0001752724-20-212169.txt : 20201022
0001752724-20-212169.hdr.sgml : 20201022
20201022133945
ACCESSION NUMBER: 0001752724-20-212169
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: 201253843
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
S000006879
FRANKLIN STRATEGIC INCOME FUND
C000018620
CLASS A
FRSTX
C000018622
CLASS C
FSGCX
C000018623
ADVISOR CLASS
FKSAX
C000018624
CLASS R
FKSRX
C000128861
Class R6
FGKNX
NPORT-P/A
1
primary_doc.xml
NPORT-P/A
false
0001752724-19-204364
0000872625
XXXXXXXX
S000006879
C000018623
C000018622
C000018620
C000128861
C000018624
Franklin Strategic Series
811-06243
0000872625
549300NDWC0J6DXVSX36
One Franklin Parkway
San Mateo
94403-1906
650-312-2000
Franklin Strategic Income Fund
S000006879
BARXSKGYQTET593VHI21
2020-04-30
2019-10-31
N
4994436687.59
488099839.55
4506336848.04
0.00000000
18481932.50000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
275417950.72045550
0.00000000
0.00000000
2703496.53000000
EUR
ZAR
CAD
GBP
IDR
AUD
PLN
MXN
COP
JPY
KRW
USD
SEK
SGD
UYU
BRL
DOP
PHP
EGP
NOK
TRY
CNY
N
N/A
N/A
MXN_USD_20200130
000000000
1.00000000
NC
USD
-9578.96000000
-0.00021256644
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1342184.87000000
USD
26000000.00000000
MXN
2020-01-30
-9578.96000000
N
N
N
N/A
N/A
USD_EUR_20200130
000000000
1.00000000
NC
USD
17654.82000000
0.000391777636
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
44752579.19000000
EUR
50250970.57000000
USD
2020-01-30
17654.82000000
N
N
N
Aker BP ASA 4.75% 06/15/2024 144A
549300NFTY73920OYK69
Aker BP ASA 4.75% 06/15/2024 144A
00973RAD5
5900000.00000000
PA
USD
6136000.00000000
0.136163811248
Long
DBT
CORP
NO
N
2
2024-06-15
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
INDONESIA REPUBLIC OF 1.00% 12/20/2024 CDS
000000000
24700000.00000000
NC
USD
311475.87000000
0.006911952668
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2024-12-20
0.00000000
USD
0.00000000
USD
24700000.00000000
USD
145335.23000000
N
N
N
JAGUAR HOLDING CO II/PHARMACEUTICAL PRODUCT DEVE 6.375% 08/01/2023 144A
N/A
JAGUAR HOLDING CO II/PHARMACEUTICAL PRODUCT DEVE 6.375% 08/01/2023 144A
47010DAA8
10000000.00000000
PA
USD
10375000.00000000
0.230231346431
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
6.37500000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC 5.625% 08/01/2024 144A
5493006PK6I4I2OOT688
NEXSTAR BROADCASTING INC 5.625% 08/01/2024 144A
65341XAA6
15000000.00000000
PA
USD
15688200.00000000
0.348136424972
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
5.62500000
N
N
N
N
N
N
FANNIE MAE 5.00% 09/01/2023 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 09/01/2023 FNMA 30
31371LDM8
4922.37000000
PA
USD
5257.23000000
0.000116663049
Long
ABS-MBS
USGA
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 5.482% 10/15/2049 2006-C5 AJ
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 5.482% 10/15/2049 2006-C5 AJ
17310MAH3
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-CBDO
CORP
US
N
2
2049-10-15
Fixed
5.48200000
N
N
N
N
N
N
Galaxy XXV CLO Ltd FRN 10/25/2031 2018-25A D 144A
N/A
Galaxy XXV CLO Ltd FRN 10/25/2031 2018-25A D 144A
36319XAG2
4734850.00000000
PA
USD
4439774.15000000
0.098522908954
Long
ABS-CBDO
CORP
KY
N
2
2031-10-25
Floating
5.03963000
N
N
N
N
N
N
FANNIE MAE 5.50% 09/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 09/01/2035 FNMA 30
31407J2R2
22739.01000000
PA
USD
25599.22000000
0.000568071603
Long
ABS-MBS
USGA
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
FANNIE MAE 5.00% 01/01/2026 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 01/01/2026 FNMA 30
31371MPJ0
14492.74000000
PA
USD
15478.64000000
0.000343486084
Long
ABS-MBS
USGA
US
N
2
2026-01-01
Fixed
5.00000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 2.5% 10/01/2049 FNL
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 2.5% 10/01/2049 FNL
01F0226B6
13500000.00000000
PA
USD
13425644.43000000
0.297928115068
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
2.50000000
N
N
N
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
18411581.00000000
PA
USD
20320895.09000000
0.450940437327
Long
ABS-CBDO
CORP
US
N
2
2028-04-25
Floating
6.52275000
N
N
N
N
N
N
WOLVERINE FUELS HOLDING LLC 12.62688% 02/16/2021 Second Lien Initial Term Loan
N/A
WOLVERINE FUELS HOLDING LLC 12.62688% 02/16/2021 Second Lien Initial Term Loan
10247GAD8
22488412.00000000
PA
USD
21270282.19000000
0.472008260972
Long
LON
CORP
US
N
2
2021-02-16
Floating
12.87413000
N
N
N
N
N
N
ARES LII CLO Ltd FRN 04/22/2031 144A 52A A2
N/A
ARES LII CLO Ltd FRN 04/22/2031 144A 52A A2
04009AAC4
2522358.00000000
PA
USD
2516077.33000000
0.055834204473
Long
ABS-CBDO
CORP
US
N
2
2031-04-22
Floating
3.60325000
N
N
N
N
N
N
N/A
N/A
CDX.EM.31 1.00% 06/20/2024 CDX
000000000
18800000.00000000
NC
USD
-736884.63000000
-0.01635218703
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDX.EM.31 1.00% 06/20/2024 CDX
CXPEM531
Y
2024-06-20
0.00000000
USD
458720.00000000
USD
18800000.00000000
USD
-285416.13000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 05/01/2027 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 05/01/2027 FHLMC G30
3128P7EL3
23947.98000000
PA
USD
25590.03000000
0.000567867668
Long
ABS-MBS
USGA
US
N
2
2027-05-01
Fixed
5.00000000
N
N
N
N
N
N
Galaxy XVIII CLO Ltd FRN 07/15/2031 144A 2018-28A A2
5493006XOQ2X0XSJ4F36
Galaxy XVIII CLO Ltd FRN 07/15/2031 144A 2018-28A A2
36321JAE4
9500000.00000000
PA
USD
9488315.00000000
0.210554943404
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
3.07088000
N
N
N
N
N
N
Eaton Vance CLO 2014-1R Ltd FRN 07/15/2030 2014-1RA C 144A
549300FPTLP8I41O7F48
Eaton Vance CLO 2014-1R Ltd FRN 07/15/2030 2014-1RA C 144A
27830TAG0
1972575.00000000
PA
USD
1907775.91000000
0.042335403995
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
4.10088000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 12/01/2025 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 12/01/2025 FHLMC G30
31335GMT9
115.12200000
PA
USD
128.35000000
0.000002848211
Long
ABS-MBS
USGA
US
N
2
2025-12-01
Fixed
6.50000000
N
N
N
N
N
N
Virginia Electric & Power Co 6.35% 11/30/2037
CQKUMNNZVDJLRYV2PT43
Virginia Electric & Power Co 6.35% 11/30/2037
927804FE9
820000.00000000
PA
USD
1157504.35000000
0.025686147951
Long
DBT
CORP
US
N
2
2037-11-30
Fixed
6.35000000
N
N
N
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
1057862.11100000
PA
USD
1116689.61000000
0.024780429152
Long
ABS-CBDO
CORP
US
N
2
2024-08-25
Floating
5.82275000
N
N
N
N
N
N
UNITED RENTALS NORTH AMERICA INC 4.23313% 10/31/2025 Initial Term Loans
NGIZXNT70J2LYT3FBI09
UNITED RENTALS NORTH AMERICA INC 4.23313% 10/31/2025 Initial Term Loans
91136EAJ4
997481.11000000
PA
USD
1002884.47000000
0.022254982346
Long
LON
CORP
US
N
2
2025-10-31
Floating
3.53588000
N
N
N
N
N
N
CCO HOLDINGS LLC/CAPITAL CORP 5.375% 05/01/2025 144A
N/A
CCO HOLDINGS LLC/CAPITAL CORP 5.375% 05/01/2025 144A
1248EPBG7
13000000.00000000
PA
USD
13520000.00000000
0.300021956988
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
FANNIE MAE 6.50% 10/01/2037 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 10/01/2037 FNMA 30
31410GRK1
132729.17000000
PA
USD
152953.57000000
0.003394188565
Long
ABS-MBS
USGA
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Bausch Health Americas Inc 8.5% 01/31/2027 144A
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc 8.5% 01/31/2027 144A
91911XAW4
5000000.00000000
PA
USD
5637500.00000000
0.125101611133
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
GLOBAL TEL*LINK CORP 6.5% 11/20/2026 Second Lien Term Loan
549300YI0BNF11FDQE44
GLOBAL TEL*LINK CORP 6.5% 11/20/2026 Second Lien Term Loan
37959JAE1
545755.28000000
PA
USD
521196.29000000
0.011565852877
Long
LON
CORP
US
N
2
2026-11-29
Floating
10.03588000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE SINGAPORE JUNE-20 0-3% EQUITY T 06/20/2020 CDX
000000000
7000000.00000000
NC
USD
-741459.18000000
-0.01645370075
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
1359400.00000000
USD
7000000.00000000
USD
-117954.84000000
N
N
N
GOVT NATL MORTG ASSN 7.00% 05/15/2028 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 7.00% 05/15/2028 GNMA SF
36208NZ48
145.80000000
PA
USD
149.73000000
0.000003322654
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
TRY_USD_20200415
000000000
1.00000000
NC
USD
549789.66000000
0.012200367583
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
9831126.62000000
USD
62000000.00000000
TRY
2020-04-15
549789.66000000
N
N
N
Octagon Investment Partners XVI Ltd FRN 07/17/2030 2013-1A DR 144A
N/A
Octagon Investment Partners XVI Ltd FRN 07/17/2030 2013-1A DR 144A
67590BAY6
6000000.00000000
PA
USD
5485380.00000000
0.121725920297
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Floating
5.00213000
N
N
N
N
N
N
T-MOBILE USA INC 5.125% 04/15/2025
549300V2JRLO5DIFGE82
T-MOBILE USA INC 5.125% 04/15/2025
87264AAS4
6000000.00000000
PA
USD
6256800.00000000
0.138844480805
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.12500000
N
N
N
N
N
N
UPGRADE MASTER PASS-THRU TRUST FRN 06/15/2025 144A 2019-PT1 A
N/A
UPGRADE MASTER PASS-THRU TRUST FRN 06/15/2025 144A 2019-PT1 A
91531XAA2
3606485.68000000
PA
USD
3605046.69000000
0.079999494302
Long
LON
CORP
US
N
2
2025-06-15
Variable
11.127908
N
N
N
N
N
N
GOVT NATL MORTG ASSN 9.00% 01/15/2025 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 9.00% 01/15/2025 GNMA SF
36204UD40
182.59000000
PA
USD
183.15000000
0.000004064276
Long
ABS-MBS
USGA
US
N
2
2025-01-15
Fixed
9.00000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 09/01/2029 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 09/01/2029 FHLMC G30
3128E5FU8
25477.58000000
PA
USD
27257.64000000
0.000604873557
Long
ABS-MBS
USGA
US
N
2
2029-09-01
Fixed
5.00000000
N
N
N
N
N
N
VISTRA ENERGY CORP ESCROW ACCOUNT USD NPV REF SM # 492176
549300KP43CPCUJOOG15
VISTRA ENERGY CORP ESCROW ACCOUNT USD NPV REF SM # 492176
882ESCAM8
30000000.00000000
NS
USD
135000.00000000
0.002995781375
Long
EC
CORP
US
N
2
N
N
N
N/A
N/A
USD_CNH_20200224
000000000
1.00000000
NC
USD
-2581.68000000
-0.00005728999
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
GOVT NATL MORTG ASSN 7.50% 05/15/2027 GNMA I 30YR SINGLE FAMILY
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 7.50% 05/15/2027 GNMA I 30YR SINGLE FAMILY
36207RJB2
344.96000000
PA
USD
345.69000000
0.000007671197
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
7.50000000
N
N
N
N
N
N
ARD FINANCE SA 7.125%/7.875% 09/15/2023 TOGG PIK
6354006P6QPGGPVJW880
ARD FINANCE SA 7.125%/7.875% 09/15/2023 TOGG PIK
00191AAC0
1300000.00000000
PA
USD
1353625.00000000
0.030038256030
Long
DBT
CORP
LU
N
2
2023-09-15
Fixed
7.12500000
N
N
N
N
N
N
INDONESIA GOVERNMENT 11.75% 08/15/2023
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 11.75% 08/15/2023
Y39814DS7
29150000000.00000000
PA
2449518.23000000
0.054357193272
Long
DBT
UST
ID
N
2
2023-08-15
Fixed
11.75000000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
5230000.00000000
NC
USD
-3106538.55000000
-0.06893711355
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
3046039.17000000
USD
5230000.00000000
USD
-148092.16000000
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
4000000.00000000
PA
USD
3623720.00000000
0.080413873223
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
4.83550000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP 4.05% 03/15/2025
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING LP 4.05% 03/15/2025
29273RBD0
1300000.00000000
PA
USD
1364926.03000000
0.030289036883
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.05000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200316
000000000
1.00000000
NC
USD
-155190.04000000
-0.00344381801
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
37306320.77000000
EUR
41835308.11000000
USD
2020-03-16
-155190.04000000
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
1703704.00000000
PA
USD
1680278.07000000
0.037287005536
Long
ABS-CBDO
CORP
US
N
2
2031-04-22
Floating
5.90325000
N
N
N
N
N
N
OCEANEERING INTERNATIONAL INC 4.65% 11/15/2024
549300L6PH74701W0R30
OCEANEERING INTERNATIONAL INC 4.65% 11/15/2024
675232AA0
2100000.00000000
PA
USD
1963500.00000000
0.043571975780
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
4.65000000
N
N
N
N
N
N
STEEL DYNAMICS INC 5.125% 10/01/2021
549300HGGKEL4FYTTQ83
STEEL DYNAMICS INC 5.125% 10/01/2021
858119BC3
4000000.00000000
PA
USD
4020000.00000000
0.089207712063
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
5.12500000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.50% 06/15/2033 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.50% 06/15/2033 GNMA SF
36213WJ56
89034.01000000
PA
USD
96942.48000000
0.002151247970
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
CITIBANK CREDIT CARD ISSUANCE TRUST FRN 08/08/2024 2017-A7 A7
R8AG6FXVDQAMDKCSJJ64
CITIBANK CREDIT CARD ISSUANCE TRUST FRN 08/08/2024 2017-A7 A7
17305EGF6
36060000.00000000
PA
USD
36112319.45000000
0.801367511301
Long
ABS-CBDO
CORP
US
N
2
2024-08-08
Floating
2.34800000
N
N
N
N
N
N
URUGUAY REPUBLIC OF 4.375% 01/23/2031
549300RDR012H2V82H43
URUGUAY REPUBLIC OF 4.375% 01/23/2031
917288BK7
8000000.00000000
PA
USD
8942080.00000000
0.198433457185
Long
ABS-O
USGA
