0001752724-20-212093.txt : 20201022
0001752724-20-212093.hdr.sgml : 20201022
20201022133853
ACCESSION NUMBER: 0001752724-20-212093
CONFORMED SUBMISSION TYPE: NPORT-P/A
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191031
FILED AS OF DATE: 20201022
PERIOD START: 20200430
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FRANKLIN STRATEGIC SERIES
CENTRAL INDEX KEY: 0000872625
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0430
FILING VALUES:
FORM TYPE: NPORT-P/A
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06243
FILM NUMBER: 201253764
BUSINESS ADDRESS:
STREET 1: ONE FRANKLIN PARKWAY
CITY: SAN MATEO
STATE: CA
ZIP: 94403-1906
BUSINESS PHONE: 650-570-3000
MAIL ADDRESS:
STREET 1: ONE FRANKLIN PARKWAY
CITY: SAN MATEO
STATE: CA
ZIP: 94403-1906
FORMER COMPANY:
FORMER CONFORMED NAME: FRANKLIN CALIFORNIA 250 GROWTH FUND
DATE OF NAME CHANGE: 19911216
FORMER COMPANY:
FORMER CONFORMED NAME: FRANKLIN CALIFORNIA 250 GROWTH INDEX FUND
DATE OF NAME CHANGE: 19910917
0000872625
S000050257
Franklin Flexible Alpha Bond Fund
C000158680
Advisor Class
FZBAX
C000158681
Class A
FABFX
C000158682
Class C
FABDX
C000158683
Class R
FABMX
C000158684
Class R6
FABNX
NPORT-P/A
1
primary_doc.xml
NPORT-P/A
false
0001752724-19-204365
0000872625
XXXXXXXX
S000050257
C000158682
C000158680
C000158684
C000158683
C000158681
Franklin Strategic Series
811-06243
0000872625
549300NDWC0J6DXVSX36
One Franklin Parkway
San Mateo
94403-1906
650-312-2000
Franklin Flexible Alpha Bond Fund
S000050257
549300H71J2UJV8EDX53
2020-04-30
2019-10-31
N
453169385.73
47436993.66
405732392.07
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
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0.00000000
0.00000000
2156703.51000000
NOK
CNY
IDR
COP
EUR
ZAR
AUD
DKK
MXN
TRY
KRW
JPY
USD
DOP
GBP
UYU
SEK
CAD
N
Carlyle US Clo 2017-2 Ltd FRN 07/20/2031 17-A2 B 144A
549300VC6J79YJCFU884
Carlyle US Clo 2017-2 Ltd FRN 07/20/2031 17-A2 B 144A
14315JAG4
60000.00000000
PA
USD
58557.00000000
0.014432419285
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
4.36588000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust FRN 03/15/2050 2017-C5 XA IO
N/A
JPMDB Commercial Mortgage Securities Trust FRN 03/15/2050 2017-C5 XA IO
46590TAG0
188645.45000000
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USD
10549.75000000
0.002600174451
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ABS-CBDO
CORP
US
N
2
2050-03-15
Variable
0.93950300
N
N
N
N
N
N
N/A
N/A
CITIBANK NA CCS RV USD 3M+ 1.25% PY EUR 1.1% 10/30/21
000000000
5550000.00000000
NC
USD
-26824.47000000
-0.00661137008
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-10-30
0.00000000
USD
0.00000000
USD
5550000.00000000
USD
-26824.47000000
N
N
N
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912828XL9
1298243.07600000
PA
USD
1318081.55000000
0.324864757106
Long
DBT
NUSS
US
N
2
2025-07-15
Fixed
0.37500000
N
N
N
N
N
N
EXPORT-IMPORT BANK OF KOREA 2.875% 01/21/2025
549300APVP4R32PI3Y06
EXPORT-IMPORT BANK OF KOREA 2.875% 01/21/2025
302154BT5
2000000.00000000
PA
USD
2076130.00000000
0.511699346805
Long
DBT
NUSS
KR
N
2
2025-01-21
Fixed
2.87500000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 10/25/2029 2017-DNA2 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 10/25/2029 2017-DNA2 M2
3137G0NX3
3000000.00000000
PA
USD
3188890.80000000
0.785959135214
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Floating
5.27275000
N
N
N
N
N
N
URUGUAY REPUBLIC OF 3.70% 06/26/2037 INDEX LINKED
549300RDR012H2V82H43
URUGUAY REPUBLIC OF 3.70% 06/26/2037 INDEX LINKED
760942AV4
22279354.11000000
PA
594576.73000000
0.146544062446
Long
DBT
NUSS
UY
N
2
2037-06-26
Fixed
3.70000000
N
N
N
N
N
N
MAXIM INTEGRATED PRODUCTS INC 3.45% 06/15/2027
SO0H5YEO14Y4PVKQH532
MAXIM INTEGRATED PRODUCTS INC 3.45% 06/15/2027
57772KAD3
800000.00000000
PA
USD
823786.09000000
0.203036806057
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.45000000
N
N
N
N
N
N
DUKE ENERGY INDIANA INC 3.75% 07/15/2020
6URPHM2EAWGJ2C6ISB97
DUKE ENERGY INDIANA INC 3.75% 07/15/2020
263901AC4
100000.00000000
PA
USD
101375.77000000
0.024985870485
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
3.75000000
N
N
N
N
N
N
THREE GORGES FINANCE I CAYMAN ISLANDS LTD 3.70% 06/10/2025 144A
549300FD0MPTWEITI779
THREE GORGES FINANCE I CAYMAN ISLANDS LTD 3.70% 06/10/2025 144A
88556LAA4
2100000.00000000
PA
USD
2228100.00000000
0.549155069584
Long
DBT
CORP
KY
N
2
2025-06-10
Fixed
3.70000000
N
N
N
N
N
N
DISCOVER CARD EXECUTION NOTE TRUST 1.89% 10/15/2024 A3 A
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NOTE TRUST 1.89% 10/15/2024 A3 A
254683CM5
1520000.00000000
PA
USD
1523077.39000000
0.375389645926
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
1.89000000
N
N
N
N
N
N
Sound Point Euro CLO II Funding DAC FRN 10/26/2032 2A A 144A
6354002JD5KEK1NGKT05
Sound Point Euro CLO II Funding DAC FRN 10/26/2032 2A A 144A
BCC2KHCV5
1600000.00000000
PA
1788841.89000000
0.440892057169
Long
ABS-CBDO
CORP
IE
N
2
2032-10-26
Floating
1.11000000
N
N
N
N
N
N
Madison Park Funding XXXI Ltd FRN 01/23/2031 144A 31A A2A
N/A
Madison Park Funding XXXI Ltd FRN 01/23/2031 144A 31A A2A
55819DAE6
750000.00000000
PA
USD
744900.00000000
0.183593919183
Long
ABS-CBDO
CORP
KY
N
2
2031-01-23
Floating
3.43400000
N
N
N
N
N
N
ELEVEN MADISON TRUST MORTGAGE TRUST FRN 09/10/2035 144A 2015-11MD A
N/A
ELEVEN MADISON TRUST MORTGAGE TRUST FRN 09/10/2035 144A 2015-11MD A
556227AA4
2005000.00000000
PA
USD
2146360.32000000
0.529008864451
Long
ABS-CBDO
CORP
US
N
2
2035-09-10
Variable
3.55480000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200130
000000000
1.00000000
NC
USD
30131.35000000
0.007426409768
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
4452361.82000000
EUR
5027762.80000000
USD
2020-01-30
30131.35000000
N
N
N
N/A
N/A
ALLY FINANCIAL INC 5.00% 12/20/2024 CDS
000000000
-2600000.00000000
NC
USD
-534959.71000000
-0.13185038228
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2024-12-20
0.00000000
USD
0.00000000
USD
-2600000.00000000
USD
-35485.55000000
N
N
N
N/A
N/A
USD_CNH_20200224
000000000
1.00000000
NC
USD
-12372.84000000
-0.00304950756
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
21300000.00000000
CNY
3000338.07000000
USD
2020-02-24
-12372.84000000
N
N
N
CENTURYLINK INC 6.45% 06/15/2021
8M3THTGWLTYZVE6BBY25
CENTURYLINK INC 6.45% 06/15/2021
156700AR7
4700000.00000000
PA
USD
4958500.00000000
1.222110952172
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
6.45000000
N
N
N
N
N
N
AMERICAN TOWER CORP 3.375% 10/15/2026
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 3.375% 10/15/2026
03027XAK6
700000.00000000
PA
USD
728957.47000000
0.179664597712
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.37500000
N
N
N
N
N
N
EXPORT-IMPORT BANK OF INDIA 3.875% 02/01/2028 144A
335800OFZ8YEIVN1QI11
EXPORT-IMPORT BANK OF INDIA 3.875% 02/01/2028 144A
30216JAC9
3400000.00000000
PA
USD
3623623.10000000
0.893106680862
Long
DBT
NUSS
IN
N
2
2028-02-01
Fixed
3.87500000
N
N
N
N
N
N
N/A
N/A
USD_KRW_20191121
000000000
1.00000000
NC
USD
-29069.54000000
-0.00716470771
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1000000000.00000000
KRW
825941.16000000
USD
2019-11-21
-29069.54000000
N
N
N
N/A
N/A
AMERICAN AIRLINES GROUP INC 5.00% 12/20/2019 CDS
000000000
-400000.00000000
NC
USD
-4916.44000000
-0.00121174451
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2019-12-20
0.00000000
USD
0.00000000
USD
-400000.00000000
USD
-2632.73000000
N
N
N
N/A
N/A
RUSSIAN FOREIGN BOND - EUROBOND 1.00% 12/20/2024 CDS
000000000
620000.00000000
NC
USD
7920.62000000
0.001952178370
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2024-12-20
0.00000000
USD
0.00000000
USD
620000.00000000
USD
1603.18000000
N
N
N
DEUTSCHE BANK AG FRN 08/20/2020
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG FRN 08/20/2020
25152R2V4
100000.00000000
PA
USD
100244.00000000
0.024706925539
Long
DBT
CORP
DE
N
2
2020-08-20
Floating
3.44588000
N
N
N
N
N
N
BLUEMOUNTAIN CLO LTD FRN 11/20/2028 144A 2A BR2
549300WSX4P5CXVKVR97
BLUEMOUNTAIN CLO LTD FRN 11/20/2028 144A 2A BR2
09626RAY1
918083.00000000
PA
USD
913712.92000000
0.225200880644
Long
ABS-CBDO
CORP
KY
N
2
2028-11-20
Floating
3.58588000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT 3.678% 12/17/2036 2014-SFR3 A 144A
N/A
AMERICAN HOMES 4 RENT 3.678% 12/17/2036 2014-SFR3 A 144A
02665XAA7
740115.02700000
PA
USD
779827.23000000
0.192202359299
Long
ABS-CBDO
CORP
US
N
2
2036-12-17
Fixed
3.67800000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2030 2017-C06 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2030 2017-C06 1M2
30711XQX5
390000.00000000
PA
USD
398604.73000000
0.098243260284
Long
ABS-CBDO
CORP
US
N
2
2030-02-25
Floating
4.47275000
N
N
N
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Dec19 Dec 19 Future
000000000
-302.00000000
NC
USD
275406.25000000
0.067878792865
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Short
US 5YR NOTE (CBT) Dec19 Dec 19 Future
US 5YR NOTE (CBT) Dec19 Dec 19 Future
2019-12-31
-36274750.00000000
USD
275022.71000000
N
N
N
N/A
N/A
JPMORGAN CHASE BANK NA IRS PAY FIXED 3.0815% 09/28/25 USD
000000000
-8000000.00000000
NC
USD
-725183.04000000
-0.17873432197
N/A
DIR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2025-09-28
0.00000000
USD
0.00000000
USD
-8000000.00000000
USD
-725309.70000000
N
N
N
BANK OF NOVA SCOTIA/THE 1.875% 04/26/2022
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 1.875% 04/26/2022
06416CAC2
100000.00000000
PA
USD
100002.47000000
0.024647396154
Long
DBT
CORP
CA
N
2
2021-04-26
Fixed
1.87500000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2024 2014-C03 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2024 2014-C03 2M2
30711XAM6
2193738.89000000
PA
USD
2281535.61000000
0.562325230765
Long
ABS-CBDO
CORP
US
N
2
2024-07-25
Floating
4.72275000
N
N
N
N
N
N
BURNHAM PARK CLO LTD FRN 10/20/2029 144A 16-1A DR
549300BOEG5O4MSO7220
BURNHAM PARK CLO LTD FRN 10/20/2029 144A 16-1A DR
12232KAN0
2000000.00000000
PA
USD
1913160.00000000
0.471532477414
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
4.81588000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 10/25/2024 2014-DN4 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 10/25/2024 2014-DN4 M3
3137G0CU1
1414596.78300000
PA
USD
1517402.32000000
0.373990923489
Long
ABS-CBDO
CORP
US
N
2
2024-10-25
Floating
6.37275000
N
N
N
N
N
N
N/A
N/A
NABORS INDUSTRIES INC 1.00% 12/20/2021 CDS
000000000
-245000.00000000
NC
USD
29340.10000000
0.007231392063
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
-9009.99000000
USD
0.00000000
USD
-245000.00000000
USD
22917.44000000
N
N
N
N/A
N/A
JPMORGAN CHASE BANK NA IRS PAY FIXED 2.788% 03/26/23 USD
000000000
-7900000.00000000
NC
USD
-343544.26000000
-0.08467262331
N/A
DIR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2023-03-26
0.00000000
USD
0.00000000
USD
-7900000.00000000
USD
-343646.29000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 09/25/2028 C02 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 09/25/2028 C02 1M2
30711XCB8
216868.42000000
PA
USD
236716.48000000
0.058343007515
Long
ABS-CBDO
CORP
US
N
2
2028-09-25
Floating
7.82275000
N
N
N
N
N
N
N/A
N/A
US ULTRA BOND CBT Dec19 Dec 19 Future
000000000
-4.00000000
NC
USD
-21125.00000000
-0.00520663383
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Short
US ULTRA BOND CBT Dec19 Dec 19 Future
US ULTRA BOND CBT Dec19 Dec 19 Future
2019-12-19
-737875.00000000
USD
-21130.88000000
N
N
N
N/A
N/A
NABORS INDUSTRIES INC 1.00% 12/20/2021 CDS
000000000
-320000.00000000
NC
USD
38321.77000000
0.009445085171
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
-18290.75000000
USD
0.00000000
USD
-320000.00000000
USD
25241.33000000
N
N
N
HSBC HOLDINGS PLC FRN 03/13/2023 FIXED TO FLOAT
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC FRN 03/13/2023 FIXED TO FLOAT
404280BJ7
1400000.00000000
PA
USD
1431444.00000000
0.352804959125
Long
DBT
CORP
GB
N
2
2023-03-13
Variable
3.26200000
N
N
N
N
N
N
N/A
N/A
AMERICAN AIRLINES GROUP INC 5.00% 12/20/2019 CDS
000000000
-130000.00000000
NC
USD
-1597.85000000
-0.00039381869
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2019-12-20
0.00000000
USD
0.00000000
USD
-130000.00000000
USD
-865.01000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2024 2014-C02 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2024 2014-C02 1M2
30711XAF1
1724539.53000000
PA
USD
1794221.62000000
0.442217987784
Long
ABS-CBDO
CORP
US
N
2
2024-05-25
Floating
4.42275000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2024 2014-C03 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2024 2014-C03 1M2
30711XAK0
1148764.57900000
PA
USD
1207174.66000000
0.297529771739
Long
ABS-CBDO
CORP
US
N
2
2024-07-25
Floating
4.82275000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
105000.00000000
NC
USD
-62368.36000000
-0.01537179708
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
60270.00000000
USD
105000.00000000
USD
-3567.51000000
N
N
N
DEXIA CREDIT LOCAL SA 2.375% 09/20/2022 144A
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA 2.375% 09/20/2022 144A
25214BAT1
250000.00000000
PA
USD
253711.25000000
0.062531672343
Long
DBT
CORP
FR
N
2
2022-09-20
Fixed
2.37500000
N
N
N
N
N
N
Spain Government Bond 1.45% 04/30/2029 144A REG S
9598007A56S18711AH60
Spain Government Bond 1.45% 04/30/2029 144A REG S
000000000
1800000.00000000
PA
2241508.86000000
0.552459922798
Long
DBT
NUSS
ES
N
2
2029-04-30
Fixed
1.45000000
N
N
N
N
N
N
Radnor RE 2018-1 Ltd FRN 03/25/2028 2018-1 M1 144A
549300ED4YNDE7SVU538
Radnor RE 2018-1 Ltd FRN 03/25/2028 2018-1 M1 144A
750496AA9
395198.26000000
PA
USD
395286.23000000
0.097425356645
Long
ABS-CBDO
CORP
BM
N
2
2028-03-25
Floating
3.22275000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE LIMA MEZZANINE TRANCHE 5-7% IND 2.13% 12/20/2019 CDX
000000000
650000.00000000
NC
USD
15.22000000
0.000003751241
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE LIMA MEZZANINE TRANCHE 5-7% INDEX
Y
2019-12-20
0.00000000
USD
0.00000000
USD
650000.00000000
USD
15.22000000
N
N
N
DBCG 2017-BBG Mortgage Trust FRN 6/15/2034 2017-BBG A 144A
N/A
DBCG 2017-BBG Mortgage Trust FRN 6/15/2034 2017-BBG A 144A
233062AA6
1500000.00000000
PA
USD
1498918.95000000
0.369435366585
Long
ABS-CBDO
CORP
US
N
2
2034-06-15
Floating
2.61350000
N
N
N
N
N
N
N/A
N/A
MORGAN STANLEY BESPOKE PECAN 12/20/21 5-10% MEZZ 3.98% 12/20/2021 CDX
000000000
800000.00000000
NC
USD
20136.38000000
0.004962970764
N/A
DCR
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
N/A
N/A
MORGAN STANLEY BESPOKE PECAN 12/20/21 5-10% MEZZ T
Y
2021-12-20
0.00000000
USD
0.00000000
USD
800000.00000000
USD
20136.38000000
N
N
N
