long DBT CORP US Y 2 2028-01-15 Fixed 5.13000000 N N N N N N FIRST QUANTUM MINERALS L 549300I7UVBGWRYMYZ18 000000000 350000.00000000 PA USD 369950.00000000 0.100284542375 Long DBT CORP CA N 2 2027-10-15 Fixed 6.88000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 2170.70000000 0.000588424533 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 99331.00000000 EUR 115012.64000000 USD 2022-01-14 2170.70000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 15473.58000000 0.004194515175 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 16303134.75000000 BRL 2856440.60000000 USD 2022-03-03 15473.58000000 N N N VECTOR GROUP LTD 549300TUIF4WWN6NDN50 92240MBL1 355000.00000000 PA USD 337693.75000000 0.091540649227 Long DBT CORP US Y 2 2029-02-01 Fixed 5.75000000 N N N N N N BANCO BTG PACTUAL/CAYMAN ZXLTQRYIK6IJH3R0IK66 05971AAE1 906000.00000000 PA USD 910539.06000000 0.246825227590 Long DBT CORP BR Y 2 2025-01-10 Fixed 4.50000000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 12769GAA8 550000.00000000 PA USD 536250.00000000 0.145364470465 Long DBT CORP US Y 2 2029-10-15 Fixed 4.63000000 N N N N N N SWF ESCROW ISSUER CORP N/A 78500AAA6 550000.00000000 PA USD 528000.00000000 0.143128093997 Long DBT CORP US Y 2 2029-10-01 Fixed 6.50000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBT8 260000.00000000 PA USD 268585.20000000 0.072806984378 Long DBT CORP US Y 2 2032-01-15 Fixed 4.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 8809.16000000 0.002387951288 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 335027.83000000 USD 1933000.00000000 BRL 2021-12-02 8809.16000000 N N N KAISER ALUMINUM CORP N/A 483007AL4 415000.00000000 PA USD 403068.75000000 0.109262238517 Long DBT CORP US Y 2 2031-06-01 Fixed 4.50000000 N N N N N N RAC BOND CO PLC 2138008FCM2SUNLC7B21 000000000 250000.00000000 PA 323861.87000000 0.087791159415 Long DBT CORP GB Y 2 2027-11-04 Fixed 5.25000000 N N N N N N LEXINGTON REALTY TRUST 549300S4MH2ICXDBFV43 529043AE1 195000.00000000 PA USD 196165.13000000 0.053175646146 Long DBT CORP US N 2 2030-09-15 Fixed 2.70000000 N N N N N N VIDEOTRON LTD / LTEE 549300LW4GNJRBECSD81 92660FAK0 1245000.00000000 PA USD 1277606.55000000 0.346328390870 Long DBT CORP CA Y 2 2027-04-15 Fixed 5.13000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95003DBP2 1996911.73000000 PA USD 234278.88000000 0.063507366587 Long ABS-MBS CORP US N 2 2054-08-15 Variable 1.68000000 N N N N N N Lear Corp 549300UPNBTXA1SYTQ33 521865AY1 21000.00000000 PA USD 22917.64000000 0.006212420704 Long DBT CORP US N 2 2027-09-15 Fixed 3.80000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -1077.16000000 -0.00029199215 N/A DFE AU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 48875.93000000 USD 67016.04000000 AUD 2022-01-14 -1077.16000000 N N N Engie Energia Chile SA 5493000FIKCC3ZDWTO77 000000000 300000.00000000 PA USD 320025.00000000 0.086751076290 Long DBT CORP CL N 2 2025-01-29 Fixed 4.50000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAD7 715000.00000000 PA USD 732875.00000000 0.198664776303 Long DBT CORP US Y 2 2027-02-15 Fixed 3.75000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -111047.63000000 -0.03010234019 N/A DFE N/A N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 3788342.35000000 USD 3237000.00000000 EUR 2022-01-14 -111047.63000000 N N N SCIENTIFIC GAMES INTERNA RLTHESQ0RNFQJWPBJN60 80874YBG4 170000.00000000 PA USD 180987.10000000 0.049061247464 Long DBT CORP US Y 2 2025-07-01 Fixed 8.63000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FEZY9 15983000.00000000 PA USD 148068.11000000 0.040137701450 Long ABS-MBS USGSE US N 2 2028-04-25 Variable 0.25000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -60977.51000000 -0.01652953557 N/A DFE SE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1930934.06000000 USD 16830000.00000000 SEK 2022-01-14 -60977.51000000 N N N UBISOFT ENTERTAINMENT SA 969500I7C8V1LBIMSM05 000000000 200000.00000000 PA 223973.07000000 0.060713709499 Long DBT CORP FR N 2 2027-11-24 Fixed 0.88000000 N N N N N N REGENCY CENTERS LP 5493008PTR2GAOYBXW28 75884RBA0 153000.00000000 PA USD 167219.55000000 0.045329195966 Long DBT CORP US N 2 2030-06-15 Fixed 3.70000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 000000000 200000.00000000 PA 220235.98000000 0.059700674331 Long DBT CORP US N 2 2033-03-15 Fixed 1.00000000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAT5 938000.00000000 PA USD 869737.05000000 0.235764784555 Long DBT CORP US Y 2 2031-02-15 Fixed 3.75000000 N N N N N N MGM GROWTH/MGM FINANCE N/A 55303XAK1 645000.00000000 PA USD 686925.00000000 0.186208837062 Long DBT CORP US Y 2 2025-06-15 Fixed 4.63000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 000000000 200000.00000000 PA 232100.04000000 0.062916735495 Long DBT CORP FR N 2 2026-12-15 Fixed 2.88000000 N N N N N N CORPORATE OFFICE PROP LP H0TWO5VRNEP6CQAWPX27 22003BAL0 149000.00000000 PA USD 150782.16000000 0.040873415093 Long DBT CORP US N 2 2026-03-15 Fixed 2.25000000 N N N N N N VTR COMUNICACIONES SPA 213800XDZJKMC1AEUV94 000000000 267000.00000000 PA USD 272326.65000000 0.073821201437 Long DBT CORP CL N 2 2028-01-15 Fixed 5.13000000 N N N N N N TELUS CORP L2TEUTQ8OSHMJWVLCE40 87971MBV4 225000.00000000 PA 173571.18000000 0.047050970011 Long DBT CORP CA N 2 2031-11-13 Fixed 2.85000000 N N N N N N IMERYS SA 54930075MZSSIB2TGC64 000000000 100000.00000000 PA 111475.06000000 0.030218206185 Long DBT CORP FR N 2 2031-07-15 Fixed 1.00000000 N N N N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAD6 865000.00000000 PA USD 868624.35000000 0.235463158361 Long DBT CORP US Y 2 2029-03-15 Fixed 4.00000000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAA1 495000.00000000 PA USD 497054.25000000 0.134739445863 Long DBT CORP US Y 2 2029-08-15 Fixed 3.88000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 59396.70000000 0.016101016024 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2067000.00000000 NZD 1469538.61000000 USD 2022-01-14 59396.70000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -18790.95000000 -0.00509377435 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 4940000.00000000 CNY 756321.45000000 USD 2021-12-17 -18790.95000000 N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 224000.00000000 PA 347479.50000000 0.094193330564 Long DBT NUSS DE N 2 2048-08-15 Fixed 1.25000000 N N N N N N ADANI GREEN ENERGY UP N/A 00654AAA4 1081000.00000000 PA USD 1162183.10000000 0.315039871171 Long DBT CORP IN Y 2 2024-12-10 Fixed 6.25000000 N N N N N N RANGE RESOURCES CORP H3Y3WLYCX0BTO1TRW162 75281ABH1 415000.00000000 PA USD 457479.40000000 0.124011656373 Long DBT CORP US Y 2 2029-01-15 Fixed 8.25000000 N N N N N N NATIONSTAR MTG HLD INC N/A 63861CAC3 395000.00000000 PA USD 393518.75000000 0.106673463332 Long DBT CORP US Y 2 2028-08-15 Fixed 5.50000000 N N N N N N NEW ENTERPRISE STONE & L 549300O5DQ5Y61B8VF38 644274AG7 407000.00000000 PA USD 435567.33000000 0.118071821496 Long DBT CORP US Y 2 2028-07-15 Fixed 9.75000000 N N N N N N ERSTE GROUP BANK AG PQOH26KWDF7CG10L6792 000000000 100000.00000000 PA 113774.11000000 0.030841423315 Long DBT CORP AT N 2 2030-06-10 Fixed 1.00000000 N N N N N N Russian Federation 5493004EHVGF71PDBU58 000000000 800000.00000000 PA USD 879248.00000000 0.238342974224 Long DBT NUSS RU N 2 2026-05-27 Fixed 4.75000000 N N N N N N Post Holdings Inc JM1I5YUAURL6DC8N1468 737446AN4 520000.00000000 PA USD 535241.20000000 0.145091009061 Long DBT CORP US Y 2 2028-01-15 Fixed 5.63000000 N N N N N N JDE PEET'S NV 724500EHG519SE5ZRT89 000000000 100000.00000000 PA 110835.08000000 0.030044723008 Long DBT CORP NL N 2 2029-01-16 Fixed 0.50000000 N N N N N N SUN COMMUNITIES 549300PUNBPJCGT6X741 866677AE7 66000.00000000 PA USD 66102.80000000 0.017918878355 Long DBT CORP US N 2 2031-07-15 Fixed 2.70000000 N N N N N N GROUPE ACM 96950090CGKLVXEKWF10 000000000 100000.00000000 PA 113664.32000000 0.030811661888 Long DBT CORP FR N 2 2042-04-21 Fixed 1.85000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 49.00000000 NC USD 198071.33000000 0.053692371095 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT US Long Bond Future USH2 COMDTY 2022-03-22 7746053.67000000 USD 198071.33000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -29441.50000000 -0.00798088215 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 745538.27000000 USD 1004000.00000000 AUD 2022-01-14 -29441.50000000 N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109BP5 106000.00000000 PA USD 111423.84000000 0.030204321676 Long DBT CORP CA N 2 2049-11-15 Fixed 3.70000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBV9 60000.00000000 PA USD 82758.89000000 0.022433943536 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N UNIVERSITY OF PENNSYLVAN 549300FG60YK9HZ7DS75 91481CAD2 35000.00000000 PA USD 34729.69000000 0.009414383209 Long DBT CORP US N 2 2050-10-01 Fixed 2.40000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAG6 134000.00000000 PA USD 143588.75000000 0.038923454747 Long DBT CORP KY Y 2 2026-05-01 Fixed 4.38000000 N N N N N N HOLCIM FINANCE LUX SA 529900XU3Z9D2HLBR716 000000000 125000.00000000 PA 135114.19000000 0.036626205467 Long DBT CORP LU N 2 2031-04-23 Fixed 0.50000000 N N N N N N GROUP 1 AUTOMOTIVE INC 549300US8QAZJLWYAF63 398905AN9 555000.00000000 PA USD 549039.30000000 0.148831341929 Long DBT CORP US Y 2 2028-08-15 Fixed 4.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAX3 150000.00000000 PA USD 151144.50000000 0.040971636748 Long DBT CORP IE N 2 2032-01-30 Fixed 3.30000000 N N N N N N REAL HERO MERGER SUB 2 N/A 75602BAA7 470000.00000000 PA USD 471438.20000000 0.127795551142 Long DBT CORP US Y 2 2029-02-01 Fixed 6.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 167676.79000000 0.045453142727 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10217213.34000000 AUD 7455040.80000000 USD 2022-01-14 167676.79000000 N N N Q-PARK HOLDING BV 2549003839B7HE3NDP48 000000000 380000.00000000 PA 407643.38000000 0.110502310624 Long DBT CORP NL N 2 2027-03-01 Fixed 2.00000000 N N N N N N DIEBOLD NIXDORF INC 549300XZK6EWDBAZSY16 253657AA8 374000.00000000 PA USD 396961.06000000 0.107606590736 Long DBT CORP US Y 2 2025-07-15 Fixed 9.38000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAS3 129000.00000000 PA USD 137012.36000000 0.037140753675 Long DBT CORP US N 2 2050-04-05 Fixed 3.58000000 N N N N N N EMPIRE COMMUNITIES CORP 549300JM1L6KK2QFP273 29163VAC7 490000.00000000 PA USD 501995.20000000 0.136078818507 Long DBT CORP CA Y 2 2025-12-15 Fixed 7.00000000 N N N N N N BECTON DICKINSON EURO 549300W40NLZ25XUTH09 000000000 100000.00000000 PA 109971.47000000 0.029810619119 Long DBT CORP LU N 2 2041-08-13 Fixed 1.34000000 N N N N N N GUARA NORTE SARL 549300U2I4L03BBA3485 400666AA1 196458.00000000 PA USD 186660.64000000 0.050599207627 Long DBT CORP LU Y 2 2034-06-15 Fixed 5.20000000 N N N N N N BECTON DICKINSON EURO 549300W40NLZ25XUTH09 000000000 100000.00000000 PA 111847.50000000 0.030319165707 Long DBT CORP LU N 2 2036-02-12 Fixed 1.21000000 N N N N N N RUSSIAN FEDERATION 5493004EHVGF71PDBU58 000000000 200000.00000000 PA USD 235750.00000000 0.063906151817 Long DBT NUSS RU Y 2 2035-03-28 Fixed 5.10000000 N N N N N N COMMERCIAL BANK PSQC/THE 2138004FUUD4I7X8H721 000000000 272000.00000000 PA USD 274886.46000000 0.074515104328 Long DBT CORP QA N 2 2026-03-03 Fixed 4.50000000 N N N N N N SUMMER (BC) BIDC 213800CCW2O2WZ7YV169 865632AA1 540000.00000000 PA USD 544050.00000000 0.147478862763 Long DBT CORP US Y 2 2026-10-31 Fixed 5.50000000 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081BD3 304000.00000000 PA USD 323760.00000000 0.087763544910 Long DBT CORP US Y 2 2027-12-15 Fixed 5.88000000 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CM6 665000.00000000 PA USD 661379.08000000 0.179283952897 Long DBT CORP US Y 2 2028-02-15 Fixed 4.50000000 N N N N N N VIRGIN MEDIA VEND FIN IV 635400ZZNJSEA4CAJR23 92770QAA5 1000000.00000000 PA USD 985480.00000000 0.267139913015 Long DBT CORP IE Y 2 2028-07-15 Fixed 5.00000000 N N N N N N LTRI HOLDINGS, LP N/A 000000000 615.00000000 NS USD 176867.85000000 0.047944617916 Long EC CORP US N 3 N N N TOLL ROAD INV PART II N/A 88948ABM8 2000000.00000000 PA USD 655375.78000000 0.177656602733 Long DBT CORP US Y 2 2043-02-15 None 0.00000000 N N N N N N UZBEK INDUSTRIAL AND CON 213800C2NIFPFTXYIU69 000000000 269000.00000000 PA USD 274783.50000000 0.074487194350 Long DBT CORP UZ N 2 2024-12-02 Fixed 5.75000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AU0 183000.00000000 PA USD 200785.28000000 0.054428057630 Long DBT CORP US N 2 2028-03-15 Fixed 4.20000000 N N N N N N Sensata Technologies BV PUCKW5P5O3XMOZVH7T53 81725WAH6 480000.00000000 PA USD 523200.00000000 0.141826929506 Long DBT CORP NL Y 2 2024-11-01 Fixed 5.63000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAM1 110000.00000000 PA USD 109929.60000000 0.029799269170 Long DBT CORP US Y 2 2026-05-15 Fixed 3.13000000 N N N N N N Encompass Health Corp 549300FVRPM9DRQZRG64 421924BN0 204000.00000000 PA USD 204000.00000000 0.055299490862 Long DBT CORP US N 2 2023-03-15 Fixed 5.13000000 N N N N N N GATES GLOBAL/GATES CORP N/A 36740LAA0 560000.00000000 PA USD 574000.00000000 0.155597587034 Long DBT CORP US Y 2 2026-01-15 Fixed 6.25000000 N N N N N N UNICAJA BANCO SA 5493007SJLLCTM6J6M37 000000000 100000.00000000 PA 113188.91000000 0.030682789677 Long DBT CORP ES N 2 2026-12-01 Fixed 1.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -123.00000000 NC USD -393694.35000000 -0.10672106426 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10-Year US Treasury Note Futures UXYH2 COMDTY 2022-03-22 -17673852.53000000 USD -393694.35000000 N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881CAG6 200000.00000000 PA USD 199249.60000000 0.054011771738 Long ABS-CBDO CORP KY Y 2 2035-12-15 Floating 2.09000000 N N N N N N Aviva PLC YF0Y5B0IB8SM0ZFG9G81 000000000 150000.00000000 PA 184441.16000000 0.049997560010 Long DBT CORP GB N 2 2044-07-03 Fixed 3.88000000 N N N N N N TransDigm Inc 88Q84GB3X55CF5OC7582 893647BE6 15000.00000000 PA USD 15562.50000000 0.004218619247 Long DBT CORP US Y 2 2026-03-15 Fixed 6.25000000 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAG4 89000.00000000 PA USD 89240.03000000 0.024190824625 Long DBT CORP US N 2 2031-11-15 Fixed 3.60000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDJ6 545000.00000000 PA USD 556663.00000000 0.150897943539 Long DBT CORP US Y 2 2028-10-01 Fixed 6.13000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AC1 570000.00000000 PA USD 613491.00000000 0.166302646807 Long DBT CORP US N 2 2030-02-01 Fixed 5.30000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCD3 2035000.00000000 PA USD 2085122.05000000 0.565226410545 Long DBT CORP US Y 2 2030-03-01 Fixed 4.75000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 455780CE4 400000.00000000 PA USD 448899.05000000 0.121685729968 Long DBT NUSS ID N 2 2048-01-11 Fixed 4.35000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 989000.00000000 PA 1168529.62000000 0.316760260018 Long DBT NUSS RO Y 2 2026-12-08 Fixed 2.00000000 N N N N N N JBS USA LUX/JBS USA FIN N/A 472141AA8 1055000.00000000 PA USD 1137817.50000000 0.308434943355 Long DBT CORP N/A Y 2 2028-02-15 Fixed 6.75000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 100000.00000000 PA 100934.95000000 0.027361036006 Long DBT NUSS RS N 2 2033-03-03 Fixed 1.65000000 N N N N N N SENSATA TECH INC 5493002MMDDCUNV7NY90 81728UAA2 410000.00000000 PA USD 425252.00000000 0.115275583766 Long DBT CORP US Y 2 2030-02-15 Fixed 4.38000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 10896.43000000 0.002953759956 N/A DFE JP N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 1047617.89000000 USD 119549073.00000000 JPY 2022-01-14 10896.43000000 N N N Sprint Capital Corp 549300L17W0GQBR1PO80 852060AD4 920000.00000000 PA USD 1135804.40000000 0.307889240389 Long DBT CORP US N 2 2028-11-15 Fixed 6.88000000 N N N N N N CAESARS RESORT / FINCO N/A 12770RAA1 434000.00000000 PA USD 450791.46000000 0.122198716780 Long DBT CORP US Y 2 2025-07-01 Fixed 5.75000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAJ4 92000.00000000 PA USD 98831.07000000 0.026790724766 Long DBT CORP US N 2 2030-05-01 Fixed 3.60000000 N N N N N N GALAXY PIPELINE ASSETS 549300L82YB0C6JQIC26 36321PAA8 301424.65000000 PA USD 302615.52000000 0.082031785211 Long DBT CORP JE Y 2 2027-09-30 Fixed 1.75000000 N N N N N N NESTE OYJ 5493009GY1X8GQ66AM14 000000000 200000.00000000 PA 226168.63000000 0.061308872980 Long DBT CORP FI N 2 2028-03-25 Fixed 0.75000000 