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
FANNIE MAE 6.00% 07/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 07/01/2035 FNMA 30
31407SDL3
66273.69000000
PA
USD
74108.27000000
0.001644534629
Long
ABS-MBS
USGA
US
N
2
2035-07-01
Fixed
6.00000000
N
N
N
N
N
N
FANNIE MAE 5.50% 03/01/2021 FNMA 15
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 03/01/2021 FNMA 15
31408HYF6
871.45000000
PA
USD
880.89000000
0.000019547806
Long
ABS-MBS
USGA
US
N
2
2021-03-01
Fixed
5.50000000
N
N
N
N
N
N
DISCOVER CARD EXECUTION NOTE TRUST FRN 04/15/2025 2017-A7 A7
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NOTE TRUST FRN 04/15/2025 2017-A7 A7
254683CC7
5360000.00000000
PA
USD
5356204.05000000
0.118859380259
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Floating
2.28125000
N
N
N
N
N
N
T-MOBILE USA INC ESRW USD NPV REF SM#585558
549300V2JRLO5DIFGE82
T-MOBILE USA INC ESRW USD NPV REF SM#585558
87299ATH7
14700000.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
GOLDMAN SACHS GROUP INC 3.75% 02/25/2026
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC 3.75% 02/25/2026
38143U8H7
15000000.00000000
PA
USD
15969780.30000000
0.354384965849
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
3.75000000
N
N
N
N
N
N
FANNIE MAE 6.50% 10/01/2036 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 10/01/2036 FNMA 30
31403DWG0
54782.40000000
PA
USD
63045.02000000
0.001399030346
Long
ABS-MBS
USGA
US
N
2
2036-10-01
Fixed
6.50000000
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
14920000.00000000
PA
USD
15971918.19000000
0.354432407709
Long
ABS-CBDO
CORP
US
N
2
2035-09-10
Variable
3.55480000
N
N
N
N
N
N
Party City Holdings Inc 6.625% 08/01/2026 144A
5493005PYM1JS6EZN307
Party City Holdings Inc 6.625% 08/01/2026 144A
702150AD5
5300000.00000000
PA
USD
5141000.00000000
0.114083792964
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
6.62500000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL NTNF 01/01/2023 STATED RATE 10%
N/A
NOTA DO TESOURO NACIONAL NTNF 01/01/2023 STATED RATE 10%
P8T63WAA6
34402.00000000
PA
9675968.81000000
0.214719164063
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
9.46138200
N
N
N
N
N
N
N/A
N/A
USD_BRL_20191213
000000000
1.00000000
NC
USD
215304.65000000
0.004777819707
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
33000000.00000000
BRL
8417937.86000000
USD
2019-12-13
215304.65000000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Dec19 Dec 19 Future
000000000
1374.00000000
NC
USD
-38997.27000000
-0.00086538737
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
US 5YR NOTE (CBT) Dec19 Dec 19 Future
US 5YR NOTE (CBT) Dec19 Dec 19 Future
2019-12-31
163824091.01000000
USD
-40742.25000000
N
N
N
KB HOME 7.00% 12/15/2021
549300LGUCWQURMWLG09
KB HOME 7.00% 12/15/2021
48666KAT6
8000000.00000000
PA
USD
8630000.00000000
0.191508098285
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
7.00000000
N
N
N
N
N
N
U S TREASURY NOTE/BOND I/L 0.625% 01/15/2024 INDEX LINKED
254900HROIFWPRGM1V77
U S TREASURY NOTE/BOND I/L 0.625% 01/15/2024 INDEX LINKED
912828B25
25234650.69700000
PA
USD
25656744.14000000
0.569348120328
Long
DBT
NUSS
US
N
2
2024-01-15
Fixed
0.62500000
N
N
N
N
N
N
VERSO CORP COM USD.01 CL A
549300FODXCTQ8DGT594
VERSO CORP COM USD.01 CL A
92531L207
38905.00000000
NS
USD
569569.20000000
0.012639294824
Long
EC
CORP
US
N
1
N
N
N
Clear Channel Worldwide Holdings Inc 9.25% 02/15/2024 144A
N/A
Clear Channel Worldwide Holdings Inc 9.25% 02/15/2024 144A
18451QAN8
1362000.00000000
PA
USD
1500753.75000000
0.033303186171
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
9.25000000
N
N
N
N
N
N
Eaton Vance CLO 2014-1R Ltd FRN 07/15/2030 2014-1RA D 144A
549300FPTLP8I41O7F48
Eaton Vance CLO 2014-1R Ltd FRN 07/15/2030 2014-1RA D 144A
27830TAJ4
3653850.00000000
PA
USD
3491472.91000000
0.077479181599
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
5.05088000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC 6.5% 09/19/2026 Term B-4 Loan
5493006PK6I4I2OOT688
NEXSTAR BROADCASTING INC 6.5% 09/19/2026 Term B-4 Loan
65336RAW8
997624.84000000
PA
USD
1003111.78000000
0.022260026576
Long
LON
CORP
US
N
2
2026-09-19
Floating
4.55425000
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
27347321.89300000
PA
USD
29544433.08000000
0.655619721212
Long
ABS-CBDO
CORP
US
N
2
2025-07-25
Floating
6.82275000
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
7887349.53000000
PA
USD
8355339.10000000
0.185413105627
Long
ABS-CBDO
CORP
US
N
2
2025-02-25
Floating
6.12275000
N
N
N
N
N
N
CALIFORNIA RESOURCES CORP 8.00% 12/15/2022 144A
5493003Q8F0T4F4YMR48
CALIFORNIA RESOURCES CORP 8.00% 12/15/2022 144A
13057QAG2
7852000.00000000
PA
USD
2316340.00000000
0.051401838746
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
8.00000000
N
N
N
N
N
N
Dryden 64 CLO Ltd FRN 04/18/2031 2018-64A A 144A
N/A
Dryden 64 CLO Ltd FRN 04/18/2031 2018-64A A 144A
26251LAC8
5070000.00000000
PA
USD
5010579.60000000
0.111189637369
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
2.97325000
N
N
N
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
28226000.00000000
PA
USD
29594424.71000000
0.656729084131
Long
ABS-CBDO
CORP
US
N
2
2029-08-25
Floating
5.37275000
N
N
N
N
N
N
SAN JOSE CA REDEV AGY SUCCESSOR AGY TAX
N/A
SAN JOSE CA REDEV AGY SUCCESSOR AGY TAX
798170AM8
5675000.00000000
PA
USD
6005341.75000000
0.133264377531
Long
DBT
MUN
US
N
2
2029-08-01
Fixed
3.25000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.50% 06/15/2033 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.50% 06/15/2033 GNMA SF
36200KXP7
12178.23000000
PA
USD
13077.22000000
0.000290196237
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
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
17300000.00000000
PA
21543390.69000000
0.478068804363
Long
DBT
NUSS
ES
N
2
2029-04-30
Fixed
1.45000000
N
N
N
N
N
N
VERSO CORP WTS EXP 07/25/2023
549300FODXCTQ8DGT594
VERSO CORP WTS EXP 07/25/2023
92531L116
4095.00000000
OU
Warrants
USD
7166.25000000
0.000159026061
Long
CORP
US
N
1
N
N
N
K2016470219 SA LTD ORD ZAR NPV CL B
N/A
K2016470219 SA LTD ORD ZAR NPV CL B
000000000
12532821.00000000
NS
8291.73000000
0.000184001557
Long
EC
CORP
ZA
Y
3
N
N
N
BANK OF AMERICA CORP 3.50% 04/19/2026
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.50% 04/19/2026
06051GFX2
29800000.00000000
PA
USD
31732215.01000000
0.704168731278
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
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
19300000.00000000
PA
USD
23534999.00000000
0.522264530895
Long
DBT
NUSS
KZ
N
2
2044-10-14
Fixed
4.87500000
N
N
N
N
N
N
FANNIE MAE 5.50% 03/01/2021 FNMA 15
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 03/01/2021 FNMA 15
31409WQ79
4566.14000000
PA
USD
4620.63000000
0.000102536276
Long
ABS-MBS
USGA
US
N
2
2021-03-01
Fixed
5.50000000
N
N
N
N
N
N
FANNIE MAE 6.00% 10/01/2034 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 10/01/2034 FNMA 30
31405RRN8
212415.32000000
PA
USD
244321.40000000
0.005421729627
Long
ABS-MBS
USGA
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
GRAY TELEVISION INC 6.5% 01/02/2026 Term C Loan
529900TM5726KDN7UU35
GRAY TELEVISION INC 6.5% 01/02/2026 Term C Loan
389376AY0
396805.01000000
PA
USD
398386.28000000
0.008840579242
Long
LON
CORP
US
N
2
2026-01-02
Floating
4.51088000
N
N
N
N
N
N
Appvion Operations Inc 6.5% 06/15/2026 Term Loan
549300KG8GQ03SX7CT73
Appvion Operations Inc 6.5% 06/15/2026 Term Loan
03835HAB3
7486946.06000000
PA
USD
7561815.52000000
0.167804045170
Long
LON
CORP
US
N
2
2026-06-15
Floating
8.21290000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 10/01/2049 FHLMC
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 10/01/2049 FHLMC
01F0326B5
42500000.00000000
PA
USD
43642187.93000000
0.968462620564
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.50% 06/15/2034 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.50% 06/15/2034 GNMA SF
36291J2D1
66190.24000000
PA
USD
74112.17000000
0.001644621174
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.50000000
N
N
N
N
N
N
DISH DBS CORP 5.875% 11/15/2024
N/A
DISH DBS CORP 5.875% 11/15/2024
25470XAW5
8000000.00000000
PA
USD
8050000.00000000
0.178637333858
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
KINDER MORGAN INC 4.30% 06/01/2025
549300WR7IX8XE0TBO16
KINDER MORGAN INC 4.30% 06/01/2025
49456BAF8
9000000.00000000
PA
USD
9743174.37000000
0.216210520841
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.30000000
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
23600000.00000000
NC
USD
335902.24000000
0.007453997588
N/A
DCR
CORP
N/A
N
2
MORGAN STANLEY & CO INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2019-12-20
0.00000000
USD
269230.30000000
USD
23600000.00000000
USD
335902.24000000
N
N
N
EFS COGEN HOLDINGS I LLC (LINDEN) 5.56% 06/28/2023 Term B Advance
549300KDKPYR8NXXKI52
EFS COGEN HOLDINGS I LLC (LINDEN) 5.56% 06/28/2023 Term B Advance
26844HAE7
979946.71000000
PA
USD
978416.03000000
0.021712003851
Long
LON
CORP
US
N
2
2023-06-28
Floating
5.26777000
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
3900000.00000000
PA
4391383.55000000
0.097449074449
Long
DBT
CORP
TR
N
2
2021-05-04
Fixed
2.37500000
N
N
N
N
N
N
Panama Notas del Tesoro 3.75% 04/17/2026
549300SHS4T08CL0LP14
Panama Notas del Tesoro 3.75% 04/17/2026
000000000
8200000.00000000
PA
USD
8511600.00000000
0.188880687064
Long
DBT
NUSS
PA
N
2
2026-04-17
Fixed
3.75000000
N
N
N
N
N
N
Galaxy XXVII CLO Ltd FRN 05/16/2031 18-27A C 144A
549300GJYHKO4BDEN716
Galaxy XXVII CLO Ltd FRN 05/16/2031 18-27A C 144A
36320UAG5
3600000.00000000
PA
USD
3393864.00000000
0.075313144898
Long
ABS-CBDO
CORP
KY
N
2
2031-05-16
Floating
3.96838000
N
N
N
N
N
N
DOMINICAN REPUBLIC 8.90% 02/15/2023 144A
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 8.90% 02/15/2023 144A
25714PDX3
838300000.00000000
PA
15908745.87000000
0.353030552452
Long
DBT
NUSS
DO
N
2
2023-02-15
Fixed
8.90000000
N
N
N
N
N
N
UKRAINE GOVERNMENT FRN 05/31/2040 144A
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT FRN 05/31/2040 144A
903724AW2
9990000.00000000
PA
USD
9411079.50000000
0.208841012497
N/A
DO
NUSS
UA
N
2
N/A
N/A
2040-05-31
XXXX
5465029.50000000
N
N
N
REMINGTON OUTDOOR CO INC COM USD .01
N/A
REMINGTON OUTDOOR CO INC COM USD .01
75959V104
1322439.00000000
NS
USD
1322439.00000000
0.029346208341
Long
EC
CORP
US
N
3
N
N
N
N/A
N/A
USD_EUR_20200316
000000000
1.00000000
NC
USD
-51884.49000000
-0.00115136732
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
4500000.00000000
EUR
5013135.00000000
USD
2020-03-16
-51884.49000000
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-42 FRN 11/15/2044 144A 2019-42
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-42 FRN 11/15/2044 144A 2019-42
21055YAA3
7577604.00000000
PA
USD
7286316.36000000
0.161690450707
Long
LON
CORP
US
N
2
2044-11-15
Variable
24.20662
N
N
N
N
N
N
Adient US LLC 6.5% 05/06/2024 Initial Term Loans
213800SOTRCDGZUHL712
Adient US LLC 6.5% 05/06/2024 Initial Term Loans
00687MAB7
718200.00000000
PA
USD
702938.25000000
0.015598883831
Long
LON
CORP
US
N
2
2024-05-06
Floating
6.78085000
N
N
N
N
N
N
FANNIE MAE 5.50% 11/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2033 FNMA 30
31403LR60
11038.82000000
PA
USD
12426.34000000
0.000275752577
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES 4.15% 03/28/2027
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.15% 03/28/2027
91087BAC4
13900000.00000000
PA
USD
14899410.00000000
0.330632407261
Long
DBT
NUSS
MX
N
2
2027-03-28
Fixed
4.15000000
N
N
N
N
N
N
RUSSELL INVESTMENTS US INSTITUTIONAL HOLDCO INC 5.552% 06/01/2023 Initial Term Loan
5493008YG7V0FQCJQI74
RUSSELL INVESTMENTS US INSTITUTIONAL HOLDCO INC 5.552% 06/01/2023 Initial Term Loan
78249LAB6
708605.99000000
PA
USD
689414.81000000
0.015298785537
Long
LON
CORP
US
N
2
2023-06-01
Floating
5.03588000
N
N
N
N
N
N
UNITED STATES TREASURY NOTE/BOND 5.25% 02/15/2029
N/A
UNITED STATES TREASURY NOTE/BOND 5.25% 02/15/2029
912810FG8
1750000.00000000
PA
USD
2288774.41000000
0.050790131478
Long
DBT
UST
US
N
2
2029-02-15
Fixed
5.25000000
N
N
N
N
N
N
N/A
N/A
SEK_USD_20200316
000000000
1.00000000
NC
USD
671050.64000000
0.014891266734
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
29995561.88000000
USD
294000000.00000000
SEK
2020-03-16
671050.64000000
N
N
N
GOVT NATL MORTG ASSN 8.00% 09/15/2027 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 8.00% 09/15/2027 GNMA SF
36208FJU5
3279.51000000
PA
USD
3556.23000000
0.000078916204
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
8.00000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-26 FRN 08/15/2044 144A
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-26 FRN 08/15/2044 144A
21055TAA4
8066324.74000000
PA
USD
7592886.33000000
0.168493536680
Long
LON
CORP
US
N
2
2044-08-15
Variable
20.442322
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
35600000.00000000
PA
55210551.36000000
1.225175862829
Long
DBT
NUSS
ES
N
2
2048-10-31
Fixed
2.70000000
N
N
N
N
N
N
UKRAINE GOVERNMENT 7.75% 09/01/2024 144A
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.75% 09/01/2024 144A
903724AR3
4355000.00000000
PA
USD
4676181.25000000
0.103769012563
Long
DBT
NUSS
UA
N
2
2024-09-01
Fixed
7.75000000
N
N
N