CITIGROUP INC 2.65% 10/26/2020
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.65% 10/26/2020
172967KB6
1050000.00000000
PA
USD
1057469.68000000
0.260632303623
Long
DBT
CORP
US
N
2
2020-10-26
Fixed
2.65000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/27/2025 2015-C02 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/27/2025 2015-C02 2M2
30711XAZ7
112563.52400000
PA
USD
117120.70000000
0.028866489905
Long
ABS-CBDO
CORP
US
N
2
2025-05-25
Floating
5.82275000
N
N
N
N
N
N
SINOPEC GROUP OVERSEAS DEVELOPMENT 2015 LTD 3.25% 04/28/2025 144A
5299002Z28NLP3WPFH36
SINOPEC GROUP OVERSEAS DEVELOPMENT 2015 LTD 3.25% 04/28/2025 144A
82938BAC4
1000000.00000000
PA
USD
1035225.00000000
0.255149704641
Long
DBT
CORP
VG
N
2
2025-04-28
Fixed
3.25000000
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS XXIII LTD FRN 07/15/2027 2015-1A BR 144A
549300EY2ULL20U3RR38
OCTAGON INVESTMENT PARTNERS XXIII LTD FRN 07/15/2027 2015-1A BR 144A
67590WCJ1
1200000.00000000
PA
USD
1179936.00000000
0.290816317124
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
3.20088000
N
N
N
N
N
N
Spain Government Bond 2.7% 10/31/2048 144A REG S
9598007A56S18711AH60
Spain Government Bond 2.7% 10/31/2048 144A REG S
000000000
1850000.00000000
PA
2869087.64000000
0.707137930339
Long
DBT
NUSS
ES
N
2
2048-10-31
Fixed
2.70000000
N
N
N
N
N
N
PROVIDENCE & SAINT JOSEPH HEALTH
N/A
PROVIDENCE & SAINT JOSEPH HEALTH
743756AB4
15000.00000000
PA
USD
15367.28000000
0.003787540827
Long
DBT
MUN
US
N
2
2026-10-01
Fixed
2.74600000
N
N
N
N
N
N
VOYA CLO LTD FRN 04/25/2031 2013-2A A1R 144A
5493007ASGBOUR3XJY69
VOYA CLO LTD FRN 04/25/2031 2013-2A A1R 144A
92916WAA7
7300000.00000000
PA
USD
7227876.00000000
1.781439229715
Long
ABS-CBDO
CORP
US
N
2
2031-04-25
Floating
2.90963000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200316
000000000
1.00000000
NC
USD
-25187.06000000
-0.00620780112
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1650000.00000000
EUR
1831986.75000000
USD
2020-03-16
-25187.06000000
N
N
N
U S TREASURY NOTE/BOND I/L 0.25% 01/15/2025 INDEX LINKED TO CPURNSA
254900HROIFWPRGM1V77
U S TREASURY NOTE/BOND I/L 0.25% 01/15/2025 INDEX LINKED TO CPURNSA
912828H45
1451477.44000000
PA
USD
1456607.77000000
0.359007020013
Long
DBT
NUSS
US
N
2
2025-01-15
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL TRS PAY IBOXX USD LIQUI RCV US0003M 12/20/19
000000000
-1400000.00000000
NC
USD
2006.90000000
0.000494636375
N/A
DCR
CORP
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2019-12-20
-2347.52000000
USD
0.00000000
USD
-1400000.00000000
USD
2006.90000000
N
N
N
N/A
N/A
NAVIENT CORP 5.00% 03/20/2020 CDS
000000000
-50000.00000000
NC
USD
-1200.49000000
-0.00029588221
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2020-03-20
0.00000000
USD
0.00000000
USD
-50000.00000000
USD
-490.10000000
N
N
N
N/A
N/A
GOLDMAN SACHS GROUP INC/THE 1.00% 12/20/2024 CDS
000000000
2600000.00000000
NC
USD
52113.04000000
0.012844190165
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2024-12-20
0.00000000
USD
0.00000000
USD
2600000.00000000
USD
6081.94000000
N
N
N
OCEANEERING INTERNATIONAL INC 4.65% 11/15/2024
549300L6PH74701W0R30
OCEANEERING INTERNATIONAL INC 4.65% 11/15/2024
675232AA0
50000.00000000
PA
USD
46750.00000000
0.011522373099
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
4.65000000
N
N
N
N
N
N
REPUBLIC OF IRAQ 5.80% 01/15/2028 144A
N/A
REPUBLIC OF IRAQ 5.80% 01/15/2028 144A
462652AA6
1600000.00000000
PA
USD
1539144.00000000
0.379349549131
Long
ABS-O
USGA
IQ
N
2
2028-01-15
Fixed
5.80000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 07/25/2028 2016-DNA1 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 07/25/2028 2016-DNA1 M3
3137G0HW2
1550000.00000000
PA
USD
1710575.04000000
0.421601793061
Long
ABS-CBDO
CORP
US
N
2
2028-07-25
Floating
7.37275000
N
N
N
N
N
N
KAZAKHSTAN TEMIR ZHOLY FINANCE BV 6.95% 07/10/2042 144A
N/A
KAZAKHSTAN TEMIR ZHOLY FINANCE BV 6.95% 07/10/2042 144A
48667DAD6
1000000.00000000
PA
USD
1353300.00000000
0.333544973595
Long
DBT
CORP
NL
N
2
2042-07-10
Fixed
6.95000000
N
N
N
N
N
N
Adagio CLO VIII DAC FRN 04/15/2032 144A VIII-A B1
635400GXSZ7DMJYBSH11
Adagio CLO VIII DAC FRN 04/15/2032 144A VIII-A B1
BCC2L5Q03
500000.00000000
PA
557650.03000000
0.137442817211
Long
ABS-CBDO
CORP
IE
N
2
2032-04-15
Floating
1.65000000
N
N
N
N
N
N
ALLERGAN FUNDING SCS 3.80% 03/15/2025
222100FLFVOSKCBCAR54
ALLERGAN FUNDING SCS 3.80% 03/15/2025
00507UAS0
600000.00000000
PA
USD
630027.60000000
0.155281562999
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
Euro-Galaxy III CLO BV FRN 01/17/2031 144A 3A B2ER
54930052RIHGMJKS7M10
Euro-Galaxy III CLO BV FRN 01/17/2031 144A 3A B2ER
000000000
250000.00000000
PA
278335.37000000
0.068600726843
Long
ABS-CBDO
CORP
NL
N
2
2031-01-17
Floating
1.50000000
N
N
N
N
N
N
N/A
N/A
USD_GBP_20191113
000000000
1.00000000
NC
USD
-7307.26000000
-0.00180100483
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
86300.00000000
GBP
104535.19000000
USD
2019-11-13
-7307.26000000
N
N
N
AMMC CLO 21 LTD FRN 11/02/2030 2017-21A C 144A
549300DYK366J47FIO80
AMMC CLO 21 LTD FRN 11/02/2030 2017-21A C 144A
00178LAD1
400000.00000000
PA
USD
382676.00000000
0.094317340069
Long
ABS-CBDO
CORP
KY
N
2
2030-11-02
Floating
4.36563000
N
N
N
N
N
N
STATE GRID OVERSEAS INVESTMENT 2016 LTD 3.50% 05/04/2027 144A
3003006V8BHG5158QO96
STATE GRID OVERSEAS INVESTMENT 2016 LTD 3.50% 05/04/2027 144A
857006AG5
3500000.00000000
PA
USD
3702195.00000000
0.912472129994
Long
DBT
CORP
VG
N
2
2027-05-04
Fixed
3.50000000
N
N
N
N
N
N
TCI-Flatiron Clo 2017-1 Ltd FRN 11/17/2030 2017-1A A 144A
N/A
TCI-Flatiron Clo 2017-1 Ltd FRN 11/17/2030 2017-1A A 144A
87231BAC7
2000000.00000000
PA
USD
1995860.00000000
0.491915370576
Long
ABS-CBDO
CORP
KY
N
2
2030-11-18
Floating
3.32375000
N
N
N
N
N
N
FREMF 2018-K72 Mortgage Trust 3.9916% 12/25/2050 2018-K72 B 144A
N/A
FREMF 2018-K72 Mortgage Trust 3.9916% 12/25/2050 2018-K72 B 144A
30307TAG8
450000.00000000
PA
USD
485396.64000000
0.119634677804
Long
ABS-CBDO
CORP
US
N
2
2050-12-25
Variable
3.99152700
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 09/25/2029 2017-C02 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 09/25/2029 2017-C02 2M2
30711XGP3
3060000.00000000
PA
USD
3211871.47000000
0.791623132087
Long
ABS-CBDO
CORP
US
N
2
2029-09-25
Floating
5.47275000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 7/25/2025 2015-C03 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 7/25/2025 2015-C03 1M2
30711XBB9
2336814.21900000
PA
USD
2524556.21000000
0.622222001334
Long
ABS-CBDO
CORP
US
N
2
2025-07-25
Floating
6.82275000
N
N
N
N
N
N
CHINA CONSTRUCTION BANK CORP/HONG KONG 2.75% 12/04/2020 REG S
5493001KQW6DM7KEDR62
CHINA CONSTRUCTION BANK CORP/HONG KONG 2.75% 12/04/2020 REG S
000000000
1000000.00000000
PA
USD
1003955.00000000
0.247442654227
Long
DBT
CORP
CN
N
2
2020-12-04
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
ITALY GOVERNMENT INTERNATIONAL BOND 1.00% 06/20/2023 CDS
000000000
700000.00000000
NC
USD
3553.40000000
0.000875798942
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2023-06-20
0.00000000
USD
32267.60000000
USD
700000.00000000
USD
27871.99000000
N
N
N
N/A
N/A
CITIBANK NA IRS PAY FIXED 2.806% 04/17/23 USD
000000000
-5800000.00000000
NC
USD
-258534.05000000
-0.06372033760
N/A
DIR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2023-04-17
0.00000000
USD
0.00000000
USD
-5800000.00000000
USD
-258637.89000000
N
N
N
Towd Point Mortgage Trust FRN 07/25/2056 2016-4 A1 144A
N/A
Towd Point Mortgage Trust FRN 07/25/2056 2016-4 A1 144A
89172UAA6
930847.74500000
PA
USD
931595.22000000
0.229608293103
Long
ABS-CBDO
CORP
US
N
2
2056-07-25
Variable
2.25000000
N
N
N
N
N
N
N/A
N/A
CREDIT SUISSE INTERNATIONAL IRS PAY FIXED 2.7125% 03/29/23 USD
000000000
-4700000.00000000
NC
USD
-190715.16000000
-0.04700515998
N/A
DIR
CORP
N/A
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
Y
2023-03-29
0.00000000
USD
0.00000000
USD
-4700000.00000000
USD
-190817.44000000
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 08/25/2029 HQA1 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 08/25/2029 HQA1 M2
3137G0NE5
2350000.00000000
PA
USD
2463930.35000000
0.607279674523
Long
ABS-CBDO
CORP
US
N
2
2029-08-25
Floating
5.37275000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2018-1 FRN 01/25/2058 2018-1 A1 144A
N/A
TOWD POINT MORTGAGE TRUST 2018-1 FRN 01/25/2058 2018-1 A1 144A
89176EAA8
508383.42200000
PA
USD
517449.73000000
0.127534734744
Long
ABS-CBDO
CORP
US
N
2
2058-01-25
Variable
3.00000000
N
N
N
N
N
N
N/A
N/A
BNP PARIBAS BESPOKE RODEZ 12/20/20 5-7% TRANCH 2.00% 12/20/2020 CDX
000000000
500000.00000000
NC
USD
4147.59000000
0.001022247688
N/A
DCR
N/A
N
2
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
N/A
N/A
BNP PARIBAS BESPOKE RODEZ 12/20/20 5-7% TRANCHE
Y
2020-12-20
0.00000000
USD
0.00000000
USD
500000.00000000
USD
4147.59000000
N
N
N
N/A
N/A
MCDX.NA.30 1.00% 06/20/2028 MCDX
000000000
2000000.00000000
NC
USD
48421.18000000
0.011934265280
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
MCDX.NA.30 1.00% 06/20/2028 MCDX
MCDNA530
Y
2028-06-20
0.00000000
USD
0.00000000
USD
2000000.00000000
USD
30992.86000000
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 04/25/2028 2015-DNA3 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 04/25/2028 2015-DNA3 M2
3137G0GT0
256760.70000000
PA
USD
259600.52000000
0.063983188198
Long
ABS-CBDO
CORP
US
N
2
2028-04-25
Floating
4.67275000
N
N
N
N
N
N
Ares European CLO VIII BV FRN 04/17/2032 8A BR 144a
5493006IQ0ZKC87HH708
Ares European CLO VIII BV FRN 04/17/2032 8A BR 144a
000000000
700000.00000000
PA
780710.04000000
0.192419943602
Long
ABS-CBDO
CORP
NL
N
2
2032-04-17
Floating
1.60000000
N
N
N
N
N
N
Madison Park Funding XXVI Ltd FRN 07/29/2030 07-4A AR 144A
549300FNRP3W5DX0O430
Madison Park Funding XXVI Ltd FRN 07/29/2030 07-4A AR 144A
55819YAA8
2500000.00000000
PA
USD
2495525.00000000
0.615066740732
Long
ABS-CBDO
CORP
KY
N
2
2030-07-29
Floating
3.12813000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 3.5% 10/01/2049 SF2
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 3.5% 10/01/2049 SF2
21H0326B1
15680000.00000000
PA
USD
16271675.08000000
4.010445159920
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
Progress Residential 2018-SFR2 Trust 3.712% 08/17/2035 144A SFR2 A
N/A
Progress Residential 2018-SFR2 Trust 3.712% 08/17/2035 144A SFR2 A
74332UAA5
290000.00000000
PA
USD
296535.79000000
0.073086545663
Long
ABS-CBDO
CORP
US
N
2
2035-08-17
Fixed
3.71200000
N
N
N
N
N
N
Ellington Clo III Ltd FRN 07/20/2030 2018-3A A1 144A
N/A
Ellington Clo III Ltd FRN 07/20/2030 2018-3A A1 144A
28852LAA1
500000.00000000
PA
USD
497625.00000000
0.122648575693
Long
ABS-CBDO
CORP
US
N
2
2030-07-20
Floating
3.61588000
N
N
N
N
N
N
N/A
N/A
NABORS INDUSTRIES INC 1.00% 12/20/2023 CDS
000000000
320000.00000000
NC
USD
-80510.58000000
-0.01984327146
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2023-12-20
0.00000000
USD
55139.90000000
USD
320000.00000000
USD
-35147.17000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 5/25/2030 2017-C07 1M1
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 5/25/2030 2017-C07 1M1
30711XUS1
949453.92200000
PA
USD
949999.67000000
0.234144398763
Long
ABS-CBDO
CORP
US
N
2
2030-05-25
Floating
2.47275000
N
N
N
N
N
N
JACKSON NATIONAL LIFE GLOBAL FUNDING 2.25% 04/29/2021 144A
635400PQXLYXWJI5QD78
JACKSON NATIONAL LIFE GLOBAL FUNDING 2.25% 04/29/2021 144A
46849LSP7
50000.00000000
PA
USD
50278.89000000
0.012392131114
Long
DBT
CORP
US
N
2
2021-04-29
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
NABORS INDUSTRIES INC 1.00% 12/20/2023 CDS
000000000
245000.00000000
NC
USD
-61640.91000000
-0.01519250402
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2023-12-20
0.00000000
USD
34208.06000000
USD
245000.00000000
USD
-33680.25000000
N
N
N
N/A
N/A
USD_CNH_20200224
000000000
1.00000000
NC
USD
-2581.68000000
-0.00063630118
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1000000.00000000
CNY
138860.15000000
USD
2020-02-24
-2581.68000000
N
N
N
Dryden 64 CLO Ltd FRN 04/18/2031 2018-64A C 144A
N/A
Dryden 64 CLO Ltd FRN 04/18/2031 2018-64A C 144A
26251LAG9
750000.00000000
PA
USD
708802.50000000
0.174697045109
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
3.75325000
N
N
N
N
N
N
Harvest Operations Corp 4.2% 06/01/2023 144A
B1EEF6ML54YDWRC6ZK53
Harvest Operations Corp 4.2% 06/01/2023 144A
41754WAS0
1000000.00000000
PA
USD
1068925.99000000
0.263455915990
Long
DBT
CORP
CA
N
2
2023-06-01
Fixed
4.20000000
N
N
N
N
N
N
N/A
N/A
NAVIENT CORP 5.00% 03/20/2020 CDS
000000000
-1800000.00000000
NC
USD
-43217.67000000
-0.01065176723
N/A
DCR
CORP
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2020-03-20
0.00000000
USD
0.00000000
USD
-1800000.00000000
USD
-15924.17000000
N
N
N
CINCINNATI OHIO
N/A
CINCINNATI OHIO
172217UV1
100000.00000000
PA
USD
119949.00000000
0.029563574992
Long
DBT
MUN
US
N
2
2025-12-01
Fixed
5.00000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2029 2016-C07 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2029 2016-C07 2M2
30711XEC4
1081288.39500000
PA
USD
1136317.43000000
0.280065740919
Long
ABS-CBDO
CORP
US
N
2
2029-05-25
Floating
6.17275000
N
N
N
N
N
N
Avoca CLO XVII Designated Activity Co FRN 10/15/2032 144A 17A CL B1R
635400OUIIBSBWG9WH80
Avoca CLO XVII Designated Activity Co FRN 10/15/2032 144A 17A CL B1R
BCC2L9VU3
1200000.00000000
PA
1337444.54000000
0.329637112081
Long
ABS-CBDO
CORP
IE
N
2
2032-10-15
Floating
1.70000000
N
N
N
N
N
N
Towd Point Mortgage Trust 2019-1 FRN 03/25/2058 2019-1 A1 144A
N/A
Towd Point Mortgage Trust 2019-1 FRN 03/25/2058 2019-1 A1 144A
89177BAA3
2302715.76000000
PA
USD
2434141.88000000
0.599937773659
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Variable
3.75000000
N
N
N
N
N
N
N/A
N/A
AUST 10Y BOND FUT Dec19 Dec 19 Future
000000000
125.00000000
NC
-2.19000000
-0.00000053976
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
AUST 10Y BOND FUT Dec19 Dec 19 Future
AUST 10Y BOND FUT Dec19 Dec 19 Future
2019-12-16
18226124.42000000
AUD
-152.20000000
N
N
N
N/A
N/A
NOK_USD_20200316
000000000
1.00000000
NC
USD
-76834.13000000
-0.01893714465
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
2970407.59000000
USD
26600000.00000000
NOK
2020-03-16
-76834.13000000
N
N
N
CNOOC FINANCE 2015 USA LLC 3.50% 05/05/2025
549300Q3CTIH31RFPO82
CNOOC FINANCE 2015 USA LLC 3.50% 05/05/2025
12634MAB6
1700000.00000000
PA
USD
1780792.50000000
0.438908141130
Long
DBT
CORP
US
N
2
2025-05-05
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE SINGAPORE JUNE-20 0-3% EQUITY T 06/20/2020 CDX
000000000
770000.00000000
NC
USD
-81560.51000000
-0.02010204548