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 90290MAD3 800000.00000000 PA USD 809920.00000000 0.219549821761 Long DBT CORP US Y 2 2029-02-15 Fixed 4.75000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 3160000.00000000 PA 3821554.53000000 1.035931469668 Long DBT NUSS IT N 2 2032-03-01 Fixed 1.65000000 N N N N N N SOUTHWESTERN ENERGY CO EFWMP121W54QV9MGOP87 845467AS8 440000.00000000 PA USD 458150.00000000 0.124193439895 Long DBT CORP US N 2 2030-03-15 Fixed 5.38000000 N N N N N N THAIOIL TRSRY CENTER 549300NH03B9E8VGJR89 88322YAD3 355000.00000000 PA USD 405391.02000000 0.109891750030 Long DBT CORP TH Y 2 2048-11-20 Fixed 5.38000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 3074.33000000 0.000833376881 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 115392.01000000 USD 666000.00000000 BRL 2021-12-02 3074.33000000 N N N arbor multifamily mortgage securities trust N/A 03882KAJ1 550000.00000000 PA USD 567801.03000000 0.153917195442 Long ABS-MBS CORP US Y 2 2054-10-15 Fixed 2.57000000 N N N N N N SOLARIS MIDSTREAM HOLDIN 5493007AWQW8ZKCHVV46 83419MAA0 355000.00000000 PA USD 371053.10000000 0.100583566240 Long DBT CORP US Y 2 2026-04-01 Fixed 7.63000000 N N N N N N SARENS FINANCE CO NV 549300B68EWZ6IHPCL79 000000000 210000.00000000 PA 232539.57000000 0.063035881501 Long DBT CORP BE N 2 2027-02-21 Fixed 5.75000000 N N N N N N Business Jet Securities, LLC N/A 12327BAA4 105965.49000000 PA USD 105995.85000000 0.028732924208 Long ABS-O CORP US Y 2 2036-04-15 Fixed 2.16000000 N N N N N N NORDSTROM INC 549300S3IZB5P35KNV16 655664AY6 106000.00000000 PA USD 101490.22000000 0.027511556340 Long DBT CORP US N 2 2031-08-01 Fixed 4.25000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 250000.00000000 PA 257832.10000000 0.069892077735 Long DBT NUSS RO N 2 2033-04-14 Fixed 2.00000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 3018.67000000 0.000818288794 N/A DFE CN N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 372718.61000000 USD 2400000.00000000 CNY 2022-01-14 3018.67000000 N N N AVIVA PLC YF0Y5B0IB8SM0ZFG9G81 000000000 175000.00000000 PA 252388.75000000 0.068416516541 Long DBT CORP GB N 2 2055-06-03 Fixed 4.00000000 N N N N N N ORGANON & CO/ORG N/A 68622TAB7 675000.00000000 PA USD 689343.75000000 0.186864501981 Long DBT CORP US Y 2 2031-04-30 Fixed 5.13000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -359.36000000 -0.00009741384 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 448729000.00000000 KRW 377311.48000000 USD 2021-12-13 -359.36000000 N N N LIVE NATION ENTERTAINMEN 5493007B9BM9ZXJINO78 538034AN9 773000.00000000 PA USD 794257.50000000 0.215304094920 Long DBT CORP US Y 2 2026-03-15 Fixed 5.63000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 6016.27000000 0.001630866019 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 2708000.00000000 BRL 487708.24000000 USD 2021-12-02 6016.27000000 N N N ALLIANT HOLD / CO-ISSUER N/A 01883LAA1 1345000.00000000 PA USD 1358974.55000000 0.368385297598 Long DBT CORP US Y 2 2027-10-15 Fixed 6.75000000 N N N N N N PFP III N/A 69357XAE1 105000.00000000 PA USD 104615.39000000 0.028358714722 Long ABS-CBDO CORP US Y 2 2037-08-09 Floating 1.59000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162RAF4 3633619.02000000 PA USD 329565.97000000 0.089337403659 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.38000000 N N N N N N VONOVIA SE 5299005A2ZEP6AP7KM81 000000000 100000.00000000 PA 110614.27000000 0.029984866731 Long DBT CORP DE N 2 2041-06-14 Fixed 1.50000000 N N N N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AJ0 879000.00000000 PA USD 870851.67000000 0.236066931214 Long DBT CORP US Y 2 2029-05-01 Fixed 3.75000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 34386.54000000 0.009321363502 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 1405000.00000000 AUD 1036494.07000000 USD 2022-01-14 34386.54000000 N N N WYNDHAM HOTELS & RESORTS 549300FE3MQ4RVXXC673 98311AAB1 1018000.00000000 PA USD 1028541.39000000 0.278812819598 Long DBT CORP US Y 2 2028-08-15 Fixed 4.38000000 N N N N N N TENGIZCHEVROIL FIN CO IN 5493001VEV2XTJIBZH31 88034QAC1 323000.00000000 PA USD 318310.04000000 0.086286191904 Long DBT CORP BM Y 2 2030-08-15 Fixed 3.25000000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 000000000 -6.00000000 NC -5918.52000000 -0.00160436834 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short TSE Japanese 10 Year Bond Futures JBZ1 Comdty 2021-12-13 -910971000.00000000 JPY -5918.52000000 N N N WYNN RESORTS FINANCE LLC N/A 983133AA7 875000.00000000 PA USD 855312.50000000 0.231854636168 Long DBT CORP US Y 2 2029-10-01 Fixed 5.13000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599EE1 760000.00000000 PA USD 812599.60000000 0.220276196838 Long DBT CORP US N 2 2025-12-01 Fixed 5.50000000 N N N N N N The Bancorp Commercial Mortgage Trust N/A 05973BAA5 6132.32000000 PA USD 6127.63000000 0.001661053035 Long ABS-MBS CORP US Y 2 2036-09-15 Floating 1.21000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBS0 460000.00000000 PA USD 493350.00000000 0.133735312828 Long DBT CORP US N 2 2031-02-01 Fixed 4.88000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 119416.30000000 0.032370885248 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 19251000.00000000 NOK 2247228.03000000 USD 2022-01-14 119416.30000000 N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724BY7 981000.00000000 PA USD 913801.50000000 0.247709596565 Long DBT NUSS UA Y 2 2033-03-15 Fixed 7.25000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2405.72000000 0.000652132799 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 354975000.00000000 KRW 300966.55000000 USD 2022-02-11 2405.72000000 N N N AIA GROUP LTD ZP5ILWVSYE4LJGMMVD57 000000000 100000.00000000 PA 112027.59000000 0.030367983772 Long DBT CORP HK N 2 2033-09-09 Fixed 0.88000000 N N N N N N DORNOCH DEBT MERGER SUB N/A 25830JAA9 440000.00000000 PA USD 433400.00000000 0.117484310489 Long DBT CORP US Y 2 2029-10-15 Fixed 6.63000000 N N N N N N ENERSYS 7ZS3DE5PN30BYUJFWP05 29275YAC6 360000.00000000 PA USD 370800.00000000 0.100514956920 Long DBT CORP US Y 2 2027-12-15 Fixed 4.38000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29278GAF5 200000.00000000 PA USD 216041.49000000 0.058563649030 Long DBT CORP NL Y 2 2028-04-06 Fixed 3.50000000 N N N N N N GRANITE US HOLDINGS CORP N/A 38748YAA0 480000.00000000 PA USD 521760.00000000 0.141436580158 Long DBT CORP US Y 2 2027-10-01 Fixed 11.00000000 N N N N N N DISH DBS CORP N/A 25470XBD6 450000.00000000 PA USD 395167.50000000 0.107120399781 Long DBT CORP US N 2 2029-06-01 Fixed 5.13000000 N N N N N N NATIONAL GRID GAS PLC FPCHGTHKVH9ZWXS7S453 000000000 100000.00000000 PA 120028.31000000 0.032536786431 Long DBT CORP GB N 2 2033-01-14 Fixed 1.13000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -4802.54000000 -0.00130185302 N/A DFE GB N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 144306.47000000 USD 104804.35000000 GBP 2022-01-14 -4802.54000000 N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAG4 282000.00000000 PA USD 279063.72000000 0.075647458991 Long DBT CORP US N 2 2031-02-01 Fixed 2.40000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -59717.69000000 -0.01618802868 N/A DFE CA N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 1853807.87000000 USD 2290756.50000000 CAD 2022-01-14 -59717.69000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 16887.02000000 0.004577664746 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 675932.07000000 AUD 498991.37000000 USD 2022-01-14 16887.02000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -25365.67000000 -0.00687602272 N/A DFE N/A N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 2106292.83000000 USD 1831770.83000000 EUR 2022-01-14 -25365.67000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FWHX1 719995.00000000 PA USD 91259.73000000 0.024738316692 Long ABS-MBS USGSE US N 2 2030-08-25 Variable 1.70000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DF9 275000.00000000 PA USD 341478.50000000 0.092566603874 Long DBT CORP US N 2 2036-09-15 Fixed 6.45000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AF1 215000.00000000 PA USD 229512.50000000 0.062215315669 Long DBT CORP US N 2 2026-07-01 Fixed 4.65000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -9.35000000 -0.00000253455 N/A DFE N/A N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 416.72000000 USD 358.59000000 EUR 2022-01-14 -9.35000000 N N N UMBS, TBA N/A 01F0406C6 150000.00000000 PA USD 159843.75000000 0.043329794081 Long ABS-MBS USGSE US N 2 2051-12-15 Fixed 4.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 62021.86000000 0.016812633727 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 2418513.22000000 EUR 2809499.74000000 USD 2022-01-14 62021.86000000 N N N ANGI GROUP LLC N/A 001846AA2 1137000.00000000 PA USD 1079968.08000000 0.292753357704 Long DBT CORP US Y 2 2028-08-15 Fixed 3.88000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 647000.00000000 PA 640971.40000000 0.173751921948 Long DBT NUSS RS Y 2 2036-09-23 Fixed 2.05000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BN1 865000.00000000 PA USD 845407.75000000 0.229169696795 Long DBT CORP PA Y 2 2027-03-01 Fixed 5.75000000 N N N N N N JAB HOLDINGS BV 529900RRNKUM3INJGF98 000000000 100000.00000000 PA 119425.56000000 0.032373395411 Long DBT CORP NL N 2 2039-12-19 Fixed 2.25000000 N N N N N N DISH DBS Corp N/A 25470XAY1 285000.00000000 PA USD 292837.50000000 0.079381199291 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N Arrow Electronics Inc 549300YNNLBXT8N8R512 042735BG4 86000.00000000 PA USD 89889.86000000 0.024366977900 Long DBT CORP US N 2 2024-09-08 Fixed 3.25000000 N N N N N N EMIRATES NBD BANK PJSC 54930029BCN8HF3B1286 000000000 238000.00000000 PA USD 255731.00000000 0.069322520087 Long DBT CORP AE N 2 2026-04-09 Fixed 6.13000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BE7 144000.00000000 PA USD 143196.27000000 0.038817062864 Long DBT CORP US Y 2 2031-04-27 Fixed 2.85000000 N N N N N N NFP CORP VO2L9FZNXDJNQNEYH039 65342RAD2 220000.00000000 PA USD 217956.20000000 0.059082680834 Long DBT CORP US Y 2 2028-08-15 Fixed 6.88000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 241.17000000 0.000065375383 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 99627.00000000 GBP 132853.58000000 USD 2022-01-14 241.17000000 N N N KINGDOM OF MOROCCO 529900F3MBW9XY5K1X07 617726AK0 432000.00000000 PA USD 417208.32000000 0.113095135684 Long DBT NUSS MA Y 2 2027-12-15 Fixed 2.38000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -2235.21000000 -0.00060591164 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 23461395.00000000 JPY 205497.25000000 USD 2022-01-14 -2235.21000000 N N N SCIENTIFIC GAMES INTERNA RLTHESQ0RNFQJWPBJN60 80874YBA7 380000.00000000 PA USD 399999.40000000 0.108430211594 Long DBT CORP US Y 2 2026-03-15 Fixed 8.25000000 N N N N N N SM ENERGY CO 84BUTVXV5ODI6BXNMH43 78454LAW0 250000.00000000 PA USD 252500.00000000 0.068446673739 Long DBT CORP US N 2 2028-07-15 Fixed 6.50000000 N N N N N N BANQUE FED CRED MUTUEL VBHFXSYT7OG62HNT8T76 000000000 100000.00000000 PA 111437.86000000 0.030208122160 Long DBT CORP FR N 2 2031-11-19 Fixed 1.13000000 N N N N N N IBERDROLA FINANZAS SAU 5493004PZNZWWBOUV388 000000000 100000.00000000 PA 112693.08000000 0.030548382096 Long DBT CORP ES N 2 2027-11-16 Fixed 1.58000000 N N N N N N Capital Automotive Reit N/A 12510HAG5 437500.00000000 PA USD 445176.03000000 0.120676508839 Long ABS-O CORP US Y 2 2050-02-15 Fixed 4.17000000 N N N N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PAP3 44000.00000000 PA USD 49308.40000000 0.013366320662 Long DBT CORP US N 2 2025-12-01 Fixed 4.75000000 N N N N N N CAMELOT FINANCE SA N/A 13323AAB6 580000.00000000 PA USD 601750.00000000 0.163119944247 Long DBT CORP LU Y 2 2026-11-01 Fixed 4.50000000 N N N N N N SRM ESCROW ISSUER LLC N/A 85236FAA1 680000.00000000 PA USD 703677.60000000 0.190750063781 Long DBT CORP US Y 2 2028-11-01 Fixed 6.00000000 N N N N N N SBB TREASURY OYJ 5493003HHOCW6FIMH724 000000000 100000.00000000 PA 110266.11000000 0.029890488933 Long DBT CORP FI N 2 2029-11-26 Fixed 1.13000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -8330.11000000 -0.00225809236 N/A DFE MX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 336278.76000000 USD 7092000.00000000 MXN 2022-01-14 -8330.11000000 N N N DS SMITH PLC 39RSBE4RCI4M15BLWH36 000000000 100000.00000000 PA 139403.29000000 0.037788877262 Long DBT CORP GB N 2 2029-07-26 Fixed 2.88000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -1265.19000000 -0.00034296256 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 31578000.00000000 TWD 1134348.73000000 USD 2022-01-21 -1265.19000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 2557.52000000 0.000693282126 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 99768.00000000 EUR 115895.90000000 USD 2022-01-14 2557.52000000 N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -29023.62000000 -0.00786760494 N/A DFE CA N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 865276.60000000 USD 1067756.77000000 CAD 2022-01-14 -29023.62000000 N N N Peru LNG Srl 254900F70J1LOALV5K70 000000000 518000.00000000 PA USD 441206.50000000 0.119600464780 Long DBT CORP PE N 2 2030-03-22 Fixed 5.38000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -6628.58000000 -0.00179684852 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 192748.72000000 USD 59883000.00000000 HUF 2022-01-14 -6628.58000000 N N N CHS/COMMUNITY HEALTH SYS 5493007X5NC5XI1BB106 12543DBD1 380000.00000000 PA USD 406421.40000000 0.110171061253 Long DBT CORP US Y 2 2027-12-15 Fixed 8.00000000 N N N N N N UNIVISION COMMUNICATIONS 549300YQDE2JSGTL8V47 914906AV4 1260000.00000000 PA USD 1259130.60000000 0.341320005438 Long DBT CORP US Y 2 2029-05-01 Fixed 4.50000000 N N N N N N Eskom Holdings SOC Ltd 3789001900ED06F65111 000000000 367000.00000000 PA USD 376560.35000000 0.102076449186 Long DBT CORP ZA N 2 2025-02-11 Fixed 7.13000000 N N N N N N BANK 2021-BN35 N/A 06540CBL0 1309273.39000000 PA USD 104137.51000000 0.028229172954 Long ABS-MBS CORP US N 2 2064-06-15 Variable 1.16000000 N N N N N N IPOTEKA-BANK ATIB 213800UWVX5JSNXJS434 000000000 900000.00000000 PA USD 912942.00000000 0.247476606799 Long DBT CORP UZ N 2 2025-11-19 Fixed 5.50000000 N N N N N N REALOGY GROUP/CO-ISSUER N/A 75606DAG6 510000.00000000 PA USD 550575.60000000 0.149247795888 Long DBT CORP US Y 2 2027-04-01 Fixed 9.38000000 N N N N N N MDGH - GMTN BV 213800WRY6FRL9IXLT77 55276VAJ1 1086000.00000000 PA USD 1126453.50000000 0.305354436423 Long DBT CORP AE Y 2 2029-11-07 Fixed 2.88000000 N N N N N N MADISON IAQ LLC 549300IXDNBXNHUPBU73 55760LAB3 555000.00000000 PA USD 533937.75000000 0.144737675133 Long DBT CORP US Y 2 2029-06-30 Fixed 5.88000000 N N N N N N AON CORP/AON GLOBAL HOLD N/A 03740LAC6 25000.00000000 PA USD 25164.03000000 0.006821362975 Long DBT CORP US N 2 2031-12-02 Fixed 2.60000000 N N N N N N Massachusetts Educational Financing Authority 5493007K5OP7V6CL0Y88 57563RRZ4 150000.00000000 PA USD 152619.59000000 0.041371498150 Long DBT MUN US N 2 2037-07-01 Fixed 2.64000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAQ2 141000.00000000 PA USD 159903.03000000 0.043345863462 Long DBT CORP US N 2 2051-03-24 Fixed 4.40000000 N N N N N N Tencent Holdings Ltd 254900N4SLUMW4XUYY11 88032XAD6 700000.00000000 PA USD 745738.00000000 0.202151626062 Long DBT CORP KY N 2 2025-02-11 Fixed 3.80000000 N N N N N N ABC SUPPLY CO INC 549300H5GQ4C1BEKG397 024747AF4 1815000.00000000 PA USD 1830881.25000000 0.496307847817 Long DBT CORP US Y 2 2028-01-15 Fixed 4.00000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBJ6 757000.00000000 PA USD 748483.75000000 0.202895932813 Long DBT CORP US Y 2 2028-07-15 Fixed 4.