N
N
N
FANNIE MAE 5.50% 11/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2035 FNMA 30
31407YAR0
70594.19000000
PA
USD
79463.14000000
0.001763364406
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200313
000000000
1.00000000
NC
USD
-247714.47000000
-0.00549702515
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
34812553.22000000
USD
3700000000.00000000
JPY
2020-03-13
-247714.47000000
N
N
N
BlueMountain CLO 2014-2 Ltd FRN 10/20/2030 2014-2A CR2 144A
549300NUS8PQQUZMPR50
BlueMountain CLO 2014-2 Ltd FRN 10/20/2030 2014-2A CR2 144A
09626QBE6
3800000.00000000
PA
USD
3625048.00000000
0.080443342835
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
4.16588000
N
N
N
N
N
N
Octagon Investment Partners 38 Ltd FRN 07/20/2030 2018-1A C 144A
N/A
Octagon Investment Partners 38 Ltd FRN 07/20/2030 2018-1A C 144A
67591YAL3
5000000.00000000
PA
USD
4576750.00000000
0.101562536364
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
4.91588000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.00% 07/01/2035 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.00% 07/01/2035 FHLMC G30
3128K6UU2
10902.50000000
PA
USD
12062.02000000
0.000267667961
Long
ABS-MBS
USGA
US
N
2
2035-07-01
Fixed
6.00000000
N
N
N
N
N
N
FANNIE MAE 5.50% 03/01/2021 FNMA 15
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 03/01/2021 FNMA 15
31409WRA1
5658.27000000
PA
USD
5725.13000000
0.000127046206
Long
ABS-MBS
USGA
US
N
2
2021-03-01
Fixed
5.50000000
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
16000000.00000000
PA
USD
17052344.00000000
0.378408107849
Long
DBT
NUSS
IN
N
2
2028-02-01
Fixed
3.87500000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE VERONA 12/20/19 7-15% TRANCHE 12/20/2019 CDX
000000000
31000000.00000000
NC
USD
22031.63000000
0.000488903309
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
31000000.00000000
USD
22031.63000000
N
N
N
THREE GORGES FINANCE I CAYMAN ISLANDS LTD 3.15% 06/02/2026 144A
549300FD0MPTWEITI779
THREE GORGES FINANCE I CAYMAN ISLANDS LTD 3.15% 06/02/2026 144A
88556LAC0
12800000.00000000
PA
USD
13225728.00000000
0.293491774938
Long
DBT
CORP
KY
N
2
2026-06-02
Fixed
3.15000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.50% 06/15/2034 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.50% 06/15/2034 GNMA SF
36200E3D1
36604.41000000
PA
USD
39329.11000000
0.000872751224
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.50000000
N
N
N
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
7186000.00000000
PA
USD
6893314.22000000
0.152969350770
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
4.00088000
N
N
N
N
N
N
CHENIERE CORPUS CHRISTI HLDGS LLC 5.875% 03/31/2025
549300I7CIEWU1BBLQ53
CHENIERE CORPUS CHRISTI HLDGS LLC 5.875% 03/31/2025
16412XAC9
8200000.00000000
PA
USD
9112988.00000000
0.202226072024
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.87500000
N
N
N
N
N
N
U S TREASURY NOTE
N/A
U S TREASURY NOTE
912828X47
5511474.28100000
PA
USD
5511474.28100000
0.122304977786
Short
RA
CORP
US
N
2
Repurchase
Y
0.01721739
2019-11-01
5511474.28081816
USD
5621712.11554681
USD
UST
N
N
N
FANNIE MAE 5.50% 11/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2033 FNMA 30
31403J7H3
10052.63000000
PA
USD
10904.27000000
0.000241976362
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
GLENCORE FUNDING LLC 4.125% 05/30/2023 144A
213800STG1QDNBY87K49
GLENCORE FUNDING LLC 4.125% 05/30/2023 144A
378272AF5
5000000.00000000
PA
USD
5238363.55000000
0.116244384888
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.12500000
N
N
N
N
N
N
CWABS ASSET-BACKED CERTIFICATES TRUST FRN 03/25/2034 2005-11 AF4
N/A
CWABS ASSET-BACKED CERTIFICATES TRUST FRN 03/25/2034 2005-11 AF4
126670CJ5
1629591.80000000
PA
USD
1648209.07000000
0.036575363218
Long
ABS-CBDO
CORP
US
N
2
2034-03-25
Variable
5.21000000
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
26800000.00000000
PA
USD
28106232.00000000
0.623704639661
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.50% 09/15/2034 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.50% 09/15/2034 GNMA SF
36291PY34
47112.75000000
PA
USD
52763.42000000
0.001170871636
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
New York State Urban Development Corp
54930039Y2EMGXN6LM88
New York State Urban Development Corp
64985TBJ9
19210000.00000000
PA
USD
19321610.10000000
0.428765330945
Long
DBT
MUN
US
N
2
2034-03-15
Fixed
2.97000000
N
N
N
N
N
N
INDONESIA GOVERNMENT 12.80% 06/15/2021
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 12.80% 06/15/2021
Y39814DL2
169210000000.00000000
PA
13337182.96000000
0.295965068962
Long
DBT
UST
ID
N
2
2021-06-15
Fixed
12.80000000
N
N
N
N
N
N
BIRCH PERMIAN HOLDINGS INC COM USD NPV *Accd inv/Restricted*
5493008GXCEAUIZGCH60
BIRCH PERMIAN HOLDINGS INC COM USD NPV *Accd inv/Restricted*
09075C203
359948.00000000
NS
USD
3284525.50000000
0.072886817181
Long
EC
CORP
US
N
2
N
N
N
FANNIE MAE 6.00% 03/01/2036 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 03/01/2036 FNMA 30
31408HB87
615768.56000000
PA
USD
704131.86000000
0.015625371199
Long
ABS-MBS
USGA
US
N
2
2036-03-01
Fixed
6.00000000
N
N
N
N
N
N
FANNIE MAE 6.50% 08/01/2032 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 08/01/2032 FNMA 30
31390RM26
7865.83000000
PA
USD
8762.26000000
0.000194443076
Long
ABS-MBS
USGA
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
FANNIE MAE 5.50% 11/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2035 FNMA 30
31407X4T5
86106.19000000
PA
USD
95776.73000000
0.002125378843
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 6.50% 03/15/2032 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 6.50% 03/15/2032 GNMA SF
36201CRN6
2051.34000000
PA
USD
2271.79000000
0.000050413230
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP 5.00% 10/15/2027
N/A
MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP 5.00% 10/15/2027
55342UAH7
5700000.00000000
PA
USD
6027750.00000000
0.133761638405
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.00000000
N
N
N
N
N
N
FANNIE MAE 5.50% 09/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 09/01/2033 FNMA 30
31402W2B3
29609.08000000
PA
USD
31917.83000000
0.000708287708
Long
ABS-MBS
USGA
US
N
2
2033-09-01
Fixed
5.50000000
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
365000000.00000000
PA
20153319.40000000
0.447221769690
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
7.00000000
N
N
N
N
N
N
SOUTHERN CO/THE 3.25% 07/01/2026
549300FC3G3YU2FBZD92
SOUTHERN CO/THE 3.25% 07/01/2026
842587CV7
24200000.00000000
PA
USD
25266991.07000000
0.560699120417
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2018-29 FRN 12/15/2043 2018-29 PT 144A
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2018-29 FRN 12/15/2043 2018-29 PT 144A
21052UAA4
2385591.16000000
PA
USD
1973324.27000000
0.043789985891
Long
LON
CORP
US
N
2
2043-12-15
Variable
25.917286
N
N
N
N
N
N
N/A
N/A
AUST 10Y BOND FUT Dec19 Dec 19 Future
000000000
110.00000000
NC
-53733.53000000
-0.00119239932
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
16116923.51000000
AUD
-53864.87000000
N
N
N
WELLS FARGO MORTGAGE BACKED SECURITIES TRUST FRN 11/25/2034 2004-W A9
N/A
WELLS FARGO MORTGAGE BACKED SECURITIES TRUST FRN 11/25/2034 2004-W A9
94980QAJ8
850582.21000000
PA
USD
891982.09000000
0.019793950609
Long
ABS-CBDO
CORP
US
N
2
2034-11-25
Variable
4.59744100
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC 10.50% 01/15/2026 144A
K5K33XN0PQAU1XF7NN66
TALEN ENERGY SUPPLY LLC 10.50% 01/15/2026 144A
87422VAE8
3000000.00000000
PA
USD
2587500.00000000
0.057419143025
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
10.50000000
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
5225499.00000000
PA
USD
5379593.74000000
0.119378420242
Long
ABS-CBDO
CORP
US
N
2
2029-11-25
Floating
4.67275000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 7.50% 01/01/2026 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 7.50% 01/01/2026 FHLMC G30
31335GMW2
50.51000000
PA
USD
54.41000000
0.000001207410
Long
ABS-MBS
USGA
US
N
2
2026-01-01
Fixed
7.50000000
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
3074072.87000000
PA
USD
3249384.79000000
0.072107010629
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 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
21379000.00000000
PA
USD
22587815.69000000
0.501245611495
Long
ABS-CBDO
CORP
US
N
2
2024-04-25
Floating
5.42275000
N
N
N
N
N
N
HALCON RESOURCES CORP WTS EXP 09/09/2020 *do not use*
3XHTN2NNIMMPORDAMJ28
HALCON RESOURCES CORP WTS EXP 09/09/2020 *do not use*
40537Q118
75770.00000000
OU
Warrants
USD
0.00000000
0.000000
Long
CORP
US
N
3
N
N
N
FANNIE MAE 5.50% 11/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2033 FNMA 30
31403MMN6
21135.50000000
PA
USD
23097.57000000
0.000512557555
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
AMMC CLO XI LTD FRN 04/30/2031 2012-11A DR2 144A
5493004OOK6VXHQ8DQ60
AMMC CLO XI LTD FRN 04/30/2031 2012-11A DR2 144A
00176ABD6
1450000.00000000
PA
USD
1298243.00000000
0.028809275555
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
4.78550000
N
N
N
N
N
N
Clearway Energy Operating LLC 5.75% 10/15/2025
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC 5.75% 10/15/2025
18539UAB1
12800000.00000000
PA
USD
13184000.00000000
0.292565790010
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.75000000
N
N
N
N
N
N
CSAIL COMMERCIAL MORTGAGE TRUST 3.505% 04/15/2050 2015-C1 A4
549300UFJ8EKD81Y8R30
CSAIL COMMERCIAL MORTGAGE TRUST 3.505% 04/15/2050 2015-C1 A4
126281AZ7
10050000.00000000
PA
USD
10657940.58000000
0.236510073245
Long
ABS-CBDO
CORP
US
N
2
2050-04-15
Fixed
3.50500000
N
N
N
N
N
N
Republic of Belarus International Bond 6.2% 02/28/2030 144A
635400CVCOWYLHF4ZB08
Republic of Belarus International Bond 6.2% 02/28/2030 144A
07737JAC7
3500000.00000000
PA
USD
3747131.50000000
0.083152494506
Long
DBT
NUSS
BY
N
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA IRS RCV FIXED 1.956% 07/17/29 CAD
000000000
55000000.00000000
NC
483312.89000000
0.010725183365
N/A
DIR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2029-07-17
0.00000000
USD
0.00000000
USD
55000000.00000000
CAD
483118.34000000
N
N
N
UNIVISION COMMUNICATIONS INC 5.125% 02/15/2025 144A
549300YQDE2JSGTL8V47
UNIVISION COMMUNICATIONS INC 5.125% 02/15/2025 144A
914906AS1
16000000.00000000
PA
USD
15680000.00000000
0.347954458993
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.12500000
N
N
N
N
N
N
SUNCOKE ENERGY PARTNERS LP / SUNCOKE ENERGY PART 7.50% 06/15/2025 144A
N/A
SUNCOKE ENERGY PARTNERS LP / SUNCOKE ENERGY PART 7.50% 06/15/2025 144A
86723CAF5
12000000.00000000
PA
USD
10260000.00000000
0.227679384519
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.50000000
N
N
N
N
N
N
SPRINT COMMUNICATIONS INC 6.00% 11/15/2022
549300JKU50UT08ZWD77
SPRINT COMMUNICATIONS INC 6.00% 11/15/2022
852061AS9
10000000.00000000
PA
USD
10600000.00000000
0.235224315390
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6.00000000
N
N
N
N
N
N
FANNIE MAE 6.50% 06/01/2028 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 06/01/2028 FNMA 30
31371GZJ2
17865.65000000
PA
USD
19900.48000000
0.000441611017
Long
ABS-MBS
USGA
US
N
2
2028-06-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
US 10YR NOTE (CBT)Dec19 Dec 19 Future
000000000
820.00000000
NC
USD
-384093.75000000
-0.00852341409
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
US 10YR NOTE (CBT)Dec19 Dec 19 Future
US 10YR NOTE (CBT)Dec19 Dec 19 Future
2019-12-19
107227531.25000000
USD
-385217.15000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 05/01/2028 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 05/01/2028 FHLMC G30
3128P7JU8
9185.40000000
PA
USD
9817.72000000
0.000217864760
Long
ABS-MBS
USGA
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
FANNIE MAE 5.50% 12/01/2034 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 12/01/2034 FNMA 30
31402QSK8
88595.40000000
PA
USD
99930.12000000
0.002217546609
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
CLEAR CHANNEL COMMUNICATIONS INC ESRW USD NPV REF SM# 498814
N/A
CLEAR CHANNEL COMMUNICATIONS INC ESRW USD NPV REF SM# 498814
184ESCAE1
8000000.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
DOMINION ENERGY INC 2.85% 08/15/2026
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC 2.85% 08/15/2026
25746UCK3
11400000.00000000
PA
USD
11611380.51000000
0.257667833132
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.85000000
N
N
N
N
N
N
N/A
N/A
TURKEY GOVERNMENT INTERNATIONAL BOND 1.00% 12/20/2019 CDS
000000000
-9100000.00000000
NC
USD
-15698.22000000
-0.00034835877
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2019-12-20
-550201.73000000
USD
0.00000000
USD
-9100000.00000000
USD
-73915.71000000
N
N
N
China Government Bond 3.29% 05/23/2029
300300CHN201808MOF68
China Government Bond 3.29% 05/23/2029
000000000
270300000.00000000
PA
38353264.23000000
0.851096256745
Long
DBT
NUSS
CN
N
2
2029-05-23
Fixed
3.29000000
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
3903525.68400000
PA
USD
4059750.64000000
0.090089817448
Long
ABS-CBDO
CORP
US
N
2
2024-07-25
Floating
4.72275000
N
N
N
N
N
N
N/A
N/A
USD_SEK_20200316
000000000
1.00000000
NC
USD
243663.57000000
0.005407131739