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE SINGAPORE JUNE-20 0-3% EQUITY T
Y
2020-06-20
0.00000000
USD
149534.00000000
USD
770000.00000000
USD
-12975.03000000
N
N
N
N/A
N/A
JPMORGAN CHASE BANK NA CCS RV USD 3M+ 1.3025% PY EUR 1% 05/04/21
000000000
496000.00000000
NC
USD
51387.59000000
0.012665390046
N/A
DIR
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2021-05-04
0.00000000
USD
0.00000000
USD
496000.00000000
USD
51387.59000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 04/25/2029 2016-C02 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 04/25/2029 2016-C02 1M2
30711XDS0
460000.00000000
PA
USD
489562.18000000
0.120661349591
Long
ABS-CBDO
CORP
US
N
2
2029-04-25
Floating
6.07275000
N
N
N
N
N
N
CIM Trust 2019-INV1 FRN 02/25/2049 2019-INV1 A1 144A
N/A
CIM Trust 2019-INV1 FRN 02/25/2049 2019-INV1 A1 144A
12555DAA3
1499483.27000000
PA
USD
1538393.66000000
0.379164614427
Long
ABS-CBDO
CORP
US
N
2
2049-02-25
Variable
4.00000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 09/25/24 14-HQ2 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 09/25/24 14-HQ2 M2
3137G0CG2
282829.18000000
PA
USD
286459.52000000
0.070603068820
Long
ABS-CBDO
CORP
US
N
2
2024-09-25
Floating
4.02275000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2025 2015-C01 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2025 2015-C01 1M2
30711XAT1
26867.93300000
PA
USD
28462.12000000
0.007014998199
Long
ABS-CBDO
CORP
US
N
2
2025-02-25
Floating
6.12275000
N
N
N
N
N
N
CGNPC INTERNATIONAL LTD 3.75% 12/11/2027 REG S
3003007JIKH4XTQVZT05
CGNPC INTERNATIONAL LTD 3.75% 12/11/2027 REG S
Y12564AB9
2100000.00000000
PA
USD
2229612.00000000
0.549527729009
Long
DBT
CORP
HK
N
2
2027-12-11
Fixed
3.75000000
N
N
N
N
N
N
Aptiv Corp 4.15% 03/15/2024
N/A
Aptiv Corp 4.15% 03/15/2024
247126AJ4
900000.00000000
PA
USD
958277.85000000
0.236184704186
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.15000000
N
N
N
N
N
N
Madison Park Funding XXIX LTD 10/18/2030 144A 29A D
N/A
Madison Park Funding XXIX LTD 10/18/2030 144A 29A D
55820CAL9
600000.00000000
PA
USD
573336.00000000
0.141308904885
Long
ABS-CBDO
CORP
KY
N
2
2030-10-18
Floating
5.00325000
N
N
N
N
N
N
Madison Park Euro Funding XIV DAC FRN 07/15/2032 144A 14A A1N
635400XLHN7OVUSEV112
Madison Park Euro Funding XIV DAC FRN 07/15/2032 144A 14A A1N
BCC2JVC79
3800000.00000000
PA
4256483.01000000
1.049086317285
Long
ABS-CBDO
CORP
IE
N
2
2032-07-15
Floating
1.12000000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST FRN 07/15/2048 2015-C30 AS
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST FRN 07/15/2048 2015-C30 AS
46644UBE7
450000.00000000
PA
USD
489306.69000000
0.120598379514
Long
ABS-CBDO
CORP
US
N
2
2048-07-15
Variable
4.22630000
N
N
N
N
N
N
N/A
N/A
KB HOME 5.00% 03/20/2020 CDS
000000000
-100000.00000000
NC
USD
-2472.21000000
-0.00060932034
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2020-03-20
0.00000000
USD
0.00000000
USD
-100000.00000000
USD
-1097.68000000
N
N
N
TCI-Flatiron Clo 2017-1 Ltd FRN 11/17/2030 2017-1A C 144A
N/A
TCI-Flatiron Clo 2017-1 Ltd FRN 11/17/2030 2017-1A C 144A
87231BAG8
1200000.00000000
PA
USD
1133880.00000000
0.279464992729
Long
ABS-CBDO
CORP
KY
N
2
2030-11-18
Floating
3.97375000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 11/25/2024 2014-C04 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 11/25/2024 2014-C04 2M2
30711XAR5
401846.49300000
PA
USD
428679.87000000
0.105655816094
Long
ABS-CBDO
CORP
US
N
2
2024-11-25
Floating
6.82275000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 01/25/2025 2015-DN1 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 01/25/2025 2015-DN1 M3
3137G0DW6
508294.28300000
PA
USD
526445.68000000
0.129751947413
Long
ABS-CBDO
CORP
US
N
2
2025-01-25
Floating
5.97275000
N
N
N
N
N
N
N/A
N/A
USD_CNH_20200224
000000000
1.00000000
NC
USD
-11058.88000000
-0.00272565864
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
5500000.00000000
CNY
766871.17000000
USD
2020-02-24
-11058.88000000
N
N
N
BURNHAM PARK CLO LTD FRN 10/20/2029 144A 1A BR
549300BOEG5O4MSO7220
BURNHAM PARK CLO LTD FRN 10/20/2029 144A 1A BR
12232KAJ9
3000000.00000000
PA
USD
2968830.00000000
0.731721217735
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
3.46588000
N
N
N
N
N
N
TEXAS ST
549300X9CH74QB747L76
TEXAS ST
8827234D8
5000.00000000
PA
USD
5272.45000000
0.001299489541
Long
DBT
MUN
US
N
2
2021-04-01
Fixed
5.00000000
N
N
N
N
N
N
BLUEMOUNTAIN CLO LTD FRN 11/20/2028 144A 2012-2A DR2
549300WSX4P5CXVKVR97
BLUEMOUNTAIN CLO LTD FRN 11/20/2028 144A 2012-2A DR2
09626RBC8
2000000.00000000
PA
USD
1885500.00000000
0.464715176025
Long
ABS-CBDO
CORP
KY
N
2
2028-11-20
Floating
5.03588000
N
N
N
N
N
N
Gilbert Park CLO Ltd FRN 10/15/2030 144A 2017-1A B
N/A
Gilbert Park CLO Ltd FRN 10/15/2030 144A 2017-1A B
375415AC0
3000000.00000000
PA
USD
2976630.00000000
0.733643667150
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
3.60088000
N
N
N
N
N
N
BANCA POPOLARE DI MILANO SCRL 0.875% 09/14/2023 REG S
8156009BC82130E7FC43
BANCA POPOLARE DI MILANO SCRL 0.875% 09/14/2023 REG S
T1R68VAM0
900000.00000000
PA
1025326.01000000
0.252709921623
Long
DBT
CORP
IT
N
2
2022-09-14
Fixed
0.87500000
N
N
N
N
N
N
N/A
N/A
CREDIT SUISSE INTERNATIONAL TRS RCV MARKIT IBOXX US PAY US0003M 03/20/20
000000000
4050000.00000000
NC
USD
49778.36000000
0.012268766549
N/A
DCR
CORP
N/A
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
Y
2020-03-20
0.00000000
USD
53310.74000000
USD
4050000.00000000
USD
49778.36000000
N
N
N
KOREA DEVELOPMENT BANK 3.375% 03/12/2023
549300ML2LNRZUCS7149
KOREA DEVELOPMENT BANK 3.375% 03/12/2023
500630CU0
600000.00000000
PA
USD
624753.00000000
0.153981543552
Long
DBT
NUSS
KR
N
2
2023-03-12
Fixed
3.37500000
N
N
N
N
N
N
N/A
N/A
CENTURYLINK INC 5.00% 06/20/2021 CDS
000000000
-4700000.00000000
NC
USD
-361613.60000000
-0.08912613512
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2021-06-20
0.00000000
USD
0.00000000
USD
-4700000.00000000
USD
-179305.59000000
N
N
N
UKRAINE GOVERNMENT 7.375% 09/25/2032 144A
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.375% 09/25/2032 144A
903724BM3
800000.00000000
PA
USD
838012.00000000
0.206543035847
Long
ABS-O
USGA
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA 2.875% 07/16/2062 REG S
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI DI SIENA SPA 2.875% 07/16/2062 REG S
T1188BER3
1500000.00000000
PA
1846150.60000000
0.455016813072
Long
DBT
CORP
IT
N
2
2024-07-16
Fixed
2.87500000
N
N
N
N
N
N
BXP Trust 3.379% 06/13/2039 2017-GM A 144A
N/A
BXP Trust 3.379% 06/13/2039 2017-GM A 144A
056083AA6
2000000.00000000
PA
USD
2144676.00000000
0.528593733681
Long
ABS-CBDO
CORP
US
N
2
2039-06-13
Fixed
3.37900000
N
N
N
N
N
N
BANK OF CHINA LTD/MACAU 2.875% 04/20/2022 REG S
54930053HGCFWVHYZX42
BANK OF CHINA LTD/MACAU 2.875% 04/20/2022 REG S
Y05609DZ5
1000000.00000000
PA
USD
1010080.00000000
0.248952269954
Long
DBT
CORP
CN
N
2
2022-04-20
Fixed
2.87500000
N
N
N
N
N
N
Towd Point Mortgage Trust 2018-5 FRN 07/25/2058 2018-5 A1A 144A
N/A
Towd Point Mortgage Trust 2018-5 FRN 07/25/2058 2018-5 A1A 144A
89176VAK8
549286.27000000
PA
USD
565500.65000000
0.139377742830
Long
ABS-CBDO
CORP
US
N
2
2058-07-25
Variable
3.25000000
N
N
N
N
N
N
HCA INC 7.50% 02/15/2022
L3CJ6J7LJ2DX62FTXD46
HCA INC 7.50% 02/15/2022
404121AD7
2050000.00000000
PA
USD
2279600.00000000
0.561848165084
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
7.50000000
N
N
N
N
N
N
U S TREASURY NOTE/BOND I/L 0.625% 01/15/2026 INDEX LINKED TO CPURNSA
254900HROIFWPRGM1V77
U S TREASURY NOTE/BOND I/L 0.625% 01/15/2026 INDEX LINKED TO CPURNSA
912828N71
3131246.05800000
PA
USD
3214221.67000000
0.792202380884
Long
DBT
NUSS
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
Bellemeade Re 2018-1 Ltd 3.69113% 04/25/2028 144A
549300O2GEH6GH9NO762
Bellemeade Re 2018-1 Ltd 3.69113% 04/25/2028 144A
078768AD0
1171183.15000000
PA
USD
1172907.95000000
0.289084128584
Long
ABS-CBDO
CORP
BM
N
2
2028-04-25
Floating
3.42275000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI TAO 2.375% 11/04/2022 REG S
789000KAIHOLSQKQ9858
TURKIYE VAKIFLAR BANKASI TAO 2.375% 11/04/2022 REG S
M9037BKF5
3800000.00000000
PA
4278783.97000000
1.054582787479
Long
DBT
CORP
TR
N
2
2021-05-04
Fixed
2.37500000
N
N
N
N
N
N
DOMINION ENERGY INC 2.85% 08/15/2026
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC 2.85% 08/15/2026
25746UCK3
1300000.00000000
PA
USD
1324104.80000000
0.326349294727
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.85000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA TRS RCV EURIBOR 3 MONTH PAY 12/20/19
000000000
2650000.00000000
NC
-8033.52000000
-0.00198000459
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
IBOXX EURO CORPORATES OVERALL TOTAL RETURN INDEX
Y
2019-12-20
-757.90000000
USD
0.00000000
USD
2650000.00000000
EUR
-8033.52000000
N
N
N
Octagon Loan Funding Ltd FRN 11/18/2031 144A 14-1A DRR
549300HJJWTCMWFILG24
Octagon Loan Funding Ltd FRN 11/18/2031 144A 14-1A DRR
67590RBG9
1333333.00000000
PA
USD
1231306.36000000
0.303477460529
Long
ABS-CBDO
CORP
KY
N
2
2031-11-18
Floating
5.02375000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA CCS RV USD 3M+ 1.31% PY EUR 1.11% 08/30/21
000000000
2719500.00000000
NC
USD
510.86000000
0.000125910578
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-08-30
0.00000000
USD
0.00000000
USD
2719500.00000000
USD
510.86000000
N
N
N
COMM MORTGAGE TRUST 3.178% 02/10/2035 144A 2015-3BP A
N/A
COMM MORTGAGE TRUST 3.178% 02/10/2035 144A 2015-3BP A
12592TAA3
600000.00000000
PA
USD
630326.04000000
0.155355118871
Long
ABS-CBDO
CORP
US
N
2
2035-02-10
Fixed
3.17800000
N
N
N
N
N
N
N/A
N/A
SPRINT COMMUNICATIONS INC 5.00% 09/20/2020 CDS
000000000
12000.00000000
NC
USD
550.75000000
0.000135742181
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2020-09-20
0.00000000
USD
0.00000000
USD
12000.00000000
USD
550.75000000
N
N
N
Sound Point Euro CLO II Funding DAC FRN 10/26/2032 144A 2A B1
6354002JD5KEK1NGKT05
Sound Point Euro CLO II Funding DAC FRN 10/26/2032 144A 2A B1
BCC2KHCY9
850000.00000000
PA
946512.41000000
0.233284901205
Long
ABS-CBDO
CORP
IE
N
2
2032-10-26
Floating
1.85000000
N
N
N
N
N
N
N/A
N/A
JPMORGAN CHASE BANK NA CCS RV USD 3M+ 1.305% PY EUR 1.11% 08/20/21
000000000
2988900.00000000
NC
USD
-6248.28000000
-0.00154000028
N/A
DIR
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2021-08-20
0.00000000
USD
0.00000000
USD
2988900.00000000
USD
-6248.28000000
N
N
N
Long Point Park CLO Ltd FRN 01/17/2030 144A 2017-1A A2
549300639DPKTBUSCC77
Long Point Park CLO Ltd FRN 01/17/2030 144A 2017-1A A2
542798AE3
1000000.00000000
PA
USD
975300.00000000
0.240380117304
Long
ABS-CBDO
CORP
KY
N
2
2030-01-17
Floating
3.37713000
N
N
N
N
N
N
DOMINICAN REPUBLIC 8.90% 02/15/2023 144A
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 8.90% 02/15/2023 144A
25714PDX3
8000000.00000000
PA
151819.12000000
0.037418535706
Long
DBT
NUSS
DO
N
2
2023-02-15
Fixed
8.90000000
N
N
N
N
N
N
Flagstar Mortgage Trust 2018-6RR FRN 10/25/2048 144A 2018-6RR 1A3
549300H3PON1KOB2RF56
Flagstar Mortgage Trust 2018-6RR FRN 10/25/2048 144A 2018-6RR 1A3
33851FAC1
1011231.52000000
PA
USD
1037844.91000000
0.255795428288
Long
ABS-CBDO
CORP
US
N
2
2048-10-25
Variable
4.00000000
N
N
N
N
N
N
N/A
N/A
NABORS INDUSTRIES INC 1.00% 12/20/2023 CDS
000000000
485000.00000000
NC
USD
-122023.84000000
-0.03007495639
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2023-12-20
0.00000000
USD
69483.64000000
USD
485000.00000000
USD
-65326.73000000
N
N
N
N/A
N/A
DEUTSCHE BANK AG CCS RV USD 3M+ .84875% PY EUR .75% 09/14/22
000000000
3472000.00000000
NC
USD
328921.51000000
0.081068585212
N/A
DIR
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Y
2022-09-14
0.00000000
USD
0.00000000
USD
3472000.00000000
USD
328921.51000000
N
N
N
WYNN LAS VEGAS LLC/CAPITAL CORP 5.50% 03/01/2025 144A
N/A
WYNN LAS VEGAS LLC/CAPITAL CORP 5.50% 03/01/2025 144A
983130AV7
525000.00000000
PA
USD
559125.00000000
0.137806349931
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
RZD CAPITAL PLC (RUSSIAN RAILWAYS) 5.70% 04/05/2022 REGS
635400VKMH1VQDFMW392
RZD CAPITAL PLC (RUSSIAN RAILWAYS) 5.70% 04/05/2022 REGS
G7722TAA9
1100000.00000000
PA
USD
1180459.50000000
0.290945343056
Long
LON
CORP
IE
N
2
2022-04-05
Fixed
5.70000000
N
N
N
N
N
N
Dorchester Park CLO DAC FRN 04/20/2028 2015-1A CR 144A
549300UGHN2HEE8W3M89
Dorchester Park CLO DAC FRN 04/20/2028 2015-1A CR 144A
25820NAE4
1350000.00000000
PA
USD
1323513.00000000
0.326203435039
Long
ABS-CBDO
CORP
IE
N
2
2028-04-20
Floating
3.71588000
N
N
N
N
N
N
MEXICO CITY AIRPORT TRUST 5.50% 07/31/2047 144A
N/A
MEXICO CITY AIRPORT TRUST 5.50% 07/31/2047 144A
59284MAD6
400000.00000000
PA
USD
402770.00000000
0.099269865525
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
CARLYLE US CLO 2017-4 Ltd FRN 01/15/2030 2017-4A C 144A
N/A
CARLYLE US CLO 2017-4 Ltd FRN 01/15/2030 2017-4A C 144A
14315BAG1
400000.00000000
PA
USD
366000.00000000
0.090207241806
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
4.80088000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
105000.00000000
NC
USD
-62368.36000000
-0.01537179708
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
61153.75000000
USD
105000.00000000
USD
-2973.15999999
N
N
N
CAPITAL ONE FINANCIAL CORP 3.05% 03/09/2022
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.05% 03/09/2022
14040HBL8
200000.00000000
PA
USD
203955.37000000
0.050268446391
Long
DBT
CORP
US
N
2
2022-03-09
Fixed
3.05000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 09/25/2024 2014-HQ2 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 09/25/2024 2014-HQ2 M3
3137G0CH0
2500000.00000000
PA
USD
2702093.00000000
0.665979116484
Long
ABS-CBDO
CORP
US
N
2
2024-09-25
Floating
5.57275000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 12/25/2028 2016-DNA3 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 12/25/2028 2016-DNA3 M2
3137G0KM0
105012.10000000
PA
USD
105312.29000000
0.025956096199
Long
ABS-CBDO
CORP
US
N
2
2028-12-25
Floating
3.82275000
N
N
N
N
N
N
N/A
N/A
ITRX.EUR.XOVER.31 5.00% 06/20/2024 CDX
000000000
1825000.00000000
NC
202520.74000000
0.049914856185
N/A
DCR
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
ITRX.EUR.XOVER.31 5.00% 06/20/2024 CDX
ITXEX531
Y
2024-06-20
-222332.32000000
USD
203733.06000000
USD
1825000.00000000
EUR
-22198.55000000
N
N
N
N/A
N/A
EURO-BUND FUTURE Dec19 Dec 19 Future
000000000
-5.00000000
NC
15056.55000000
0.003710955865
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Short
EURO-BUND FUTURE Dec19 Dec 19 Future
EURO-BUND FUTURE Dec19 Dec 19 Future
2019-12-06
-872300.00000000
EUR
15052.41000000
N
N
N
N/A
N/A
USD_EUR_20200316
000000000
1.00000000
NC
USD
-24836.30000000
-0.00612135005