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -6310.20000000 -0.00171054336 N/A DFE GB N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 829153.58000000 USD 618173.04000000 GBP 2022-01-14 -6310.20000000 N N N PAYSAFE FIN PLC/PAYSAFE N/A 70452AAA1 660000.00000000 PA USD 608850.00000000 0.165044583390 Long DBT CORP N/A Y 2 2029-06-15 Fixed 4.00000000 N N N N N N ARCHES BUYER INC 2549009ADY4208OH2Y47 039524AB9 625000.00000000 PA USD 631062.50000000 0.171065857609 Long DBT CORP US Y 2 2028-12-01 Fixed 6.13000000 N N N N N N LCPR SR SECURED FIN DAC 549300LE5FM8IKMXSP90 50201DAA1 770000.00000000 PA USD 798289.80000000 0.216397154415 Long DBT CORP IE Y 2 2027-10-15 Fixed 6.75000000 N N N N N N Iron Mountain Inc SQL3F6CKNNBM3SQGHX24 46284VAE1 360000.00000000 PA USD 369900.00000000 0.100270988578 Long DBT CORP US Y 2 2028-03-15 Fixed 5.25000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -18517.28000000 -0.00501958900 N/A DFE NZ N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 353485.68000000 USD 491000.00000000 NZD 2022-01-14 -18517.28000000 N N N BENCHMARK Mortgage Trust N/A 08163EBE4 5530087.02000000 PA USD 363665.71000000 0.098581022584 Long ABS-MBS CORP US N 2 2054-06-15 Variable 1.00000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 000000000 100000.00000000 PA 111145.49000000 0.030128867689 Long DBT CORP GB N 2 2032-09-14 Fixed 1.04000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 65368.82000000 0.017719914040 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 496226030.00000000 JPY 4459065.46000000 USD 2022-01-14 65368.82000000 N N N BPCRE Holder LLC N/A 05601GAE6 338000.00000000 PA USD 337786.99000000 0.091565924347 Long ABS-CBDO CORP KY Y 2 2037-02-15 Floating 1.64000000 N N N N N N THERMO FISHER SC FNCE I 549300SM0PJC1F3RPL91 000000000 100000.00000000 PA 119461.62000000 0.032383170409 Long DBT CORP NL N 2 2051-10-18 Fixed 2.00000000 N N N N N N BRITISH COLUMBIA PROV OF 54930058TO7MEKUHWL16 110709GJ5 115000.00000000 PA 95961.02000000 0.026012723277 Long DBT NUSS CA N 2 2050-06-18 Fixed 2.95000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -322.99000000 -0.00008755481 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 15626.77000000 USD 13471.41000000 EUR 2022-01-14 -322.99000000 N N N MILLICOM INTL CELLULAR 549300CTHC1CP86P2G96 000000000 635400.00000000 PA USD 652873.50000000 0.176978294841 Long DBT CORP LU N 2 2028-01-15 Fixed 5.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WLP1 148026.09000000 PA USD 152265.86000000 0.041275610459 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KQF6 23247.17000000 PA USD 26656.06000000 0.007225816403 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 554250000.00000000 PA 6538517.18000000 1.772434662009 Long DBT NUSS JP N 2 2040-03-20 Fixed 2.30000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 000000000 100000.00000000 PA 113613.38000000 0.030797853280 Long DBT CORP DE N 2 2032-02-17 Fixed 1.38000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAH4 1165000.00000000 PA USD 1188300.00000000 0.322119534274 Long DBT CORP US N 2 2031-03-01 Fixed 4.00000000 N N N N N N LoanCore 2021-CRE5 Issuer, Ltd N/A 53947XAG7 258000.00000000 PA USD 257999.82000000 0.069937542591 Long ABS-CBDO CORP KY Y 2 2036-07-15 Floating 2.09000000 N N N N N N ASSUREDPARTNERS INC 549300HNDSDQWQ3L2P80 04624VAB5 445000.00000000 PA USD 427200.00000000 0.115803639688 Long DBT CORP US Y 2 2029-01-15 Fixed 5.63000000 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 000000000 100000.00000000 PA 134365.37000000 0.036423218385 Long DBT CORP LU N 2 2028-01-22 Fixed 2.75000000 N N N N N N NOVELIS CORP 549300G5F3W3B52WYL23 670001AG1 275000.00000000 PA USD 274760.75000000 0.074481027372 Long DBT CORP US Y 2 2026-11-15 Fixed 3.25000000 N N N N N N ICA TENEDORA SA DE CV N/A 000000000 110829.00000000 NS USD 87867.23000000 0.023818691580 Long EC CORP US N 3 N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AN1 666000.00000000 PA USD 646466.22000000 0.175241435420 Long DBT CORP US Y 2 2032-02-15 Fixed 3.63000000 N N N N N N Bath & Body Works Inc GR3KVMWVCR54YWQNXU90 501797AN4 1435000.00000000 PA USD 1539037.50000000 0.417196030236 Long DBT CORP US N 2 2028-02-01 Fixed 5.25000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804FX7 375000.00000000 PA USD 404039.35000000 0.109525344820 Long DBT CORP US N 2 2027-03-15 Fixed 3.50000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BB2 930000.00000000 PA USD 889982.10000000 0.241252730425 Long DBT CORP US Y 2 2030-12-01 Fixed 4.13000000 N N N N N N HUNGARY 5299003F3UFKGCCMAP43 445545AM8 200000.00000000 PA USD 193500.00000000 0.052453193538 Long DBT NUSS HU Y 2 2031-09-22 Fixed 2.13000000 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 000000000 100000.00000000 PA 108304.92000000 0.029358857519 Long DBT CORP LU N 2 2031-01-14 Fixed 0.88000000 N N N N N N DISH DBS CORP N/A 25470XBE4 535000.00000000 PA USD 529869.35000000 0.143634829797 Long DBT CORP US Y 2 2026-12-01 Fixed 5.25000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FUZZ0 896340.00000000 PA USD 115638.88000000 0.031346917587 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 1.77000000 N N N N N N ARGENTUM (ZURICH INS) 724500RPEZI5VVQQWE89 000000000 100000.00000000 PA 127200.72000000 0.034481054183 Long DBT CORP NL N 2 2046-10-01 Fixed 3.50000000 N N N N N N VICTORIA'S SECRET & CO 5493006T3O70U3UWVF17 926400AA0 610000.00000000 PA USD 602228.60000000 0.163249681190 Long DBT CORP US Y 2 2029-07-15 Fixed 4.63000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 3863.47000000 0.001047293744 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 140328.41000000 EUR 163279.26000000 USD 2022-01-14 3863.47000000 N N N TransDigm Inc 88Q84GB3X55CF5OC7582 893647BB2 535000.00000000 PA USD 550381.25000000 0.149195112280 Long DBT CORP US N 2 2026-06-15 Fixed 6.38000000 N N N N N N CREDIT AGRICOLE ASSRNCES 969500K2MUPSI57XK083 000000000 100000.00000000 PA 117036.91000000 0.031725889878 Long DBT CORP FR N 2 2030-07-17 Fixed 2.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -2667.07000000 -0.00072297849 N/A DFE CZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 162135.24000000 USD 3590000.00000000 CZK 2022-01-14 -2667.07000000 N N N DANA INC KVWHW7YLZPFJM8QYNJ51 235825AH9 315000.00000000 PA USD 313031.25000000 0.084855238965 Long DBT CORP US N 2 2030-09-01 Fixed 4.25000000 N N N N N N Oklahoma Development Finance Authority 549300PXGPHUWC32DJ91 67884XCP0 346000.00000000 PA USD 390644.93000000 0.105894439887 Long DBT MUN US N 2 2028-08-15 Fixed 5.45000000 N N N N N N MV24 CAPITAL BV N/A 000000000 527580.05000000 PA USD 538527.34000000 0.145981802537 Long DBT CORP NL N 2 2034-06-01 Fixed 6.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FYUL8 3762303.90000000 PA USD 161623.31000000 0.043812189973 Long ABS-MBS USGSE US N 2 2031-03-25 Variable 0.63000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163GAZ3 2353292.98000000 PA USD 223845.23000000 0.060679055151 Long ABS-MBS CORP US N 2 2054-08-15 Variable 1.40000000 N N N N N N SYNEOS HEALTH INC 549300F1ZGKDS8P6GU13 87166BAA0 1166000.00000000 PA USD 1148731.54000000 0.311393476959 Long DBT CORP US Y 2 2029-01-15 Fixed 3.63000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 2718.48000000 0.000736914509 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 107615.38000000 GBP 145964.14000000 USD 2022-01-14 2718.48000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SJ8 115500.00000000 PA USD 126973.30000000 0.034419406093 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 200000.00000000 PA USD 186000.00000000 0.050420124021 Long DBT NUSS DO N 2 2060-01-30 Fixed 5.88000000 N N N N N N VIVION INVESTMENTS 529900SJ7X71ESJK9N76 000000000 400000.00000000 PA 430894.71000000 0.116805186658 Long DBT CORP LU N 2 2024-08-08 Fixed 3.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -3650.05000000 -0.00098944071 N/A DFE GB N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 133129.29000000 USD 97273.16000000 GBP 2022-01-14 -3650.05000000 N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -779.46000000 -0.00021129284 N/A DFE GB N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 172787.48000000 USD 129223.52000000 GBP 2022-01-14 -779.46000000 N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -64277.14000000 -0.01742398586 N/A DFE AU N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 1231143.99000000 USD 1636000.00000000 AUD 2022-01-14 -64277.14000000 N N N Vector Group Ltd 549300TUIF4WWN6NDN50 92240MBJ6 350000.00000000 PA USD 360379.25000000 0.097690142364 Long DBT CORP US Y 2 2026-11-01 Fixed 10.50000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 2174.09000000 0.000589343480 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 99669.00000000 EUR 115400.01000000 USD 2022-01-14 2174.09000000 N N N INTL BK RECON & DEVELOP ZTMSNXROF84AHWJNKQ93 000000000 210000.00000000 PA 164091.54000000 0.044481267729 Long DBT NUSS N/A N 2 2025-06-24 Fixed 4.25000000 N N N N N N GARDA WORLD SECURITY 549300ZF1NDXLMCHNO20 36485MAK5 245000.00000000 PA USD 239487.50000000 0.064919298127 Long DBT CORP CA Y 2 2027-02-15 Fixed 4.63000000 N N N N N N 180 MEDICAL INC 254900ZB648OPWVFVX59 682357AA6 765000.00000000 PA USD 751199.40000000 0.203632080177 Long DBT CORP US Y 2 2029-10-15 Fixed 3.88000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 1533.59000000 0.000415719344 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 199528.80000000 CAD 157801.91000000 USD 2022-01-14 1533.59000000 N N N GRAY ESCROW II INC N/A 389286AA3 1060000.00000000 PA USD 1062268.40000000 0.287955400388 Long DBT CORP US Y 2 2031-11-15 Fixed 5.38000000 N N N N N N REPUBLIC OF KENYA 549300VVURQQYU45PR87 491798AK0 478000.00000000 PA USD 506459.16000000 0.137288890640 Long DBT NUSS KE Y 2 2032-05-22 Fixed 8.00000000 N N N N N N Avation Capital SA 54930056OEYSV06OMD90 05351CAA5 355605.00000000 PA USD 295152.15000000 0.080008645205 Long DBT CORP LU Y 2 2026-10-31 Fixed 8.25000000 N N Y N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 000000000 120000.00000000 PA 159640.28000000 0.043274638260 Long DBT CORP US N 2 2031-09-24 Fixed 2.13000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 520000.00000000 PA USD 513500.00000000 0.139197492930 Long DBT CORP US Y 2 2030-04-15 Fixed 4.63000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 000000000 110000.00000000 PA 123067.37000000 0.033360602464 Long DBT CORP US N 2 2031-03-22 Fixed 0.69000000 N N N N N N Viking Cruises Ltd 549300IJP90T4MV2GL84 92676XAD9 325000.00000000 PA USD 301528.50000000 0.081737120247 Long DBT CORP BM Y 2 2027-09-15 Fixed 5.88000000 N N N N N N ACREC 2021-FL1 Ltd N/A 00500RAG0 229500.00000000 PA USD 229774.00000000 0.062286202026 Long ABS-CBDO CORP KY Y 2 2036-10-16 Floating 2.24000000 N N N N N N MGM GROWTH/MGM FINANCE N/A 55303XAJ4 285000.00000000 PA USD 322762.50000000 0.087493146664 Long DBT CORP US N 2 2027-02-01 Fixed 5.75000000 N N N N N N PARKLAND CORP 549300XHQS1JYWBNK868 70137WAL2 865000.00000000 PA USD 852604.55000000 0.231120576088 Long DBT CORP CA Y 2 2030-05-01 Fixed 4.63000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -11487.25000000 -0.00311391704 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 617126.68000000 USD 849133.82000000 AUD 2022-01-14 -11487.25000000 N N N WABTEC TRANSPORTATION 213800W8WKL7DR8NFE48 000000000 200000.00000000 PA 229482.08000000 0.062207069539 Long DBT CORP NL N 2 2027-12-03 Fixed 1.25000000 N N N N N N WATCO COS LLC/FINANCE CO N/A 941130AB2 655000.00000000 PA USD 686348.30000000 0.186052507570 Long DBT CORP US Y 2 2027-06-15 Fixed 6.50000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 000000000 100000.00000000 PA 113117.23000000 0.030663358954 Long DBT CORP FR N 2 2033-11-29 Fixed 1.00000000 N N N N N N MONG DUONG FIN HLDGS BV 549300995KGQFMWSV879 000000000 592000.00000000 PA USD 571280.00000000 0.154860260489 Long DBT CORP NL N 2 2029-05-07 Fixed 5.13000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 31300000.00000000 PA 271771.56000000 0.073670729896 Long DBT NUSS JP N 2 2050-09-20 Fixed 0.60000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 26767.29000000 0.007255968180 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 1838083.52000000 AUD 1337768.95000000 USD 2022-01-14 26767.29000000 N N N Business Jet Securities, LLC N/A 12327BAB2 88875.93000000 PA USD 88937.27000000 0.024108753675 Long ABS-O CORP US Y 2 2036-04-15 Fixed 2.92000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAF8 195000.00000000 PA USD 204379.06000000 0.055402244906 Long DBT CORP KY Y 2 2024-07-01 Fixed 3.95000000 N N N N N N COMISION FEDERAL DE ELEC 4469000001BFPONMPF32 200447AH3 202000.00000000 PA USD 192912.02000000 0.052293806310 Long DBT CORP MX Y 2 2031-02-09 Fixed 3.35000000 N N N N N N SYNTHOS SA 259400WX4QZCOHJVWM18 000000000 147000.00000000 PA 159627.49000000 0.043271171199 Long DBT CORP PL Y 2 2028-06-07 Fixed 2.50000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 58003UAC2 154000.00000000 PA USD 155107.12000000 0.042045807672 Long ABS-CBDO CORP US Y 2 2035-11-15 Floating 2.26000000 N N N N N N Appvion Holding Corp 549300KG8GQ03SX7CT73 03835B126 274.00000000 NS USD 2.74000000 0.000000742748 N/A DE US N 2 N/A N/A Call Purchased APPVION HLDG APPVION HLDG 1.00000000 13.22300000 USD 2023-06-13 XXXX 2.74000000 N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCD5 550000.00000000 PA USD 594000.00000000 0.161019105746 Long DBT CORP US N 2 2029-09-01 Fixed 5.25000000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAE5 650000.00000000 PA USD 611838.50000000 0.165854693823 Long DBT CORP MA Y 2 2051-06-23 Fixed 5.13000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HT0 627494.00000000 PA USD 176645.84000000 0.047884436347 Long DBT NUSS AR N 2 2035-07-09 Variable 1.13000000 N N N N N N LIVE NATION ENTERTAINMEN 5493007B9BM9ZXJINO78 538034AX7 360000.00000000 PA USD 345780.00000000 0.093732637011 Long DBT CORP US Y 2 2028-01-15 Fixed 3.75000000 N N N N N N NORTHRIVER MIDSTREAM FIN 549300SOLNLY3BL6GF18 66679NAA8 805000.00000000 PA USD 830075.75000000 0.225013560550 Long DBT CORP CA Y 2 2026-02-15 Fixed 5.63000000 N N N N N N ASBURY AUTOMOTIVE GROUP 549300JH4DTA7U42GL91 043436AW4 364000.00000000 PA USD 366298.66000000 0.099294751968 Long DBT CORP US Y 2 2029-11-15 Fixed 4.63000000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TAY1 295000.00000000 PA USD 144550.00000000 0.039184026491 Long DBT CORP LU Y 2 2025-07-15 None 0.00000000 Y N N N N N CANADIAN PACIFIC RAILWAY 54930036474DURYNB481 13645RBF0 111000.00000000 PA USD 112354.39000000 0.030456571388 Long DBT CORP CA N 2 2031-12-02 Fixed 2.45000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -40.00000000 NC USD -19766.00000000 -0.00535808694 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 2 Year US Treasury Note Future TUH2 COMDTY 2022-03-31 -8729609.04000000 USD -19766.00000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 11743.39000000 0.003183350431 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 387691.74000000 GBP 527795.63000000 USD 2022-01-14 11743.39000000 N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAS0 99000.00000000 PA USD 97997.16000000 0.026564671833 Long DBT CORP US N 2 2025-07-15 Fixed 1.35000000 N N N N N N GTCR AP Finance Inc N/A 40060QAA3 220000.00000000 PA USD 225076.50000000 0.061012822819 Long DBT CORP US Y 2 2027-05-15 Fixed 8.