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
294000000.00000000
SEK
30910276.09000000
USD
2020-03-16
243663.57000000
N
N
N
Voya CLO 2014-1 Ltd FRN 04/18/2031 2014-1A CR2 144A
549300ITL5IR423IJ183
Voya CLO 2014-1 Ltd FRN 04/18/2031 2014-1A CR2 144A
92915PAR6
8000000.00000000
PA
USD
7239440.00000000
0.160650218661
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
4.80325000
N
N
N
N
N
N
N/A
N/A
US ULTRA BOND CBT Dec19 Dec 19 Future
000000000
320.00000000
NC
USD
432432.45000000
0.009596096887
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
US ULTRA BOND CBT Dec19 Dec 19 Future
US ULTRA BOND CBT Dec19 Dec 19 Future
2019-12-19
-13648579.10000000
USD
431962.05000000
N
N
N
Consumer Loan Underlying Bond Credit Trust 2019-SLCT5 FRN 09/15/2044 2019-S5 PT 144A
N/A
Consumer Loan Underlying Bond Credit Trust 2019-SLCT5 FRN 09/15/2044 2019-S5 PT 144A
21055CAA1
6211247.85000000
PA
USD
5695440.36000000
0.126387364106
Long
LON
CORP
US
N
2
2044-09-15
Variable
18.85
N
N
N
N
N
N
REMINGTON OUTDOOR CO INC ESRW REF SM#518763 *Litigation Units-NIB*
N/A
REMINGTON OUTDOOR CO INC ESRW REF SM#518763 *Litigation Units-NIB*
000000000
124499.52000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
Y
3
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
7500000.00000000
PA
USD
8634375.00000000
0.191605183792
Long
DBT
NUSS
BY
N
2
2027-06-29
Fixed
7.62500000
N
N
N
N
N
N
IHEARTMEDIA INC WTS EXP 05/01/2039
N/A
IHEARTMEDIA INC WTS EXP 05/01/2039
45174J145
1.00000000
OU
Warrants
USD
14.34000000
0.000000318218
Long
CORP
US
N
1
N
N
N
BANK OF AMERICA CORP 3.248% 10/21/2027
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.248% 10/21/2027
06051GGA1
5000000.00000000
PA
USD
5208183.20000000
0.115574653551
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
3.24800000
N
N
N
N
N
N
N/A
N/A
USD_BRL_20191209
000000000
1.00000000
NC
USD
-7372.90000000
-0.00016361182
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1260000.00000000
BRL
305877.21000000
USD
2019-12-09
-7372.90000000
N
N
N
N/A
N/A
USD_EUR_20200130
000000000
1.00000000
NC
USD
262252.21000000
0.005819631750
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
24700000.00000000
EUR
27987199.50000000
USD
2020-01-30
262252.21000000
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
17060371.94000000
PA
USD
18518914.32000000
0.410952730443
Long
ABS-CBDO
CORP
US
N
2
2024-01-25
Floating
6.22275000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE VERONA 12/20/19 0-3% TRANCHE 12/20/2019 CDX
000000000
8883500.00000000
NC
USD
-122845.12000000
-0.00272605275
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
2670500.00000000
USD
8883500.00000000
USD
-572.22999999
N
N
N
COMMSCOPE TECHNOLOGIES LLC 6.00% 06/15/2025 144A
M4TWC4QDOKW45N7T6Y12
COMMSCOPE TECHNOLOGIES LLC 6.00% 06/15/2025 144A
20337YAA5
14600000.00000000
PA
USD
13140000.00000000
0.291589387191
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
6.00000000
N
N
N
N
N
N
UNITED RENTALS NORTH AMERICA INC 5.875% 09/15/2026
NGIZXNT70J2LYT3FBI09
UNITED RENTALS NORTH AMERICA INC 5.875% 09/15/2026
911365BE3
16000000.00000000
PA
USD
17040000.00000000
0.378134182477
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.87500000
N
N
N
N
N
N
AMMC CLO XI LTD FRN 04/30/2031 2012-11A CR2 144A
5493004OOK6VXHQ8DQ60
AMMC CLO XI LTD FRN 04/30/2031 2012-11A CR2 144A
00176ABC8
1000000.00000000
PA
USD
941690.00000000
0.020897017505
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
3.83550000
N
N
N
N
N
N
N/A
N/A
NOK_USD_20200316
000000000
1.00000000
NC
USD
-1205660.38000000
-0.02675477712
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
46610831.94000000
USD
417400000.00000000
NOK
2020-03-16
-1205660.38000000
N
N
N
EDF SA 5.25% 07/29/2168 144A
549300X3UK4GG3FNMO06
EDF SA 5.25% 07/29/2168 144A
268317AF1
25000000.00000000
PA
USD
25914000.00000000
0.575056878210
Long
DBT
CORP
FR
N
2
N/A
Variable
5.25000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD 7.25% 04/01/2023 144A
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 7.25% 04/01/2023 144A
335934AK1
7200000.00000000
PA
USD
7258500.00000000
0.161073178609
Long
DBT
CORP
CA
N
2
2023-04-01
Fixed
7.25000000
N
N
N
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
13700000.00000000
PA
USD
14590500.00000000
0.323777393746
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 7.50% 09/15/2023 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 7.50% 09/15/2023 GNMA SF
36203N5N4
56.09200000
PA
USD
58.99000000
0.000001309045
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.50000000
N
N
N
N
N
N
LCM XVII LP FRN 10/15/2031 17A BRR 144A
549300K6S4MWQOINB710
LCM XVII LP FRN 10/15/2031 17A BRR 144A
50190AAR3
4590000.00000000
PA
USD
4479885.90000000
0.099413027722
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
3.60088000
N
N
N
N
N
N
UKRAINE GOVERNMENT 7.75% 09/01/2023 144A
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.75% 09/01/2023 144A
903724AQ5
4355000.00000000
PA
USD
4665947.00000000
0.103541904596
Long
DBT
NUSS
UA
N
2
2023-09-01
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
DEUTSCHE BANK AG IRS RCV FIXED 2.79% 08/30/24 CNY
000000000
236250000.00000000
NC
-485994.83000000
-0.01078469822
N/A
DIR
CORP
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Y
2024-08-30
0.00000000
USD
0.00000000
USD
236250000.00000000
CNY
-486188.23000000
N
N
N
MEDNAX Inc 6.25% 01/15/2027 144A
N/A
MEDNAX Inc 6.25% 01/15/2027 144A
58502BAC0
6300000.00000000
PA
USD
6248970.00000000
0.138670725485
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.25000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200129
000000000
1.00000000
NC
USD
-73180.37000000
-0.00162394362
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
18708636.37000000
USD
2000000000.00000000
JPY
2020-01-29
-73180.37000000
N
N
N
NOVELIS CORP 5.875% 09/30/2026 144A
549300G5F3W3B52WYL23
NOVELIS CORP 5.875% 09/30/2026 144A
670001AC0
14000000.00000000
PA
USD
14736400.00000000
0.327015056728
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
5.87500000
N
N
N
N
N
N
FANNIE MAE 8.00% 05/01/2026 FNMA
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 8.00% 05/01/2026 FNMA
31375UK20
82.01000000
PA
USD
82.68000000
0.000001834749
Long
ABS-MBS
USGA
US
N
2
2026-05-01
Fixed
8.00000000
N
N
N
N
N
N
Bausch Health Cos Inc 6.125% 04/15/2025 144A
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc 6.125% 04/15/2025 144A
91831AAC5
3100000.00000000
PA
USD
3225937.50000000
0.071586692446
Long
DBT
CORP
CA
N
2
2025-04-15
Fixed
6.12500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 06/01/2036 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 06/01/2036 FHLMC G30
3128KASF9
198256.79000000
PA
USD
218111.22000000
0.004840100226
Long
ABS-MBS
USGA
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
1011778 BC ULC/NEW RED FINANCE INC 5.00% 10/15/2025 144A
N/A
1011778 BC ULC/NEW RED FINANCE INC 5.00% 10/15/2025 144A
68245XAE9
11500000.00000000
PA
USD
11873750.00000000
0.263490067440
Long
DBT
CORP
CA
N
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
FANNIE MAE 5.50% 04/01/2021 FNMA 15
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 04/01/2021 FNMA 15
31408GT31
480.59000000
PA
USD
486.02000000
0.000010785256
Long
ABS-MBS
USGA
US
N
2
2021-04-01
Fixed
5.50000000
N
N
N
N
N
N
JBS USA LUX SA 6.5% 05/01/2026 New Term Loans
P77IMDGVZE8EFBTF2M92
JBS USA LUX SA 6.5% 05/01/2026 New Term Loans
46611VAU9
997493.74000000
PA
USD
1002243.81000000
0.022240765477
Long
LON
CORP
LU
N
2
2026-05-01
Floating
4.28588000
N
N
N
N
N
N
WOLVERINE FUELS HOLDING LLC 7.62688% 08/14/2020 First Lien Initial Term Loan
N/A
WOLVERINE FUELS HOLDING LLC 7.62688% 08/14/2020 First Lien Initial Term Loan
10247GAB2
17686721.86000000
PA
USD
17303503.66000000
0.383981585121
Long
LON
CORP
US
N
2
2020-08-14
Floating
7.87413000
N
N
N
N
N
N
LCM Xxiv Ltd FRN 03/20/2030 24A A 144A
N/A
LCM Xxiv Ltd FRN 03/20/2030 24A A 144A
50188YAA2
4300000.00000000
PA
USD
4299054.00000000
0.095400191884
Long
ABS-CBDO
CORP
KY
N
2
2030-03-20
Floating
3.27588000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 8.00% 11/01/2025 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 8.00% 11/01/2025 FHLMC G30
3128F5LM8
50.40000000
PA
USD
50.51000000
0.000001120866
Long
ABS-MBS
USGA
US
N
2
2025-11-01
Fixed
8.00000000
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
24932535.00000000
PA
USD
25972316.45000000
0.576350976986
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Floating
4.82275000
N
N
N
N
N
N
N/A
N/A
USD_BRL_20191209
000000000
1.00000000
NC
USD
-356678.22000000
-0.00791503680
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
110000000.00000000
BRL
26990553.31000000
USD
2019-12-09
-356678.22000000
N
N
N
U S TREASURY NOTE
N/A
U S TREASURY NOTE
912828G53
76527652.70000000
PA
USD
76527652.70000000
1.698223086303
Short
RA
CORP
US
N
2
Repurchase
Y
0.01721739
2019-11-01
76527652.70380400
USD
78060186.09289660
USD
UST
N
N
N
HERTZ CORP 5.9463% 06/30/2023 Tranche B-1 Term Loan
549300PD0C69OJ0NLB27
HERTZ CORP 5.9463% 06/30/2023 Tranche B-1 Term Loan
42804VAM3
994750.67000000
PA
USD
996201.02000000
0.022106670086
Long
LON
CORP
US
N
2
2023-06-30
Floating
4.54000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 03/01/2034 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 03/01/2034 FHLMC G30
31296WE78
272850.08000000
PA
USD
300817.88000000
0.006675441498
Long
ABS-MBS
USGA
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
FANNIE MAE 4.50% 03/01/2020 FNMA 15
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 4.50% 03/01/2020 FNMA 15
31406ERW6
1448.63000000
PA
USD
1493.99000000
0.000033153091
Long
ABS-MBS
USGA
US
N
2
2020-03-01
Fixed
4.50000000
N
N
N
N
N
N
Industrial & Commercial Bank of China Ltd/New York NY 3.538% 11/08/2027
5493002ERZU2K9PZDL40
Industrial & Commercial Bank of China Ltd/New York NY 3.538% 11/08/2027
45580KAK4
8500000.00000000
PA
USD
8883477.50000000
0.197133010681
Long
DBT
CORP
CN
N
2
2027-11-08
Fixed
3.53800000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 3.679% 01/01/2033 FHLMC ARM
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 3.679% 01/01/2033 FHLMC ARM
31342AG45
16943.31000000
PA
USD
17518.77000000
0.000388758554
Long
ABS-MBS
USGA
US
N
2
2033-01-01
Floating
3.67900000
N
N
N
N
N
N
FANNIE MAE 6.50% 03/01/2028 FNMA
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 03/01/2028 FNMA
31379FGY4
35561.01800000
PA
USD
39614.70000000
0.000879088744
Long
ABS-MBS
USGA
US
N
2
2028-03-01
Fixed
6.50000000
N
N
N
N
N
N
LCM XVI LP FRN 10/15/2031 144A 2016A BR2
549300RB1XGNK3FHRH35
LCM XVI LP FRN 10/15/2031 144A 2016A BR2
50181GBG4
13525832.00000000
PA
USD
13490259.06000000
0.299361976587
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
3.75088000
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
835347736.86000000
PA
22293210.41000000
0.494708033637
Long
DBT
NUSS
UY
N
2
2037-06-26
Fixed
3.70000000
N
N
N
N
N
N
CCO HOLDINGS LLC/CAPITAL CORP 5.25% 09/30/2022
N/A
CCO HOLDINGS LLC/CAPITAL CORP 5.25% 09/30/2022
1248EPAY9
6500000.00000000
PA
USD
6601562.50000000
0.146495096185
Long
DBT
CORP
US
N
2
2022-09-30
Fixed
5.25000000
N
N
N
N
N
N
FANNIE MAE 5.00% 02/01/2031 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 02/01/2031 FNMA 30
31417YXW2
20289.54000000
PA
USD
21711.01000000
0.000481788439
Long
ABS-MBS
USGA
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 4.50% 10/01/2040 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 4.50% 10/01/2040 FHLMC G30
312942U78
138665.29000000
PA
USD
150443.78000000
0.003338493882
Long
ABS-MBS
USGA
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
EXELON CORP 3.95% 06/15/2025
3SOUA6IRML7435B56G12
EXELON CORP 3.95% 06/15/2025
30161NAN1
8500000.00000000
PA
USD
9215222.56000000
0.204494756400
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.95000000
N
N
N
N
N
N
UNITED STATES TREASURY NOTE/BOND 7.125% 02/15/2023
N/A
UNITED STATES TREASURY NOTE/BOND 7.125% 02/15/2023
912810EP9
3000000.00000000
PA
USD
3538066.41000000
0.078513136707
Long
DBT
UST
US
N
2
2023-02-15
Fixed
7.12500000
N
N
N
N
N
N
ALLEGIANT TRAVEL CO 6.5% 02/05/2024 Class B Term Loans
549300JM9OZXOHWL2K18
ALLEGIANT TRAVEL CO 6.5% 02/05/2024 Class B Term Loans
01748LAD0
2901565.50000000
PA
USD
2912446.37000000
0.064630019197
Long
LON
CORP
US
N
2
2024-02-05
Floating
6.70900000
N
N
N
N
N
N
Octagon Investment Partners 30 Ltd FRN 03/17/2030 144A
549300CDNDWWERRAUA43
Octagon Investment Partners 30 Ltd FRN 03/17/2030 144A
675920AA0
4300000.00000000
PA
USD
4308901.00000000
0.095618706397
Long
ABS-CBDO
CORP
KY
N
2
2030-03-17
Floating
3.28588000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 03/25/2028 2015-HQA1 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 03/25/2028 2015-HQA1 M3
3137G0GJ2
18830000.00000000
PA
USD
19950968.73000000
0.442731411405
Long
ABS-CBDO
CORP
US
N
2
2028-03-25
Floating
6.52275000
N
N
N
N
N
N
FANNIE MAE 6.00% 05/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 05/01/2035 FNMA 30
31406XQ47
13863.89000000
PA
USD
15321.21000000
0.000339992559
Long
ABS-MBS
USGA
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
FISERV INC 3.85% 06/01/2025
GI7UBEJLXYLGR2C7GV83
FISERV INC 3.85% 06/01/2025
337738AP3
8400000.00000000
PA
USD
9053354.69000000
0.200902750843