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
5970428.55000000
EUR
6695238.58000000
USD
2020-03-16
-24836.30000000
N
N
N
N/A
N/A
TRY_USD_20200415
000000000
1.00000000
NC
USD
23055.70000000
0.005682489357
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
412273.05000000
USD
2600000.00000000
TRY
2020-04-15
23055.70000000
N
N
N
Fannie Mae or Freddie Mac 3% 10/01/2049 FNL
S6XOOCT0IEG5ABCC6L87
Fannie Mae or Freddie Mac 3% 10/01/2049 FNL
01F0306B9
8100000.00000000
PA
USD
8231625.08000000
2.028831131279
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
CGRBS Commercial Mortgage Trust FRN 03/13/2035 2013-VN05 C 144A
N/A
CGRBS Commercial Mortgage Trust FRN 03/13/2035 2013-VN05 C 144A
125354AG5
450000.00000000
PA
USD
476517.33000000
0.117446213147
Long
ABS-CBDO
CORP
US
N
2
2035-03-13
Variable
3.58400000
N
N
N
N
N
N
KOOKMIN BANK 2.25% 02/03/2022 144A
549300XXMOJSIW8P4769
KOOKMIN BANK 2.25% 02/03/2022 144A
500498AD2
1800000.00000000
PA
USD
1798662.60000000
0.443312546682
Long
DBT
CORP
KR
N
2
2021-02-03
Fixed
2.25000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2018-IND FRN 11/15/2035 144A 2018-IND A
N/A
BX Commercial Mortgage Trust 2018-IND FRN 11/15/2035 144A 2018-IND A
056059AA6
800984.25400000
PA
USD
800991.14000000
0.197418583198
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
2.66350000
N
N
N
N
N
N
U S TREASURY NOTE/BOND I/L 0.375% 07/15/2027 INDEX LINKED TO CPURNSA
254900HROIFWPRGM1V77
U S TREASURY NOTE/BOND I/L 0.375% 07/15/2027 INDEX LINKED TO CPURNSA
9128282L3
4027433.62500000
PA
USD
4098044.56000000
1.010036329387
Long
DBT
NUSS
US
N
2
2027-07-15
Fixed
0.37500000
N
N
N
N
N
N
BANCA POPOLARE DI MILANO SCRL 0.625% 06/08/2024 REG S
8156009BC82130E7FC43
BANCA POPOLARE DI MILANO SCRL 0.625% 06/08/2024 REG S
T1R68VAW8
2800000.00000000
PA
3164873.58000000
0.780039662067
Long
DBT
CORP
IT
N
2
2023-06-08
Fixed
0.62500000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST FRN 04/25/2057 144A 2017-2 A1
N/A
TOWD POINT MORTGAGE TRUST FRN 04/25/2057 144A 2017-2 A1
89173HAA4
1094503.42200000
PA
USD
1106016.07000000
0.272597429147
Long
ABS-CBDO
CORP
US
N
2
2057-04-25
Variable
2.75000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST FRN 10/25/2056 2017-1 A1 144A
N/A
TOWD POINT MORTGAGE TRUST FRN 10/25/2056 2017-1 A1 144A
89173FAA8
1144229.11800000
PA
USD
1161063.02000000
0.286164733872
Long
ABS-CBDO
CORP
US
N
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE BOGOTA 06/20/20 7-10% TRANCHE 1.35% 06/20/2020 CDX
000000000
1650000.00000000
NC
USD
8162.36000000
0.002011759514
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE BOGOTA 06/20/20 7-10% TRANCHE
Y
2020-06-20
0.00000000
USD
0.00000000
USD
1650000.00000000
USD
8162.36000000
N
N
N
SABIC Capital II BV 4.5% 10/10/2028 144A
2138005PCUTH59D4RJ83
SABIC Capital II BV 4.5% 10/10/2028 144A
78520LAB6
400000.00000000
PA
USD
444474.00000000
0.109548561733
Long
DBT
CORP
NL
N
2
2028-10-10
Fixed
4.50000000
N
N
N
N
N
N
KB HOME 8.00% 03/15/2020
549300LGUCWQURMWLG09
KB HOME 8.00% 03/15/2020
48666KAQ2
100000.00000000
PA
USD
102280.00000000
0.025208734130
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL CDX.NA.HY.32 PAYER SWPTN STRK 106 12/18/19
000000000
3750000.00000000
NC
USD
14590.13000000
0.003595998319
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
N/A
N/A
CDX.NA.HY.32 5.00% 06/20/2024 CDX *UNDERLYING PURPOSE*
N/A
CDX.NA.HY.32 5.00% 06/20/2024 CDX *UNDERLYING PURPOSE*
N/A
N/A
NC
N/A
N/A
N/A
DCR
US
US
CDX.NA.HY.32 UNITED STATES INDEX
N/A
2024-06-20
N/A
N/A
N/A
N/A
N/A
N/A
0.00000000
106.00000000
USD
2019-12-18
XXXX
-23277.37000000
N
N
N
N/A
N/A
USD_EUR_20200316
000000000
1.00000000
NC
USD
-14273.86000000
-0.00351804792
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1200000.00000000
EUR
1336398.00000000
USD
2020-03-16
-14273.86000000
N
N
N
N/A
N/A
US LONG BOND(CBT) Dec19 Dec 19 Future
000000000
-45.00000000
NC
USD
196875.00000000
0.048523362651
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Short
US LONG BOND(CBT) Dec19 Dec 19 Future
US LONG BOND(CBT) Dec19 Dec 19 Future
2019-12-19
-7458750.00000000
USD
196811.10000000
N
N
N
BlueMountain EUR CLO FRN 01/15/2033 5A A 144A
N/A
BlueMountain EUR CLO FRN 01/15/2033 5A A 144A
BCC2LWNA5
700000.00000000
PA
780710.04000000
0.192419943602
Long
ABS-CBDO
CORP
IE
N
2
2033-01-15
Floating
0.91000000
N
N
N
N
N
N
BlueMountain Fuji US Clo II Ltd FRN 10/20/2030 2017-2A A1A 144A
N/A
BlueMountain Fuji US Clo II Ltd FRN 10/20/2030 2017-2A A1A 144A
09629EAA9
250000.00000000
PA
USD
250160.00000000
0.061656403306
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
3.16588000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE CAMBRIDGE DEC 19 0-3% EQUITY TR 12/20/2019 CDX
000000000
407500.00000000
NC
USD
-36391.45000000
-0.00896932330
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE CAMBRIDGE DEC 19 0-3% EQUITY TRAN
Y
2019-12-20
0.00000000
USD
79500.00000000
USD
407500.00000000
USD
-31822.17000000
N
N
N
CARLYLE US CLO 2017-4 Ltd FRN 01/15/2030 2017-4A B 144A
N/A
CARLYLE US CLO 2017-4 Ltd FRN 01/15/2030 2017-4A B 144A
14315BAE6
1107000.00000000
PA
USD
1050166.62000000
0.258832333953
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
3.85088000
N
N
N
N
N
N
THORNBURG MORTGAGE SECURITIES TRUST FRN 4/25/2045 05-1 A3
N/A
THORNBURG MORTGAGE SECURITIES TRUST FRN 4/25/2045 05-1 A3
885220HB2
17415.91900000
PA
USD
17593.64000000
0.004336267042
Long
ABS-CBDO
CORP
US
N
2
2045-04-25
Variable
4.57753100
N
N
N
N
N
N
Edwards Lifesciences Corp 4.3% 06/15/2028
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp 4.3% 06/15/2028
28176EAD0
300000.00000000
PA
USD
338852.46000000
0.083516245343
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.30000000
N
N
N
N
N
N
BANK OF AMERICA CORP 5.50% 12/04/2019
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 5.50% 12/04/2019
U0662KCL3
75000.00000000
PA
97523.10000000
0.024036311102
Long
DBT
CORP
US
N
2
2019-12-04
Fixed
5.50000000
N
N
N
N
N
N
Russian Foreign Bond - Eurobond 4.875% 09/16/2023 144A
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond 4.875% 09/16/2023 144A
78307ADG5
1000000.00000000
PA
USD
1094835.00000000
0.269841654597
Long
DBT
NUSS
RU
N
2
2023-09-16
Fixed
4.87500000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST FRN 10/25/2056 2016-5 A1 144A
N/A
TOWD POINT MORTGAGE TRUST FRN 10/25/2056 2016-5 A1 144A
89173CAA5
363744.53600000
PA
USD
366099.20000000
0.090231691419
Long
ABS-CBDO
CORP
US
N
2
2056-10-25
Variable
2.50000000
N
N
N
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL TRS RCV MARKIT IBOXX US PAY US0003M 03/20/20
000000000
6600000.00000000
NC
USD
108727.32000000
0.026797791382
N/A
DCR
CORP
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2020-03-20
0.00000000
USD
75293.22000000
USD
6600000.00000000
USD
108727.32000000
N
N
N
REPUBLIC OF GABON 6.375% 12/12/2024 144A
N/A
REPUBLIC OF GABON 6.375% 12/12/2024 144A
362420AB7
1600000.00000000
PA
USD
1597464.00000000
0.393723555531
Long
ABS-O
USGA
GA
N
2
2024-12-12
Fixed
6.37500000
N
N
N
N
N
N
BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 3.705% 09/15/2048 2015-UBS7 A4
N/A
BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 3.705% 09/15/2048 2015-UBS7 A4
06054AAX7
100000.00000000
PA
USD
107508.86000000
0.026497480137
Long
ABS-CBDO
CORP
US
N
2
2048-09-15
Fixed
3.70500000
N
N
N
N
N
N
TENCENT HOLDINGS LTD 2.985% 01/19/2023 144A
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD 2.985% 01/19/2023 144A
88032WAE6
1200000.00000000
PA
USD
1220586.00000000
0.300835236194
Long
DBT
CORP
KY
N
2
2023-01-19
Fixed
2.98500000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 4/25/2024 2014-DN2 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 4/25/2024 2014-DN2 M3
3137G0AY5
2645000.00000000
PA
USD
2794554.12000000
0.688767812139
Long
ABS-CBDO
CORP
US
N
2
2024-04-25
Floating
5.42275000
N
N
N
N
N
N
ROYAL BANK OF CANADA 2.10% 10/14/2021
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA 2.10% 10/14/2021
780082AC7
100000.00000000
PA
USD
100271.27000000
0.024713646718
Long
DBT
CORP
CA
N
2
2020-10-14
Fixed
2.10000000
N
N
N
N
N
N
Madison Park Funding XIV Ltd FRN 10/22/2030 2014-14A CRR 144A
N/A
Madison Park Funding XIV Ltd FRN 10/22/2030 2014-14A CRR 144A
55818RBC9
562500.00000000
PA
USD
552735.00000000
0.136231420217
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
4.15325000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
630000.00000000
NC
USD
-374210.19000000
-0.09223078987
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
369355.00000000
USD
630000.00000000
USD
-5187.69000000
N
N
N
SOUTHERN CO/THE 3.25% 07/01/2026
549300FC3G3YU2FBZD92
SOUTHERN CO/THE 3.25% 07/01/2026
842587CV7
850000.00000000
PA
USD
887476.96000000
0.218734559366
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 12/25/27 2015-DNA2 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 12/25/27 2015-DNA2 M2
3137G0FT1
46356.61800000
PA
USD
46548.75000000
0.011472771439
Long
ABS-CBDO
CORP
US
N
2
2027-12-25
Floating
4.42275000
N
N
N
N
N
N
N/A
N/A
NAVIENT CORP 5.00% 03/20/2020 CDS
000000000
-350000.00000000
NC
USD
-8403.44000000
-0.00207117798
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2020-03-20
0.00000000
USD
0.00000000
USD
-350000.00000000
USD
-3500.41000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2025 2015-C02 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2025 2015-C02 1M2
30711XAX2
395328.40800000
PA
USD
417206.91000000
0.102828100036
Long
ABS-CBDO
CORP
US
N
2
2025-05-25
Floating
5.82275000
N
N
N
N
N
N
N/A
N/A
JPMORGAN CHASE BANK NA TRS RCV EURIBOR 3 MONTH PAY 12/20/19
000000000
3650000.00000000
NC
4368.63000000
0.001076726947
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
N/A
N/A
IBOXX EURO CORPORATES OVERALL TOTAL RETURN INDEX
Y
2019-12-20
-1958.84000000
USD
14083.16000000
USD
3650000.00000000
EUR
4368.63000000
N
N
N
Gilbert Park CLO Ltd FRN 10/15/2030 144A 2017-1A D
N/A
Gilbert Park CLO Ltd FRN 10/15/2030 144A 2017-1A D
375415AG1
400000.00000000
PA
USD
381208.00000000
0.093955525230
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
4.95088000
N
N
N
N
N
N
N/A
N/A
DEUTSCHE BANK AG IIS RCV INFL CPURNSA 06/01/28 USD
000000000
1400000.00000000
NC
USD
-85663.27000000
-0.02111324401
N/A
DIR
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG IIS RCV INFL CPURNSA 06/01/28 USD
CPURNSA
Y
2028-06-01
0.00000000
USD
0.00000000
USD
1400000.00000000
USD
-85792.05000000
N
N
N
Towd Point Mortgage Trust 2018-4 FRN 06/25/2058 2018-4 A1 144A
N/A
Towd Point Mortgage Trust 2018-4 FRN 06/25/2058 2018-4 A1 144A
89175TAA6
1759248.81600000
PA
USD
1817896.54000000
0.448053094978
Long
ABS-CBDO
CORP
US
N
2
2058-06-25
Variable
3.00000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 03/25/2025 15-HQ1 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 03/25/2025 15-HQ1 M3
3137G0EJ4
415629.70000000
PA
USD
427136.78000000
0.105275493982
Long
ABS-CBDO
CORP
US
N
2
2025-03-25
Floating
5.62275000
N
N
N
N
N
N
N/A
N/A
BNP PARIBAS BESPOKE RODEZ2 12/20/20 5-7% MEZZ TR 3.20% 12/20/2020 CDX
000000000
340000.00000000
NC
USD
8201.73000000
0.002021462954
N/A
DCR
N/A
N
2
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
N/A
N/A
BNP PARIBAS BESPOKE RODEZ2 12/20/20 5-7% MEZZ TR
Y
2020-12-20
0.00000000
USD
0.00000000
USD
340000.00000000
USD
8201.73000000
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 11/25/2023 2013-DN2 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 11/25/2023 2013-DN2 M2
3137G0AD1
2225437.41600000
PA
USD
2401973.35000000
0.592009264467
Long
ABS-CBDO
CORP
US
N
2
2023-11-25
Floating
6.07275000
N
N
N
N
N
N
N/A
N/A
AUST 3YR BOND FUT Dec19 Dec 19 Future
000000000
368.00000000
NC
44960.11000000
0.011081222716
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
AUST 3YR BOND FUT Dec19 Dec 19 Future
AUST 3YR BOND FUT Dec19 Dec 19 Future
2019-12-16
42390127.80000000
AUD
44518.49000000
N
N
N
SEALED AIR CORP 5.25% 04/01/2023 144A
Q0M0CZB4YN6JZ65WXI09
SEALED AIR CORP 5.25% 04/01/2023 144A
81211KAU4
950000.00000000
PA
USD
1018875.00000000
0.251119954904
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
5.25000000
N
N
N
N
N
N
Atrium XII FRN 04/22/2027 144A 12A AR
549300O252OCTN35RH57
Atrium XII FRN 04/22/2027 144A 12A AR
04965CAJ7
7000000.00000000
PA
USD
6982710.00000000
1.721013686971
Long
ABS-CBDO
CORP
KY
N
2
2027-04-22
Floating
2.78325000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 02/25/2024 2014-DN1 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 02/25/2024 2014-DN1 M2
3137G0AL3
291102.59400000
PA
USD
294465.06000000
0.072576177242
Long
ABS-CBDO
CORP
US
N
2
2024-02-25
Floating
4.02275000
N
N
N
N
N
N
Voya CLO 2014-1 Ltd FRN 04/18/2031 2014-1A BR2 144A
549300ITL5IR423IJ183
Voya CLO 2014-1 Ltd FRN 04/18/2031 2014-1A BR2 144A
92915PAP0
2750000.00000000
PA
USD
2653805.00000000
0.654077675795
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
3.90325000
N
N
N
N
N
N
JACKSON NATIONAL LIFE GLOBAL FUNDING 2.10% 10/25/2021 144A
635400PQXLYXWJI5QD78
JACKSON NATIONAL LIFE GLOBAL FUNDING 2.10% 10/25/2021 144A
46849LSR3
25000.00000000
PA
USD
25073.35000000
0.006179775263
Long
DBT
CORP
US
N
2
2021-10-25
Fixed
2.10000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200129
000000000
1.00000000
NC
USD
-39919.81000000
-0.00983895069
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
2052549.06000000
USD
216000000.00000000
JPY
2020-01-29
-39919.81000000
N
N
N
Madison Park Funding XXXI Ltd FRN 01/23/2031 2018-31A B 144A
N/A
Madison Park Funding XXXI Ltd FRN 01/23/2031 2018-31A B 144A
55819DAG1
3000000.00000000
PA
USD
2979660.00000000
0.734390464808
Long
ABS-CBDO
CORP
KY
N
2
2031-01-23
Floating
3.63400000
N
N
N
N
N
N
N/A
N/A
HSBC BANK PLC IRS PAY FIXED 3.225% 11/13/25 USD
000000000
-5500000.00000000
NC
USD
-605853.96000000
-0.14932353734
N/A
DIR
CORP
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Y
2025-11-13
0.00000000
USD
0.00000000
USD
-5500000.00000000
USD
-605983.32000000
N
N
N
Atrium XIII FRN 11/21/2030 144A 2013A C
549300BF3YFW8EHN6F75
Atrium XIII FRN 11/21/2030 144A 2013A C
04966HAG1
600000.00000000
PA
USD
572400.00000000
0.141078210955
Long
ABS-CBDO
CORP
KY
N
2
2030-11-21
Floating
3.73400000
N
N
N
N
N
N
N/A
N/A
USD_DKK_20200130
000000000
1.00000000
NC
USD
5527.82000000
0.001362430042
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
14138628.33000000
DKK
2131397.95000000
USD
2020-01-30
5527.82000000
N
N
N
N/A
N/A
BNP PARIBAS SA IRS PAY FIXED 2.79% 03/28/23 USD
000000000
-7900000.00000000
NC
USD
-344378.80000000
-0.08487831061
N/A
DIR
CORP
N/A
N
2
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
Y
2023-03-28
0.00000000
USD
0.00000000
USD
-7900000.00000000
USD
-344481.00000000
N
N
N
N/A
N/A
MCDX.NA.31 1.00% 12/20/2023 MCDX