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -122334.93000000 -0.03316205560 N/A DFE AU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 3117958.87000000 USD 4200000.00000000 AUD 2022-01-14 -122334.93000000 N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 2267.50000000 0.000614664683 N/A DFE CN N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 154289.70000000 USD 1000000.00000000 CNY 2022-01-14 2267.50000000 N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 78410GAD6 1071000.00000000 PA USD 1096251.50000000 0.297167401016 Long DBT CORP US N 2 2027-02-15 Fixed 3.88000000 N N N N N N Bacardi Ltd 549300R32WTQNHNN5055 067316AG4 153000.00000000 PA USD 190014.56000000 0.051508374629 Long DBT CORP BM Y 2 2038-05-15 Fixed 5.15000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AM9 485000.00000000 PA USD 415887.50000000 0.112737093167 Long DBT CORP CA Y 2 2029-02-15 Fixed 5.00000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 000000000 200000.00000000 PA USD 172000.00000000 0.046625060923 Long DBT NUSS EG N 2 2050-05-29 Fixed 8.88000000 N N N N N N AUSTIN BIDCO INC N/A 92837TAA0 410000.00000000 PA USD 420875.25000000 0.114089152164 Long DBT CORP US Y 2 2028-12-15 Fixed 7.13000000 N N N N N N DAR AL-ARKAN SUKUK CO LT 5493000UYHRBXEIYUQ69 000000000 850000.00000000 PA USD 869125.00000000 0.235598872528 Long DBT CORP KY N 2 2027-02-26 Fixed 6.88000000 N N N N N N MEITUAN 21380033K525E5JLIA77 58533EAB9 200000.00000000 PA USD 192106.00000000 0.052075313684 Long DBT CORP KY Y 2 2025-10-28 Fixed 2.13000000 N N N N N N Videotron Ltd 549300LW4GNJRBECSD81 92660FAG9 280000.00000000 PA USD 299331.20000000 0.081141485094 Long DBT CORP CA Y 2 2024-06-15 Fixed 5.38000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -16316.63000000 -0.00442304574 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 742233.01000000 USD 639000.00000000 EUR 2022-01-14 -16316.63000000 N N N SYNAPTICS INC 549300AJ3LI4FWNRQX29 87157DAG4 755000.00000000 PA USD 762550.00000000 0.206708954692 Long DBT CORP US Y 2 2029-06-15 Fixed 4.00000000 N N N N N N Loblaw Cos Ltd 5493008LN3O1DIDTSH67 539481AJ0 262000.00000000 PA 215424.73000000 0.058396460236 Long DBT CORP CA N 2 2023-09-12 Fixed 4.86000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -140032.48000000 -0.03795943553 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 46093000.00000000 CNY 7076158.55000000 USD 2022-01-14 -140032.48000000 N N N BWX TECHNOLOGIES INC 549300NP85N265KWMS58 05605HAC4 1055000.00000000 PA USD 1054646.58000000 0.285889308401 Long DBT CORP US Y 2 2029-04-15 Fixed 4.13000000 N N N N N N STERICYCLE INC B8PTJH2P0AXSWSMP2136 858912AG3 750000.00000000 PA USD 731250.00000000 0.198224277907 Long DBT CORP US Y 2 2029-01-15 Fixed 3.88000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H2NA8 670491.00000000 PA USD 56058.28000000 0.015196050699 Long ABS-MBS USGSE US N 2 2031-07-25 Variable 1.04000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 1379.71000000 0.000374006179 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 99729.00000000 EUR 114673.79000000 USD 2022-01-14 1379.71000000 N N N NEXTERA ENERGY OPERATING 549300KJEC5IUVJWR786 65342QAB8 485000.00000000 PA USD 513193.05000000 0.139114286172 Long DBT CORP US Y 2 2027-09-15 Fixed 4.50000000 N N N N N N CELLNEX FINANCE CO SA 549300OUROMFTRFA7T23 000000000 500000.00000000 PA 540960.31000000 0.146641322156 Long DBT CORP ES N 2 2033-02-15 Fixed 2.00000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBF5 78000.00000000 PA USD 85967.02000000 0.023303590377 Long DBT CORP US N 2 2029-05-15 Fixed 4.13000000 N N N N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 000000000 147000.00000000 PA 234801.72000000 0.063649095929 Long DBT NUSS GB N 2 2049-01-22 Fixed 1.75000000 N N N N N N Bank N/A 06541TBF5 516973.00000000 PA USD 509786.04000000 0.138190727749 Long ABS-MBS CORP US N 2 2053-11-15 Fixed 2.00000000 N N N N N N Crest Ltd 549300MJZTHEPDTYM573 22608WAR0 3372294.18000000 PA USD 33.72000000 0.000009140680 Long ABS-CBDO CORP KY N 2 2040-01-28 Fixed 7.00000000 Y N Y N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAF7 167000.00000000 PA USD 177495.12000000 0.048114655718 Long DBT CORP US Y 2 2025-07-01 Fixed 6.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F84L4 901677.00000000 PA USD 80195.06000000 0.021738950920 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 1.17000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -4668.87000000 -0.00126561830 N/A DFE GB N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 149037.49000000 USD 108459.02000000 GBP 2022-01-14 -4668.87000000 N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAB9 495000.00000000 PA USD 506216.70000000 0.137223165569 Long DBT CORP US Y 2 2031-08-15 Fixed 4.13000000 N N N N N N DEUTSCHLAND I/L BOND 529900AQBND3S6YJLY83 000000000 2459678.60000000 PA 3473458.19000000 0.941570928623 Long DBT NUSS DE N 2 2030-04-15 Fixed 0.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F4D82 15572000.00000000 PA USD 305670.57000000 0.082859935748 Long ABS-MBS USGSE US N 2 2028-02-25 Variable 0.43000000 N N N N N N ZIGGO BOND CO BV 213800JYI4P7V5QDOG59 98953GAD7 1115000.00000000 PA USD 1113723.33000000 0.301903593679 Long DBT CORP NL Y 2 2030-02-28 Fixed 5.13000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -7297.40000000 -0.00197814953 N/A DFE AU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 331929.42000000 USD 455148.75000000 AUD 2022-01-14 -7297.40000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SK5 11476000.00000000 PA USD 12958914.38000000 3.512849839926 Long DBT UST US N 2 2049-11-15 Fixed 2.38000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -1650.24000000 -0.00044734035 N/A DFE AU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 40721.31000000 USD 54779.40000000 AUD 2022-01-14 -1650.24000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFX2 493000.00000000 PA USD 530899.26000000 0.143914013614 Long DBT CORP US N 2 2026-04-19 Fixed 3.50000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55283TAE8 450000.00000000 PA USD 449966.25000000 0.121975022207 Long ABS-CBDO CORP KY Y 2 2036-07-16 Floating 1.74000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBN1 1305000.00000000 PA USD 1445522.40000000 0.391846337011 Long DBT CORP US N 2 2029-01-15 Fixed 6.88000000 N N N N N N PARK INTERMED HOLDINGS N/A 70052LAB9 820000.00000000 PA USD 845415.90000000 0.229171906064 Long DBT CORP US Y 2 2028-10-01 Fixed 5.88000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F4XB3 36576000.00000000 PA USD 360547.92000000 0.097735864742 Long ABS-MBS USGSE US N 2 2028-02-25 Variable 0.26000000 N N N N N N SHEA HOMES LP/FNDG CP N/A 82088KAE8 830000.00000000 PA USD 827925.00000000 0.224430543982 Long DBT CORP US Y 2 2028-02-15 Fixed 4.75000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAN0 774000.00000000 PA USD 703852.38000000 0.190797442433 Long DBT NUSS MX N 2 2061-05-24 Fixed 3.77000000 N N N N N N ARENA LUX FIN SARL 222100KX2LPK5KRSIG74 000000000 390000.00000000 PA 412965.06000000 0.111944890009 Long DBT CORP LU N 2 2028-02-01 Fixed 1.88000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397ZR7 485000.00000000 PA USD 536943.50000000 0.145552461627 Long DBT CORP US N 2 2029-05-03 Fixed 5.11000000 N N N N N N F-BRASILE SPA/F-BRASILE N/A 30191BAB7 725000.00000000 PA USD 710500.00000000 0.192599452244 Long DBT CORP IT Y 2 2026-08-15 Fixed 7.38000000 N N N N N N MGM CHINA HOLDINGS LTD 529900VZFN87OS7WJM66 55300RAG6 234000.00000000 PA USD 228150.00000000 0.061845974707 Long DBT CORP KY Y 2 2027-02-01 Fixed 4.75000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAP9 280000.00000000 PA USD 272395.20000000 0.073839783693 Long DBT CORP CA Y 2 2029-08-15 Fixed 4.38000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1033527.47000000 0.280164425899 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 48686252.01000000 EUR 56342053.16000000 USD 2022-01-14 1033527.47000000 N N N CREDIT ACCEPTANC N/A 225310AN1 775000.00000000 PA USD 790500.00000000 0.214285527092 Long DBT CORP US Y 2 2024-12-31 Fixed 5.13000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -4758.38000000 -0.00128988231 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 255540.28000000 USD 351607.55000000 AUD 2022-01-14 -4758.38000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -2047.31000000 -0.00055497647 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 1109185.34000000 EUR 1258008.73000000 USD 2022-01-14 -2047.31000000 N N N Republic of Paraguay 529900UXKJTJPCU0HK83 699149AH3 1150000.00000000 PA USD 1262136.50000000 0.342134832593 Long DBT NUSS PY Y 2 2050-03-30 Fixed 5.40000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 43488.75000000 0.011788753594 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1360000.00000000 EUR 1588475.10000000 USD 2022-01-14 43488.75000000 N N N WYNN LAS VEGAS LLC/CORP N/A 983130AX3 450000.00000000 PA USD 441126.00000000 0.119578643167 Long DBT CORP US Y 2 2027-05-15 Fixed 5.25000000 N N N N N N TENGIZCHEVROIL FIN CO IN 5493001VEV2XTJIBZH31 000000000 1187000.00000000 PA USD 1258220.00000000 0.341073163691 Long DBT CORP BM N 2 2026-08-15 Fixed 4.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -13526.55000000 -0.00366672219 N/A DFE CL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 735211.18000000 USD 602285000.00000000 CLP 2022-02-18 -13526.55000000 N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55282XAJ9 755000.00000000 PA USD 753909.03000000 0.204366595665 Long ABS-MBS CORP KY Y 2 2036-07-15 Floating 2.66000000 N N N N N N CLARIV SCI HLD CORP N/A 18064PAD1 1100000.00000000 PA USD 1077175.00000000 0.291996220930 Long DBT CORP US Y 2 2029-07-01 Fixed 4.88000000 N N N N N N MDGH - GMTN BV 213800WRY6FRL9IXLT77 000000000 200000.00000000 PA USD 206750.00000000 0.056044949685 Long DBT CORP AE N 2 2024-11-07 Fixed 2.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163AAF0 3390774.30000000 PA USD 362678.91000000 0.098313524850 Long ABS-MBS CORP US N 2 2053-07-15 Variable 1.92000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 37043.80000000 0.010041682743 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1098671.62000000 AUD 820664.52000000 USD 2022-01-14 37043.80000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CG2 238000.00000000 PA USD 239490.37000000 0.064920076115 Long DBT CORP GB N 2 2026-06-04 Fixed 2.10000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AF4 119000.00000000 PA USD 120228.16000000 0.032590960957 Long DBT CORP US N 2 2029-08-08 Fixed 3.90000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 11057.26000000 0.002997357099 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 894475000.00000000 KRW 763888.30000000 USD 2021-12-13 11057.26000000 N N N BERKSHIRE HATHAWAY INC 5493000C01ZX7D35SD85 000000000 100000.00000000 PA 101876.46000000 0.027616256710 Long DBT CORP US N 2 2041-01-15 Fixed 0.50000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 15008000.00000000 PA 2621179.66000000 0.710538728711 Long DBT NUSS BR N 2 2023-01-01 Fixed 10.00000000 N N N N N N VIRGIN MEDIA FINANCE PLC 2138001LVYC87DDHT482 92769VAJ8 800000.00000000 PA USD 776000.00000000 0.210354926026 Long DBT CORP GB Y 2 2030-07-15 Fixed 5.00000000 N N N N N N VGP NV 315700NENYPIXFR94T49 000000000 100000.00000000 PA 111520.42000000 0.030230502190 Long DBT CORP BE N 2 2029-04-08 Fixed 1.50000000 N N N N N N Teleflex Inc UUL85LWXB4NGSWWXIQ25 879369AF3 825000.00000000 PA USD 848718.75000000 0.230067229218 Long DBT CORP US N 2 2027-11-15 Fixed 4.63000000 N N N N N N PBF HOLDING CO LLC N/A 69318FAJ7 400000.00000000 PA USD 238600.00000000 0.064678718234 Long DBT CORP US N 2 2028-02-15 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -24673.16000000 -0.00668829993 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 731872.77000000 USD 2913000.00000000 PLN 2022-01-14 -24673.16000000 N N N COMMSCOPE TECH LLC M4TWC4QDOKW45N7T6Y12 20338HAB9 1005000.00000000 PA USD 902399.55000000 0.244618802301 Long DBT CORP US Y 2 2027-03-15 Fixed 5.00000000 N N N N N N BANQUE OUEST AFRICAINE D 529900LIZJABE4JJS826 000000000 200000.00000000 PA USD 216920.00000000 0.058801791950 Long DBT NUSS N/A N 2 2031-10-22 Fixed 4.70000000 N N N N N N SRS DISTRIBUTION INC 549300ZQ3XP75BCYM468 78471RAC0 505000.00000000 PA USD 506262.50000000 0.137235580847 Long DBT CORP US Y 2 2029-07-01 Fixed 6.13000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BM3 37189000.00000000 PA 807171.30000000 0.218804715337 Long DBT NUSS UY N 2 2031-05-21 Fixed 8.25000000 N N N N N N IAMGOLD CORP 254900E7II30XAB9LA72 450913AF5 745000.00000000 PA USD 722396.70000000 0.195824361327 Long DBT CORP CA Y 2 2028-10-15 Fixed 5.75000000 N N N N N N NEXTERA ENERGY OPERATING 549300KJEC5IUVJWR786 65342QAK8 515000.00000000 PA USD 526839.85000000 0.142813605250 Long DBT CORP US Y 2 2024-07-15 Fixed 4.25000000 N N N N N N ADVANTAGE SALES & MARKET 549300T4O24KQDED1182 00775PAA5 975000.00000000 PA USD 997659.00000000 0.270441346835 Long DBT CORP US Y 2 2028-11-15 Fixed 6.50000000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851EC4 150000.00000000 PA USD 149214.90000000 0.040448568623 Long DBT CORP US Y 2 2026-03-02 Fixed 1.45000000 N N N N N N CLEARWAY ENERGY OP LLC 549300Z3NFMM54NWBB87 18539UAC9 285000.00000000 PA USD 299250.00000000 0.081119473728 Long DBT CORP US Y 2 2028-03-15 Fixed 4.75000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 20100000.00000000 NC USD 468939.83000000 0.127118303157 N/A DIR US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 Put Purchased Merrill Lynch International GGDZP1UYGU9STUHRDP48 Merrill Lynch International GGDZP1UYGU9STUHRDP48 N/A 20100000.00000000 OU Notional Amount N/A 468939.83000000 0.13000000 DIR US N/A N/A 2032-09-21 0.00000000 N/A 0.00000000 N/A 20100000.00000000 USD 1.00000000 1.75000000 USD 2022-09-19 XXXX 295074.83000000 N N N Starwood Commercial Mortgage Trust N/A 78486BAG9 100000.00000000 PA USD 99917.72000000 0.027085289432 Long ABS-CBDO CORP KY Y 2 2038-04-18 Floating 2.19000000 N N N N N N CONTOURGLOBAL POWER HLDG 549300O5AGIFK0PQ1516 000000000 280000.00000000 PA 311324.22000000 0.084392504211 Long DBT CORP LU Y 2 2026-01-01 Fixed 2.75000000 N N N N N N PENN NATIONAL GA N/A 707569AV1 510000.00000000 PA USD 481287.00000000 0.130465323817 Long DBT CORP US Y 2 2029-07-01 Fixed 4.13000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -7440.52000000 -0.00201694592 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 376646.82000000 USD 325000.00000000 EUR 2022-01-14 -7440.52000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 30242.43000000 0.008197995007 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2912000.00000000 PLN 737199.27000000 USD 2022-01-14 30242.43000000 N N N LEVIATHAN BOND LTD 254900D9T8VKYVQNZ220 000000000 1007000.00000000 PA USD 1057350.00000000 0.286622140507 Long DBT CORP IL Y 2 2025-06-30 Fixed 6.13000000 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CBL8 204000.00000000 PA USD 203013.05000000 0.055031952467 Long DBT CORP US N 2 2031-06-15 Fixed 2.55000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 133000.00000000 PA USD 137053.70000000 0.037151959955 Long DBT CORP US Y 2 2033-04-15 Fixed 3.42000000 N N N N N N STORE CAPITAL CORP 5493004EA6C9IHDZ7N66 862121AC4 313000.00000000 PA USD 314673.91000000 0.085300524562 Long DBT CORP US N 2 2030-11-18 Fixed 2.75000000 N N N N N N DANA INC KVWHW7YLZPFJM8QYNJ51 235825AF3 484000.00000000 PA USD 505175.00000000 0.136940785767 Long DBT CORP US N 2 2027-11-15 Fixed 5.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FTZU4 731897.00000000 PA USD 104610.33000000 0.028357343078 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.98000000 N N N N N N UMBS, TBA N/A 01F022618 250000.00000000 PA USD 255664.06000000 0.069304374263 Long ABS-MBS USGSE US N 2 2051-01-15 Fixed 2.50000000 N N N N N N VOLKSWAGEN INTL FIN NV 5299004PWNHKYTR23649 000000000 100000.00000000 PA 121375.98000000 0.032902107337 Long DBT CORP NL N 2 2030-03-20 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H4BT6 2699427.00000000 PA USD 132762.14000000 0.035988621312 Long ABS-MBS USGSE US N 2 2031-09-25 Variable 0.54000000 N N N N N N CTP NV 3157000YTVO4TN65UM14 000000000 100000.00000000 PA 108535.69000000 0.029421413712 Long DBT CORP NL N 2 2031-09-27 Fixed 1.50000000 N N N N N N 3650R Commercial Mortgage Trust N/A 88581EAF8 3814847.00000000 PA USD 280181.44000000 0.075950445985 Long ABS-MBS CORP US N 2 2054-11-15 Variable 1.04000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 15197.54000000 0.004119687374 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 556000.00000000 NZD 394510.02000000 USD 2022-01-14 15197.54000000 N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCE1 1070000.00000000 PA USD 1078501.15000000 0.292355708282 Long DBT CORP US Y 2 2030-08-15 Fixed 4.50000000 N N N N N N Republic of Senegal 549300NP14ZLQGWIUZ97 000000000 247000.00000000 PA USD 247321.10000000 0.067042798576 Long DBT NUSS SN N 2 2033-05-23 Fixed 6.25000000 N N N N N N UMBS, TBA N/A 01F030611 250000.00000000 PA USD 259329.84000000 0.070298079007 Long ABS-MBS USGSE US N 2 2051-01-15 Fixed 3.00000000 N N N N N N ENEL SPA WOCMU6HCI0OJWNPRZS33 000000000 100000.00000000 PA 116395.58000000 0.031552040748 Long DBT CORP IT N 2 2026-12-10 Fixed 2.