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85000000
N
N
N
N
N
N
FANNIE MAE 2.50% 07/01/2027 FNI FNCI
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2.50% 07/01/2027 FNI FNCI
31418AGK8
234578.62000000
PA
USD
237704.42000000
0.005274892401
Long
ABS-MBS
USGA
US
N
2
2027-07-01
Fixed
2.50000000
N
N
N
N
N
N
HANESBRANDS INC 4.875% 05/15/2026 144A
GX5LWVWZLL5S4W1L2F20
HANESBRANDS INC 4.875% 05/15/2026 144A
410345AL6
15000000.00000000
PA
USD
15937500.00000000
0.353668634579
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.87500000
N
N
N
N
N
N
FFRMT- Franklin Floating Rate Income Fund OEMF USD NPV TIS A/C# 20794
N/A
FFRMT- Franklin Floating Rate Income Fund OEMF USD NPV TIS A/C# 20794
000000000
15243687.47700000
NS
USD
126065295.43000000
2.797511586042
Long
EC
RF
US
N
1
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
18784202.14400000
PA
USD
19113535.98000000
0.424147963734
Long
DBT
NUSS
US
N
2
2027-07-15
Fixed
0.37500000
N
N
N
N
N
N
N/A
N/A
NOK_USD_20200130
000000000
1.00000000
NC
USD
-481518.76000000
-0.01068536987
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
13689053.27000000
USD
121400000.00000000
NOK
2020-01-30
-481518.76000000
N
N
N
FANNIE MAE 6.00% 05/01/2038 FNL FNCL
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 05/01/2038 FNL FNCL
31412S5S0
264690.41000000
PA
USD
304454.02000000
0.006756130983
Long
ABS-MBS
USGA
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 7.50% 01/01/2031 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 7.50% 01/01/2031 FHLMC G30
31283HJB2
4856.05300000
PA
USD
5711.53000000
0.000126744408
Long
ABS-MBS
USGA
US
N
2
2031-01-01
Fixed
7.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 12/01/2034 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 12/01/2034 FHLMC G30
31283H4Z5
105342.68000000
PA
USD
118866.00000000
0.002637752214
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 6.50% 12/20/2030 GNMA II
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 6.50% 12/20/2030 GNMA II
36202DKW0
12127.14000000
PA
USD
13265.77000000
0.000294380345
Long
ABS-MBS
USGA
US
N
2
2030-12-20
Fixed
6.50000000
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORP FRN 02/25/2035 05-2XS 2A2
N/A
STRUCTURED ASSET SECURITIES CORP FRN 02/25/2035 05-2XS 2A2
86359B2J9
1804816.53600000
PA
USD
1836012.79000000
0.040742910526
Long
ABS-CBDO
CORP
US
N
2
2035-02-25
Floating
3.53150000
N
N
N
N
N
N
Chaparral Energy Inc COM USD NPV CL A 144A
V5IUQSDP5WPR92NJWH73
Chaparral Energy Inc COM USD NPV CL A 144A
15942R406
3418.00000000
NS
USD
3203.69000000
0.000071092998
Long
EC
CORP
US
N
1
N
N
N
REPUBLIC OF COLOMBIA 9.85% 06/28/2027
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 9.85% 06/28/2027
P3772NBA9
55750000000.00000000
PA
20737762.35000000
0.460191127501
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-SLCT1 FRN 04/15/2044 144A S1 PT
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-SLCT1 FRN 04/15/2044 144A S1 PT
21053KAA5
7203374.66000000
PA
USD
6325383.42000000
0.140366413637
Long
LON
CORP
US
N
2
2044-04-15
Variable
14.902047
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
9000000.00000000
NC
USD
226534.30000000
0.005027016568
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
9000000.00000000
USD
226534.30000000
N
N
N
FANNIE MAE 5.50% 07/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 07/01/2035 FNMA 30
31371MCF2
96620.42000000
PA
USD
108985.72000000
0.002418499186
Long
ABS-MBS
USGA
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
Galaxy XXVI CLO Ltd FRN 11/22/2031 2018-26A A 144A
N/A
Galaxy XXVI CLO Ltd FRN 11/22/2031 2018-26A A 144A
36321LAA7
7600000.00000000
PA
USD
7585712.00000000
0.168334331316
Long
ABS-CBDO
CORP
KY
N
2
2031-11-22
Floating
3.34950000
N
N
N
N
N
N
Appvion Operations Inc COM USD NPV
549300KG8GQ03SX7CT73
Appvion Operations Inc COM USD NPV
000000000
331326.00000000
NS
USD
4417402.90000000
0.098026469146
Long
EC
CORP
US
Y
3
N
N
N
Clear Channel Worldwide Holdings Inc 5.125% 08/15/2027 144A
N/A
Clear Channel Worldwide Holdings Inc 5.125% 08/15/2027 144A
18453HAA4
6400000.00000000
PA
USD
6677952.00000000
0.148190253529
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.12500000
N
N
N
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
4000000.00000000
PA
USD
3884720.00000000
0.086205717215
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
4.11588000
N
N
N
N
N
N
CIM Trust 2019-INV2 FRN 05/25/2049 144A 2019-INV2 A3
N/A
CIM Trust 2019-INV2 FRN 05/25/2049 144A 2019-INV2 A3
12554TAC5
17857950.60000000
PA
USD
18673019.61000000
0.414372476796
Long
ABS-CBDO
CORP
US
N
2
2049-05-25
Variable
4.00000000
N
N
N
N
N
N
AMMC CLO XI LTD FRN 04/30/2031 2012-11A BR2 144A
5493004OOK6VXHQ8DQ60
AMMC CLO XI LTD FRN 04/30/2031 2012-11A BR2 144A
00176ABB0
3000000.00000000
PA
USD
2932530.00000000
0.065075694491
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
3.53550000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 05/01/2030 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 05/01/2030 FHLMC G30
3128P7NU3
50225.95000000
PA
USD
53773.18000000
0.001193279193
Long
ABS-MBS
USGA
US
N
2
2030-05-01
Fixed
5.00000000
N
N
N
N
N
N
FANNIE MAE 6.00% 08/01/2036 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 08/01/2036 FNMA 30
31410EYH5
139908.32000000
PA
USD
154839.78000000
0.003436045400
Long
ABS-MBS
USGA
US
N
2
2036-08-01
Fixed
6.00000000
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
2184401.09600000
PA
USD
2206692.25000000
0.048968648470
Long
ABS-CBDO
CORP
US
N
2
2045-04-25
Variable
4.57753100
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
13500000.00000000
NC
USD
-8018789.75000000
-0.17794474803
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
7417500.00000000
USD
13500000.00000000
USD
-737185.06000000
N
N
N
Carlyle US Clo 2017-2 Ltd FRN 07/20/2031 17-2A A1B 144A
549300VC6J79YJCFU884
Carlyle US Clo 2017-2 Ltd FRN 07/20/2031 17-2A A1B 144A
14315JAL3
8500000.00000000
PA
USD
8500255.00000000
0.188628930473
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
3.18588000
N
N
N
N
N
N
ENDO DAC / ENDO FINANCE LLC / ENDO FINCO INC 6.00% 02/01/2025 144A
N/A
ENDO DAC / ENDO FINANCE LLC / ENDO FINCO INC 6.00% 02/01/2025 144A
29273EAA6
11000000.00000000
PA
USD
7067500.00000000
0.156834702738
Long
DBT
CORP
IE
N
2
2025-02-01
Fixed
6.00000000
N
N
N
N
N
N
AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST FRN 09/16/2024 2017-2 A
549300Y4SA5G3GIJTP18
AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST FRN 09/16/2024 2017-2 A
02587AAL8
9170000.00000000
PA
USD
9215936.20000000
0.204510592766
Long
ABS-CBDO
CORP
US
N
2
2024-09-16
Floating
2.36350000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 06/01/2036 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 06/01/2036 FHLMC G30
3128KAJY8
68743.66000000
PA
USD
77544.64000000
0.001720791024
Long
ABS-MBS
USGA
US
N
2
2036-06-01
Fixed
6.50000000
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
9800000.00000000
PA
10977245.65000000
0.243595763480
Long
ABS-CBDO
CORP
IE
N
2
2032-07-15
Floating
1.12000000
N
N
N
N
N
N
FGI OPERATING CO LLC (FREEDOM GROUP) 8.8425% 05/15/2021 Term Loan FILO
N/A
FGI OPERATING CO LLC (FREEDOM GROUP) 8.8425% 05/15/2021 Term Loan FILO
30252KAH0
28662304.78000000
PA
USD
28606339.34000000
0.634802508215
Long
LON
CORP
US
N
3
2021-05-15
Floating
9.65503000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 07/01/2028 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 07/01/2028 FHLMC G30
3128P7KF9
26954.46000000
PA
USD
28802.66000000
0.000639159054
Long
ABS-MBS
USGA
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 7.00% 05/01/2028 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 7.00% 05/01/2028 FHLMC G30
3128G2H64
9286.29000000
PA
USD
9455.83000000
0.000209834069
Long
ABS-MBS
USGA
US
N
2
2028-05-01
Fixed
7.00000000
N
N
N
N
N
N
AMERICAN TOWER CORP 3.375% 10/15/2026
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 3.375% 10/15/2026
03027XAK6
15500000.00000000
PA
USD
16141201.21000000
0.358188962660
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.37500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.00% 08/01/2034 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.00% 08/01/2034 FHLMC G30
31297DT40
139584.30000000
PA
USD
154874.54000000
0.003436816758
Long
ABS-MBS
USGA
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
T-MOBILE USA INC 6.375% 03/01/2025
549300V2JRLO5DIFGE82
T-MOBILE USA INC 6.375% 03/01/2025
87264AAN5
13000000.00000000
PA
USD
13522730.00000000
0.300082538345
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.37500000
N
N
N
N
N
N
N/A
N/A
BRL_USD_20191209
000000000
1.00000000
NC
USD
-13430.13000000
-0.00029802765
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
26415939.11000000
USD
106200000.00000000
BRL
2019-12-09
-13430.13000000
N
N
N
CNH INDUSTRIAL NV 3.85% 11/15/2027
549300WGC2HZ5J67V817
CNH INDUSTRIAL NV 3.85% 11/15/2027
12594KAB8
6600000.00000000
PA
USD
6888915.00000000
0.152871727798
Long
DBT
CORP
NL
N
2
2027-11-15
Fixed
3.85000000
N
N
N
N
N
N
HCA INC 5.875% 02/15/2026
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.875% 02/15/2026
404119BS7
3000000.00000000
PA
USD
3382500.00000000
0.075060966680
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.87500000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE CAMBRIDGE DEC 19 0-3% EQUITY TR 12/20/2019 CDX
000000000
22249500.00000000
NC
USD
-1986972.91000000
-0.04409286249
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
4340700.00000000
USD
22249500.00000000
USD
-1737489.80000000
N
N
N
Bayer US Finance II LLC 4.375% 12/15/2028 144A
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC 4.375% 12/15/2028 144A
07274NAL7
11700000.00000000
PA
USD
12702005.32000000
0.281869859008
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.37500000
N
N
N
N
N
N
WEATHERFORD INTERNATIONAL LTD/BERMUDA 7.75% 06/15/2021 *DEFAULT*
549300A2JKMG5PGOGF82
WEATHERFORD INTERNATIONAL LTD/BERMUDA 7.75% 06/15/2021 *DEFAULT*
947075AJ6
9000000.00000000
PA
USD
2880000.00000000
0.063910002672
Long
DBT
CORP
BM
N
2
2021-06-15
None
7.75000000
Y
N
N
N
N
N
FANNIE MAE 6.50% 04/01/2031 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 04/01/2031 FNMA 30
31384WGU8
1190.36200000
PA
USD
1358.04000000
0.000030136229
Long
ABS-MBS
USGA
US
N
2
2031-04-01
Fixed
6.50000000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYSTEMS INC 6.875% 02/01/2022
5493007X5NC5XI1BB106
CHS/COMMUNITY HEALTH SYSTEMS INC 6.875% 02/01/2022
12543DAV2
7223000.00000000
PA
USD
5615882.50000000
0.124621897771
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
6.87500000
N
N
N
N
N
N
N/A
N/A
ITALY GOVERNMENT INTERNATIONAL BOND 1.00% 06/20/2023 CDS
000000000
14200000.00000000
NC
USD
72083.30000000
0.001599598574
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2023-06-20
0.00000000
USD
654571.42000000
USD
14200000.00000000
USD
565403.27000000
N
N
N
FANNIE MAE 5.50% 12/01/2034 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 12/01/2034 FNMA 30
31405WJX4
19538.96000000
PA
USD
21483.53000000
0.000476740437
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Dryden 64 CLO Ltd FRN 04/18/2031 2018-64A D 144A
N/A
Dryden 64 CLO Ltd FRN 04/18/2031 2018-64A D 144A
26251LAJ3
2200000.00000000
PA
USD
2007720.00000000
0.044553260612
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
4.65325000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 11/01/2034 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 11/01/2034 FHLMC G30
31297GL33
20899.28000000
PA
USD
22606.94000000
0.000501669998
Long
ABS-MBS
USGA
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
Dryden 55 CLO Ltd FRN 04/15/2031 144A 18-55A D
N/A
Dryden 55 CLO Ltd FRN 04/15/2031 144A 18-55A D
26245MAL5
3000000.00000000
PA
USD
2724090.00000000
0.060450208048
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
4.85088000
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
3300000.00000000
NC
USD
79604.99000000
0.001766512195
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
3300000.00000000
USD
79604.99000000
N
N
N
GOVT NATL MORTG ASSN 5.50% 06/15/2036 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.50% 06/15/2036 GNMA SF
36202TP26
34747.23000000
PA
USD
39028.00000000
0.000866069300
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
5.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 7.00% 08/01/2032 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 7.00% 08/01/2032 FHLMC G30
31283HW27
5440.07400000
PA
USD
6127.79000000
0.000135981623
Long
ABS-MBS
USGA
US
N
2
2032-08-01
Fixed
7.00000000
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
17584196.14000000
PA
USD
18862897.78000000
0.418586058168
Long
ABS-CBDO
CORP
US
N
2
2028-10-25
Floating
6.47275000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20200109
000000000
1.00000000
NC
USD
-1083779.57000000
-0.02405012333
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
68000000.00000000
AUD
45885380.00000000
USD
2020-01-09
-1083779.57000000
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
9726017.02400000
PA
USD
10060237.01000000
0.223246449372
Long
ABS-CBDO
CORP
US
N
2
2025-02-25
Floating
6.37275000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP 7.125% 06/15/2024 144A