000000000
7100000.00000000
NC
USD
125921.97000000
0.031035720208
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
MCDX.NA.31 1.00% 12/20/2023 MCDX
MCDNA331
Y
2023-12-20
0.00000000
USD
0.00000000
USD
7100000.00000000
USD
66416.90000000
N
N
N
N/A
N/A
USD_CAD_20200130
000000000
1.00000000
NC
USD
-10326.64000000
-0.00254518500
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1600000.00000000
CAD
1205572.76000000
USD
2020-01-30
-10326.64000000
N
N
N
AMERICAN AIRLINES PASS THROUGH TRUST 3.20% 12/15/2029
N/A
AMERICAN AIRLINES PASS THROUGH TRUST 3.20% 12/15/2029
023765AA8
43850.00000000
PA
USD
45454.70000000
0.011203123262
Long
ABS-O
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
N/A
N/A
HCA INC 5.00% 03/20/2022 CDS
000000000
-2050000.00000000
NC
USD
-243938.12000000
-0.06012290977
N/A
DCR
CORP
N/A
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
Y
2022-03-20
0.00000000
USD
0.00000000
USD
-2050000.00000000
USD
-64817.21000000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)Dec19 Dec 19 Future
000000000
-122.00000000
NC
USD
182500.00000000
0.044980386966
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Short
US 10YR NOTE (CBT)Dec19 Dec 19 Future
US 10YR NOTE (CBT)Dec19 Dec 19 Future
2019-12-19
-16078718.75000000
USD
182332.86000000
N
N
N
FEDEX CORP 3.20% 02/01/2025
549300E707U7WNPZN687
FEDEX CORP 3.20% 02/01/2025
31428XBC9
850000.00000000
PA
USD
883626.66000000
0.217785584111
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.20000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 10/25/2029 2017-C03 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 10/25/2029 2017-C03 1M2
30711XJX3
2780000.00000000
PA
USD
2895936.56000000
0.713755326565
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Floating
4.82275000
N
N
N
N
N
N
Neuberger Berman Loan Advisers CLO 32 Ltd FRN 01/19/2032 2019-32A D 144A
5493007YBEOXQIHH3C54
Neuberger Berman Loan Advisers CLO 32 Ltd FRN 01/19/2032 2019-32A D 144A
64132DAG3
710526.00000000
PA
USD
694240.74000000
0.171108039084
Long
ABS-CBDO
CORP
KY
N
2
2032-01-19
Floating
5.81588000
N
N
N
N
N
N
BANK OF AMERICA CORP 3.55% 03/05/2024 FIXED TO FLOAT
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.55% 03/05/2024 FIXED TO FLOAT
06051GHF9
1400000.00000000
PA
USD
1459801.11000000
0.359794075733
Long
DBT
CORP
US
N
2
2024-03-05
Variable
3.55000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2024 2014-C02 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2024 2014-C02 2M2
30711XAH7
2360033.19300000
PA
USD
2441784.27000000
0.601821377273
Long
ABS-CBDO
CORP
US
N
2
2024-05-25
Floating
4.42275000
N
N
N
N
N
N
N/A
N/A
JPMORGAN CHASE BANK NA TRS RCV MARKIT IBOXX US PAY US0003M 12/20/19
000000000
3330000.00000000
NC
USD
27055.10000000
0.006668212972
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2019-12-20
0.00000000
USD
0.00000000
USD
3330000.00000000
USD
27055.10000000
N
N
N
EXPORT-IMPORT BANK OF CHINA 3.625% 07/31/2024 144A
300300C1020211000045
EXPORT-IMPORT BANK OF CHINA 3.625% 07/31/2024 144A
30216HAD1
2100000.00000000
PA
USD
2217726.00000000
0.546598211862
Long
DBT
NUSS
CN
N
2
2024-07-31
Fixed
3.62500000
N
N
N
N
N
N
N/A
N/A
BARCLAYS BANK PLC CDX.NA.IG.32 PAYER SWAPTION STRIKE 60 11/20/19
000000000
11250000.00000000
NC
USD
1732.50000000
0.000427005591
N/A
DCR
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
N/A
N/A
CDX.NA.IG.32 1.00% 06/20/2024 CDX *UNDERLYING PURPOSE*
N/A
CDX.NA.IG.32 1.00% 06/20/2024 CDX *UNDERLYING PURPOSE*
N/A
N/A
NC
N/A
N/A
N/A
DCR
US
US
CDX.NA.IG.32 UNITED STATES INDEX
N/A
2024-06-20
N/A
N/A
N/A
N/A
N/A
N/A
1.00000000
60.00000000
USD
2019-11-20
XXXX
-24705.00000000
N
N
N
CONSECO FINANCE SECURITIZATIONS CORP FRN 03/01/2033 2002-2 M1
N/A
CONSECO FINANCE SECURITIZATIONS CORP FRN 03/01/2033 2002-2 M1
20846QJY5
53252.61000000
PA
USD
57829.93000000
0.014253219888
Long
ABS-CBDO
CORP
US
N
2
2033-03-01
Variable
7.42400000
N
N
N
N
N
N
INDUSTRIAL & COMMERCIAL BANK OF CHINA LTD NEW YO 2.452% 10/20/2021
5493002ERZU2K9PZDL40
INDUSTRIAL & COMMERCIAL BANK OF CHINA LTD NEW YO 2.452% 10/20/2021
45580KAG3
1900000.00000000
PA
USD
1901396.50000000
0.468633152581
Long
DBT
CORP
CN
N
2
2021-10-20
Fixed
2.45200000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA CCS RV USD 3M+ 1.894% PY EUR 1.5% 05/04/21
000000000
2460000.00000000
NC
USD
239207.28000000
0.058956909695
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-05-04
0.00000000
USD
0.00000000
USD
2460000.00000000
USD
239207.28000000
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
120000.00000000
NC
USD
-71278.13000000
-0.01756776914
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
65933.33000000
USD
120000.00000000
USD
-6552.75000000
N
N
N
Madison Park Funding XIV Ltd FRN 10/22/2030 2014-14A BRR 144A
N/A
Madison Park Funding XIV Ltd FRN 10/22/2030 2014-14A BRR 144A
55818RBA3
1500000.00000000
PA
USD
1489485.00000000
0.367110200987
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
3.65325000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 10/25/2024 2014-HQ3 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 10/25/2024 2014-HQ3 M3
3137G0DF3
215043.87300000
PA
USD
227831.33000000
0.056153103487
Long
ABS-CBDO
CORP
US
N
2
2024-10-25
Floating
6.57275000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20191112
000000000
1.00000000
NC
USD
3781.73000000
0.000932074952
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
300000.00000000
EUR
338631.00000000
USD
2019-11-12
3781.73000000
N
N
N
N/A
N/A
IDR_USD_20191121
000000000
1.00000000
NC
USD
30724.41000000
0.007572580006
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1156234.89000000
USD
16736500000.00000000
IDR
2019-11-21
30724.41000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2024 2014-C01 M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2024 2014-C01 M2
30711XAD6
3231872.98000000
PA
USD
3508175.50000000
0.864652556356
Long
ABS-CBDO
CORP
US
N
2
2024-01-25
Floating
6.22275000
N
N
N
N
N
N
ICBCIL Finance Co Ltd 2.5% 09/29/2021 144A
549300ZCUURSNVTOEU07
ICBCIL Finance Co Ltd 2.5% 09/29/2021 144A
44931DAK9
500000.00000000
PA
USD
497350.00000000
0.122580797027
Long
DBT
CORP
HK
N
2
2021-09-29
Fixed
2.50000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST FRN 04/25/2056 144A 2016-3 A1
N/A
TOWD POINT MORTGAGE TRUST FRN 04/25/2056 144A 2016-3 A1
89172YAA8
1425715.42000000
PA
USD
1426164.38000000
0.351503702409
Long
ABS-CBDO
CORP
US
N
2
2056-04-25
Variable
2.25000000
N
N
N
N
N
N
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE FRN 9/6/2038 2016-NINE A 144A
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE FRN 9/6/2038 2016-NINE A 144A
46646GAA5
600000.00000000
PA
USD
619746.24000000
0.152747538060
Long
ABS-CBDO
CORP
US
N
2
2038-09-06
Variable
2.85410000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA 5.00% 06/15/2045
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.00% 06/15/2045
195325CU7
1200000.00000000
PA
USD
1400712.00000000
0.345230508427
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
USD_CAD_20200316
000000000
1.00000000
NC
USD
-13664.29000000
-0.00336780850
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
3770000.00000000
CAD
2851265.30000000
USD
2020-03-16
-13664.29000000
N
N
N
N/A
N/A
CITIBANK NA CCS RV USD 3M+ 1.81% PY EUR 1.12% 08/12/21
000000000
1568000.00000000
NC
USD
18292.06000000
0.004508405135
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-08-12
0.00000000
USD
0.00000000
USD
1568000.00000000
USD
18292.06000000
N
N
N
N/A
N/A
CITIBANK NA TRS RCV EURIBOR 3 MONTH PAY 12/20/19
000000000
2250000.00000000
NC
-10812.13000000
-0.00266484269
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
IBOXX EURO CORPORATES OVERALL TOTAL RETURN INDEX
Y
2019-12-20
-693.00000000
USD
0.00000000
USD
2250000.00000000
EUR
-10812.13000000
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2.959% 12/10/2030 144A 2012-PARK A
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2.959% 12/10/2030 144A 2012-PARK A
05524UAA7
100000.00000000
PA
USD
102923.60000000
0.025367360854
Long
ABS-CBDO
CORP
US
N
2
2030-12-10
Fixed
2.95900000
N
N
N
N
N
N
BANCO BPM SPA 0.75% 03/31/2023 REG S
815600E4E6DCD2D25E30
BANCO BPM SPA 0.75% 03/31/2023 REG S
T1R733LZ4
1700000.00000000
PA
1926564.29000000
0.474836204270
Long
DBT
CORP
IT
N
2
2022-03-31
Fixed
0.75000000
N
N
N
N
N
N
Mill City Mortgage Loan Trust 2018-4 FRN 04/25/2066 2018-4 A1B 144A
N/A
Mill City Mortgage Loan Trust 2018-4 FRN 04/25/2066 2018-4 A1B 144A
59980YAB1
1660000.00000000
PA
USD
1713352.12000000
0.422286254064
Long
ABS-CBDO
CORP
US
N
2
2066-04-25
Variable
3.50000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200313
000000000
1.00000000
NC
USD
3247.07000000
0.000800298438
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
445161.65000000
USD
48000000.00000000
JPY
2020-03-13
3247.07000000
N
N
N
TORONTO-DOMINION BANK 2.25% 03/15/2022 144A
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK 2.25% 03/15/2022 144A
8911457V0
200000.00000000
PA
USD
201238.25000000
0.049598763602
Long
DBT
CORP
CA
N
2
2021-03-15
Fixed
2.25000000
N
N
N
N
N
N
SINOPEC GROUP OVERSEAS DEVELOPMENT 2015 LTD 2.50% 04/28/2020 144A
5299002Z28NLP3WPFH36
SINOPEC GROUP OVERSEAS DEVELOPMENT 2015 LTD 2.50% 04/28/2020 144A
82938BAB6
1800000.00000000
PA
USD
1802331.00000000
0.444216689430
Long
DBT
CORP
VG
N
2
2020-04-28
Fixed
2.50000000
N
N
N
N
N
N
Antares CLO 2018-1 Ltd FRN 04/20/2031 2018-1A B 144A
N/A
Antares CLO 2018-1 Ltd FRN 04/20/2031 2018-1A B 144A
03665MAC5
600000.00000000
PA
USD
584748.00000000
0.144121596261
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
3.61588000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200129
000000000
1.00000000
NC
USD
-29508.76000000
-0.00727296133
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
2042138.01000000
USD
216000000.00000000
JPY
2020-01-29
-29508.76000000
N
N
N
Carlyle GMS Finance MM CLO 2015-1 LLC FRN 10/15/2031 2015-1A A2R 144A
N/A
Carlyle GMS Finance MM CLO 2015-1 LLC FRN 10/15/2031 2015-1A A2R 144A
14310QAG3
800000.00000000
PA
USD
793560.00000000
0.195587045922
Long
ABS-CBDO
CORP
US
N
2
2031-10-15
Floating
4.20088000
N
N
N
N
N
N
EDF SA 5.625% 7/22/2167144A PERP
549300X3UK4GG3FNMO06
EDF SA 5.625% 7/22/2167144A PERP
268317AM6
2200000.00000000
PA
USD
2312541.00000000
0.569967063315
Long
DBT
CORP
FR
N
2
N/A
Variable
5.62500000
N
N
N
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL CDX.NA.HY.32 PAYER SWPTN STRK 102.50 12/18/19
000000000
-3750000.00000000
NC
USD
-3363.53000000
-0.00082900208
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
N/A
N/A
CDX.NA.HY.32 5.00% 06/20/2024 CDX *UNDERLYING PURPOSE*
N/A
CDX.NA.HY.32 5.00% 06/20/2024 CDX *UNDERLYING PURPOSE*
N/A
N/A
NC
N/A
N/A
N/A
DCR
US
US
CDX.NA.HY.32 UNITED STATES INDEX
N/A
2024-06-20
N/A
N/A
N/A
N/A
N/A
N/A
0.00000000
102.50000000
USD
2019-12-18
XXXX
10001.47000000
N
N
N
N/A
N/A
NOK_USD_20200130
000000000
1.00000000
NC
USD
-28557.95000000
-0.00703861721
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
811871.36000000
USD
7200000.00000000
NOK
2020-01-30
-28557.95000000
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 3.218% 04/14/2033 2015-200P A 144A
549300UQK6PJ8BF5JQ90
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 3.218% 04/14/2033 2015-200P A 144A
05526QAA4
600000.00000000
PA
USD
632207.64000000
0.155818872822
Long
ABS-CBDO
CORP
US
N
2
2033-04-14
Fixed
3.21800000
N
N
N
N
N
N
ARES LII CLO Ltd FRN 04/22/2031 144A 52A D
N/A
ARES LII CLO Ltd FRN 04/22/2031 144A 52A D
04009AAJ9
851852.00000000
PA
USD
840139.04000000
0.207067282874
Long
ABS-CBDO
CORP
US
N
2
2031-04-22
Floating
5.90325000
N
N
N
N
N
N
N/A
N/A
BOYD GAMING CORP 5.00% 06/20/2022 CDS
000000000
-500000.00000000
NC
USD
-64304.31000000
-0.01584894656
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2022-06-20
0.00000000
USD
0.00000000
USD
-500000.00000000
USD
-14379.02000000
N
N
N
Atrium XIII FRN 11/21/2030 144A 2013-A B
549300BF3YFW8EHN6F75
Atrium XIII FRN 11/21/2030 144A 2013-A B
04966HAE6
2000000.00000000
PA
USD
1977000.00000000
0.487266986476
Long
ABS-CBDO
CORP
KY
N
2
2030-11-21
Floating
3.43400000
N
N
N
N
N
N
N/A
N/A
AMERICAN TOWER CORP 1.00% 03/20/2021 CDS
000000000
100000.00000000
NC
USD
314.07000000
0.000077408165
N/A
DCR
CORP
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2021-03-20
0.00000000
USD
1584.46000000
USD
100000.00000000
USD
833.04000000
N
N
N
N/A
N/A
NOK_USD_20200130
000000000
1.00000000
NC
USD
-10305.02000000
-0.00253985636
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1217913.20000000
USD
11100000.00000000
NOK
2020-01-30
-10305.02000000
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 04/25/2030 2017-HQA3 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 04/25/2030 2017-HQA3 M2
3137G0RL5
250000.00000000
PA
USD
253534.10000000
0.062488010559
Long
ABS-CBDO
CORP
US
N
2
2030-04-25
Floating
4.17275000
N
N
N
N
N
N
N/A
N/A
DEUTSCHE BANK AG IRS RCV FIXED 2.765% 08/26/24 CNY
000000000
13700000.00000000
NC
-29727.38000000
-0.00732684414
N/A
DIR
CORP
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Y
2024-08-26
0.00000000
USD
0.00000000
USD
13700000.00000000
CNY
-29920.63000000
N
N
N
N/A
N/A
DEUTSCHE BANK AG IIS RCV INFL CPURNSA 09/20/26 USD
000000000
5200000.00000000
NC
USD
-299848.54000000
-0.07390303211
N/A
DIR
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG IIS RCV INFL CPURNSA 09/20/26 USD
CPURNSA
Y
2026-09-20
0.00000000
USD
0.00000000
USD
5200000.00000000
USD
-299977.70000000
N
N
N
Republic of Belarus International Bond 7.625% 06/29/2027 144A
635400CVCOWYLHF4ZB08
Republic of Belarus International Bond 7.625% 06/29/2027 144A
07737JAA1
200000.00000000
PA
USD
230250.00000000
0.056749227939
Long
DBT
NUSS
BY
N
2
2027-06-29
Fixed
7.62500000
N
N
N
N
N
N
N/A
N/A
JPMORGAN CHASE BANK NA IIS RCV INFL CPURNSA 08/14/26 USD
000000000
2050000.00000000
NC
USD
-9879.83000000
-0.00243506069
N/A
DIR
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA IIS RCV INFL CPURNSA 08/14/26 USD
CPURNSA
Y
2026-08-14
0.00000000
USD
0.00000000
USD
2050000.00000000
USD
-10073.73000000
N
N
N
N/A
N/A
EURO-BOBL FUTURE Dec19 Dec 19 Future
000000000
-40.00000000
NC
68702.48000000
0.016932954169
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Short
EURO-BOBL FUTURE Dec19 Dec 19 Future
EURO-BOBL FUTURE Dec19 Dec 19 Future
2019-12-06
-5446400.00000000
EUR
68669.35000000
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 3.5761% 03/17/2049 2016-C1 A5
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 3.5761% 03/17/2049 2016-C1 A5
46645LAY3
1500000.00000000
PA
USD
1611777.00000000
0.397251250208
Long
ABS-CBDO
CORP
US
N
2
2049-03-15
Fixed
3.57610000
N
N
N
N
N
N
N/A
N/A
NAVIENT CORP 5.00% 03/20/2020 CDS