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 7074.22000000 0.001917650805 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 39500000.00000000 TWD 1427642.04000000 USD 2022-02-18 7074.22000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -4785.48000000 -0.00129722846 N/A DFE CA N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 175520.20000000 USD 218000.00000000 CAD 2022-01-14 -4785.48000000 N N N MFS Institutional Money Market Portfolio 5L2W638H85N8T1136O07 55291X109 6870897.42700000 NS USD 6870897.43000000 1.862534949253 Long STIV RF US N 1 N N N MATCH GROUP HLD II LLC N/A 57665RAN6 1515000.00000000 PA USD 1537740.15000000 0.416844349871 Long DBT CORP US Y 2 2028-06-01 Fixed 4.63000000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCG8 350000.00000000 PA USD 364955.50000000 0.098930653615 Long DBT CORP US N 2 2028-08-01 Fixed 4.38000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3413.00000000 0.000925182168 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1621121.36000000 USD 1430023.46000000 EUR 2022-01-14 3413.00000000 N N N Verscend Escrow Corp N/A 92535WAA8 510000.00000000 PA USD 535599.45000000 0.145188122015 Long DBT CORP US Y 2 2026-08-15 Fixed 9.75000000 N N N N N N ILIAD HOLDING SAS 9695009PXA7OI9NXN582 449691AC8 767000.00000000 PA USD 783889.34000000 0.212493536247 Long DBT CORP FR Y 2 2028-10-15 Fixed 7.00000000 N N N N N N American Tower Corp 5493006ORUSIL88JOE18 03027XAG5 186000.00000000 PA USD 199891.36000000 0.054185737430 Long DBT CORP US N 2 2025-06-01 Fixed 4.00000000 N N N N N N CF Hippolyta Issuer LLC N/A 12530MAA3 93191.33000000 PA USD 92765.59000000 0.025146519100 Long ABS-O CORP US Y 2 2060-07-15 Fixed 1.69000000 N N N N N N TELENET FINANCE LUX NOTE 2138007RI9GLJPCC3E25 000000000 1000000.00000000 PA USD 1030500.00000000 0.279343751636 Long DBT CORP LU Y 2 2028-03-01 Fixed 5.50000000 N N N N N N CANPACK SA EASTERN LAND N/A 13805AAA5 350000.00000000 PA USD 347515.00000000 0.094202953760 Long DBT CORP N/A Y 2 2025-11-01 Fixed 3.13000000 N N N N N N CONSOLIDATED ENERGY FIN 549300PUNIS0USNSL750 20914UAF3 650000.00000000 PA USD 619508.50000000 0.167933846250 Long DBT CORP LU Y 2 2028-10-15 Fixed 5.63000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAL8 960000.00000000 PA USD 931276.80000000 0.252446729863 Long DBT CORP CA Y 2 2028-08-01 Fixed 4.00000000 N N N N N N BANCO RESERVAS REP DOMIN 549300CKQT0JZ2EGNC56 000000000 1074000.00000000 PA USD 1119655.74000000 0.303511727271 Long DBT CORP DO N 2 2023-02-01 Fixed 7.00000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AG6 540000.00000000 PA USD 535167.00000000 0.145070895227 Long DBT CORP US Y 2 2029-03-15 Fixed 3.50000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -57454.16000000 -0.01557444017 N/A DFE N/A N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 2531553.95000000 USD 2177867.60000000 EUR 2022-01-14 -57454.16000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -2887.18000000 -0.00078264501 N/A DFE SE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 58441.44000000 USD 500000.00000000 SEK 2022-01-14 -2887.18000000 N N N INFINEON TECHNOLOGIES AG TSI2PJM6EPETEQ4X1U25 000000000 100000.00000000 PA 120824.58000000 0.032752636067 Long DBT CORP DE N 2 2029-06-24 Fixed 1.63000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 600000.00000000 PA USD 558900.00000000 0.151504340407 Long DBT NUSS UA N 2 2033-03-15 Fixed 7.25000000 N N N N N N EUTELSAT SA 549300MCOOY1V7P2PG30 000000000 100000.00000000 PA 114538.91000000 0.031048742190 Long DBT CORP FR N 2 2028-10-13 Fixed 1.50000000 N N N N N N ORYX FUNDING LTD 549300S728CF0BBRC295 67114NAA9 200000.00000000 PA USD 208424.00000000 0.056498730801 Long DBT CORP KY Y 2 2031-02-03 Fixed 5.80000000 N N N N N N APT PIPELINES LTD 261700SS8OEHDOCOUJ33 000000000 110000.00000000 PA 122020.26000000 0.033076756141 Long DBT CORP AU N 2 2029-03-15 Fixed 0.75000000 N N N N N N PRIMO WATER HOLDINGS INC 9845008F9A5F2E1D4832 74168LAA4 515000.00000000 PA USD 509705.80000000 0.138168976616 Long DBT CORP US Y 2 2029-04-30 Fixed 4.38000000 N N N N N N GRAND CITY PROPERTIES SA 5299002QLUYKK2WBMB18 000000000 100000.00000000 PA 109463.84000000 0.029673012842 Long DBT CORP LU N 2 2026-03-11 Fixed 1.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 4515.06000000 0.001223924113 N/A DFE CN N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 684336.62000000 USD 4400000.00000000 CNY 2022-01-14 4515.06000000 N N N AMC ENTERTAINMENT HLDGS 549300ZO77UNR6NRBR11 00165CAP9 225000.00000000 PA USD 228656.25000000 0.061983206899 Long DBT CORP US Y 2 2026-06-15 Fixed 12.00000000 N N Y N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -55267.78000000 -0.01498176517 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 17700000.00000000 CNY 2715794.67000000 USD 2022-01-14 -55267.78000000 N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAG1 375000.00000000 PA USD 350625.00000000 0.095045999919 Long DBT CORP KY Y 2 2026-01-15 Fixed 5.50000000 N N N N N N UMBS, TBA N/A 01F0326C3 25000.00000000 PA USD 26283.20000000 0.007124743030 Long ABS-MBS USGSE US N 2 2051-12-15 Fixed 3.50000000 N N N N N N PEACH PROPERTY FINANCE 5299006REENAMLK8A121 000000000 225000.00000000 PA 260276.14000000 0.070554598165 Long DBT CORP DE Y 2 2025-11-15 Fixed 4.38000000 N N N N N N SPCM SA 969500F7036FEDYPRV54 7846ELAD9 205000.00000000 PA USD 200387.50000000 0.054320229045 Long DBT CORP FR Y 2 2027-03-15 Fixed 3.13000000 N N N N N N ALLIED UNIVERSAL N/A 019576AB3 630000.00000000 PA USD 659925.00000000 0.178889786801 Long DBT CORP US Y 2 2027-07-15 Fixed 9.75000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAZ8 150000.00000000 PA USD 154771.93000000 0.041954945729 Long DBT CORP IE N 2 2041-10-29 Fixed 3.85000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAA3 445000.00000000 PA USD 459462.50000000 0.124549227060 Long DBT CORP US Y 2 2026-12-01 Fixed 4.25000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AX4 193000.00000000 PA USD 218328.99000000 0.059183735232 Long DBT CORP US N 2 2030-05-15 Fixed 4.50000000 N N N N N N LSF11 A5 HOLDCO LLC 254900FPK7P5WNA66Y10 50221DAA7 445000.00000000 PA USD 433318.75000000 0.117462285569 Long DBT CORP US Y 2 2029-10-15 Fixed 6.63000000 N N N N N N MOZART DEBT MERGER SUB N/A 62482BAB8 550000.00000000 PA USD 549312.50000000 0.148905399874 Long DBT CORP US Y 2 2029-10-01 Fixed 5.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 25555.82000000 0.006927567816 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6344000.00000000 SEK 730428.33000000 USD 2022-01-14 25555.82000000 N N N CREDIT LOGEMENT SA 969500FYPDQY3Y12Z881 000000000 100000.00000000 PA 112855.48000000 0.030592404828 Long DBT CORP FR N 2 2034-02-15 Fixed 1.08000000 N N N N N N KINGDOM OF MOROCCO 529900F3MBW9XY5K1X07 000000000 200000.00000000 PA 215479.11000000 0.058411201345 Long DBT NUSS MA N 2 2030-09-30 Fixed 2.00000000 N N N N N N HIGHLAND HOLDINGS SARL 549300WGY8GPJM4PQR36 000000000 100000.00000000 PA 113772.52000000 0.030840992304 Long DBT CORP LU N 2 2031-12-15 Fixed 0.93000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DR5 77000.00000000 PA USD 83081.23000000 0.022521322153 Long DBT CORP US N 2 2030-06-30 Fixed 3.40000000 N N N N N N LA BANQUE POSTALE 96950066U5XAAIRCPA78 000000000 100000.00000000 PA 111591.13000000 0.030249669969 Long DBT CORP FR N 2 2031-01-26 Fixed 0.88000000 N N N N N N WEEKLEY HOMES LLC/ FINAN N/A 948565AD8 638000.00000000 PA USD 656712.54000000 0.178018966201 Long DBT CORP US Y 2 2028-09-15 Fixed 4.88000000 N N N N N N INTERNATIONAL GAME TECH 549300UQ6KHRCZDRGZ76 460599AD5 225000.00000000 PA USD 247500.00000000 0.067091294061 Long DBT CORP GB Y 2 2027-01-15 Fixed 6.25000000 N N N N N N MPH ACQUISITION HOLDINGS 5493002WXOPRPTXWTU06 553283AD4 410000.00000000 PA USD 397130.10000000 0.107652413412 Long DBT CORP US Y 2 2028-09-01 Fixed 5.50000000 N N N N N N SWITCH LTD 5493002D70VTFFLT8L43 87105NAA8 1206000.00000000 PA USD 1193940.00000000 0.323648402551 Long DBT CORP US Y 2 2028-09-15 Fixed 3.75000000 N N N N N N FIRST QUANTUM MINERALS L 549300I7UVBGWRYMYZ18 335934AT2 759000.00000000 PA USD 802263.00000000 0.217474193322 Long DBT CORP CA Y 2 2027-10-15 Fixed 6.88000000 N N N N N N LANDSBANKINN HF 549300TLZPT6JELDWM92 000000000 100000.00000000 PA 112322.00000000 0.030447791238 Long DBT CORP IS N 2 2025-05-23 Fixed 0.38000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -2255.73000000 -0.00061147412 N/A DFE AU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 112668.39000000 USD 154803.54000000 AUD 2022-01-14 -2255.73000000 N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 2930000.00000000 PA 3611317.14000000 0.978941172476 Long DBT NUSS ES Y 2 2030-10-31 Fixed 1.25000000 N N N N N N IQVIA Inc 549300PLWY28YB00C717 449934AD0 710000.00000000 PA USD 725975.00000000 0.196794352347 Long DBT CORP US Y 2 2026-10-15 Fixed 5.00000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AS6 200000.00000000 PA USD 204250.00000000 0.055367259846 Long DBT CORP US Y 2 2028-02-01 Fixed 5.38000000 N N N N N N UMBS, TBA N/A 01F0204C0 25000.00000000 PA USD 25633.79000000 0.006948703607 Long ABS-MBS USGSE US N 2 2036-12-15 Fixed 2.00000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -7034.56000000 -0.00190689993 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 77214000.00000000 JPY 676635.53000000 USD 2022-01-14 -7034.56000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 3090.99000000 0.000837893006 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 126000.00000000 EUR 146229.43000000 USD 2022-01-14 3090.99000000 N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 000000000 2497750000.00000000 PA 2052292.13000000 0.556327009265 Long DBT NUSS KR N 2 2029-06-10 Fixed 1.88000000 N N N N N N VONOVIA SE 5299005A2ZEP6AP7KM81 000000000 100000.00000000 PA 107588.72000000 0.029164712934 Long DBT CORP DE N 2 2051-09-01 Fixed 1.63000000 N N N N N N KINGDOM OF MOROCCO 529900F3MBW9XY5K1X07 000000000 428000.00000000 PA 482579.76000000 0.130815759943 Long DBT NUSS MA N 2 2026-03-30 Fixed 1.38000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AH0 160000.00000000 PA USD 147400.00000000 0.039956592907 Long DBT CORP US Y 2 2031-01-15 Fixed 3.38000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKJ0 184000.00000000 PA USD 185861.42000000 0.050382558318 Long DBT CORP US N 2 2053-09-15 Fixed 3.50000000 N N N N N N Banco Santander, S.A. 5493006QMFDDMYWIAM13 000000000 1.00000000 NC 108.51000000 0.000029414449 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 97090.27000000 USD 557783.60000000 BRL 2022-03-03 108.51000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 2489.04000000 0.000674718846 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 99288.00000000 EUR 115282.13000000 USD 2022-01-14 2489.04000000 N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 000000000 270000.00000000 PA 296224.81000000 0.080299417518 Long DBT CORP US Y 2 2026-11-21 Fixed 2.25000000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TAP0 455000.00000000 PA USD 220675.00000000 0.059819682088 Long DBT CORP LU N 2 2023-08-01 None 0.00000000 Y N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -7367.07000000 -0.00199703539 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 109624863.00000000 JPY 963276.07000000 USD 2022-01-14 -7367.07000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 100000.00000000 PA 112829.17000000 0.030585272820 Long DBT CORP GB N 2 2032-05-12 Fixed 1.11000000 N N N N N N ARDAGH METAL PACKAGING N/A 000000000 320000.00000000 PA 353519.30000000 0.095830575000 Long DBT CORP N/A Y 2 2029-09-01 Fixed 3.00000000 N N N N N N HOLCIM FINANCE LUX SA 529900XU3Z9D2HLBR716 000000000 140000.00000000 PA 155908.41000000 0.042263018108 Long DBT CORP LU N 2 2030-04-06 Fixed 0.63000000 N N N N N N Wynn Macau Ltd 254900NMDQ8ENTHU1I31 98313RAC0 200000.00000000 PA USD 188928.00000000 0.051213834361 Long DBT CORP KY Y 2 2024-10-01 Fixed 4.88000000 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 038522AR9 930000.00000000 PA USD 969990.00000000 0.262940946773 Long DBT CORP US Y 2 2025-05-01 Fixed 6.38000000 N N N N N N ENDO LUX FIN CO I SARL N/A 29280BAA3 365000.00000000 PA USD 357535.75000000 0.096919337941 Long DBT CORP LU Y 2 2029-04-01 Fixed 6.13000000 N N N N N N AUST & NZ BANKING GROUP JHE42UYNWWTJB8YTTU19 052528AM8 152000.00000000 PA USD 146534.61000000 0.039722006503 Long DBT CORP AU Y 2 2035-11-25 Fixed 2.57000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -9621.60000000 -0.00260818422 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 105169871.00000000 JPY 921576.04000000 USD 2022-01-14 -9621.60000000 N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HAP6 365000.00000000 PA USD 335026.20000000 0.090817540615 Long DBT CORP BM Y 2 2024-12-15 Fixed 3.63000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -41637.80000000 -0.01128700559 N/A DFE TH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1471423.77000000 USD 48170000.00000000 THB 2022-02-18 -41637.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31401WV48 31282.59000000 PA USD 35808.90000000 0.009706931070 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N APT PIPELINES LTD 261700SS8OEHDOCOUJ33 000000000 100000.00000000 PA 132507.25000000 0.035919526767 Long DBT CORP AU N 2 2036-03-15 Fixed 2.50000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 000000000 110000.00000000 PA 122259.36000000 0.033141570397 Long DBT CORP NL N 2 2034-09-28 Fixed 0.88000000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BV2 482000.00000000 PA USD 497665.00000000 0.134905005490 Long DBT CORP CA Y 2 2026-06-15 Fixed 7.13000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 70273.85000000 0.019049549637 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 2882346.18000000 CAD 2327689.25000000 USD 2022-01-14 70273.85000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -15673.54000000 -0.00424871951 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 693469.41000000 USD 596641.12000000 EUR 2022-01-14 -15673.54000000 N N N REPUBLIC OF GUATEMALA 529900QKDFFU9UWW5315 000000000 300000.00000000 PA USD 334350.00000000 0.090634239068 Long DBT NUSS GT N 2 2050-06-01 Fixed 6.13000000 N N N N N N BELFIUS BANK SA/NV A5GWLFH3KM7YV2SFQL84 000000000 100000.00000000 PA 111165.67000000 0.030134338001 Long DBT CORP BE N 2 2034-04-06 Fixed 1.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBF7 2890463.68000000 PA USD 3232388.97000000 0.876222864267 Long DBT UST US N 2 2031-01-15 Fixed 0.13000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 16280.48000000 0.004413246348 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 670000.00000000 EUR 777413.46000000 USD 2022-01-14 16280.48000000 N N N MARRIOTT OWNERSHIP RESOR BW4532OH033VURR0IT68 57164PAH9 665000.00000000 PA USD 652847.13000000 0.176971146568 Long DBT CORP US Y 2 2029-06-15 Fixed 4.50000000 N N N N N N Frontera Energy Corp A25574TZFLBNK7NWQT47 35905B107 16354.00000000 NS USD 87657.44000000 0.023761822560 Long EC CORP CA N 1 N N N EMPRESA NACIONAL DEL PET 549300YP3P0JZBLIV197 000000000 600000.00000000 PA USD 615000.00000000 0.166711700394 Long DBT CORP CL N 2 2026-08-05 Fixed 3.75000000 N N N N N N arbor multifamily mortgage securities trust N/A 03881VAJ8 490000.00000000 PA USD 503265.87000000 0.136423266566 Long ABS-MBS CORP US Y 2 2054-06-15 Fixed 2.51000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 100000.00000000 PA 112525.91000000 0.030503066332 Long DBT CORP GB N 2 2031-03-22 Fixed 1.13000000 N N N N N N CORPORATE OFFICE PROP LP H0TWO5VRNEP6CQAWPX27 22003BAM8 109000.00000000 PA USD 109293.97000000 0.029626965173 Long DBT CORP US N 2 2031-04-15 Fixed 2.75000000 N N N N N N LSEG NETHERLANDS BV 213800JCR9B7CYW7U265 000000000 100000.00000000 PA 112601.79000000 0.030523635574 Long DBT CORP NL N 2 2028-04-06 Fixed 0.25000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -5231.66000000 -0.00141817712 N/A DFE N/A N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 230909.92000000 USD 198657.05000000 EUR 2022-01-14 -5231.66000000 N N N CHS/COMMUNITY HEALTH SYS 5493007X5NC5XI1BB106 12543DBL3 945000.00000000 PA USD 904837.50000000 0.245279671879 Long DBT CORP US Y 2 2030-04-01 Fixed 6.13000000 N N N N N N CF Hippolyta Issuer LLC N/A 12530MAC9 93191.33000000 PA USD 93388.09000000 0.025315263870 Long ABS-O CORP US Y 2 2060-07-15 Fixed 2.28000000 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081BE1 572000.00000000 PA USD 580602.88000000 0.157387468908 Long DBT CORP US Y 2 2026-04-01 Fixed 3.38000000 N N N N N N CTP NV 3157000YTVO4TN65UM14 000000000 100000.00000000 PA 110019.55000000 0.029823652450 Long DBT CORP NL N 2 2029-06-21 Fixed 1.25000000 N N N N N N GENESIS ENERGY LP/FIN N/A 37185LAK8 270700.00000000 PA USD 260723.35000000 0.070675826034 Long DBT CORP US N 2 2026-05-15 Fixed 6.25000000 N N N N N N INTERNATIONAL GAME TECH 549300UQ6KHRCZDRGZ76 460599AF0 1000000.00000000 PA USD 1017500.00000000 0.275819764473 Long DBT CORP GB Y 2 2026-04-15 Fixed 4.13000000 N N N N N N STATE OIL CO OF THE AZER 2549002HARR1VE257O76 000000000 700000.00000000 PA USD 834813.00000000 0.226297715026 Long DBT CORP AZ N 2 2030-03-18 Fixed 6.95000000 N N N N N N MATCH GROUP HLD II LLC N/A 57665RAL0 225000.00000000 PA USD 223031.25000000 0.060458404761 Long DBT CORP US Y 2 2030-08-01 Fixed 4.13000000 N N N N N N VIRGIN MONEY UK PLC 213800ZK9VGCYYR6O495 000000000 200000.00000000 PA 288032.58000000 0.078078701106 Long DBT CORP GB N 2 2030-12-11 Fixed 5.13000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 43240.08000000 0.011721345141 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 1513323.72000000 EUR 1762405.15000000 USD 2022-01-14 43240.08000000 N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1.00000000 NC 