N/A
DELL INTERNATIONAL LLC / EMC CORP 7.125% 06/15/2024 144A
25272KAW3
7000000.00000000
PA
USD
7430500.00000000
0.164890025991
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
CEMEX SAB DE CV 6.125% 05/05/2025 144A
549300RIG2CXWN6IV731
CEMEX SAB DE CV 6.125% 05/05/2025 144A
151290BS1
2000000.00000000
PA
USD
2075070.00000000
0.046047822654
Long
DBT
CORP
MX
N
2
2025-05-05
Fixed
6.12500000
N
N
N
N
N
N
BlueMountain Fuji US Clo III Ltd FRN 01/15/2030 144A 2017-3A C
N/A
BlueMountain Fuji US Clo III Ltd FRN 01/15/2030 144A 2017-3A C
09628FAG4
600000.00000000
PA
USD
567732.00000000
0.012598525568
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
3.70088000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE JUNE-20 0-3% EQUITY TRANCHE CDX 06/20/2020 CDX
000000000
4394021.50000000
NC
USD
-559927.92000000
-0.01242534543
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE JUNE-20 0-3% EQUITY TRANCHE CDX INDEX
Y
2020-06-20
0.00000000
USD
1397000.00000000
USD
4394021.50000000
USD
-113111.81000000
N
N
N
GOVT NATL MORTG ASSN 6.50% 02/15/2029 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 6.50% 02/15/2029 GNMA SF
36207H3G0
4504.49000000
PA
USD
4989.24000000
0.000110716090
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
U S TREASURY NOTE/BOND I/L 0.375% 07/15/2025 INDEX LINKED TO CPURNSA
254900HROIFWPRGM1V77
U S TREASURY NOTE/BOND I/L 0.375% 07/15/2025 INDEX LINKED TO CPURNSA
912828XL9
34295254.59100000
PA
USD
34819321.06000000
0.772674618745
Long
DBT
NUSS
US
N
2
2025-07-15
Fixed
0.37500000
N
N
N
N
N
N
FIELDWOOD ENERGY LLC 7.15076% 04/11/2022 Closing Date Loans
549300KTQCELOBO6BF21
FIELDWOOD ENERGY LLC 7.15076% 04/11/2022 Closing Date Loans
31659HAQ4
64439645.15000000
PA
USD
52131672.93000000
1.156852554257
Long
LON
CORP
US
N
2
2022-04-11
Floating
7.17713000
N
N
N
N
N
N
N/A
N/A
CITIBANK BESPOKE PHOENIX 12/20/21 5-7% TRANCHE 12/20/2021 CDX
000000000
8500000.00000000
NC
USD
232282.97000000
0.005154585150
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
8500000.00000000
USD
232282.97000000
N
N
N
99 CENTS ONLY STORES 8.80431% 01/13/2022 First Lien Term Loan (PIK)
549300I645G0USPS4266
99 CENTS ONLY STORES 8.80431% 01/13/2022 First Lien Term Loan (PIK)
65441MAG6
4625183.99000000
PA
USD
3804213.83000000
0.084419206958
Long
LON
CORP
US
N
2
2022-01-13
Floating
8.57468000
N
N
Y
N
N
N
GS Mortgage Securities Trust FRN 10/10/2049 2016-GS3 B
N/A
GS Mortgage Securities Trust FRN 10/10/2049 2016-GS3 B
36251PAJ3
8037000.00000000
PA
USD
8356726.33000000
0.185443889611
Long
ABS-CBDO
CORP
US
N
2
2049-10-10
Variable
3.39500000
N
N
N
N
N
N
GS Mortgage Securities Trust 2017-GS6 3.869% 05/10/2050 2017-GS6 B
N/A
GS Mortgage Securities Trust 2017-GS6 3.869% 05/10/2050 2017-GS6 B
36253PAH5
7700000.00000000
PA
USD
8245890.73000000
0.182984339787
Long
ABS-CBDO
CORP
US
N
2
2050-05-10
Fixed
3.86900000
N
N
N
N
N
N
BCAP LLC TRUST FRN 05/26/2035 2009-RR1 2A2 144A
N/A
BCAP LLC TRUST FRN 05/26/2035 2009-RR1 2A2 144A
05531WAH9
5223206.73000000
PA
USD
5095358.72000000
0.113070968545
Long
ABS-CBDO
CORP
US
N
2
2035-05-26
Variable
4.94016100
N
N
N
N
N
N
United States Treasury Note/Bond 3.125% 11/15/2028
N/A
United States Treasury Note/Bond 3.125% 11/15/2028
9128285M8
81000000.00000000
PA
USD
90852890.22000000
2.016114047477
Long
DBT
UST
US
N
2
2028-11-15
Fixed
3.12500000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL NTNB 6.00% 05/15/2023 INDEX LINKED
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL NTNB 6.00% 05/15/2023 INDEX LINKED
P8T60MDM2
19500.00000000
PA
18073277.99000000
0.401063626609
Long
DBT
NUSS
BR
N
2
2023-05-15
Fixed
6.00000000
N
N
N
N
N
N
Cia Securitizadora de Creditos Financeiros Vert-Fintech FRN 02/14/2024
N/A
Cia Securitizadora de Creditos Financeiros Vert-Fintech FRN 02/14/2024
000000000
5306.00000000
PA
1366621.81000000
0.030326667892
Long
DBT
CORP
BR
N
2
2024-02-14
Floating
0.00000000
N
N
N
N
N
N
CLUB Certificate Issuer Trust 1 2018-14 FRN 09/16/2041 144A 2018-14 PT
N/A
CLUB Certificate Issuer Trust 1 2018-14 FRN 09/16/2041 144A 2018-14 PT
21052DAA2
5315973.96000000
PA
USD
5218437.00000000
0.115802195352
Long
LON
CORP
US
N
2
2041-09-16
Variable
9.459183
N
N
N
N
N
N
Neuberger Berman CLO XVIII Ltd FRN 10/21/2030 12014-8A CR2 144A
549300FCSYYS3J0RKL34
Neuberger Berman CLO XVIII Ltd FRN 10/21/2030 12014-8A CR2 144A
64128QAY1
500000.00000000
PA
USD
451250.00000000
0.010013676633
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Floating
4.96588000
N
N
N
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
51300000.00000000
PA
USD
52133625.51000000
1.156895883907
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
CATAMARAN CLO LTD FRN 10/18/2026 2014-2A BR 144A
549300YV4DIC30VMKL37
CATAMARAN CLO LTD FRN 10/18/2026 2014-2A BR 144A
14889HAL3
11770000.00000000
PA
USD
11775414.20000000
0.261307900343
Long
ABS-CBDO
CORP
KY
N
2
2026-10-18
Floating
4.95325000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 6.50% 11/15/2031 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 6.50% 11/15/2031 GNMA SF
36213WQH2
31475.26000000
PA
USD
34862.37000000
0.000773629916
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS 24 LTD FRN 04/21/2031 144A 2015-1A BS
N/A
OCTAGON INVESTMENT PARTNERS 24 LTD FRN 04/21/2031 144A 2015-1A BS
67573ABW2
4485000.00000000
PA
USD
4482443.55000000
0.099469784464
Long
ABS-CBDO
CORP
KY
N
2
2031-04-21
Floating
3.86588000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 06/01/2029 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 06/01/2029 FHLMC G30
31292G2S4
1560.61400000
PA
USD
1745.87000000
0.000038742554
Long
ABS-MBS
USGA
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 10/01/2035 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 10/01/2035 FHLMC G30
31297T5F6
207089.49000000
PA
USD
233307.02000000
0.005177309816
Long
ABS-MBS
USGA
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
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
2220000.00000000
PA
USD
2362669.63000000
0.052429938321
Long
ABS-CBDO
CORP
US
N
2
2029-04-25
Floating
6.07275000
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
9000000.00000000
NC
USD
267593.80000000
0.005938166830
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
9000000.00000000
USD
267593.80000000
N
N
N
EDF SA 5.625% 7/22/2167144A PERP
549300X3UK4GG3FNMO06
EDF SA 5.625% 7/22/2167144A PERP
268317AM6
5000000.00000000
PA
USD
5255775.00000000
0.116630761907
Long
DBT
CORP
FR
N
2
N/A
Variable
5.62500000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP 3.25% 08/15/2026
549300QHC068L40NNM71
BUNGE LTD FINANCE CORP 3.25% 08/15/2026
120568AX8
2000000.00000000
PA
USD
2005689.64000000
0.044508204948
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.25000000
N
N
N
N
N
N
COMMERCIAL MORTGAGE TRUST FRN 07/10/2038 2006-GG7 AJ
N/A
COMMERCIAL MORTGAGE TRUST FRN 07/10/2038 2006-GG7 AJ
20173MAH3
5333000.00000000
PA
USD
4941858.05000000
0.109664639298
Long
ABS-CBDO
CORP
US
N
2
2038-07-10
Variable
5.63658800
N
N
N
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
5500000.00000000
PA
USD
6111517.50000000
0.135620520748
Long
DBT
CORP
NL
N
2
2028-10-10
Fixed
4.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.00% 11/01/2033 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.00% 11/01/2033 FHLMC G30
31296QNL0
2520.08000000
PA
USD
2844.66000000
0.000063125773
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.00% 06/15/2034 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.00% 06/15/2034 GNMA SF
36200NTS0
8988.30000000
PA
USD
9983.71000000
0.000221548240
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.00000000
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
17600000.00000000
PA
USD
18887352.00000000
0.419128721107
Long
LON
CORP
IE
N
2
2022-04-05
Fixed
5.70000000
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
14863520.83000000
PA
USD
16386049.24000000
0.363622378720
Long
ABS-CBDO
CORP
US
N
2
2023-10-25
Floating
7.07275000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 4% 10/01/2049 FHLMC
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 4% 10/01/2049 FHLMC
01F0406B8
58450000.00000000
PA
USD
60651749.54000000
1.345921345546
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
4.00000000
N
N
N
N
N
N
HPS Loan Management 13-2018 Ltd FRN 10/15/2030 13A-18 C 144A
N/A
HPS Loan Management 13-2018 Ltd FRN 10/15/2030 13A-18 C 144A
40437LAJ1
4950000.00000000
PA
USD
4767196.50000000
0.105788729532
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
4.15088000
N
N
N
N
N
N
FGI OPERATING CO LLC (FREEDOM GROUP) 12.3425% 05/15/2022 Term Loan TOGG PIK
N/A
FGI OPERATING CO LLC (FREEDOM GROUP) 12.3425% 05/15/2022 Term Loan TOGG PIK
30252KAE7
15064735.21000000
PA
USD
14699083.96000000
0.326186977486
Long
LON
CORP
US
N
3
2022-05-15
Floating
12.09963000
N
N
Y
N
N
N
ENERGY TRANSFER PARTNERS LP / REGENCY ENERGY FIN 5.00% 10/01/2022
N/A
ENERGY TRANSFER PARTNERS LP / REGENCY ENERGY FIN 5.00% 10/01/2022
75886AAQ1
10000000.00000000
PA
USD
10626280.50000000
0.235807505260
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
5.00000000
N
N
N
N
N
N
BANC OF AMERICA COMMERCIAL MORTGAGE TRUST FRN 09/15/2048 2015-UBS7 B
N/A
BANC OF AMERICA COMMERCIAL MORTGAGE TRUST FRN 09/15/2048 2015-UBS7 B
06054ABC2
6740000.00000000
PA
USD
7316573.97000000
0.162361896518
Long
ABS-CBDO
CORP
US
N
2
2048-09-15
Variable
4.36073300
N
N
N
N
N
N
City & County Honolulu HI Wastewater System Revenue
N/A
City & County Honolulu HI Wastewater System Revenue
438701Y57
1180000.00000000
PA
USD
1192000.60000000
0.026451653309
Long
DBT
MUN
US
N
2
2028-07-01
Fixed
2.58500000
N
N
N
N
N
N
FANNIE MAE 5.00% 04/01/2029 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 04/01/2029 FNMA 30
31417YAZ0
51214.72000000
PA
USD
54705.22000000
0.001213962068
Long
ABS-MBS
USGA
US
N
2
2029-04-01
Fixed
5.00000000
N
N
N
N
N
N
Mountain View Clo XIV Ltd FRN 04/15/2029 144A 2019-1A A1
549300IB1UGD5G8HYT10
Mountain View Clo XIV Ltd FRN 04/15/2029 144A 2019-1A A1
62432MAA7
5000000.00000000
PA
USD
5001050.00000000
0.110978166272
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
3.44088000
N
N
N
N
N
N
N/A
N/A
RUSSIAN FOREIGN BOND - EUROBOND 1.00% 12/20/2024 CDS
000000000
13500000.00000000
NC
USD
172465.05000000
0.003827167293
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2024-12-20
0.00000000
USD
0.00000000
USD
13500000.00000000
USD
34907.98000000
N
N
N
WEST CORP 8.50% 10/15/2025 144A
5493005Z5DB0O5S30R71
WEST CORP 8.50% 10/15/2025 144A
68163PAA2
17300000.00000000
PA
USD
13148000.00000000
0.291766914977
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
8.50000000
N
N
N
N
N
N
CNAC HK FINBRIDGE CO LTD 4.875% 03/14/2025 REG S
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 4.875% 03/14/2025 REG S
Y1670YAJ4
1800000.00000000
PA
USD
1953684.00000000
0.043354149187
Long
DBT
CORP
HK
N
2
2025-03-14
Fixed
4.87500000
N
N
N
N
N
N
Qorvo Inc 5.5% 07/15/2026
254900YAUJV2EUEVBR11
Qorvo Inc 5.5% 07/15/2026
74736KAF8
2600000.00000000
PA
USD
2781948.00000000
0.061734133372
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.50000000
N
N
N
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
13868545.60900000
PA
USD
14752951.08000000
0.327382341300
Long
ABS-CBDO
CORP
US
N
2
2025-07-25
Floating
6.82275000
N
N
N
N
N
N
ARISTOCRAT TECHNOLOGIES INC 6.5% 10/19/2024 Term B-3 Loans
549300I5142EOXMKHL78
ARISTOCRAT TECHNOLOGIES INC 6.5% 10/19/2024 Term B-3 Loans
04044PAF1
1408411.77000000
PA
USD
1413473.60000000
0.031366354705
Long
LON
CORP
US
N
2
2024-10-19
Floating
3.71588000
N
N
N
N
N
N
REYNOLDS AMERICAN INC 4.45% 06/12/2025
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 4.45% 06/12/2025
761713BG0
1900000.00000000
PA
USD
2040793.55000000
0.045287194872
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
4.45000000
N
N
N
N
N
N
ONSITE RENTAL GROUP OPERATIONS PTY LTD 6.10%/6.10% 10/26/2023 TOGG PIK
5493008YQUVFPVW2VW35
ONSITE RENTAL GROUP OPERATIONS PTY LTD 6.10%/6.10% 10/26/2023 TOGG PIK
000000000
4655176.00000000
PA
USD
4306037.80000000
0.095555169202
Long
DBT
CORP
AU
N
2
2023-10-26
Fixed
6.10000000
N
N
N
N
N
N
BIRCH PERMIAN HOLDINGS INC COM USD NPV *Put option premium/Backstop*
5493008GXCEAUIZGCH60
BIRCH PERMIAN HOLDINGS INC COM USD NPV *Put option premium/Backstop*
09075C104
46176.00000000
NS
USD
427128.00000000
0.009478385979
Long
EC
CORP
US
N
2
N
N
N
DAVITA INC 5.125% 07/15/2024
M2XHYMU3TZNEZURC6H66
DAVITA INC 5.125% 07/15/2024
23918KAQ1
8000000.00000000
PA
USD
8186160.00000000
0.181658856762
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
5.12500000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD 7.00% 02/15/2021 144A
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 7.00% 02/15/2021 144A
335934AF2
2144000.00000000
PA
USD
2158740.00000000
0.047904541377
Long
DBT
CORP
CA
N
2
2021-02-15
Fixed
7.00000000
N
N
N
N
N
N
FANNIE MAE 6.00% 12/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 12/01/2035 FNMA 30
31407YH51
80033.55000000
PA
USD
89454.97000000
0.001985092837
Long
ABS-MBS
USGA
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
CITIGROUP INC 4.05% 07/30/2022
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.05% 07/30/2022
172967GK1
5000000.00000000
PA
USD
5242881.30000000
0.116344638157
Long
DBT
CORP
US