000000000
-2460000.00000000
NC
USD
-59064.14000000
-0.01455741300
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2020-03-20
0.00000000
USD
0.00000000
USD
-2460000.00000000
USD
-21284.79999999
N
N
N
Dryden 38 Senior Loan Fund FRN 07/15/2030 2015-38A CR 144A
549300ARO9JRDQL4OE07
Dryden 38 Senior Loan Fund FRN 07/15/2030 2015-38A CR 144A
26249QAW8
2500000.00000000
PA
USD
2398175.00000000
0.591073093219
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
4.00088000
N
N
N
N
N
N
SOUTH AFRICA REPUBLIC OF 7.00% 02/28/2031
549300KEVMSOSY8T8R35
SOUTH AFRICA REPUBLIC OF 7.00% 02/28/2031
S69124NF8
11100000.00000000
PA
612881.77000000
0.151055666734
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
7.00000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL FRN 10/15/2036 144A 2019-XL A
N/A
BX Commercial Mortgage Trust 2019-XL FRN 10/15/2036 144A 2019-XL A
056054AA7
3850000.00000000
PA
USD
3859787.86000000
0.951313707123
Long
ABS-CBDO
CORP
US
N
2
2036-10-15
Floating
2.92000000
N
N
N
N
N
N
N/A
N/A
BNP PARIBAS SA TRS PAY IBOXX USD LIQUI RCV US0003M 12/20/19
000000000
-1700000.00000000
NC
USD
-733.76000000
-0.00018084826
N/A
DCR
CORP
N/A
N
2
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
Y
2019-12-20
-2646.94000000
USD
0.00000000
USD
-1700000.00000000
USD
-733.76000000
N
N
N
N/A
N/A
AES CORP 5.00% 03/20/2021 CDS
000000000
-2750000.00000000
NC
USD
-199068.06000000
-0.04906388148
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-03-20
0.00000000
USD
0.00000000
USD
-2750000.00000000
USD
-35848.85000000
N
N
N
N/A
N/A
BNP PARIBAS BESPOKE BORDEAUX 6/20/20 7-10% TRANC 2.10% 06/20/2020 CDX
000000000
300000.00000000
NC
USD
3570.10000000
0.000879914956
N/A
DCR
N/A
N
2
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
N/A
N/A
BNP PARIBAS BESPOKE BORDEAUX 6/20/20 7-10% TRANCHE
Y
2020-06-20
0.00000000
USD
0.00000000
USD
300000.00000000
USD
3570.10000000
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 05/25/2028 2015-HQA2 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 05/25/2028 2015-HQA2 M2
3137G0HF9
128978.34400000
PA
USD
129736.29000000
0.031975827549
Long
ABS-CBDO
CORP
US
N
2
2028-05-25
Floating
4.62275000
N
N
N
N
N
N
CITIZENS PPTY INS CORP FLA
254900K60HH43SRST947
CITIZENS PPTY INS CORP FLA
176553HA6
125000.00000000
PA
USD
134655.00000000
0.033188131544
Long
DBT
MUN
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200130
000000000
1.00000000
NC
USD
706.21000000
0.000174058077
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1790138.76000000
EUR
2010078.79000000
USD
2020-01-30
706.21000000
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 05/25/2028 2015-HQA2 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 05/25/2028 2015-HQA2 M3
3137G0HJ1
2000000.00000000
PA
USD
2140135.20000000
0.527474572360
Long
ABS-CBDO
CORP
US
N
2
2028-05-25
Floating
6.62275000
N
N
N
N
N
N
N/A
N/A
NABORS INDUSTRIES INC 1.00% 12/20/2021 CDS
000000000
-485000.00000000
NC
USD
58081.43000000
0.014315206558
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
-18558.66000000
USD
0.00000000
USD
-485000.00000000
USD
44912.54000000
N
N
N
Baidu Inc 4.375% 05/14/2024
254900AL64IANZYI1E02
Baidu Inc 4.375% 05/14/2024
056752AM0
500000.00000000
PA
USD
534520.00000000
0.131742007896
Long
DBT
CORP
KY
N
2
2024-05-14
Fixed
4.37500000
N
N
N
N
N
N
TCI-Flatiron Clo 2017-1 Ltd FRN 11/17/30 2017-1A B 144A
N/A
TCI-Flatiron Clo 2017-1 Ltd FRN 11/17/30 2017-1A B 144A
87231BAE3
2000000.00000000
PA
USD
1953120.00000000
0.481381333650
Long
ABS-CBDO
CORP
KY
N
2
2030-11-18
Floating
3.68375000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST FRN 11/25/2057 144A 2015-2 2A1
N/A
TOWD POINT MORTGAGE TRUST FRN 11/25/2057 144A 2015-2 2A1
89171YAY7
220328.78500000
PA
USD
222715.03000000
0.054892099904
Long
ABS-CBDO
CORP
US
N
2
2057-11-25
Variable
3.75000000
N
N
N
N
N
N
Indonesia Government International Bond 4.35% 01/08/2027 144A
529900FWX0GRR7WG5W79
Indonesia Government International Bond 4.35% 01/08/2027 144A
455780BX3
300000.00000000
PA
USD
327637.50000000
0.080752117997
Long
DBT
NUSS
ID
N
2
2027-01-08
Fixed
4.35000000
N
N
N
N
N
N
N/A
N/A
MORGAN STANLEY BESPOKE PECAN 12/20/21 5-10% MEZZ 4.10% 12/20/2021 CDX
000000000
800000.00000000
NC
USD
23786.12000000
0.005862514422
N/A
DCR
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
N/A
N/A
MORGAN STANLEY BESPOKE PECAN 12/20/21 5-10% MEZZ T
Y
2021-12-20
0.00000000
USD
0.00000000
USD
800000.00000000
USD
23786.12000000
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 08/25/2024 14-DN3 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 08/25/2024 14-DN3 M3
3137G0BK4
1874074.86600000
PA
USD
1978291.79000000
0.487585371211
Long
ABS-CBDO
CORP
US
N
2
2024-08-25
Floating
5.82275000
N
N
N
N
N
N
Armada Euro CLO IV DAC FRN 07/15/2033 144A 4A B
549300DE6MWQ8YQI0O46
Armada Euro CLO IV DAC FRN 07/15/2033 144A 4A B
BCC2LRFY3
1700000.00000000
PA
1896010.09000000
0.467305575560
Long
ABS-CBDO
CORP
IE
N
2
2033-07-15
Floating
1.70000000
N
N
N
N
N
N
N/A
N/A
USD_MXN_20200130
000000000
1.00000000
NC
USD
6413.89000000
0.001580817831
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
25008000.00000000
MXN
1288175.75000000
USD
2020-01-30
6413.89000000
N
N
N
BANQUE CENTRALE DE TUNISIE INTERNATIONAL BOND 5.625% 02/17/2024 REG S
254900B5LFB16S9T2T11
BANQUE CENTRALE DE TUNISIE INTERNATIONAL BOND 5.625% 02/17/2024 REG S
000000000
1400000.00000000
PA
1530449.31000000
0.377206587374
Long
DBT
NUSS
TN
N
2
2024-02-17
Fixed
5.62500000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 3.8218% 07/15/2048 2015-C30 A5
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 3.8218% 07/15/2048 2015-C30 A5
46644UBA5
1500000.00000000
PA
USD
1626467.10000000
0.400871887921
Long
ABS-CBDO
CORP
US
N
2
2048-07-15
Fixed
3.82180000
N
N
N
N
N
N
Dryden 45 Senior Loan Fund FRN 10/15/2030 2016-45A CR 144A
54930046L20VLJKPVV31
Dryden 45 Senior Loan Fund FRN 10/15/2030 2016-45A CR 144A
26244MAS1
1250000.00000000
PA
USD
1230237.50000000
0.303214020878
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
4.20088000
N
N
N
N
N
N
FLAGSHIP CLO VIII LTD FRN 01/16/2026 2014-8A CRR 144A
N/A
FLAGSHIP CLO VIII LTD FRN 01/16/2026 2014-8A CRR 144A
338422AU2
1400000.00000000
PA
USD
1375654.00000000
0.339054516446
Long
ABS-CBDO
CORP
KY
N
2
2026-01-16
Floating
3.80088000
N
N
N
N
N
N
N/A
N/A
SPAIN GOVERNMENT INTERNATIONAL BOND 1.00% 12/20/2024 CDS
000000000
1100000.00000000
NC
USD
36162.83000000
0.008912975820
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2024-12-20
0.00000000
USD
0.00000000
USD
1100000.00000000
USD
3986.62000000
N
N
N
N/A
N/A
ENERGY TRANSFER LP 5.00% 12/20/2020 CDS
000000000
-750000.00000000
NC
USD
-45652.21000000
-0.01125180313
N/A
DCR
CORP
N/A
N
2
MORGAN STANLEY & CO INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2020-12-20
0.00000000
USD
0.00000000
USD
-750000.00000000
USD
-9697.95000000
N
N
N
N/A
N/A
DEUTSCHE BANK AG IRS RCV FIXED 2.79% 08/30/24 CNY
000000000
21500000.00000000
NC
-44228.07000000
-0.01090079837
N/A
DIR
CORP
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Y
2024-08-30
0.00000000
USD
0.00000000
USD
21500000.00000000
CNY
-44421.48000000
N
N
N
TEAYS VALLEY OHIO LOC SCH DIST
N/A
TEAYS VALLEY OHIO LOC SCH DIST
878198HD5
100000.00000000
PA
USD
109759.00000000
0.027052067358
Long
DBT
MUN
US
N
2
2026-12-01
Fixed
4.00000000
N
N
N
N
N
N
Euro-Galaxy V CLO BV FRN 11/10/2030 144A 2016-5A BR
724500O6SPJ0UVQ6DN40
Euro-Galaxy V CLO BV FRN 11/10/2030 144A 2016-5A BR
BCC2KRYS6
1400000.00000000
PA
1561420.08000000
0.384839887205
Long
ABS-CBDO
CORP
NL
N
2
2030-11-10
Floating
1.60000000
N
N
N
N
N
N
N/A
N/A
ITALY GOVERNMENT INTERNATIONAL BOND 1.00% 06/20/2023 CDS
000000000
-700000.00000000
NC
USD
-10810.01000000
-0.00266432018
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2023-06-20
-6893.07000000
USD
0.00000000
USD
-700000.00000000
USD
-16355.69000000
N
N
N
OCTAGON INVESTMENT PARTNERS XXIII LTD FRN 07/15/2027 2015-1A DR 144
549300EY2ULL20U3RR38
OCTAGON INVESTMENT PARTNERS XXIII LTD FRN 07/15/2027 2015-1A DR 144
67590WCN2
300000.00000000
PA
USD
292137.00000000
0.072002385244
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
4.55088000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2029 2017-C01 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2029 2017-C01 1M2
30711XEP5
890000.00000000
PA
USD
932663.93000000
0.229871695784
Long
ABS-CBDO
CORP
US
N
2
2029-07-25
Floating
5.37275000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2029 2017-C01 1B1
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2029 2017-C01 1B1
30711XEQ3
33000.00000000
PA
USD
38823.89000000
0.009568841620
Long
ABS-CBDO
CORP
US
N
2
2029-07-25
Floating
7.57275000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 10/25/2027 2015-DNA1 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 10/25/2027 2015-DNA1 M3
3137G0EW5
2000000.00000000
PA
USD
2127843.80000000
0.524445137136
Long
ABS-CBDO
CORP
US
N
2
2027-10-25
Floating
5.12275000
N
N
N
N
N
N
NAVIENT CORP 8.00% 03/25/2020
54930067J0ZNOEBRW338
NAVIENT CORP 8.00% 03/25/2020
78442FEJ3
4660000.00000000
PA
USD
4770675.00000000
1.175818123778
Long
DBT
CORP
US
N
2
2020-03-25
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE BOULDER PORTFOLIO CDX INDEX 1.18% 12/20/2019 CDX
000000000
3000000.00000000
NC
USD
4527.72000000
0.001115937521
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE BOULDER PORTFOLIO CDX INDEX
Y
2019-12-20
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
4527.72000000
N
N
N
Mill City Mortgage Loan Trust 2017-1 FRN 11/25/2058 2017-1 A1 144A
N/A
Mill City Mortgage Loan Trust 2017-1 FRN 11/25/2058 2017-1 A1 144A
59981HAA9
989495.59600000
PA
USD
998068.68000000
0.245991865452
Long
ABS-CBDO
CORP
US
N
2
2058-11-25
Variable
2.75000000
N
N
N
N
N
N
Towd Point Mortgage Trust 3% 10/25/2053 144A 2015-1 AE
N/A
Towd Point Mortgage Trust 3% 10/25/2053 144A 2015-1 AE
89171DBH9
406715.27200000
PA
USD
409623.61000000
0.100959060209
Long
ABS-CBDO
CORP
US
N
2
2053-10-25
Fixed
3.00000000
N
N
N
N
N
N
Octagon Investment Partners 33 Ltd FRN 01/20/2031 144A 2017-1A A2
549300IDWDG12HO3TO90
Octagon Investment Partners 33 Ltd FRN 01/20/2031 144A 2017-1A A2
675711AC9
2000000.00000000
PA
USD
1963980.00000000
0.484057974760
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
3.46588000
N
N
N
N
N
N
KAZAKHSTAN GOVERNMENT INTERNATIONAL BOND 4.875% 10/14/2044 144A
5493007OEK8EF02UO833
KAZAKHSTAN GOVERNMENT INTERNATIONAL BOND 4.875% 10/14/2044 144A
486661AF8
1100000.00000000
PA
USD
1341373.00000000
0.330605351265
Long
DBT
NUSS
KZ
N
2
2044-10-14
Fixed
4.87500000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20191213
000000000
1.00000000
NC
USD
39014.52000000
0.009615825791
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
800000.00000000
EUR
934000.00000000
USD
2019-12-13
39014.52000000
N
N
N
N/A
N/A
US 10yr Ultra Fut Dec19 Dec 19 Future
000000000
-103.00000000
NC
USD
211174.74000000
0.052047789165
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Short
US 10yr Ultra Fut Dec19 Dec 19 Future
US 10yr Ultra Fut Dec19 Dec 19 Future
2019-12-19
-14848440.37000000
USD
211033.63000000
N
N
N
REPUBLIC OF COLOMBIA 9.85% 06/28/2027
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 9.85% 06/28/2027
P3772NBA9
1935000000.00000000
PA
719777.04000000
0.177401916649
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
BlueMountain CLO XXIV Ltd FRN 04/20/2031 144A 2019-24A A2
N/A
BlueMountain CLO XXIV Ltd FRN 04/20/2031 144A 2019-24A A2
09609NAC9
1562500.00000000
PA
USD
1558078.13000000
0.384016203895
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
3.56588000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 11/25/2028 2016-HQA2 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 11/25/2028 2016-HQA2 M3
3137G0KE8
2000000.00000000
PA
USD
2195025.20000000
0.541003193952
Long
ABS-CBDO
CORP
US
N
2
2028-11-25
Floating
6.97275000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 11/25/2029 2017-C04 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 11/25/2029 2017-C04 2M2
30711XLT9
570000.00000000
PA
USD
586808.73000000
0.144629500002
Long
ABS-CBDO
CORP
US
N
2
2029-11-25
Floating
4.67275000
N
N
N
N
N
N
Towd Point Mortgage Trust 2017-4 FRN 06/25/2057 2017-4 A1 144A
N/A
Towd Point Mortgage Trust 2017-4 FRN 06/25/2057 2017-4 A1 144A
89173UAA5
1986734.18400000
PA
USD
2015812.42000000
0.496833001110
Long
ABS-CBDO
CORP
US
N
2
2057-06-25
Variable
2.75000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 05/25/2025 2015-HQ2 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 05/25/2025 2015-HQ2 M3
3137G0FJ3
1500000.00000000
PA
USD
1568548.20000000
0.386596739786
Long
ABS-CBDO
CORP
US
N
2
2025-05-25
Floating
5.07275000
N
N
N
N
N
N
ISRAEL ELECTRIC CORP LTD 4.25% 08/14/2028 144A
254900JW7GE35YNJGJ55
ISRAEL ELECTRIC CORP LTD 4.25% 08/14/2028 144A
465077AL9
1400000.00000000
PA
USD
1527379.00000000
0.376449854596
Long
DBT
CORP
IL
N
2
2028-08-14
Fixed
4.25000000
N
N
N
N
N
N
AES Corp/VA 4% 03/15/2021
2NUNNB7D43COUIRE5295
AES Corp/VA 4% 03/15/2021
00130HBZ7
2750000.00000000
PA
USD
2801562.50000000
0.690495152656
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
4.00000000
N
N
N
N
N
N
Dunedin Park CLO DAC FRN 10/22/2032 144A 1A A2A
635400VZKZZW7P5TBL62
Dunedin Park CLO DAC FRN 10/22/2032 144A 1A A2A
000000000
800000.00000000
PA
884561.00000000
0.218015868904
Long
ABS-CBDO
CORP
IE
N
2
2032-10-22
Floating
1.75000000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20200128
000000000
1.00000000
NC
USD
-13852.79000000
-0.00341426769
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1500000.00000000
AUD
1022625.00000000
USD
2020-01-28
-13852.79000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 08/25/28 2016-C01 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 08/25/28 2016-C01 1M2
30711XBM5
2285044.19000000
PA
USD
2529856.51000000
0.623528355005
Long
ABS-CBDO
CORP
US
N
2
2028-08-25
Floating
8.57275000
N
N
N
N
N
N
N/A
N/A
DEUTSCHE BANK AG IRS RCV FIXED 2.7725% 08/23/24 CNY
000000000
17000000.00000000
NC
-36059.95000000
-0.00888761920
N/A
DIR
CORP
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Y
2024-08-23
0.00000000
USD
0.00000000
USD
17000000.00000000
CNY
-36252.89000000
N
N
N
Octagon Investment Partners 33 Ltd FRN 01/20/2031 144A 2017-1A B
549300IDWDG12HO3TO90
Octagon Investment Partners 33 Ltd FRN 01/20/2031 144A 2017-1A B
675711AE5
500000.00000000
PA
USD
477280.00000000
0.117634186801
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
3.81588000
N
N
N
N
N
N
COMM 2014-277P Mortgage Trust FRN 08/10/2049 2014-277P A 144A
N/A
COMM 2014-277P Mortgage Trust FRN 08/10/2049 2014-277P A 144A
12592FAA3
900000.00000000
PA
USD
961608.96000000
0.237005715785