22620.51000000 0.006131875912 N/A DFE US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 1071000.00000000 GBP 1448216.91000000 USD 2022-01-14 22620.51000000 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDE9 350000.00000000 PA USD 328650.00000000 0.089089106235 Long DBT CORP MX N 2 2031-01-28 Fixed 5.95000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -42090.30000000 -0.01140966745 N/A DFE NZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1493165.21000000 USD 2127000.00000000 NZD 2022-01-14 -42090.30000000 N N N Morgan Stanley Capital I Trust N/A 61692CBK3 3135571.04000000 PA USD 265902.07000000 0.072079652403 Long ABS-MBS CORP US N 2 2054-06-15 Variable 1.35000000 N N N N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAH9 1083000.00000000 PA USD 996100.08000000 0.270018761137 Long DBT CORP KY Y 2 2028-08-26 Fixed 5.63000000 N N N N N N NEXSTAR BROADCASTING INC 5493006PK6I4I2OOT688 65343HAA9 405000.00000000 PA USD 420187.50000000 0.113902719690 Long DBT CORP US Y 2 2027-07-15 Fixed 5.63000000 N N N N N N ALTICE FRANCE HOLDING SA 5299000JVHXKJPOE6H40 02156TAA2 855000.00000000 PA USD 798356.25000000 0.216415167411 Long DBT CORP LU Y 2 2028-02-15 Fixed 6.00000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAN4 215000.00000000 PA USD 214972.05000000 0.058273749581 Long DBT CORP CA Y 2 2029-06-15 Fixed 4.75000000 N N N N N N KINGDOM OF MOROCCO 529900F3MBW9XY5K1X07 617726AL8 459000.00000000 PA USD 426984.75000000 0.115745290593 Long DBT NUSS MA Y 2 2032-12-15 Fixed 3.00000000 N N N N N N EXOR NV 5493002ENHZ6NYET7405 000000000 100000.00000000 PA 124873.55000000 0.033850214398 Long DBT CORP NL N 2 2030-04-29 Fixed 2.25000000 N N N N N N ZAYO GROUP HOLDINGS INC 529900Z6OTS7RT0V0I47 98919VAB1 490000.00000000 PA USD 461212.50000000 0.125023609948 Long DBT CORP US Y 2 2028-03-01 Fixed 6.13000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAX8 81000.00000000 PA USD 83713.25000000 0.022692647565 Long DBT CORP US N 2 2027-01-15 Fixed 2.75000000 N N N N N N BANK HAPOALIM B6ARUI4946ST4S7WOU88 000000000 200000.00000000 PA USD 198944.00000000 0.053928930932 Long DBT CORP IL Y 2 2032-01-21 Fixed 3.26000000 N N N N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAJ1 365000.00000000 PA USD 391462.50000000 0.106116063440 Long DBT CORP US Y 2 2030-08-01 Fixed 5.13000000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAS7 420000.00000000 PA USD 414750.00000000 0.112428744290 Long DBT CORP US Y 2 2030-06-01 Fixed 4.63000000 N N N N N N TRIMAS CORP 75G1WUQ8QK4P5MZOYD78 896215AH3 2039000.00000000 PA USD 2039000.00000000 0.552723832689 Long DBT CORP US Y 2 2029-04-15 Fixed 4.13000000 N N N N N N ERAC USA Finance LLC LTKX5ODQW6Z7BQ2K1V47 26882PBE1 120000.00000000 PA USD 178275.38000000 0.048326165428 Long DBT CORP US Y 2 2037-10-15 Fixed 7.00000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CQ1 535000.00000000 PA USD 572450.00000000 0.155177419334 Long DBT CORP US N 2 2043-01-15 Fixed 4.75000000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 37443GAB7 305000.00000000 PA USD 241108.60000000 0.065358739326 Long DBT NUSS GH Y 2 2032-03-26 Fixed 8.13000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691YAP6 1034540.11000000 PA USD 96526.63000000 0.026166046537 Long ABS-MBS CORP US N 2 2054-05-15 Variable 1.42000000 N N N N N N VALERO ENERGY CORP 549300XTO5VR8SKV1V74 91913YBC3 67000.00000000 PA USD 65933.48000000 0.017872979778 Long DBT CORP US N 2 2031-12-01 Fixed 2.80000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -3970.24000000 -0.00107623652 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 181005.09000000 USD 133000.00000000 GBP 2022-01-14 -3970.24000000 N N N PFP III N/A 69290LAE7 212489.40000000 PA USD 211183.87000000 0.057246865144 Long ABS-CBDO CORP KY Y 2 2038-04-14 Floating 1.49000000 N N N N N N SPCM SA 969500F7036FEDYPRV54 7846ELAE7 705000.00000000 PA USD 673275.00000000 0.182508650541 Long DBT CORP FR Y 2 2030-03-15 Fixed 3.38000000 N N N N N N BRIXMOR OPERATING PART 549300CJHBL7JBUA6503 11120VAJ2 45000.00000000 PA USD 49440.92000000 0.013402243645 Long DBT CORP US N 2 2030-07-01 Fixed 4.05000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1670.97000000 0.000452959756 N/A DFE CN N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 212812.39000000 USD 1370000.00000000 CNY 2022-01-14 1670.97000000 N N N VIRGIN MEDIA FINANCE PLC 2138001LVYC87DDHT482 000000000 355000.00000000 PA 398821.22000000 0.108110835348 Long DBT CORP GB N 2 2030-07-15 Fixed 3.75000000 N N N N N N Ascend Learning LLC 549300T466HKRLVCD610 043502AB9 450000.00000000 PA USD 458113.50000000 0.124183545623 Long DBT CORP US Y 2 2025-08-01 Fixed 6.88000000 N N N N N N EUROPEAN UNION 529900FZRK8FGMPEOM08 000000000 970000.00000000 PA 1073103.67000000 0.290892581341 Long DBT NUSS N/A N 2 2035-07-04 None 0.00000000 N N N N N N MOTION BONDCO DAC 635400KFD3IETNQLA755 61978XAA5 630000.00000000 PA USD 628425.00000000 0.170350894829 Long DBT CORP IE Y 2 2027-11-15 Fixed 6.63000000 N N N N N N BANQUE OUEST AFRICAINE D 529900LIZJABE4JJS826 06675QAC7 1055000.00000000 PA USD 1144253.00000000 0.310179452538 Long DBT NUSS N/A Y 2 2031-10-22 Fixed 4.70000000 N N N N N N DT MIDSTREAM INC N/A 23345MAB3 879000.00000000 PA USD 873506.25000000 0.236786523971 Long DBT CORP US Y 2 2031-06-15 Fixed 4.38000000 N N N N N N FREEDOM MORTGAGE CORP 549300LYRWPSYPK6S325 35640YAF4 675000.00000000 PA USD 651550.50000000 0.176619661378 Long DBT CORP US Y 2 2026-05-01 Fixed 7.63000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAL3 567000.00000000 PA USD 620865.00000000 0.168301560756 Long DBT CORP US N 2 2029-01-15 Fixed 5.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -2535.01000000 -0.00068718020 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 25014020.00000000 JPY 218944.74000000 USD 2022-01-14 -2535.01000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -17060.55000000 -0.00462470455 N/A DFE GB N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 454486.57000000 USD 328622.65000000 GBP 2022-01-14 -17060.55000000 N N N ALBERTSONS COS/SAFEWAY N/A 013092AC5 825000.00000000 PA USD 855236.25000000 0.231833966628 Long DBT CORP US Y 2 2027-01-15 Fixed 4.63000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCK7 875000.00000000 PA USD 861953.75000000 0.233654919225 Long DBT CORP US Y 2 2031-02-01 Fixed 4.25000000 N N N N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 78410GAE4 1025000.00000000 PA USD 973750.00000000 0.263960192291 Long DBT CORP US Y 2 2029-02-01 Fixed 3.13000000 N N N N N N ARDAGH METAL PACKAGING N/A 03969YAB4 646000.00000000 PA USD 626393.90000000 0.169800312497 Long DBT CORP N/A Y 2 2029-09-01 Fixed 4.00000000 N N N N N N PTC Inc 54930050SSMU8SKDJ030 69370CAB6 585000.00000000 PA USD 587925.00000000 0.159372319437 Long DBT CORP US Y 2 2025-02-15 Fixed 3.63000000 N N N N N N TOLEDO HOSPITAL/THE 5493009DCR7NWV6K4T34 889184AG2 142000.00000000 PA USD 211557.68000000 0.057348196039 Long DBT CORP US N 2 2048-11-15 Fixed 6.02000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402KJ21 3484.41000000 PA USD 3867.81000000 0.001048470214 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.50000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -19134.02000000 -0.00518677237 N/A DFE BR N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 2919093.06000000 USD 16303134.75000000 BRL 2021-12-02 -19134.02000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -16162.06000000 -0.00438114553 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 747925.99000000 USD 644147.40000000 EUR 2022-01-14 -16162.06000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 10781.30000000 0.002922550984 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 3219000.00000000 SEK 368439.66000000 USD 2022-01-14 10781.30000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SQ2 15375000.00000000 PA USD 13593662.03000000 3.684914653020 Long DBT UST US N 2 2040-08-15 Fixed 1.13000000 N N N N N N WHEEL PROS INC N/A 96289WAA7 430000.00000000 PA USD 418923.20000000 0.113559998384 Long DBT CORP US Y 2 2029-05-15 Fixed 6.50000000 N N N N N N Michigan Finance Authority 54930022O46HOX5J1D14 59447TXX6 215000.00000000 PA USD 238305.53000000 0.064598894503 Long DBT MUN US N 2 2040-12-01 Fixed 3.38000000 N N N N N N UNIVAR SOLUTIONS USA INC 5493008FTB9VZW6CVA82 91337CAA4 637000.00000000 PA USD 665665.00000000 0.180445762671 Long DBT CORP US Y 2 2027-12-01 Fixed 5.13000000 N N N N N N BANCO DEL ESTADO -CHILE 5493004R4EJC0W0XVQ72 05968AAA4 600000.00000000 PA USD 603072.00000000 0.163478306634 Long DBT CORP CL N 2 2022-02-08 Fixed 3.88000000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 85172FAM1 480000.00000000 PA USD 528000.00000000 0.143128093997 Long DBT CORP US N 2 2025-03-15 Fixed 6.88000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55282XAG5 213000.00000000 PA USD 212935.67000000 0.057721735967 Long ABS-MBS CORP KY Y 2 2036-07-15 Floating 1.86000000 N N N N N N BOYNE USA INC N/A 103557AC8 775000.00000000 PA USD 780812.50000000 0.211659478966 Long DBT CORP US Y 2 2029-05-15 Fixed 4.75000000 N N N N N N ENI SPA BUCRF72VH5RBN7X3VL35 000000000 140000.00000000 PA 157880.82000000 0.042797690994 Long DBT CORP IT N 2 2030-02-11 Fixed 2.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -46118.75000000 -0.01250168330 N/A DFE MX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1518853.86000000 USD 31848392.55000000 MXN 2022-01-14 -46118.75000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDT6 38000.00000000 PA USD 41819.46000000 0.011336249245 Long DBT CORP US N 2 2039-08-15 Fixed 3.50000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JX21 320000.00000000 PA USD 281081.60000000 0.076194457700 Long DBT NUSS EG Y 2 2032-01-15 Fixed 7.05000000 N N N N N N LoanCore 2021-CRE5 Issuer, Ltd N/A 53947XAE2 375000.00000000 PA USD 375113.44000000 0.101684226704 Long ABS-CBDO CORP KY Y 2 2036-07-15 Floating 1.84000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -23820.28000000 -0.00645710468 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 745918.48000000 USD 922000.00000000 CAD 2022-01-14 -23820.28000000 N N N Fair Isaac Corp RI6HET5SJUEY30V1PS26 303250AE4 1370000.00000000 PA USD 1505287.50000000 0.408047217410 Long DBT CORP US Y 2 2026-05-15 Fixed 5.25000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 11511.18000000 0.003120403888 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 249375.00000000 GBP 343451.52000000 USD 2022-01-14 11511.18000000 N N N Bank N/A 06541JAR2 999499.78000000 PA USD 74630.95000000 0.020230654596 Long ABS-MBS CORP US N 2 2063-06-15 Variable 1.09000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -24178.70000000 -0.00655426372 N/A DFE GB N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 756928.38000000 USD 550488.84000000 GBP 2022-01-14 -24178.70000000 N N N TERRAFORM POWER OPERATIN 5493000S2OLR3UT5BE13 88104LAG8 545000.00000000 PA USD 553040.11000000 0.149915865242 Long DBT CORP US Y 2 2030-01-15 Fixed 4.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FTG43 845640.00000000 PA USD 116388.98000000 0.031550251647 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.91000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FUZG2 2034877.00000000 PA USD 282502.79000000 0.076579708109 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 1.91000000 N N N N N N ORGANON & CO/ORG N/A 68622TAA9 700000.00000000 PA USD 698393.50000000 0.189317671429 Long DBT CORP US Y 2 2028-04-30 Fixed 4.13000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -21909.25000000 -0.00593907044 N/A DFE HU N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 737680.64000000 USD 230295000.00000000 HUF 2022-01-14 -21909.25000000 N N N LEGACY LIFEPOINT HEALTH N/A 53219LAS8 210000.00000000 PA USD 206740.80000000 0.056042455786 Long DBT CORP US Y 2 2027-02-15 Fixed 4.38000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAQ7 55000.00000000 PA USD 53764.81000000 0.014574346173 Long DBT CORP US N 2 2060-09-15 Fixed 3.00000000 N N N N N N TELEFONAKTIEBOLAGET LM E 549300W9JLPW15XIFM52 000000000 140000.00000000 PA 155792.94000000 0.042231716970 Long DBT CORP SE N 2 2029-05-26 Fixed 1.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -38.00000000 NC USD -319876.13000000 -0.08671072121 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CME Ultra Long Term US Treasury Bond Future WNH2 COMDTY 2022-03-22 -7301498.87000000 USD -319876.13000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 9295.56000000 0.002519802623 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1220000.00000000 NOK 144142.08000000 USD 2022-01-14 9295.56000000 N N N The Federal Republic of Nigeria 549300GSBZD84TNEQ285 65412JAK9 519000.00000000 PA USD 524470.26000000 0.142171266424 Long DBT NUSS NG Y 2 2031-01-21 Fixed 8.75000000 N N N N N N OVINTIV INC N/A 292505AG9 130000.00000000 PA USD 165617.61000000 0.044894948582 Long DBT CORP US N 2 2038-02-01 Fixed 6.50000000 N N N N N N WMG ACQUISITION CORP 549300NAS11NXI33CP80 000000000 242000.00000000 PA 271268.70000000 0.073534416651 Long DBT CORP US Y 2 2031-08-15 Fixed 2.25000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -39.00000000 NC -63621.66000000 -0.01724630100 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 10 Year Euro BUND Future RXZ1 Comdty 2021-12-08 -6666331.22000000 EUR -63621.66000000 N N N FIRST QUANTUM MINERALS L 549300I7UVBGWRYMYZ18 335934AR6 400000.00000000 PA USD 414000.00000000 0.112225437338 Long DBT CORP CA Y 2 2026-03-01 Fixed 6.88000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -13825.55000000 -0.00374777390 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 504095.16000000 USD 431568.00000000 EUR 2022-01-14 -13825.55000000 N N N CALLON PETROLEUM 549300EFOWPEB0WLZW21 13123XBD3 275000.00000000 PA USD 269233.25000000 0.072982655138 Long DBT CORP US Y 2 2028-08-01 Fixed 8.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 126028.46000000 0.034163282706 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 36554697.98000000 SEK 4187567.21000000 USD 2022-01-14 126028.46000000 N N N Southwestern Energy Co EFWMP121W54QV9MGOP87 845467AL3 173200.00000000 PA USD 187930.66000000 0.050943479487 Long DBT CORP US N 2 2025-01-23 Fixed 6.45000000 N N N N N N TRINET GROUP INC 5299003FJVBETSFKE990 896288AA5 1430000.00000000 PA USD 1412840.00000000 0.382986924853 Long DBT CORP US Y 2 2029-03-01 Fixed 3.50000000 N N N N N N AVATION CAPITAL SA N/A 000000000 6125.00000000 NS USD 807.28000000 0.000218834181 N/A DE US N 3 N/A N/A Call Purchased Avation Capital SA Avation Capital SA 1.00000000 1.00000000 USD 2099-12-31 XXXX 807.28000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 2561.29000000 0.000694304083 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 107803.99000000 EUR 125028.71000000 USD 2022-01-14 2561.29000000 N N N ELEMENT SOLUTIONS INC 549300FLGN6P5CU20J91 28618MAA4 875000.00000000 PA USD 866250.00000000 0.234819529214 Long DBT CORP US Y 2 2028-09-01 Fixed 3.88000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -31.00000000 NC -189973.20000000 -0.05149716292 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 30 Year Euro BUXL Future UBZ1 Comdty 2021-12-08 -6594209.99000000 EUR -189973.20000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385W2A6 1497.18000000 PA USD 1691.98000000 0.000458655061 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 6.50000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05492VAG0 1989754.56000000 PA USD 197748.97000000 0.053604987056 Long ABS-MBS CORP US N 2 2053-04-15 Variable 1.74000000 N N N N N N Sensata Technologies BV PUCKW5P5O3XMOZVH7T53 81725WAJ2 1010000.00000000 PA USD 1093143.20000000 0.296324815685 Long DBT CORP NL Y 2 2025-10-01 Fixed 5.00000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBM3 227000.00000000 PA USD 235226.16000000 0.063764151399 Long DBT CORP US N 2 2029-12-15 Fixed 3.55000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AM2 189000.00000000 PA USD 220131.57000000 0.059672371292 Long DBT CORP US N 2 2038-04-15 Fixed 4.38000000 N N N N N N UMBS, TBA N/A 01F020612 625000.00000000 PA USD 624121.09000000 0.169184208399 Long ABS-MBS USGSE US N 2 2051-01-15 Fixed 2.