N
2
2022-07-30
Fixed
4.05000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC 4.55% 11/14/2024
549300IRDTHJQ1PVET45
FREEPORT-MCMORAN INC 4.55% 11/14/2024
35671DBL8
13000000.00000000
PA
USD
13552500.00000000
0.300743163616
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.00% 07/15/2034 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.00% 07/15/2034 GNMA SF
36200NYN5
93530.81000000
PA
USD
102809.15000000
0.002281435087
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
5.00000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.50% 02/15/2033 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.50% 02/15/2033 GNMA SF
36200KMR5
20462.43000000
PA
USD
22986.40000000
0.000510090585
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
5.50000000
N
N
N
N
N
N
SECURUS TECHNOLOGIES HOLDINGS INC 6.37688% 11/01/2024 INITIAL TERM LOAN
549300EBCNNXVCJ2FW66
SECURUS TECHNOLOGIES HOLDINGS INC 6.37688% 11/01/2024 INITIAL TERM LOAN
78410QAB8
2487341.78000000
PA
USD
1975658.27000000
0.043841779623
Long
LON
CORP
US
N
2
2024-11-01
Floating
6.28588000
N
N
N
N
N
N
FANNIE MAE 5.50% 11/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2033 FNMA 30
31403RHW1
14572.86000000
PA
USD
15741.33000000
0.000349315431
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 08/01/2036 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 08/01/2036 FHLMC G30
3128KDX67
52483.43000000
PA
USD
57609.29000000
0.001278406207
Long
ABS-MBS
USGA
US
N
2
2036-08-01
Fixed
5.00000000
N
N
N
N
N
N
MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP 5.25% 08/01/2026
N/A
MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP 5.25% 08/01/2026
55342UAG9
4200000.00000000
PA
USD
4425750.00000000
0.098211699418
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.25000000
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
22910000.00000000
PA
USD
24008236.67000000
0.532766135324
Long
ABS-CBDO
CORP
US
N
2
2029-07-25
Floating
5.37275000
N
N
N
N
N
N
VERTIV GROUP CORP 9.25% 10/15/2024 144A
549300ZT8RQ5VK10E643
VERTIV GROUP CORP 9.25% 10/15/2024 144A
220517AA4
14000000.00000000
PA
USD
13238750.00000000
0.293780745790
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
9.25000000
N
N
N
N
N
N
IHEARTMEDIA INC COM USD NPV CL B
N/A
IHEARTMEDIA INC COM USD NPV CL B
45174J608
1941.00000000
NS
USD
23658.85000000
0.000525012905
Long
EC
CORP
US
N
3
N
N
N
UNITED STATES TREASURY NOTE/BOND 6.875% 08/15/2025
N/A
UNITED STATES TREASURY NOTE/BOND 6.875% 08/15/2025
912810EV6
1000000.00000000
PA
USD
1293652.34000000
0.028707404342
Long
DBT
UST
US
N
2
2025-08-15
Fixed
6.87500000
N
N
N
N
N
N
Octagon Investment Partners 28 Ltd 10/24/2030 144A 2016-1A A2R
254900BI638DCRT6IN48
Octagon Investment Partners 28 Ltd 10/24/2030 144A 2016-1A A2R
67591EAS2
10000000.00000000
PA
USD
10012100.00000000
0.222178242275
Long
ABS-CBDO
CORP
US
N
2
2030-10-24
Floating
3.38600000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC 5.625% 03/01/2025
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION LLC 5.625% 03/01/2025
785592AM8
5000000.00000000
PA
USD
5596965.70000000
0.124202115570
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.62500000
N
N
N
N
N
N
N/A
N/A
ITALY GOVERNMENT INTERNATIONAL BOND 1.00% 06/20/2023 CDS
000000000
-14200000.00000000
NC
USD
-219288.88000000
-0.00486623364
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2023-06-20
-139830.86000000
USD
0.00000000
USD
-14200000.00000000
USD
-331786.87000000
N
N
N
CNX RESOURCES CORP 5.875% 04/15/2022
549300JK3KH8PWM3B226
CNX RESOURCES CORP 5.875% 04/15/2022
20854PAL3
11076000.00000000
PA
USD
10868325.00000000
0.241178708261
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
5.87500000
N
N
N
N
N
N
BLUEMOUNTAIN CLO LTD FRN 11/20/2028 144A 2012-2A CR2
549300WSX4P5CXVKVR97
BLUEMOUNTAIN CLO LTD FRN 11/20/2028 144A 2012-2A CR2
09626RBA2
2730000.00000000
PA
USD
2666909.70000000
0.059181321546
Long
ABS-CBDO
CORP
KY
N
2
2028-11-20
Floating
4.13588000
N
N
N
N
N
N
FANNIE MAE 6.00% 11/01/2037 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 11/01/2037 FNMA 30
31413YRR4
18395.34000000
PA
USD
21101.43000000
0.000468261266
Long
ABS-MBS
USGA
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
KINDER MORGAN INC 3.15% 01/15/2023
549300WR7IX8XE0TBO16
KINDER MORGAN INC 3.15% 01/15/2023
49456BAM3
9000000.00000000
PA
USD
9227568.96000000
0.204768735031
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.15000000
N
N
N
N
N
N
WEATHERFORD INTERNATIONAL LTD/BERMUDA 8.25% 06/15/2023 *DEFAULT*
549300A2JKMG5PGOGF82
WEATHERFORD INTERNATIONAL LTD/BERMUDA 8.25% 06/15/2023 *DEFAULT*
947075AK3
7000000.00000000
PA
USD
2170000.00000000
0.048154411735
Long
DBT
CORP
BM
N
2
2023-06-15
None
8.25000000
Y
N
N
N
N
N
N/A
N/A
USD_AUD_20200128
000000000
1.00000000
NC
USD
36944.43000000
0.000819832854
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
3000000.00000000
AUD
2109900.00000000
USD
2020-01-28
36944.43000000
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-SLCT3 FRN 06/15/2044 144A
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-SLCT3 FRN 06/15/2044 144A
21055RAA8
5931262.07000000
PA
USD
5534463.01000000
0.122815120054
Long
LON
CORP
US
N
2
2044-06-15
Variable
14.539172
N
N
N
N
N
N
MORTGAGEIT TRUST FRN 12/25/2035 05-5 A1
N/A
MORTGAGEIT TRUST FRN 12/25/2035 05-5 A1
61915RAU0
1472177.02100000
PA
USD
1475872.92000000
0.032751056340
Long
ABS-CBDO
CORP
US
N
2
2035-12-25
Floating
2.34275000
N
N
N
N
N
N
VOYA CLO LTD FRN 04/25/2031 144A 2A A2AR
5493007ASGBOUR3XJY69
VOYA CLO LTD FRN 04/25/2031 144A 2A A2AR
92916WAC3
2200000.00000000
PA
USD
2142734.00000000
0.047549352661
Long
ABS-CBDO
CORP
US
N
2
2031-04-25
Floating
3.33963000
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
11400000.00000000
PA
USD
16675464.00000000
0.370044773888
Long
ABS-O
USGA
PE
N
2
2037-03-14
Fixed
6.55000000
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
6570519.83200000
PA
USD
6921273.89000000
0.153589803057
Long
ABS-CBDO
CORP
US
N
2
2029-01-25
Floating
6.27275000
N
N
N
N
N
N
Diamond Sports Group LLC 6.5% 08/24/2026 Term Loan
N/A
Diamond Sports Group LLC 6.5% 08/24/2026 Term Loan
25277BAB4
3000000.00000000
PA
USD
3018375.00000000
0.066980678581
Long
LON
CORP
US
N
2
2026-08-24
Floating
5.08000000
N
N
N
N
N
N
N/A
N/A
US 10yr Ultra Fut Dec19 Dec 19 Future
000000000
622.00000000
NC
USD
-1258578.12000000
-0.02792907326
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
US 10yr Ultra Fut Dec19 Dec 19 Future
US 10yr Ultra Fut Dec19 Dec 19 Future
2019-12-19
89650609.37000000
USD
-1259430.26000000
N
N
N
Strata CLO I Ltd FRN 01/15/2031 144A 1A B
N/A
Strata CLO I Ltd FRN 01/15/2031 144A 1A B
86268HAC2
14100000.00000000
PA
USD
13917405.00000000
0.308840760673
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
4.20088000
N
N
N
N
N
N
ARES CLO FRN 01/15/2032 2018-50A B 144A
N/A
ARES CLO FRN 01/15/2032 2018-50A B 144A
04018LAC9
15700000.00000000
PA
USD
15475333.00000000
0.343412699091
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
3.70088000
N
N
N
N
N
N
ARDAGH PACKAGING FINANCE PLC/MP HOLDINGS USA INC 6.00% 02/15/2025 144A
N/A
ARDAGH PACKAGING FINANCE PLC/MP HOLDINGS USA INC 6.00% 02/15/2025 144A
03969AAL4
11500000.00000000
PA
USD
12103750.00000000
0.268593991265
Long
DBT
CORP
IE
N
2
2025-02-15
Fixed
6.00000000
N
N
N
N
N
N
DRYDEN 41 SENIOR LOAN FUND FRN 04/15/2031 2015-41A AR 144A
5493000CMI5L15ZSNM78
DRYDEN 41 SENIOR LOAN FUND FRN 04/15/2031 2015-41A AR 144A
26244KAN6
9850000.00000000
PA
USD
9742733.50000000
0.216200737506
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
2.95613000
N
N
N
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
22732334.13700000
PA
USD
23990400.61000000
0.532370335795
Long
ABS-CBDO
CORP
US
N
2
2025-05-25
Floating
5.82275000
N
N
N
N
N
N
Springleaf Finance Corp 6.625% 01/15/2028
5493008I795YYBFWFU90
Springleaf Finance Corp 6.625% 01/15/2028
85172FAQ2
5700000.00000000
PA
USD
6327000.00000000
0.140402287120
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
FANNIE MAE 3.5% 06/01/2049 FNL
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3.5% 06/01/2049 FNL
31418DCY6
59253920.81000000
PA
USD
60809164.99000000
1.349414547570
Long
ABS-MBS
USGA
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
FANNIE MAE 3% 9/1/2048 FNL
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3% 9/1/2048 FNL
3140JADM7
38798845.44000000
PA
USD
39838358.07000000
0.884051934274
Long
ABS-MBS
USGA
US
N
2
2048-09-01
Fixed
3.00000000
N
N
N
N
N
N
GLOBAL TEL*LINK CORP 6.5% 11/20/2025 First Lien Term Loan
549300YI0BNF11FDQE44
GLOBAL TEL*LINK CORP 6.5% 11/20/2025 First Lien Term Loan
37959JAB7
997487.44000000
PA
USD
873799.00000000
0.019390450147
Long
LON
CORP
US
N
2
2025-11-29
Floating
6.03588000
N
N
N
N
N
N
UKRAINE GOVERNMENT 7.75% 09/01/2022 144A
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.75% 09/01/2022 144A
903724AP7
2200000.00000000
PA
USD
2344320.00000000
0.052022742175
Long
DBT
NUSS
UA
N
2
2022-09-01
Fixed
7.75000000
N
N
N
N
N
N
Galaxy XVIII CLO Ltd FRN 07/15/2031 2018-28A C 144A
5493006XOQ2X0XSJ4F36
Galaxy XVIII CLO Ltd FRN 07/15/2031 2018-28A C 144A
36321JAJ3
3070000.00000000
PA
USD
2931850.00000000
0.065060604630
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
3.95088000
N
N
N
N
N
N
LEGRAND FRANCE SA 8.50% 02/15/2025
969500TJLHIZLFRWEQ48
LEGRAND FRANCE SA 8.50% 02/15/2025
524671AA2
200000.00000000
PA
USD
260434.80000000
0.005779301654
Long
DBT
CORP
FR
N
2
2025-02-15
Fixed
8.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 02/01/2038 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 02/01/2038 FHLMC G30
3128M6XL7
28012.15000000
PA
USD
30952.92000000
0.000686875416
Long
ABS-MBS
USGA
US
N
2
2038-02-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
CDX.EM.31 1.00% 06/20/2024 CDX
000000000
18800000.00000000
NC
USD
-736884.63000000
-0.01635218703
N/A
DCR
N/A
N
2
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
CDX.EM.31 1.00% 06/20/2024 CDX
CXPEM531
Y
2024-06-20
0.00000000
USD
463002.22000000
USD
18800000.00000000
USD
-282113.69000000
N
N
N
REPUBLIC OF IRAQ 5.80% 01/15/2028 144A
N/A
REPUBLIC OF IRAQ 5.80% 01/15/2028 144A
462652AA6
29000000.00000000
PA
USD
27896985.00000000
0.619061245102
Long
ABS-O
USGA
IQ
N
2
2028-01-15
Fixed
5.80000000
N
N
N
N
N
N
N/A
N/A
USD_BRL_20191211
000000000
1.00000000
NC
USD
-5413.20000000
-0.00012012417
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1475000.00000000
BRL
361253.98000000
USD
2019-12-11
-5413.20000000
N
N
N
Diamond Sports Group LLC / Diamond Sports Finance Co 6.625% 08/15/2027 144A
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co 6.625% 08/15/2027 144A
25277LAC0
4500000.00000000
PA
USD
4646250.00000000
0.103104808998
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
6.62500000
N
N
N
N
N
N
UTEX INDUSTRIES INC 6.302% 05/21/2021 Initial Term Loan (First Lien)
N/A
UTEX INDUSTRIES INC 6.302% 05/21/2021 Initial Term Loan (First Lien)
91759UAM7
9168440.07000000
PA
USD
7059698.85000000
0.156661587627
Long
LON
CORP
US
N
2
2021-05-21
Floating
5.00000000
N
N
N
N
N
N
N/A
N/A
MXN_USD_20200130
000000000
1.00000000
NC
USD
-109679.16000000
-0.00243388729
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
15368016.77000000
USD
297700000.00000000
MXN
2020-01-30
-109679.16000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 06/01/2033 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 06/01/2033 FHLMC G30
31296KGB3
8462.63100000
PA
USD
9275.29000000
0.000205827711
Long
ABS-MBS
USGA
US
N
2
2033-06-01
Fixed
5.50000000
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
7300000.00000000
PA
USD
7660393.70000000
0.169991590915
Long
ABS-CBDO
CORP
US
N
2
2029-07-25
Floating
5.07275000
N
N
N
N
N
N
Atrium XIV LLC FRN 08/23/2030 144A 14A D
N/A
Atrium XIV LLC FRN 08/23/2030 144A 14A D
04965LAN8
3750000.00000000
PA
USD
3587550.00000000
0.079611225724
Long
ABS-CBDO
CORP
KY
N
2
2030-08-23
Floating
4.95088000
N
N
N
N
N
N
UNITED STATES TREASURY NOTE/BOND 6.25% 08/15/2023
N/A
UNITED STATES TREASURY NOTE/BOND 6.25% 08/15/2023
912810EQ7
4000000.00000000
PA
USD
4694375.00000000
0.104172749581
Long
DBT
UST
US
N
2
2023-08-15
Fixed
6.25000000
N
N
N
N
N
N
HALCON RESOURCES CORP WTS EXP 10/08/2022 CL B
3XHTN2NNIMMPORDAMJ28
HALCON RESOURCES CORP WTS EXP 10/08/2022 CL B
40537Q126
13300.00000000
OU
Warrants
USD
0.00000000
0.000000
Long
CORP
US
N
3
N
N
N
MORTGAGEIT TR 2004-1 FRN 11/25/2034 2004-1 CL A2
N/A
MORTGAGEIT TR 2004-1 FRN 11/25/2034 2004-1 CL A2
61913PAF9
1618376.23800000
PA
USD
1640612.08000000
0.036406778616
Long
ABS-CBDO
CORP
US
N
2
2034-11-25
Floating
2.72275000
N
N
N
N
N
N
iHeartCommunications Inc 6.375% 05/1/2026
54930076J6KDZL504O62
iHeartCommunications Inc 6.375% 05/1/2026
45174HBC0
661721.00000000
PA
USD
715485.83000000
0.015877326842
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.37500000
N
N
N
N
N
N
BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 3.441% 09/15/2048 2015-UBS7 A3
N/A
BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 3.441% 09/15/2048 2015-UBS7 A3
06054AAW9
10920000.00000000
PA
USD
11575335.41000000
0.256867957286
Long
ABS-CBDO
CORP
US
N
2
2048-09-15
Fixed
3.44100000
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
5750000.00000000
PA
USD
5143145.00000000
0.114131392601
Long
ABS-CBDO