Long
ABS-CBDO
CORP
US
N
2
2049-08-10
Variable
3.61130000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2025 2015-C01 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2025 2015-C01 2M2
30711XAV6
97184.42700000
PA
USD
100524.02000000
0.024775941473
Long
ABS-CBDO
CORP
US
N
2
2025-02-25
Floating
6.37275000
N
N
N
N
N
N
N/A
N/A
BOYD GAMING CORP 5.00% 06/20/2022 CDS
000000000
-25000.00000000
NC
USD
-3215.21000000
-0.00079244597
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2022-06-20
0.00000000
USD
0.00000000
USD
-25000.00000000
USD
-909.43000000
N
N
N
SAN JOSE CA REDEV AGY SUCCESSOR AGY TAX ALLOCATI
N/A
SAN JOSE CA REDEV AGY SUCCESSOR AGY TAX ALLOCATI
798170AK2
190000.00000000
PA
USD
203301.90000000
0.050107387029
Long
DBT
MUN
US
N
2
2027-08-01
Fixed
3.22600000
N
N
N
N
N
N
Jyske Realkredit A/S 1% 04/01/2026
529900R9HQNZRT2OXB26
Jyske Realkredit A/S 1% 04/01/2026
000000000
11290000.00000000
PA
1808949.92000000
0.445848040569
Long
DBT
CORP
DK
N
2
2026-04-01
Fixed
1.00000000
N
N
N
N
N
N
COLE PARK CLO LTD FRN 10/20/2028 15-1A BR 144A
N/A
COLE PARK CLO LTD FRN 10/20/2028 15-1A BR 144A
19329LAQ0
857143.00000000
PA
USD
851640.14000000
0.209901934537
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.56588000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE BOULDER 12/20/19 5-15% TRANCHE 1.24% 12/20/2019 CDX
000000000
1600000.00000000
NC
USD
3933.80000000
0.000969555321
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE BOULDER PORTFOLIO CDX INDEX
Y
2019-12-20
0.00000000
USD
0.00000000
USD
1600000.00000000
USD
3933.80000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2025 2015-C03 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2025 2015-C03 2M2
30711XBD5
565443.88400000
PA
USD
601502.58000000
0.148251061969
Long
ABS-CBDO
CORP
US
N
2
2025-07-25
Floating
6.82275000
N
N
N
N
N
N
UNITED MEXICAN STATES 4.15% 03/28/2027
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.15% 03/28/2027
91087BAC4
1600000.00000000
PA
USD
1715040.00000000
0.422702262259
Long
DBT
NUSS
MX
N
2
2027-03-28
Fixed
4.15000000
N
N
N
N
N
N
Blackrock European CLO IX DAC FRN 12/15/2032 144A 9A B
549300CTNII509TFCV23
Blackrock European CLO IX DAC FRN 12/15/2032 144A 9A B
BCC2LLUM5
1100000.00000000
PA
1226830.06000000
0.302374196386
Long
ABS-CBDO
CORP
IE
N
2
2032-12-15
Floating
1.55000000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE VERONA 12/20/19 7-15% TRANCHE 12/20/2019 CDX
000000000
280000.00000000
NC
USD
199.00000000
0.000049047106
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE VERONA DEC 19 CDX
Y
2019-12-20
0.00000000
USD
0.00000000
USD
280000.00000000
USD
199.00000000
N
N
N
BURNHAM PARK CLO LTD FRN 10/20/2029 144A 1A CR
549300BOEG5O4MSO7220
BURNHAM PARK CLO LTD FRN 10/20/2029 144A 1A CR
12232KAL4
2000000.00000000
PA
USD
1942360.00000000
0.478729339328
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
4.11588000
N
N
N
N
N
N
MORGAN STANLEY 3.70% 10/23/2024
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.70% 10/23/2024
61761JVL0
1400000.00000000
PA
USD
1489576.23000000
0.367132686251
Long
DBT
CORP
US
N
2
2024-10-23
Fixed
3.70000000
N
N
N
N
N
N
Octagon Investment Partners 33 Ltd FRN 01/20/2031 144A 2017-1A C
549300IDWDG12HO3TO90
Octagon Investment Partners 33 Ltd FRN 01/20/2031 144A 2017-1A C
675711AG0
250000.00000000
PA
USD
230862.50000000
0.056900189512
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
4.71588000
N
N
N
N
N
N
Bayer US Finance II LLC 3.875% 12/15/2023 144A
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC 3.875% 12/15/2023 144A
07274NAE3
400000.00000000
PA
USD
419257.95000000
0.103333615504
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.87500000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 10/25/2027 2015-DNA1 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 10/25/2027 2015-DNA1 M2
3137G0ET2
131418.90000000
PA
USD
132447.02000000
0.032643935408
Long
ABS-CBDO
CORP
US
N
2
2027-10-25
Floating
3.67275000
N
N
N
N
N
N
N/A
N/A
BNP PARIBAS SA TRS RCV IBOXX EURO CORP PAY EUR003M 12/20/19
000000000
3650000.00000000
NC
-6717.00000000
-0.00165552470
N/A
DCR
CORP
N/A
N
2
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
N/A
N/A
IBOXX EURO CORPORATES OVERALL TOTAL RETURN INDEX
Y
2019-12-20
-3068.84000000
USD
0.00000000
USD
3650000.00000000
EUR
-6717.00000000
N
N
N
Betony CLO 2 Ltd FRN 04/30/2031 2018-1A C 144A
N/A
Betony CLO 2 Ltd FRN 04/30/2031 2018-1A C 144A
08763QAG7
500000.00000000
PA
USD
452965.00000000
0.111641320449
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
4.83550000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC 3.35% 03/15/2023
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 3.35% 03/15/2023
29379VAZ6
850000.00000000
PA
USD
880962.71000000
0.217129006019
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.35000000
N
N
N
N
N
N
Dunedin Park CLO DAC FRN 10/22/2032 144A 1A A1
635400VZKZZW7P5TBL62
Dunedin Park CLO DAC FRN 10/22/2032 144A 1A A1
000000000
1600000.00000000
PA
1771524.37000000
0.436623844835
Long
ABS-CBDO
CORP
IE
N
2
2032-10-22
Floating
1.07000000
N
N
N
N
N
N
Harbor Park CLO Ltd FRN 01/20/2031 144A 1A D
N/A
Harbor Park CLO Ltd FRN 01/20/2031 144A 1A D
41154XAN5
1296296.00000000
PA
USD
1214110.83000000
0.299239314811
Long
ABS-CBDO
CORP
US
N
2
2031-01-20
Floating
4.86588000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 07/25/2029 2017-DNA1 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 07/25/2029 2017-DNA1 M2
3137G0MD8
2900000.00000000
PA
USD
3043170.10000000
0.750043664119
Long
ABS-CBDO
CORP
US
N
2
2029-07-25
Floating
5.07275000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 11/27/2028 2016-HQA2 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 11/27/2028 2016-HQA2 M2
3137G0KB4
213857.44000000
PA
USD
214956.22000000
0.052979802500
Long
ABS-CBDO
CORP
US
N
2
2028-11-25
Floating
4.07275000
N
N
N
N
N
N
Alinea CLO 2018-1 Ltd FRN 07/20/2031 2018-1A B 144A
N/A
Alinea CLO 2018-1 Ltd FRN 07/20/2031 2018-1A B 144A
016269AB8
2300000.00000000
PA
USD
2255495.00000000
0.555907056987
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
3.61588000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 03/25/2030 2017-DNA3 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 03/25/2030 2017-DNA3 M2
3137G0QQ5
2000000.00000000
PA
USD
2042273.60000000
0.503354831883
Long
ABS-CBDO
CORP
US
N
2
2030-03-25
Floating
4.32275000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE PALMA 06/21/20 5-7% TRANCHE 2.30% 06/20/2021 CDX
000000000
710000.00000000
NC
USD
10077.02000000
0.002483661693
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE PALMA 06/21/20 5-7% TRANCHE
Y
2021-06-20
0.00000000
USD
0.00000000
USD
710000.00000000
USD
10077.02000000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA 2.125% 11/26/2063 REG S
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI DI SIENA SPA 2.125% 11/26/2063 REG S
T1188BGJ9
2000000.00000000
PA
2418416.64000000
0.596062007191
Long
DBT
CORP
IT
N
2
2025-11-26
Fixed
2.12500000
N
N
N
N
N
N
BlueMountain EUR CLO FRN 01/15/2033 144A 5A B
N/A
BlueMountain EUR CLO FRN 01/15/2033 144A 5A B
BCC2LWND9
250000.00000000
PA
278825.01000000
0.068721407373
Long
ABS-CBDO
CORP
IE
N
2
2033-01-15
Floating
1.55000000
N
N
N
N
N
N
Madison Park Funding XXIX LTD FRN 10/18/2030 2018-29A 2A 144A
N/A
Madison Park Funding XXIX LTD FRN 10/18/2030 2018-29A 2A 144A
55820CAE5
1468182.00000000
PA
USD
1452310.95000000
0.357947991924
Long
ABS-CBDO
CORP
KY
N
2
2030-10-18
Floating
3.45325000
N
N
N
N
N
N
GS Mortgage Securities Trust 2.85% 10/10/2049
N/A
GS Mortgage Securities Trust 2.85% 10/10/2049
36251PAD6
600000.00000000
PA
USD
620050.68000000
0.152822572739
Long
ABS-CBDO
CORP
US
N
2
2049-10-10
Fixed
2.85000000
N
N
N
N
N
N
Towd Point Mortgage Trust 2018-2 FRN 03/25/2058 2018-2 A1 144A
N/A
Towd Point Mortgage Trust 2018-2 FRN 03/25/2058 2018-2 A1 144A
89175VAA1
250556.73900000
PA
USD
257147.26000000
0.063378538422
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Variable
3.25000000
N
N
N
N
N
N
N/A
N/A
CAN 10YR BOND FUT Dec19 Dec 19 Future
000000000
185.00000000
NC
-499043.30000000
-0.12299814107
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
CAN 10YR BOND FUT Dec19 Dec 19 Future
CAN 10YR BOND FUT Dec19 Dec 19 Future
2019-12-18
26934390.50000000
CAD
-499303.42000000
N
N
N
China Overseas Finance Cayman VII Ltd 4.25% 04/26/2023 REG S
3003003EQA2BE4U94Y86
China Overseas Finance Cayman VII Ltd 4.25% 04/26/2023 REG S
000000000
2500000.00000000
PA
USD
2626875.00000000
0.647440295954
Long
DBT
CORP
KY
N
2
2023-04-26
Fixed
4.25000000
N
N
N
N
N
N
CNPC GENERAL CAPITAL LTD 3.40% 04/16/2023 144A
N/A
CNPC GENERAL CAPITAL LTD 3.40% 04/16/2023 144A
12623TAE8
2100000.00000000
PA
USD
2164291.50000000
0.533428324260
Long
DBT
CORP
VG
N
2
2023-04-16
Fixed
3.40000000
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS XXIII LTD FRN 07/15/2027 2015-1A CR 144A
549300EY2ULL20U3RR38
OCTAGON INVESTMENT PARTNERS XXIII LTD FRN 07/15/2027 2015-1A CR 144A
67590WCL6
2000000.00000000
PA
USD
1970580.00000000
0.485684662727
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
3.85088000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC FRN 09/15/2020
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC FRN 09/15/2020
38141GVQ4
500000.00000000
PA
USD
504166.15000000
0.124260759025
Long
DBT
CORP
US
N
2
2020-09-15
Floating
3.31850000
N
N
N
N
N
N
Ares European CLO VIII BV FRN 04/17/2032 144A 8A AR
5493006IQ0ZKC87HH708
Ares European CLO VIII BV FRN 04/17/2032 144A 8A AR
000000000
2600000.00000000
PA
2899780.14000000
0.714702645555
Long
ABS-CBDO
CORP
NL
N
2
2032-04-17
Floating
0.92000000
N
N
N
N
N
N
N/A
N/A
BARCLAYS BANK PLC CDX.NA.IG.32 PAYER SWAPTION STRIKE 80 11/20/19
000000000
-11250000.00000000
NC
USD
-101.25000000
-0.00002495487
N/A
DCR
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
N/A
N/A
CDX.NA.IG.32 1.00% 06/20/2024 CDX *UNDERLYING PURPOSE*
N/A
CDX.NA.IG.32 1.00% 06/20/2024 CDX *UNDERLYING PURPOSE*
N/A
N/A
NC
N/A
N/A
N/A
DCR
US
US
CDX.NA.IG.32 UNITED STATES INDEX
N/A
2024-06-20
N/A
N/A
N/A
N/A
N/A
N/A
1.00000000
80.00000000
USD
2019-11-20
XXXX
9348.75000000
N
N
N
N/A
N/A
USD_EUR_20200130
000000000
1.00000000
NC
USD
2636.50000000
0.000649812549
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
200000.00000000
EUR
227130.00000000
USD
2020-01-30
2636.50000000
N
N
N
Wells Fargo Mortgage Backed Securities 2018-1 FRN 07/25/2047 2018-1 A3 144A
549300EZH20KSD9JD814
Wells Fargo Mortgage Backed Securities 2018-1 FRN 07/25/2047 2018-1 A3 144A
94989UAC5
781909.02000000
PA
USD
796665.21000000
0.196352380428
Long
ABS-CBDO
CORP
US
N
2
2047-07-25
Variable
3.50000000
N
N
N
N
N
N
Neuberger Berman Loan Advisers CLO 32 Ltd FRN 01/19/2032 144A 2019-32A B
5493007YBEOXQIHH3C54
Neuberger Berman Loan Advisers CLO 32 Ltd FRN 01/19/2032 144A 2019-32A B
64132DAC2
2800000.00000000
PA
USD
2792972.00000000
0.688377870386
Long
ABS-CBDO
CORP
KY
N
2
2032-01-19
Floating
3.81588000
N
N
N
N
N
N
Columbia Cent CLO 27 Ltd FRN 10/25/2028 2018-27A A2A 144A
N/A
Columbia Cent CLO 27 Ltd FRN 10/25/2028 2018-27A A2A 144A
19736RAE1
769231.00000000
PA
USD
762907.92000000
0.188032292937
Long
ABS-CBDO
CORP
KY
N
2
2028-10-25
Floating
3.53963000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20200109
000000000
1.00000000
NC
USD
-102002.78000000
-0.02514040830
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
6400000.00000000
AUD
4318624.00000000
USD
2020-01-09
-102002.78000000
N
N
N
TCI-Flatiron Clo 2017-1 Ltd FRN 11/17/30 2017-1A D 144A
N/A
TCI-Flatiron Clo 2017-1 Ltd FRN 11/17/30 2017-1A D 144A
87231BAJ2
250000.00000000
PA
USD
233057.50000000
0.057441186495
Long
ABS-CBDO
CORP
KY
N
2
2030-11-18
Floating
4.87375000
N
N
N
N
N
N
ORLANDO HEALTH INC 3.777% 10/01/2028
N/A
ORLANDO HEALTH INC 3.777% 10/01/2028
686514AE0
105000.00000000
PA
USD
113661.49000000
0.028013905771
Long
DBT
MUN
US
N
2
2028-10-01
Fixed
3.77700000
N
N
N
N
N
N
Realkredit Danmark A/S 1% 04/01/2027
549300NLOMBOWE943Y30
Realkredit Danmark A/S 1% 04/01/2027
000000000
6780000.00000000
PA
1090511.27000000
0.268775994057
Long
DBT
CORP
DK
N
2
2027-04-01
Fixed
1.00000000
N
N
N
N
N
N
BlueMountain CLO XXIV Ltd FRN 04/20/2031 2019-24A D 144A
N/A
BlueMountain CLO XXIV Ltd FRN 04/20/2031 2019-24A D 144A
09609NAJ4
1000000.00000000
PA
USD
989720.00000000
0.243934184044
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
5.86588000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 04/25/2029 2016-HQA4 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 04/25/2029 2016-HQA4 M2
3137G0LT4
513413.27000000
PA
USD
515217.46000000
0.126984551904
Long
ABS-CBDO
CORP
US
N
2
2029-04-25
Floating
3.12275000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 3.912% 09/09/2032 144A 2014-150E A
N/A
MORGAN STANLEY CAPITAL I TRUST 3.912% 09/09/2032 144A 2014-150E A
61764BAA1
450000.00000000
PA
USD
481781.07000000
0.118743555953
Long
ABS-CBDO
CORP
US
N
2
2032-09-09
Fixed
3.91200000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 08/25/2024 2014-HQ1 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 08/25/2024 2014-HQ1 M3
3137G0BW8
839910.62200000
PA
USD
887810.05000000
0.218816655350
Long
ABS-CBDO
CORP
US
N
2
2024-08-25
Floating
5.92275000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 10/25/2028 2016-DNA2 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 10/25/2028 2016-DNA2 M3
3137G0JU4
3552362.86000000
PA
USD
3810686.42000000
0.939211779606
Long
ABS-CBDO
CORP
US
N
2
2028-10-25
Floating
6.47275000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2029 2016-C04 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2029 2016-C04 1M2
30711XDA9
2000000.00000000
PA
USD
2113697.20000000
0.520958454713
Long
ABS-CBDO
CORP
US
N
2
2029-01-25
Floating
6.07275000
N
N
N
N
N
N
Energy Transfer Operating LP 7.5% 10/15/2020
5493008K8W3OKZE54J59
Energy Transfer Operating LP 7.5% 10/15/2020
29278NAK9
750000.00000000
PA
USD
787116.56000000
0.193998944965
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200129
000000000
1.00000000
NC
USD
-4039.56000000
-0.00099562176
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1032716.73000000
USD
110400000.00000000
JPY
2020-01-29
-4039.56000000
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 04/25/2028 2015-DNA3 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 04/25/2028 2015-DNA3 M3
3137G0GW3
2500000.00000000
PA
USD
2759254.50000000
0.680067589852
Long
ABS-CBDO
CORP
US
N
2
2028-04-25
Floating
6.52275000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 11/25/2024 2014-C04 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 11/25/2024 2014-C04 1M2
30711XAP9
2696277.45200000
PA
USD
2939352.80000000
0.724456034925
Long
ABS-CBDO
CORP
US