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABB0 189000.00000000 PA USD 199931.36000000 0.054196580467 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 1365000.00000000 PA 1785627.68000000 0.484040693990 Long DBT NUSS N/A N 2 2035-07-30 Fixed 1.85000000 N N N N N N MATCH GROUP HLD II LLC N/A 57665RAG1 460000.00000000 PA USD 479550.00000000 0.129994464917 Long DBT CORP US Y 2 2027-12-15 Fixed 5.00000000 N N N N N N ICE Futures Europe - Financial Products Division N/A 000000000 24.00000000 NC 46520.05000000 0.012610466077 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long Long Gilt Future G H2 COMDTY 2022-03-29 2995741.20000000 GBP 46520.05000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -197045.26000000 -0.05341422821 N/A DFE NO N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 3887140.73000000 USD 33385485.63000000 NOK 2022-01-14 -197045.26000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -1969.20000000 -0.00053380273 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 28608015.00000000 JPY 251332.59000000 USD 2022-01-14 -1969.20000000 N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 1284000.00000000 PA 1454111.55000000 0.394174648883 Long DBT NUSS IT N 2 2028-07-15 Fixed 0.50000000 N N N N N N INDIAN RAILWAY FINANCE 335800F2JHSOGXQEBY56 45434M2C5 800000.00000000 PA USD 776195.86000000 0.210408018958 Long DBT CORP IN N 2 2031-02-10 Fixed 2.80000000 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAE7 908000.00000000 PA USD 894915.72000000 0.242590116082 Long DBT CORP US Y 2 2029-02-01 Fixed 4.13000000 N N N N N N NEW ENTERPRISE STONE & L 549300O5DQ5Y61B8VF38 644274AH5 525000.00000000 PA USD 523687.50000000 0.141959079024 Long DBT CORP US Y 2 2028-07-15 Fixed 5.25000000 N N N N N N CEDAR FAIR/CAN/MAGNUM/MI N/A 150190AB2 375000.00000000 PA USD 381562.50000000 0.103432411677 Long DBT CORP US N 2 2027-04-15 Fixed 5.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F62R7 455646.00000000 PA USD 43159.20000000 0.011699420519 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 1.26000000 N N N N N N Eni SpA BUCRF72VH5RBN7X3VL35 26874RAJ7 200000.00000000 PA USD 226160.19000000 0.061306585099 Long DBT CORP IT Y 2 2029-05-09 Fixed 4.25000000 N N N N N N PENSKE AUTOMOTIVE GROUP 549300W7UTQ0M4C7LB15 70959WAK9 840000.00000000 PA USD 819063.00000000 0.222028269040 Long DBT CORP US N 2 2029-06-15 Fixed 3.75000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AL8 175000.00000000 PA USD 202125.00000000 0.054791223483 Long DBT CORP US N 2 2048-08-15 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -670.93000000 -0.00018187297 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 10188000.00000000 TWD 365711.82000000 USD 2022-01-21 -670.93000000 N N N ANHEUSER-BUSCH INBEV SA/ 5493008H3828EMEXB082 000000000 100000.00000000 PA 122143.09000000 0.033110052398 Long DBT CORP BE N 2 2031-03-28 Fixed 1.65000000 N N N N N N PARK RIVER HOLDINGS INC N/A 70082LAA5 465000.00000000 PA USD 440587.50000000 0.119432668776 Long DBT CORP US Y 2 2029-02-01 Fixed 5.63000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 8419.10000000 0.002282215409 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 382000.00000000 EUR 442378.50000000 USD 2022-01-14 8419.10000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 2515.27000000 0.000681829168 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 100000.00000000 EUR 116117.21000000 USD 2022-01-14 2515.27000000 N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 700000.00000000 PA USD 700882.00000000 0.189992243895 Long DBT NUSS UA N 2 2026-09-01 Fixed 7.75000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCC4 980000.00000000 PA USD 804972.00000000 0.218208538032 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 40565.31000000 0.010996279361 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9517000.00000000 SEK 1097985.19000000 USD 2022-01-14 40565.31000000 N N N BENCHMARK Mortgage Trust N/A 08162FAE3 227000.00000000 PA USD 242966.61000000 0.065862401125 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 3.12000000 N N N N N N KONDOR FINANCE PLC (NAK) 213800PUC1T9GI6EIO63 50050MAB1 1316000.00000000 PA USD 1174139.41000000 0.318280939091 Long DBT CORP GB Y 2 2026-11-08 Fixed 7.63000000 N N N N N N SUMMER BC HOLDCO A SARL 984500EFA0BRE0008996 000000000 513600.00000000 PA 625577.14000000 0.169578908515 Long DBT CORP LU N 2 2027-10-31 Fixed 9.25000000 N N N N N N Natwest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC 424.02000000 0.000114941618 N/A DFE N/A N 2 Natwest Markets PLC RR3QWICWWIPCS8A4S074 72368.35000000 USD 64076.70000000 EUR 2022-01-14 424.02000000 N N N SEAWORLD PARKS & ENTERTA 549300UZV72O3371JJ53 81282UAG7 840000.00000000 PA USD 837060.00000000 0.226906822653 Long DBT CORP US Y 2 2029-08-15 Fixed 5.25000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 400000.00000000 PA 460943.84000000 0.124950782687 Long DBT NUSS CI N 2 2040-10-17 Fixed 6.88000000 N N N N N N CREDIT AGRICOLE ASSRNCES 969500K2MUPSI57XK083 000000000 200000.00000000 PA 222918.81000000 0.060427924983 Long DBT CORP FR N 2 2031-10-06 Fixed 1.50000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 7355000.00000000 PA 6100994.36000000 1.653832754231 Long DBT NUSS AU N 2 2039-06-21 Fixed 3.25000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 000000000 150000.00000000 PA 197215.08000000 0.053460262325 Long DBT CORP IT N 2 2036-03-11 Fixed 2.63000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1387.42000000 -0.00037609617 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 99941.00000000 EUR 112147.49000000 USD 2022-01-14 -1387.42000000 N N N WMG ACQUISITION CORP 549300NAS11NXI33CP80 92933BAQ7 1184000.00000000 PA USD 1186960.00000000 0.321756292520 Long DBT CORP US Y 2 2030-07-15 Fixed 3.88000000 N N N N N N SCIENTIFIC GAMES INTERNA RLTHESQ0RNFQJWPBJN60 80874YBC3 445000.00000000 PA USD 472894.83000000 0.128190408482 Long DBT CORP US Y 2 2028-05-15 Fixed 7.00000000 N N N N N N CCM MERGER INC 549300P77RSBKKFME089 14985VAE1 570000.00000000 PA USD 592800.00000000 0.160693814624 Long DBT CORP US Y 2 2026-05-01 Fixed 6.38000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 43370000.00000000 PA 2387315.02000000 0.647143652619 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GT4 104000.00000000 PA USD 111607.29000000 0.030254050556 Long DBT CORP US N 2 2050-02-01 Fixed 3.65000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -4712.89000000 -0.00127755106 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 189131.61000000 USD 258563.37000000 AUD 2022-01-14 -4712.89000000 N N N LA MONDIALE 969500L0T16HX3R78P61 000000000 100000.00000000 PA 120214.66000000 0.032587301432 Long DBT CORP FR N 2 2029-04-24 Fixed 4.38000000 N N N N N N Harbourview CLO VII Ltd N/A 41165TAE1 440000.00000000 PA USD 435534.44000000 0.118062905809 Long ABS-CBDO CORP KY Y 2 2031-07-18 Floating 1.82000000 N N N N N N ARDAGH METAL PACKAGING N/A 03969YAA6 365000.00000000 PA USD 352225.00000000 0.095479721416 Long DBT CORP N/A Y 2 2028-09-01 Fixed 3.25000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 18323.22000000 0.004966984004 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 838138.07000000 EUR 970464.31000000 USD 2022-01-14 18323.22000000 N N N GARDA WORLD SECURITY COR 549300ZF1NDXLMCHNO20 36257BAA7 467000.00000000 PA USD 486726.08000000 0.131939727517 Long DBT CORP CA Y 2 2027-11-01 Fixed 9.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 6896.98000000 0.001869605306 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 272106.72000000 EUR 316015.49000000 USD 2022-01-14 6896.98000000 N N N Republic of Guatemala 529900QKDFFU9UWW5315 401494AR0 777000.00000000 PA USD 865966.50000000 0.234742679186 Long DBT NUSS GT Y 2 2050-06-01 Fixed 6.13000000 N N N N N N TELENET FINANCE LUX NOTE 2138007RI9GLJPCC3E25 000000000 400000.00000000 PA 462425.43000000 0.125352406082 Long DBT CORP LU N 2 2028-03-01 Fixed 3.50000000 N N N N N N CLARIOS GLOBAL LP/US FIN N/A 69867DAC2 1010000.00000000 PA USD 1063025.00000000 0.288160496441 Long DBT CORP N/A Y 2 2027-05-15 Fixed 8.50000000 N N N N N N TPG Real Estate Finance N/A 87276WAC7 150000.00000000 PA USD 149633.70000000 0.040562095224 Long ABS-CBDO CORP KY Y 2 2038-03-15 Floating 1.49000000 N N N N N N HUB INTERNATIONAL LTD 549300JQT6ATTUNS5E06 44332PAG6 620000.00000000 PA USD 618685.60000000 0.167710777862 Long DBT CORP US Y 2 2029-12-01 Fixed 5.63000000 N N N N N N FMG RESOURCES AUG 2006 549300EFD6S2NFE9D745 30251GBC0 790000.00000000 PA USD 800475.40000000 0.216989617980 Long DBT CORP AU Y 2 2031-04-01 Fixed 4.38000000 N N N N N N Business Jet Securities, LLC N/A 12327FAA5 327456.41000000 PA USD 330766.77000000 0.089662911643 Long ABS-O CORP US Y 2 2035-11-15 Fixed 2.98000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AV0 95000.00000000 PA USD 113098.66000000 0.030658325074 Long DBT CORP US N 2 2049-07-01 Fixed 4.40000000 N N N N N N UMBS, TBA N/A 01F0306C7 75000.00000000 PA USD 77876.95000000 0.021110567082 Long ABS-MBS USGSE US N 2 2051-12-15 Fixed 3.00000000 N N N N N N PETRA DIAMONDS US TREAS 635400LZYOO6WHAO2H58 000000000 231252.00000000 PA USD 238189.56000000 0.064567457827 Long DBT CORP GB Y 2 2026-03-08 Fixed 10.50000000 N N Y N N N Stevens Holding Co Inc N/A 86024TAA5 675000.00000000 PA USD 722250.00000000 0.195784594487 Long DBT CORP US Y 2 2026-10-01 Fixed 6.13000000 N N N N N N KAISER ALUMINUM CORP N/A 483007AJ9 1009000.00000000 PA USD 988244.87000000 0.267889402737 Long DBT CORP US Y 2 2028-03-01 Fixed 4.63000000 N N N N N N STAR ENERGY GEOTHERMAL N/A 85511XAC4 758184.80000000 PA USD 837945.84000000 0.227146952560 Long DBT CORP VG Y 2 2033-04-24 Fixed 6.75000000 N N N N N N NOVELIS CORP 549300G5F3W3B52WYL23 670001AH9 330000.00000000 PA USD 318450.00000000 0.086324131692 Long DBT CORP US Y 2 2031-08-15 Fixed 3.88000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 4327.06000000 0.001172961837 N/A DFE JP N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1475585.72000000 USD 167142000.00000000 JPY 2022-01-14 4327.06000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 77635.92000000 0.021045229650 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12818000.00000000 NOK 1494408.59000000 USD 2022-01-14 77635.92000000 N N N State Board of Administration Finance Corp 549300S34SOJ0RULXM35 341271AF1 259000.00000000 PA USD 260294.92000000 0.070559688971 Long DBT MUN US N 2 2030-07-01 Fixed 2.15000000 N N N N N N Iron Mountain Inc SQL3F6CKNNBM3SQGHX24 46284VAC5 625000.00000000 PA USD 633912.50000000 0.171838424026 Long DBT CORP US Y 2 2027-09-15 Fixed 4.88000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -226.00000000 NC USD -226798.01000000 -0.06147948275 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 5 Year US Treasury Note FVH2 COMDTY 2022-03-31 -27209248.98000000 USD -226798.01000000 N N N NIELSEN FINANCE LLC/CO N/A 65409QBH4 715000.00000000 PA USD 691433.60000000 0.187431010025 Long DBT CORP US Y 2 2029-07-15 Fixed 4.50000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAK6 310000.00000000 PA USD 307675.00000000 0.083403288485 Long DBT CORP US Y 2 2029-01-15 Fixed 4.50000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 247000.00000000 PA 261267.22000000 0.070823256103 Long DBT NUSS RO Y 2 2030-07-13 Fixed 1.75000000 N N N N N N Capital Automotive Reit N/A 12510HAD2 145055.08000000 PA USD 146469.79000000 0.039704435361 Long ABS-O CORP US Y 2 2050-02-15 Fixed 3.19000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 000000000 100000.00000000 PA 113555.22000000 0.030782087503 Long DBT CORP US N 2 2033-10-14 Fixed 0.75000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BL0 1320000.00000000 PA USD 1328467.80000000 0.360115651800 Long DBT CORP US N 2 2027-11-15 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -54413.11000000 -0.01475008470 N/A DFE TH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1910854.49000000 USD 62548000.00000000 THB 2022-03-17 -54413.11000000 N N N Bank N/A 06540YAH2 115359.00000000 PA USD 112460.95000000 0.030485457239 Long ABS-MBS CORP US N 2 2063-03-15 Fixed 1.84000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FTFW2 448000.00000000 PA USD 30538.32000000 0.008278203665 Long ABS-MBS USGSE US N 2 2027-03-25 Variable 1.48000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 115393.94000000 0.031280520248 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3760117.07000000 GBP 5120444.70000000 USD 2022-01-14 115393.94000000 N N N MURPHY OIL CORP QBKYQD0ODE7DC7PDIN91 626717AM4 225000.00000000 PA USD 229025.25000000 0.062083233919 Long DBT CORP US N 2 2027-12-01 Fixed 5.88000000 N N N N N N MATTAMY GROUP CORP 5493008TNY7A82WCXU31 57701RAM4 615000.00000000 PA USD 609655.65000000 0.165262975717 Long DBT CORP CA Y 2 2030-03-01 Fixed 4.63000000 N N N N N N BOYD GAMING CORP 254900787YGRYS2A1Z35 103304BV2 270000.00000000 PA USD 268515.00000000 0.072787954847 Long DBT CORP US Y 2 2031-06-15 Fixed 4.75000000 N N N N N N PERFORMANCE FOOD GROUP I 549300OMUOGBYK0FFO76 69346VAA7 745000.00000000 PA USD 767350.00000000 0.208010119183 Long DBT CORP US Y 2 2027-10-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297C5V8 30166.20000000 PA USD 34708.52000000 0.009408644532 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N WASH MULTIFAM ACQ INC 549300AS7PRY5PHG6L12 93710WAA3 420000.00000000 PA USD 432600.00000000 0.117267449740 Long DBT CORP US Y 2 2026-04-15 Fixed 5.75000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAG6 445000.00000000 PA USD 467749.51000000 0.126795636049 Long DBT CORP US N 2 2029-10-01 Fixed 4.50000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 29127.34000000 0.007895720942 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 1405464.34000000 CAD 1129868.42000000 USD 2022-01-14 29127.34000000 N N N ENCINO ACQUISITION PARTN 549300BUKUEKT2UE4T49 29254BAA5 360000.00000000 PA USD 362700.00000000 0.098319241842 Long DBT CORP US Y 2 2028-05-01 Fixed 8.50000000 N N N N N N ASCENT RESOURCES/ARU FIN N/A 04364VAG8 240000.00000000 PA USD 243600.00000000 0.066034097912 Long DBT CORP US Y 2 2026-11-01 Fixed 7.00000000 N N N N N N COMSTOCK RESOURCES INC I03QQGEA4SS774AURI46 205768AS3 525000.00000000 PA USD 546000.00000000 0.148007460837 Long DBT CORP US Y 2 2029-03-01 Fixed 6.75000000 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 000000000 140000.00000000 PA 157843.67000000 0.042787620523 Long DBT CORP FI N 2 2031-08-18 Fixed 0.63000000 N N N N N N CROWN AMER/CAP CORP VI N/A 228187AB6 325000.00000000 PA USD 333723.00000000 0.090464274456 Long DBT CORP US N 2 2026-02-01 Fixed 4.75000000 N N N N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 214000.00000000 PA 237785.33000000 0.064457880801 Long DBT NUSS BJ Y 2 2052-01-19 Fixed 6.88000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AW0 209000.00000000 PA USD 247878.69000000 0.067193947807 Long DBT CORP GB Y 2 2030-04-01 Fixed 5.63000000 N N N N N N CNTL AMR BOTTLING CORP 549300DT8SH0CF6BTT37 15238XAB5 900000.00000000 PA USD 919980.00000000 0.249384439233 Long DBT CORP VG Y 2 2027-01-31 Fixed 5.75000000 N N N N N N Electricite de France SA 549300X3UK4GG3FNMO06 000000000 100000.00000000 PA 147055.76000000 0.039863277727 Long DBT CORP FR N 2 2029-01-22 Fixed 5.88000000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAD7 200000.00000000 PA USD 192808.00000000 0.052265608991 Long DBT CORP MA Y 2 2031-06-23 Fixed 3.75000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CA5 1045000.00000000 PA USD 1087818.88000000 0.294881520660 Long DBT CORP US N 2 2030-09-01 Fixed 3.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 40137.43000000 0.010880291389 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1655000.00000000 CAD 1336311.53000000 USD 2022-01-14 40137.43000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D7G1 41062.00000000 PA USD 42796.54000000 0.011601112120 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 124000.00000000 OU Notional Amount 25743.46000000 0.006978432505 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Glencore International AG Glencore International AG Y sell protection 2026-12-20 23531.00000000 EUR 0.00000000 EUR 124000.00000000 EUR -1579.54000000 N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 000000000 100000.00000000 PA 109712.89000000 0.029740524304 Long DBT CORP US N 2 2026-11-21 Fixed 2.25000000 N N N N N N CHARLES RIVER LABORATORI 549300BSQ0R4UZ5KX287 159864AG2 1931000.00000000 PA USD 1909276.25000000 0.517558845788 Long DBT CORP US Y 2 2029-03-15 Fixed 3.75000000 N N N N N N XHR LP 549300M88BPT83ZL2164 98372MAC9 640000.00000000 PA USD 644800.00000000 0.174789763275 Long DBT CORP US Y 2 2029-06-01 Fixed 4.88000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 2743.34000000 0.000743653457 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 99531.00000000 EUR 115812.48000000 USD 2022-01-14 2743.34000000 N N N Encompass Health Corp 549300FVRPM9DRQZRG64 421924BT7 410000.00000000 PA USD 416662.50000000 0.112947177017 Long DBT CORP US N 2 2025-09-15 Fixed 5.75000000 N N N N N N BWX TECHNOLOGIES INC 549300NP85N265KWMS58 05605HAB6 210000.00000000 PA USD 210000.00000000 0.056925946476 Long DBT CORP US Y 2 2028-06-30 Fixed 4.13000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 4753.41000000 0.001288535063 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 254000.00000000 EUR 293302.33000000 USD 2022-01-14 4753.41000000 N N N BANGKOK BANK PCL/HK 549300CCL2BKJGMYXV60 000000000 750000.00000000 PA USD 768577.50000000 0.208342864894 Long DBT CORP TH N 2 2034-09-25 Fixed 3.73000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBE7 204000.00000000 PA USD 215104.36000000 0.058309615638 Long DBT CORP US N 2 2029-08-01 Fixed 3.15000000 N N N N N N TI AUTOMOTIVE FINANCE 549300MZ54ZRN8UFQS35 000000000 480000.00000000 PA 547338.36000000 0.148370258027 Long DBT CORP GB Y 2 2029-04-15 Fixed 3.