N
2
2024-11-25
Floating
6.72275000
N
N
N
N
N
N
Galaxy XXVII CLO Ltd FRN 05/16/2031 18-27A D 144A
549300GJYHKO4BDEN716
Galaxy XXVII CLO Ltd FRN 05/16/2031 18-27A D 144A
36320UAJ9
300000.00000000
PA
USD
268338.00000000
0.066136696316
Long
ABS-CBDO
CORP
KY
N
2
2031-05-16
Floating
4.91838000
N
N
N
N
N
N
Mill City Mortgage Loan Trust 2018-1 FRN 05/25/2062 2018-1 A1 144A
N/A
Mill City Mortgage Loan Trust 2018-1 FRN 05/25/2062 2018-1 A1 144A
59980VAA9
2584676.87100000
PA
USD
2652086.79000000
0.653654192229
Long
ABS-CBDO
CORP
US
N
2
2062-05-25
Variable
3.25000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA CCS RV USD 3M+ 1.334% PY EUR 1.12% 07/10/21
000000000
4256000.00000000
NC
USD
26330.24000000
0.006489558269
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-07-10
0.00000000
USD
0.00000000
USD
4256000.00000000
USD
26330.24000000
N
N
N
HSBC HOLDINGS PLC 4.30% 03/08/2026
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.30% 03/08/2026
404280AW9
800000.00000000
PA
USD
872488.00000000
0.215040262264
Long
DBT
CORP
GB
N
2
2026-03-08
Fixed
4.30000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 03/25/2029 2016-HQA3 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 03/25/2029 2016-HQA3 M2
3137G0KX6
1670560.57000000
PA
USD
1673976.53000000
0.412581436118
Long
ABS-CBDO
CORP
US
N
2
2029-03-25
Floating
3.17275000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200316
000000000
1.00000000
NC
USD
-541.19000000
-0.00013338594
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
120000.00000000
EUR
134526.00000000
USD
2020-03-16
-541.19000000
N
N
N
GOLDMAN SACHS GROUP INC 3.75% 05/22/2025
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC 3.75% 05/22/2025
38148LAE6
1000000.00000000
PA
USD
1061584.15000000
0.261646388296
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 10/25/23 2013-C01 M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 10/25/23 2013-C01 M2
30711XAB0
2643970.50000000
PA
USD
2914802.71000000
0.718405226442
Long
ABS-CBDO
CORP
US
N
2
2023-10-25
Floating
7.07275000
N
N
N
N
N
N
PERUVIAN GOVERNMENT INTERNATIONAL BOND 6.55% 03/14/2037
254900STKLK2DBJJZ530
PERUVIAN GOVERNMENT INTERNATIONAL BOND 6.55% 03/14/2037
715638AU6
400000.00000000
PA
USD
585104.00000000
0.144209338824
Long
ABS-O
USGA
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
Sequoia Mortgage Trust 2016-2 FRN 8/25/46 2016-2 A4 144A
549300F4LYZVC2F50F67
Sequoia Mortgage Trust 2016-2 FRN 8/25/46 2016-2 A4 144A
81746RAD1
1683239.99700000
PA
USD
1720829.10000000
0.424129089427
Long
ABS-CBDO
CORP
US
N
2
2046-08-25
Variable
3.50000000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE PHOENIX 12/20/21 5-7% TRANCHE 12/20/2021 CDX
000000000
700000.00000000
NC
USD
19129.18000000
0.004714728321
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE PHOENIX 12/20/21 5-7% TRANCHE
Y
2021-12-20
0.00000000
USD
0.00000000
USD
700000.00000000
USD
19129.18000000
N
N
N
Madison Park Funding XXXI Ltd FRN 01/23/2031 2018-31A C 144A
N/A
Madison Park Funding XXXI Ltd FRN 01/23/2031 2018-31A C 144A
55819DAJ5
1950000.00000000
PA
USD
1908601.50000000
0.470408953611
Long
ABS-CBDO
CORP
KY
N
2
2031-01-23
Floating
4.08400000
N
N
N
N
N
N
COLORADO ST BRD GOVERNORS UNIV ENTERPRISE SYS RE
N/A
COLORADO ST BRD GOVERNORS UNIV ENTERPRISE SYS RE
196707TH6
100000.00000000
PA
USD
119225.00000000
0.029385132252
Long
DBT
MUN
US
N
2
2025-03-01
Fixed
5.00000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC 4.45% 06/12/2025
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 4.45% 06/12/2025
761713BG0
100000.00000000
PA
USD
107410.19000000
0.026473161152
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
4.45000000
N
N
N
N
N
N
N/A
N/A
EUR_USD_20191213
000000000
1.00000000
NC
USD
-5396.81000000
-0.00133014028
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
117270.00000000
USD
100000.00000000
EUR
2019-12-13
-5396.81000000
N
N
N
N/A
N/A
CITIBANK NA IIS RCV INFL CPURNSA 09/18/24 USD
000000000
1770000.00000000
NC
USD
-35929.05000000
-0.00885535656
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA IIS RCV INFL CPURNSA 09/18/24 USD
CPURNSA
Y
2024-09-18
0.00000000
USD
42400.00000000
USD
1770000.00000000
USD
-36003.14000000
N
N
N
N/A
N/A
US 2YR NOTE (CBT) Dec19 Dec 19 Future
000000000
-64.00000000
NC
USD
44000.01000000
0.010844588911
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Short
US 2YR NOTE (CBT) Dec19 Dec 19 Future
US 2YR NOTE (CBT) Dec19 Dec 19 Future
2019-12-31
-13842500.01000000
USD
43921.93000000
N
N
N
WEST CLO LTD FRN 07/18/2026 14-1A A2R 144A
2549008FQ6ZWGP8NJZ96
WEST CLO LTD FRN 07/18/2026 14-1A A2R 144A
951680AK3
170000.00000000
PA
USD
169637.90000000
0.041810292526
Long
ABS-CBDO
CORP
KY
N
2
2026-07-18
Floating
3.35325000
N
N
N
N
N
N
Neuberger Berman Loan Advisers CLO 26 Ltd FRN 10/18/2030 144A 2017-26A B
549300P0MOXZPIM3AS61
Neuberger Berman Loan Advisers CLO 26 Ltd FRN 10/18/2030 144A 2017-26A B
64131QAC4
539475.00000000
PA
USD
529095.50000000
0.130405042915
Long
ABS-CBDO
CORP
KY
N
2
2030-10-18
Floating
3.50325000
N
N
N
N
N
N
Korea East-West Power Co Ltd 3.875% 07/19/2023 144A
549300VDRGYGX9NBTB52
Korea East-West Power Co Ltd 3.875% 07/19/2023 144A
5006EPAJ0
1500000.00000000
PA
USD
1588380.00000000
0.391484641365
Long
DBT
CORP
KR
N
2
2023-07-19
Fixed
3.87500000
N
N
N
N
N
N
Long Point Park CLO Ltd FRN 01/17/2030 2017-1A B 144A
549300639DPKTBUSCC77
Long Point Park CLO Ltd FRN 01/17/2030 2017-1A B 144A
542798AG8
1000000.00000000
PA
USD
954350.00000000
0.235216615348
Long
ABS-CBDO
CORP
KY
N
2
2030-01-17
Floating
3.70213000
N
N
N
N
N
N
LCM XXII Ltd FRN 10/20/2028 144A 22A A2R
N/A
LCM XXII Ltd FRN 10/20/2028 144A 22A A2R
50189GAG7
3500000.00000000
PA
USD
3431190.00000000
0.845678103859
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.95207000
N
N
N
N
N
N
ANTHEM INC 2.95% 12/01/2022
8MYN82XMYQH89CTMTH67
ANTHEM INC 2.95% 12/01/2022
036752AF0
100000.00000000
PA
USD
102425.39000000
0.025244568095
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.95000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2029 2016-C05 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2029 2016-C05 2M2
30711XDK7
1647105.79200000
PA
USD
1735033.24000000
0.427629953612
Long
ABS-CBDO
CORP
US
N
2
2029-01-25
Floating
6.27275000
N
N
N
N
N
N
N/A
N/A
JPMORGAN CHASE BANK NA IRS PAY FIXED 2% 06/20/25 USD
000000000
-11100000.00000000
NC
USD
-356799.08000000
-0.08793951061
N/A
DIR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2025-06-20
-1304871.60000000
USD
0.00000000
USD
-11100000.00000000
USD
-864612.45000000
N
N
N
N/A
N/A
JPY_USD_20200129
000000000
1.00000000
NC
USD
-25568.10000000
-0.00630171524
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1221032.60000000
USD
128300000.00000000
JPY
2020-01-29
-25568.10000000
N
N
N
CIM Trust 2018-INV1 FRN 08/25/2048 2018-INV1 A4 144A
N/A
CIM Trust 2018-INV1 FRN 08/25/2048 2018-INV1 A4 144A
12553XAD5
1033199.50000000
PA
USD
1081211.66000000
0.266483938953
Long
ABS-CBDO
CORP
US
N
2
2048-08-25
Variable
4.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2017-GS6 3.433% 05/10/2050 2017-GS6 A3
N/A
GS Mortgage Securities Trust 2017-GS6 3.433% 05/10/2050 2017-GS6 A3
36253PAC6
2000000.00000000
PA
USD
2145313.20000000
0.528750783011
Long
ABS-CBDO
CORP
US
N
2
2050-05-10
Fixed
3.43300000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA CCS RV USD 3M+ 2.87% PY EUR 2.5% 05/04/21
000000000
232400.00000000
NC
USD
9106.51000000
0.002244462157
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-05-04
0.00000000
USD
0.00000000
USD
232400.00000000
USD
9106.51000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 12/25/2030 2018-C04 2M1
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 12/25/2030 2018-C04 2M1
30711XQ31
335225.93000000
PA
USD
335396.36000000
0.082664427725
Long
ABS-CBDO
CORP
US
N
2
2030-12-25
Floating
2.57275000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA CCS RV USD 3M+ 1.23% PY EUR 1.07% 09/17/21
000000000
2941500.00000000
NC
USD
-4915.74000000
-0.00121157198
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-09-17
0.00000000
USD
0.00000000
USD
2941500.00000000
USD
-4915.74000000
N
N
N
Athene Global Funding 2.75% 06/25/2024 144A
549300LM1QSI4MSIL320
Athene Global Funding 2.75% 06/25/2024 144A
04685A2J9
1100000.00000000
PA
USD
1112870.29000000
0.274286774177
Long
DBT
CORP
US
N
2
2024-06-25
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
MORGAN STANLEY & CO INTERNATIONAL PLC TRS RCV MARKIT IBOXX US PAY US0003M 12/20/19
000000000
900000.00000000
NC
USD
12809.82000000
0.003157209098
N/A
DCR
CORP
N/A
N
2
MORGAN STANLEY & CO INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2019-12-20
0.00000000
USD
153865.34000000
USD
900000.00000000
USD
12809.82000000
N
N
N
U S TREASURY NOTE/BOND I/L 0.125% 07/15/2026 INDEX LINKED TO CPURNSA
254900HROIFWPRGM1V77
U S TREASURY NOTE/BOND I/L 0.125% 07/15/2026 INDEX LINKED TO CPURNSA
912828S50
2996911.20400000
PA
USD
2995662.30000000
0.738334517664
Long
DBT
NUSS
US
N
2
2026-07-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
MORGAN STANLEY 1.00% 12/20/2024 CDS
000000000
2600000.00000000
NC
USD
56512.22000000
0.013928446706
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2024-12-20
0.00000000
USD
0.00000000
USD
2600000.00000000
USD
5990.65000000
N
N
N
IMPERIAL BRANDS FINANCE PLC 4.25% 07/21/2025 144A
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FINANCE PLC 4.25% 07/21/2025 144A
453140AF2
1695000.00000000
PA
USD
1771327.55000000
0.436575335028
Long
DBT
CORP
GB
N
2
2025-07-21
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
MCDX.NA.31 1.00% 12/20/2023 MCDX
000000000
5100000.00000000
NC
USD
90450.99000000
0.022293263187
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
MCDX.NA.31 1.00% 12/20/2023 MCDX
MCDNA331
Y
2023-12-20
0.00000000
USD
0.00000000
USD
5100000.00000000
USD
45843.86000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 2.5% 10/01/2034 FNI
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 2.5% 10/01/2034 FNI
01F0224B8
8130000.00000000
PA
USD
8218286.76000000
2.025543663908
Long
ABS-MBS
USGA
US
N
2
2034-10-01
Fixed
2.50000000
N
N
N
N
N
N
BRAVO Residential Funding Trust 2019-1 3.50 03/25/2058 2019-1 A1C 144A
N/A
BRAVO Residential Funding Trust 2019-1 3.50 03/25/2058 2019-1 A1C 144A
10568GAD9
1143518.67000000
PA
USD
1164986.17000000
0.287131664311
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Fixed
3.50000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2017-5 FRN 02/25/2057 2017-5 A1 144A
N/A
TOWD POINT MORTGAGE TRUST 2017-5 FRN 02/25/2057 2017-5 A1 144A
89169EAA7
109905.91000000
PA
USD
109924.51000000
0.027092860256
Long
ABS-CBDO
CORP
US
N
2
2057-02-25
Floating
2.42275000
N
N
N
N
N
N
N/A
N/A
USD_DKK_20200130
000000000
1.00000000
NC
USD
1830.96000000
0.000451272818
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
5878349.24000000
DKK
885693.72000000
USD
2020-01-30
1830.96000000
N
N
N
N/A
N/A
TURKEY GOVERNMENT INTERNATIONAL BOND 1.00% 12/20/2019 CDS
000000000
-166667.00000000
NC
USD
-287.52000000
-0.00007086444
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2019-12-20
-10076.97000000
USD
0.00000000
USD
-166667.00000000
USD
-1353.78000000
N
N
N
ALIBABA GROUP HOLDING LTD 2.80% 06/06/2023
5493001NTNQJDH60PM02
ALIBABA GROUP HOLDING LTD 2.80% 06/06/2023
01609WAS1
1100000.00000000
PA
USD
1115136.00000000
0.274845198903
Long
DBT
CORP
KY
N
2
2023-06-06
Fixed
2.80000000
N
N
N
N
N
N
N/A
N/A
INDONESIA REPUBLIC OF 1.00% 12/20/2024 CDS
000000000
1025000.00000000
NC
USD
12925.62000000
0.003185750078
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2024-12-20
0.00000000
USD
0.00000000
USD
1025000.00000000
USD
6031.11000000
N
N
N
N/A
N/A
USD_SEK_20200316
000000000
1.00000000
NC
USD
16037.04000000
0.003952615150
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
19350000.00000000
SEK
2034400.82000000
USD
2020-03-16
16037.04000000
N
N
N
N/A
N/A
SEK_USD_20200316
000000000
1.00000000
NC
USD
44166.08000000
0.010885519831
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1974197.70000000
USD
19350000.00000000
SEK
2020-03-16
44166.08000000
N
N
N
N/A
N/A
MXN_USD_20200130
000000000
1.00000000
NC
USD
43833.98000000
0.010803667850
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1237927.88000000
USD
25008000.00000000
MXN
2020-01-30
43833.98000000
N
N
N
Carlyle Euro CLO 2019-2 DAC FRN 08/15/2032 2019-2A A2A 144A
63540012YBWEYXRWOE16
Carlyle Euro CLO 2019-2 DAC FRN 08/15/2032 2019-2A A2A 144A
BCC2KFQI3
2700000.00000000
PA
3023809.29000000
0.745271846443
Long
ABS-CBDO
CORP
IE
N
2
2032-08-15
Floating
1.80000000
N
N
N
N
N
N
Angolan Government International Bond 8.25% 05/09/2028 144A
549300QHR2R3J8JSGK83
Angolan Government International Bond 8.25% 05/09/2028 144A
035198AB6
1500000.00000000
PA
USD
1573110.00000000
0.387721076933
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200130
000000000
1.00000000
NC
USD
19111.50000000
0.004710370769
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1800000.00000000
EUR
2039553.00000000
USD
2020-01-30
19111.50000000
N
N
N
N/A
N/A
JPY_USD_20200313
000000000
1.00000000
NC
USD
-7264.06000000
-0.00179035742
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1020854.60000000
USD
108500000.00000000
JPY
2020-03-13
-7264.06000000
N
N
N
Dryden 49 Senior Loan Fund FRN 07/18/2030 144A 2017-49A C
549300VCB8LYR1RGV869
Dryden 49 Senior Loan Fund FRN 07/18/2030 144A 2017-49A C
26244QAC7
60000.00000000
PA
USD
58529.40000000
0.014425616772
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
4.35325000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE VERONA 12/20/19 0-3% TRANCHE 12/20/2019 CDX
000000000
12225.00000000
NC
USD
-169.05000000
-0.00004166539
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE VERONA DEC 19 CDX
Y
2019-12-20
0.00000000
USD
3675.00000000
USD
12225.00000000
USD
-0.79000000
N
N
N
N/A
N/A
CITIBANK NA CCS RV USD 3M+ 1.85% PY EUR 1.5% 05/04/21
000000000
617500.00000000
NC
USD
61926.65000000
0.015262929756
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-05-04
0.00000000
USD
0.00000000
USD
617500.00000000
USD
61926.65000000
N
N
N
Blackrock European CLO IX DAC FRN 12/15/2032 144A 9A A
549300CTNII509TFCV23
Blackrock European CLO IX DAC FRN 12/15/2032 144A 9A A
BCC2LLUJ2
3300000.00000000
PA
3680490.18000000
0.907122589158
Long
ABS-CBDO
CORP
IE
N
2
2032-12-15
Floating
0.90000000
N
N
N
N
N
N
IFT MONEY MARKET PORTFOLIO OEMF-SWEEP MONEY MARKET PORTFOLIO
N/A
IFT MONEY MARKET PORTFOLIO OEMF-SWEEP MONEY MARKET PORTFOLIO
457756500
25728265.22400000
NS
USD
25728265.22000000
6.341190825001
Long
EC
RF
US
N
1
N
N
N
2019-11-30
Robert Kubilis
Robert Kubilis
Robert Kubilis
Chief Financial Officer, Chief Accounting Officer and Treasurer