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 389.26000000 0.000105519018 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 51749.20000000 USD 5888541.00000000 JPY 2022-01-14 389.26000000 N N N JDE PEET'S NV 724500EHG519SE5ZRT89 000000000 100000.00000000 PA 112839.98000000 0.030588203151 Long DBT CORP NL N 2 2028-02-09 Fixed 0.63000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABL0 383000.00000000 PA USD 483689.93000000 0.131116700315 Long DBT CORP US Y 2 2030-04-08 Fixed 6.38000000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 85172FAN9 215000.00000000 PA USD 241652.48000000 0.065506172106 Long DBT CORP US N 2 2026-03-15 Fixed 7.13000000 N N N N N N ONTARIO (PROVINCE OF) C7PVKCRGLG18EBQGZV36 68333ZAL1 2837000.00000000 PA 1868051.63000000 0.506383843352 Long DBT NUSS CA N 2 2051-12-02 Fixed 1.90000000 N N N N N N Mattel Inc 549300VELLG24KHTJ564 577081AW2 210000.00000000 PA USD 247510.20000000 0.067094059035 Long DBT CORP US N 2 2041-11-01 Fixed 5.45000000 N N N N N N ARD FINANCE SA 6354006P6QPGGPVJW880 000000000 335000.00000000 PA 385147.65000000 0.104404259568 Long DBT CORP LU N 2 2027-06-30 Fixed 5.00000000 N N Y N N N MATCH GROUP HLD II LLC N/A 57667JAA0 55000.00000000 PA USD 51848.50000000 0.014054880646 Long DBT CORP US Y 2 2031-10-01 Fixed 3.63000000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 19130000.00000000 PA 2944977.80000000 0.798312612458 Long DBT NUSS CN N 2 2030-05-21 Fixed 2.68000000 N N N N N N CNX RESOURCES CORP 549300JK3KH8PWM3B226 12653CAJ7 765000.00000000 PA USD 782800.02000000 0.212198247809 Long DBT CORP US Y 2 2029-01-15 Fixed 6.00000000 N N N N N N New Jersey Economic Development Authority 5493006JS6QWDVU4R678 645913AA2 499000.00000000 PA USD 634203.85000000 0.171917402000 Long DBT MUN US N 2 2029-02-15 Fixed 7.43000000 N N N N N N HEALTHEQUITY INC 529900LRJU1RAFQHM467 42226AAA5 645000.00000000 PA USD 636937.50000000 0.172658428731 Long DBT CORP US Y 2 2029-10-01 Fixed 4.50000000 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AK7 250000.00000000 PA USD 273524.90000000 0.074146018177 Long DBT CORP US N 2 2049-09-15 Fixed 3.88000000 N N N N N N ELO SACA 969500ASEC557H5A4F22 000000000 100000.00000000 PA 127575.66000000 0.034582691394 Long DBT CORP FR N 2 2027-07-23 Fixed 3.25000000 N N N N N N INTERFACE INC 549300VXZWQOIDFPU355 458665AS5 735000.00000000 PA USD 765318.75000000 0.207459496188 Long DBT CORP US Y 2 2028-12-01 Fixed 5.50000000 N N N N N N Starwood Commercial Mortgage Trust N/A 78486BAE4 190000.00000000 PA USD 189779.13000000 0.051444555222 Long ABS-CBDO CORP KY Y 2 2038-04-18 Floating 1.89000000 N N N N N N DANA INC KVWHW7YLZPFJM8QYNJ51 235825AG1 166000.00000000 PA USD 174715.00000000 0.047361032088 Long DBT CORP US N 2 2028-06-15 Fixed 5.63000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGM0 135000.00000000 PA USD 133622.51000000 0.036221846915 Long DBT CORP US Y 2 2032-03-15 Fixed 2.36000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AH0 1095000.00000000 PA USD 973761.60000000 0.263963336771 Long DBT CORP CA Y 2 2028-01-30 Fixed 5.00000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BH1 269000.00000000 PA USD 294155.84000000 0.079738569540 Long DBT CORP GB N 2 2026-11-23 Fixed 4.38000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBC1 1855000.00000000 PA USD 1967672.70000000 0.533388718108 Long DBT CORP US Y 2 2029-07-01 Fixed 5.50000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -4954.71000000 -0.00134310264 N/A DFE GB N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 191897.31000000 USD 140443.34000000 GBP 2022-01-14 -4954.71000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DL6 400000.00000000 PA USD 509140.00000000 0.138015601851 Long DBT CORP US N 2 2046-03-15 Fixed 6.60000000 N N N N N N WESTINGHOUSE AIR BRAKE 06BTX5UWZD0GQ5N5Y745 960386AM2 87000.00000000 PA USD 98973.11000000 0.026829228392 Long DBT CORP US N 2 2028-09-15 Fixed 4.95000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 000000000 100000.00000000 PA 130121.50000000 0.035272807354 Long DBT CORP DE N 2 2028-12-22 Fixed 1.88000000 N N N N N N ARETEC ESCROW ISSUER INC N/A 040133AA8 425000.00000000 PA USD 438812.50000000 0.118951508990 Long DBT CORP US Y 2 2029-04-01 Fixed 7.50000000 N N N N N N IND & COMM BK OF CHINA 5493002ERZU2K9PZDL40 000000000 359000.00000000 PA USD 394378.93000000 0.106906637430 Long DBT CORP CN N 2 2025-09-21 Fixed 4.88000000 N N N N N N Bank N/A 06542BBN6 1580604.70000000 PA USD 91129.61000000 0.024703044291 Long ABS-MBS CORP US N 2 2054-04-15 Variable 0.89000000 N N N N N N ADANI TRANSMISSION LTD 549300PLH866JQ6LXE52 00652XAB4 181000.00000000 PA USD 185741.08000000 0.050349937040 Long DBT CORP IN Y 2 2036-05-21 Fixed 4.25000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 101000.00000000 PA USD 113765.90000000 0.030839197781 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N GRIFFON CORPORATION 5493000C2SGNC7ZN3242 398433AP7 778000.00000000 PA USD 801826.25000000 0.217355800907 Long DBT CORP US N 2 2028-03-01 Fixed 5.75000000 N N N N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 000000000 358000.00000000 PA 528836.51000000 0.143354851728 Long DBT NUSS GB N 2 2037-09-07 Fixed 1.75000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 000000000 100000.00000000 PA 112444.94000000 0.030481117314 Long DBT CORP GB N 2 2029-11-17 Fixed 0.80000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 1244.29000000 0.000337297075 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 66625.39000000 GBP 89928.62000000 USD 2022-01-14 1244.29000000 N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAP5 880000.00000000 PA USD 862400.00000000 0.233775886861 Long DBT CORP N/A Y 2 2027-08-15 Fixed 5.25000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 000000000 100000.00000000 PA 132903.23000000 0.036026867416 Long DBT CORP FR N 2 2032-11-30 Fixed 2.50000000 N N N N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAC8 1270000.00000000 PA USD 1301750.00000000 0.352873099168 Long DBT CORP US Y 2 2027-11-15 Fixed 4.63000000 N N N N N N MGM GROWTH/MGM FINANCE N/A 55303XAL9 488000.00000000 PA USD 512400.00000000 0.138899309401 Long DBT CORP US Y 2 2029-02-15 Fixed 3.88000000 N N N N N N LCPR SR SECURED FIN DAC 549300LE5FM8IKMXSP90 50201DAD5 210000.00000000 PA USD 209166.30000000 0.056699950468 Long DBT CORP IE Y 2 2029-07-15 Fixed 5.13000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 9500000.00000000 PA 110699.56000000 0.030007986797 Long DBT NUSS JP N 2 2037-03-20 Fixed 2.40000000 N N N N N N CIMPRESS PLC 549300X1IFD75XISOR81 17186HAC6 740000.00000000 PA USD 764975.00000000 0.207366313836 Long DBT CORP IE Y 2 2026-06-15 Fixed 7.00000000 N N N N N N GYP HOLDINGS III CORP 549300055I1KJWZH9690 36261NAA5 855000.00000000 PA USD 839310.75000000 0.227516946815 Long DBT CORP US Y 2 2029-05-01 Fixed 4.63000000 N N N N N N WILLIAMS SCOTSMAN INTL 549300V3TCHCBOBTGH07 96950GAE2 777000.00000000 PA USD 790597.50000000 0.214311956996 Long DBT CORP US Y 2 2028-08-15 Fixed 4.63000000 N N N N N N GLOBAL AIR LEASE CO LTD N/A 37960JAA6 2073613.00000000 PA USD 2009704.25000000 0.544782459849 Long DBT CORP KY Y 2 2024-09-15 Fixed 6.50000000 N N Y N N N NOVELIS CORP 549300G5F3W3B52WYL23 670001AE6 630000.00000000 PA USD 636098.40000000 0.172430968914 Long DBT CORP US Y 2 2030-01-30 Fixed 4.75000000 N N N N N N EXPORT-IMPORT BK INDIA 335800OFZ8YEIVN1QI11 30216JAF2 300000.00000000 PA USD 279983.39000000 0.075896759396 Long DBT NUSS IN Y 2 2031-01-13 Fixed 2.25000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 539000.00000000 PA 542181.10000000 0.146972248947 Long DBT NUSS EG Y 2 2031-04-11 Fixed 6.38000000 N N N N N N PENNYMAC FIN SVCS INC 549300W1D516HBDEU871 70932MAC1 385000.00000000 PA USD 374143.00000000 0.101421163773 Long DBT CORP US Y 2 2031-09-15 Fixed 5.75000000 N N N N N N AI Candelaria Spain SLU 213800L5KA2MJ5FKRZ02 001355AA4 360000.00000000 PA USD 379389.60000000 0.102843390777 Long DBT CORP ES Y 2 2028-12-15 Fixed 7.50000000 N N N N N N SM Energy Co 84BUTVXV5ODI6BXNMH43 78454LAL4 330000.00000000 PA USD 326700.00000000 0.088560508160 Long DBT CORP US N 2 2025-06-01 Fixed 5.63000000 N N N N N N TASEKO MINES LTD 549300XKUO1JSLU7KX54 876511AF3 420000.00000000 PA USD 426300.00000000 0.115559671346 Long DBT CORP CA Y 2 2026-02-15 Fixed 7.00000000 N N N N N N WHITE CAP BUYER LLC N/A 96350RAA2 500000.00000000 PA USD 510000.00000000 0.138248727156 Long DBT CORP US Y 2 2028-10-15 Fixed 6.88000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -7756.03000000 -0.00210247308 N/A DFE TR N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 23443.31000000 USD 219000.00000000 TRY 2022-01-14 -7756.03000000 N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAC9 200000.00000000 PA USD 197000.00000000 0.053401959313 Long DBT CORP US N 2 2026-09-18 Fixed 4.38000000 N N N N N N COMPASS MINERALS INTERNA 2549008X9G8XP7YJGC47 20451NAG6 645000.00000000 PA USD 658706.25000000 0.178559413004 Long DBT CORP US Y 2 2027-12-01 Fixed 6.75000000 N N N N N N MGM China Holdings Ltd 529900VZFN87OS7WJM66 55300RAB7 345000.00000000 PA USD 347142.45000000 0.094101964420 Long DBT CORP KY Y 2 2026-05-15 Fixed 5.88000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55282XAE0 423500.00000000 PA USD 423245.35000000 0.114731629239 Long ABS-MBS CORP KY Y 2 2036-07-15 Floating 1.61000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CK6 137000.00000000 PA USD 134694.50000000 0.036512437607 Long DBT CORP US N 2 2028-10-15 Fixed 1.75000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEG9 181000.00000000 PA USD 173490.31000000 0.047029048100 Long DBT NUSS DO Y 2 2041-01-21 Fixed 5.30000000 N N N N N N MEDCO BELL PTE LTD 2549003PNDCWIWGKC768 58406LAA9 492000.00000000 PA USD 473796.00000000 0.128434693983 Long DBT CORP SG Y 2 2027-01-30 Fixed 6.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 10111.15000000 0.002740889446 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 600000.00000000 GBP 808764.60000000 USD 2022-01-14 10111.15000000 N N N MONG DUONG FIN HLDGS BV 549300995KGQFMWSV879 60935DAA3 280000.00000000 PA USD 270200.00000000 0.073244717799 Long DBT CORP NL Y 2 2029-05-07 Fixed 5.13000000 N N N N N N INGEVITY CORP 5493009UTFC4B5IMGF87 45688CAB3 813000.00000000 PA USD 778683.27000000 0.211082295951 Long DBT CORP US Y 2 2028-11-01 Fixed 3.88000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881EAE7 100000.00000000 PA USD 99437.10000000 0.026955004915 Long ABS-CBDO CORP KY Y 2 2036-05-15 Floating 1.69000000 N N N N N N PTC Inc 54930050SSMU8SKDJ030 69370CAC4 395000.00000000 PA USD 396975.00000000 0.107610369535 Long DBT CORP US Y 2 2028-02-15 Fixed 4.00000000 N N N N N N CHINA CONSTRUCTION BANK 5493001KQW6DM7KEDR62 000000000 960000.00000000 PA USD 1015868.09000000 0.275377392943 Long DBT CORP CN N 2 2029-02-27 Fixed 4.25000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163HAG3 6983814.33000000 PA USD 660580.84000000 0.179067569242 Long ABS-MBS CORP US N 2 2054-07-15 Variable 1.39000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402NP44 15353.59000000 PA USD 17024.29000000 0.004614875339 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.50000000 N N N N N N Par Pharmaceutical Inc 549300KK5WR4MGN4YT97 69888XAA7 380000.00000000 PA USD 383102.70000000 0.103849922833 Long DBT CORP US Y 2 2027-04-01 Fixed 7.50000000 N N N N N N COEUR MINING INC 5493003AVK173D48DR70 192108BC1 1110000.00000000 PA USD 1060272.00000000 0.287414224391 Long DBT CORP US Y 2 2029-02-15 Fixed 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8AF2 50674.39000000 PA USD 54636.28000000 0.014810580718 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N MF1 Ltd N/A 59319WAB7 428000.00000000 PA USD 433611.51000000 0.117541645760 Long ABS-CBDO CORP US Y 2 2035-07-15 Floating 3.01000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 929000.00000000 PA 1051683.01000000 0.285085955891 Long DBT NUSS CI N 2 2030-03-22 Fixed 5.25000000 N N N N N N PBF HOLDING CO LLC N/A 69318FAG3 465000.00000000 PA USD 310968.75000000 0.084296144848 Long DBT CORP US N 2 2025-06-15 Fixed 7.25000000 N N N N N N Regionalcare/Lifepoint N/A 53219LAR0 455000.00000000 PA USD 477181.25000000 0.129352353794 Long DBT CORP US Y 2 2026-12-01 Fixed 9.75000000 N N N N N N TERRAFORM GLOBAL OPERATI 549300LC7QMVR79H5O86 88104UAC7 430000.00000000 PA USD 438600.00000000 0.118893905354 Long DBT CORP US Y 2 2026-03-01 Fixed 6.13000000 N N N N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 000000000 100000.00000000 PA 156408.23000000 0.042398507282 Long DBT CORP GB N 2 2049-08-08 Fixed 3.38000000 N N N N N N GENM CAPITAL LABUAN 254900DWSHIWTSE0YG58 37231BAA6 298000.00000000 PA USD 293449.54000000 0.079547108607 Long DBT CORP MY Y 2 2031-04-19 Fixed 3.88000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FNX70 1888208.12000000 PA USD 140604.28000000 0.038114436750 Long ABS-MBS USGSE US N 2 2029-07-25 Variable 1.22000000 N N N N N N TAPESTRY INC 549300LJNVY5SW3VTN33 876030AA5 157000.00000000 PA USD 158692.38000000 0.043017685381 Long DBT CORP US N 2 2032-03-15 Fixed 3.05000000 N N N N N N AMSTED INDUSTRIES N2VLGYMEEBIU3PFSUY86 032177AH0 880000.00000000 PA USD 908600.00000000 0.246299595086 Long DBT CORP US Y 2 2027-07-01 Fixed 5.63000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -248.07000000 -0.00006724580 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 66578.40000000 USD 58388.38000000 EUR 2022-01-14 -248.07000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 4544.92000000 0.001232018441 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 200000.00000000 EUR 231748.80000000 USD 2022-01-14 4544.92000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 11289.56000000 0.003060328039 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 557000.00000000 GBP 752706.18000000 USD 2022-01-14 11289.56000000 N N N HARTFORD FINL SVCS GRP IU7C3FTM7Y3BQM112U94 416515BF0 102000.00000000 PA USD 113140.86000000 0.030669764479 Long DBT CORP US N 2 2049-08-19 Fixed 3.60000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -264.00000000 NC USD -473265.94000000 -0.12829100747 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year US Treasury Note TYH2 COMDTY 2022-03-22 -34061234.06000000 USD -473265.94000000 N N N CENOVUS ENERGY INC 549300NKHFE6ZRF37I48 15135UAW9 91000.00000000 PA USD 87787.41000000 0.023797054299 Long DBT CORP CA N 2 2032-01-15 Fixed 2.65000000 N N N N N N GOVT OF BERMUDA 549300FP5PUZXX9FVJ40 085209AG9 200000.00000000 PA USD 196750.00000000 0.053334190329 Long DBT NUSS BM Y 2 2030-08-20 Fixed 2.38000000 N N N N N N GO DADDY OPCO/FINCO N/A 38016LAC9 1631000.00000000 PA USD 1551211.48000000 0.420496103255 Long DBT CORP US Y 2 2029-03-01 Fixed 3.50000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 1265000.00000000 PA USD 1072467.00000000 0.290719995425 Long DBT NUSS EG N 2 2047-01-31 Fixed 8.50000000 N N N N N N Bombardier Inc W7L3VLU8EHQY34Z36697 097751BM2 503000.00000000 PA USD 512662.63000000 0.138970502074 Long DBT CORP CA Y 2 2025-03-15 Fixed 7.50000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -19716.52000000 -0.00534467410 N/A DFE AU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 2150175.73000000 USD 2987000.00000000 AUD 2022-01-14 -19716.52000000 N N N TEREX CORP YAWJZJYEQ7M1SYMOS462 880779BA0 665000.00000000 PA USD 677468.75000000 0.183645475246 Long DBT CORP US Y 2 2029-05-15 Fixed 5.00000000 N N N N N N Greif Inc 54930070FVGKR0Z1FI24 397624AH0 590000.00000000 PA USD 612833.00000000 0.166124278841 Long DBT CORP US Y 2 2027-03-01 Fixed 6.50000000 N N N N N N 2021-12-16 MFS CHARTER INCOME TRUST Kasey Phillips Kasey Phillips Assistant Treasurer