CORP
KY
N
2
2031-05-16
Floating
4.91838000
N
N
N
N
N
N
ENQUEST PLC 7.00%/7.00% 04/15/2022 TOGG PIK 144A
2138008LJU6WFQWOXJ73
ENQUEST PLC 7.00%/7.00% 04/15/2022 TOGG PIK 144A
G315APAC2
9955122.00000000
PA
USD
7998592.10000000
0.177496542529
Long
DBT
CORP
GB
N
2
2022-04-15
Fixed
7.00000000
N
N
N
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
13807686.80000000
PA
USD
14365602.95000000
0.318786709347
Long
ABS-CBDO
CORP
US
N
2
2024-05-25
Floating
4.42275000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200313
000000000
1.00000000
NC
USD
50735.46000000
0.001125869230
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
6955650.77000000
USD
750000000.00000000
JPY
2020-03-13
50735.46000000
N
N
N
JPMORGAN CHASE & CO 3.875% 09/10/2024
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.875% 09/10/2024
46625HJY7
10000000.00000000
PA
USD
10693757.80000000
0.237304892213
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
N
N
N
N
N
N
AIR CANADA 3.98419% 10/06/2023 TERM LOAN
4B4HI3CGXMBDC0G6BM51
AIR CANADA 3.98419% 10/06/2023 TERM LOAN
C0102MAJ4
407413.39000000
PA
USD
409450.46000000
0.009086104164
Long
LON
CORP
CA
N
2
2023-10-06
Floating
3.80488000
N
N
N
N
N
N
INDONESIA GOVERNMENT 10.00% 09/15/2024
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 10.00% 09/15/2024
Y39814EA5
8340000000.00000000
PA
679760.04000000
0.015084536796
Long
DBT
NUSS
ID
N
2
2024-09-15
Fixed
10.00000000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVESTORS TRUST FRN 08/25/2035 05-A6 2A3
N/A
MERRILL LYNCH MORTGAGE INVESTORS TRUST FRN 08/25/2035 05-A6 2A3
59020UZJ7
831420.34000000
PA
USD
838720.96000000
0.018612034303
Long
ABS-CBDO
CORP
US
N
2
2035-08-25
Floating
2.20275000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-SLCT6 FRN 10/17/2044 144A 2019-S6 PT
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-SLCT6 FRN 10/17/2044 144A 2019-S6 PT
21056AAA4
5787143.84000000
PA
USD
5403167.42000000
0.119901543142
Long
LON
CORP
US
N
2
2044-10-17
Variable
12.792693
N
N
N
N
N
N
BEACON ROOFING SUPPLY INC 4.875% 11/01/2025 144A
549300HDXQWWCBOYXP31
BEACON ROOFING SUPPLY INC 4.875% 11/01/2025 144A
073685AD1
12000000.00000000
PA
USD
11835600.00000000
0.262643481814
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
4.87500000
N
N
N
N
N
N
Live Nation Entertainment Inc 4.75% 10/15/2027 144A
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc 4.75% 10/15/2027 144A
538034AR0
4400000.00000000
PA
USD
4598440.00000000
0.102043858572
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
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
12718000.00000000
PA
USD
12806072.15000000
0.284179203238
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
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
3530000.00000000
PA
USD
3507337.40000000
0.077831230071
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.56588000
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
4200000.00000000
PA
USD
4202688.00000000
0.093261736566
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
3.16588000
N
N
N
N
N
N
K2016470219 SA LTD 3.00% 12/31/2022 PIK 144A
378900DECAC8CFA88345
K2016470219 SA LTD 3.00% 12/31/2022 PIK 144A
S7409BAJ6
9981540.00000000
PA
USD
12476.93000000
0.000276875218
Long
DBT
CORP
ZA
N
3
2022-12-31
Fixed
0.00000000
N
N
Y
N
N
N
FANNIE MAE 6.00% 10/01/2034 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 10/01/2034 FNMA 30
31406B7C8
312660.16000000
PA
USD
346997.89000000
0.007700220860
Long
ABS-MBS
USGA
US
N
2
2034-10-01
Fixed
6.00000000
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
16720000.00000000
PA
USD
17257377.96000000
0.382958010950
Long
ABS-CBDO
CORP
US
N
2
2066-04-25
Variable
3.50000000
N
N
N
N
N
N
EXXON MOBIL CORP 2.222% 03/01/2021
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 2.222% 03/01/2021
30231GAV4
3000000.00000000
PA
USD
3019249.41000000
0.067000082590
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
2.22200000
N
N
N
N
N
N
Amplify Energy Corp WTS EXP 04/21/2020
J0TW5YQRAZXYN7VEU787
Amplify Energy Corp WTS EXP 04/21/2020
03212B111
50712.00000000
OU
Warrants
USD
0.00000000
0.000000
Long
CORP
US
N
3
N
N
N
AVIS BUDGET CAR RENTAL LLC 4.31% 02/13/2025 TRANCHE B TERM LOANS
XN8R4HH1TVC1XOCL5P21
AVIS BUDGET CAR RENTAL LLC 4.31% 02/13/2025 TRANCHE B TERM LOANS
05377JAP7
1994923.86000000
PA
USD
1999073.30000000
0.044361381925
Long
LON
CORP
US
N
2
2025-02-13
Floating
3.79000000
N
N
N
N
N
N
WEX INC 6.5% 05/17/2026 Term B-3 Loan
T9M5IGROL1TL1G5OV478
WEX INC 6.5% 05/17/2026 Term B-3 Loan
96208UAP6
1844081.12000000
PA
USD
1853301.53000000
0.041126564491
Long
LON
CORP
US
N
2
2026-05-17
Floating
4.03588000
N
N
N
N
N
N
Texas State University System
N/A
Texas State University System
88278PZM9
1965000.00000000
PA
USD
1982213.40000000
0.043987244337
Long
DBT
MUN
US
N
2
2040-03-15
Fixed
3.28900000
N
N
N
N
N
N
Syneos Health Inc 6.50% 08/01/2021 Initial Term B Loans
549300F1ZGKDS8P6GU13
Syneos Health Inc 6.50% 08/01/2021 Initial Term B Loans
44988EAE3
1466008.14000000
PA
USD
1470589.42000000
0.032633810333
Long
LON
CORP
US
N
2
2024-08-01
Floating
3.78588000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 8.00% 07/15/2026 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 8.00% 07/15/2026 GNMA SF
36207JCX9
101.55000000
PA
USD
101.80000000
0.000002259041
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
8.00000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.00% 06/15/2034 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.00% 06/15/2034 GNMA SF
36201GU45
24166.72000000
PA
USD
26563.99000000
0.000589480788
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.00000000
N
N
N
N
N
N
FT HOLDINGS CORPORATION II CC USD NPV A/C# 15187
N/A
FT HOLDINGS CORPORATION II CC USD NPV A/C# 15187
000000000
0.0000
NS
USD
0.0000
0.00
Long
EC
CORP
US
N
1
N
N
N
FANNIE MAE 4.50% 03/01/2028 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 4.50% 03/01/2028 FNMA 30
31371NTK1
61978.30000000
PA
USD
65314.01000000
0.001449381442
Long
ABS-MBS
USGA
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
Centene Corp 5.375% 06/01/2026 144A
549300Z7JJ4TQSQGT333
Centene Corp 5.375% 06/01/2026 144A
15137TAA8
7600000.00000000
PA
USD
8063600.00000000
0.178939131092
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.37500000
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
8600000.00000000
PA
USD
9415581.00000000
0.208940905163
Long
DBT
NUSS
RU
N
2
2023-09-16
Fixed
4.87500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 8.00% 01/01/2026 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 8.00% 01/01/2026 FHLMC G30
31292GP59
16.96100000
PA
USD
17.00000000
0.000000377246
Long
ABS-MBS
USGA
US
N
2
2026-01-01
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
HSBC BANK PLC IRS RCV FIXED 1.232% 09/06/29 AUD
000000000
55000000.00000000
NC
-136561.25000000
-0.00303042703
N/A
DIR
CORP
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Y
2029-09-06
0.00000000
USD
0.00000000
USD
55000000.00000000
AUD
-136758.46000000
N
N
N
WALGREENS BOOTS ALLIANCE INC 3.80% 11/18/2024
549300RPTUOIXG4LIH86
WALGREENS BOOTS ALLIANCE INC 3.80% 11/18/2024
931427AH1
21900000.00000000
PA
USD
23229803.04000000
0.515491935541
Long
DBT
CORP
US
N
2
2024-11-18
Fixed
3.80000000
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
4099885.15000000
PA
USD
4308536.92000000
0.095610627107
Long
ABS-CBDO
CORP
US
N
2
2029-05-25
Floating
6.17275000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 7.00% 11/15/2027 GNMA I 30YR SINGLE FAMILY
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 7.00% 11/15/2027 GNMA I 30YR SINGLE FAMILY
36208GA57
9265.08000000
PA
USD
9507.26000000
0.000210975351
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
DEUTSCHE BANK AG IRS RCV FIXED 2.7725% 08/23/24 CNY
000000000
196750000.00000000
NC
-417341.61000000
-0.00926121646
N/A
DIR
CORP
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Y
2024-08-23
0.00000000
USD
0.00000000
USD
196750000.00000000
CNY
-417534.56000000
N
N
N
N/A
N/A
USD_CNH_20200224
000000000
1.00000000
NC
USD
-132441.66000000
-0.00293900932
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
228000000.00000000
CNY
32116294.79000000
USD
2020-02-24
-132441.66000000
N
N
N
Mountain View Clo XIV Ltd FRN 04/15/2029 144A 2019-1A C
549300IB1UGD5G8HYT10
Mountain View Clo XIV Ltd FRN 04/15/2029 144A 2019-1A C
62432MAG4
4500000.00000000
PA
USD
4505490.00000000
0.099981207617
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
4.90088000
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
7239513.74000000
PA
USD
7439946.19000000
0.165099646140
Long
ABS-CBDO
CORP
US
N
2
2025-03-25
Floating
5.62275000
N
N
N
N
N
N
Madison Park Funding XXIII Ltd FRN 07/27/2030 144A 17-23A B
N/A
Madison Park Funding XXIII Ltd FRN 07/27/2030 144A 17-23A B
55820TAC2
2400000.00000000
PA
USD
2385144.00000000
0.052928666463
Long
ABS-CBDO
CORP
KY
N
2
2030-07-27
Floating
3.63563000
N
N
N
N
N
N
Diamond Sports Group LLC / Diamond Sports Finance Co 5.375% 08/15/2026 144A
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co 5.375% 08/15/2026 144A
25277LAA4
4300000.00000000
PA
USD
4498875.00000000
0.099834414330
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.37500000
N
N
N
N
N
N
AXALTA COATING SYSTEMS U.S. HOLDINGS INC 4.052% 06/01/2024 Term B-3 Dollar Loan
549300NZ43V4QV4UGN28
AXALTA COATING SYSTEMS U.S. HOLDINGS INC 4.052% 06/01/2024 Term B-3 Dollar Loan
90347BAH1
2183006.09000000
PA
USD
2183289.88000000
0.048449327105
Long
LON
CORP
US
N
2
2024-06-01
Floating
3.85438000
N
N
N
N
N
N
CHEMOURS CO 6.50% 04/01/2025 Tranche B-2 US$ Term Loan
549300M1BOLNXL8DOV14
CHEMOURS CO 6.50% 04/01/2025 Tranche B-2 US$ Term Loan
16384YAF4
4104238.87000000
PA
USD
3897315.46000000
0.086485222730
Long
LON
CORP
US
N
2
2025-04-03
Floating
3.54000000
N
N
N
N
N
N
OWENS-BROCKWAY GLASS CONTAINER INC 5.875% 08/15/2023 144A
V2UQUCDZJ9WY98W8QU33
OWENS-BROCKWAY GLASS CONTAINER INC 5.875% 08/15/2023 144A
69073TAR4
10000000.00000000
PA
USD
10600000.00000000
0.235224315390
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
5.87500000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYSTEMS INC 6.25% 03/31/2023
5493007X5NC5XI1BB106
CHS/COMMUNITY HEALTH SYSTEMS INC 6.25% 03/31/2023
12543DAY6
3900000.00000000
PA
USD
3814687.50000000
0.084651627888
Long
DBT
CORP
US
N
2
2023-03-31
Fixed
6.25000000
N
N
N
N
N
N
Dryden 38 Senior Loan Fund FRN 07/15/2030 2015-38A DR 144A
549300ARO9JRDQL4OE07
Dryden 38 Senior Loan Fund FRN 07/15/2030 2015-38A DR 144A
26249QAY4
4556000.00000000
PA
USD
4211976.44000000
0.093467856088
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
5.00088000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 7.00% 09/01/2021 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 7.00% 09/01/2021 FHLMC G30
31335HRC9
2736.11500000
PA
USD
2798.84000000
0.000062108983
Long
ABS-MBS
USGA
US
N
2
2021-09-01
Fixed
7.00000000
N
N
N
N
N
N
REYNOLDS GROUP ISSUER INC/LLC/SA 5.75% 10/15/2020
N/A
REYNOLDS GROUP ISSUER INC/LLC/SA 5.75% 10/15/2020
761735AP4
5427003.17700000
PA
USD
5452510.09000000
0.120996505007
Long
ABS-O
CORP
US
N
2
2020-10-15
Fixed
5.75000000
N
N
N
N
N
N
HALCON RESOURCES CORP COM USD NPV
3XHTN2NNIMMPORDAMJ28
HALCON RESOURCES CORP COM USD NPV
40537Q803
2215.00000000
NS
USD
44014.91000000
0.000976733686
Long
EC
CORP
US
N
3
N
N
N
IMPERIAL BRANDS FINANCE PLC 3.50% 02/11/2023 144A
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FINANCE PLC 3.50% 02/11/2023 144A
453140AB1
20400000.00000000
PA
USD
20861825.40000000
0.462944207312
Long
DBT
CORP
GB
N
2
2023-02-11
Fixed
3.50000000
N
N
N
N
N
N
GLENCORE FUNDING LLC 4.625% 04/29/2024 144A
213800STG1QDNBY87K49
GLENCORE FUNDING LLC 4.625% 04/29/2024 144A
378272AH1
2500000.00000000
PA
USD
2674589.53000000
0.059351744447
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
4.62500000
N
N
N
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
12000000.00000000
PA
USD
11903400.00000000
0.264148029794
Long
ABS-CBDO
CORP
US
N
2
2031-10-15
Floating
4.20088000
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
18100000.00000000
PA
USD
24494730.00000000
0.543561895748
Long
DBT
CORP
NL
N
2
2042-07-10
Fixed
6.95000000
N
N
N
N
N
N
WOODSIDE FINANCE LTD 3.70% 09/15/2026 144A
254900AIZKU6TGRRNZ98
WOODSIDE FINANCE LTD 3.70% 09/15/2026 144A
980236AN3
5400000.00000000
PA
USD
5622898.50000000
0.124777589639
Long
DBT
CORP
AU
N
2
2026-09-15
Fixed
3.70000000
N
N
N
N
N
N
N/A
N/A
DEUTSCHE BANK AG IRS RCV FIXED 2.765% 08/26/24 CNY
000000000
158000000.00000000
NC
-342841.50000000
-0.00760798652
N/A
DIR
CORP
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Y
2024-08-26
0.00000000
USD
0.00000000
USD
158000000.00000000
CNY
-343034.75000000
N
N
N
N/A
N/A
USD_CNH_20200224
000000000
1.00000000
NC
USD
-262412.49000000
-0.00582318851
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
135000000.00000000
CNY
18832234.09000000
USD
2020-02-24
-262412.49000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 07/01/2035 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 07/01/2035 FHLMC G30
31297RWH6
21576.89000000
PA
USD
23236.94000000
0.000515650311
Long
ABS-MBS
USGA
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
CSC Holdings LLC 5.5% 05/15/2026 144A
3HG2WD2W22M120IUNG49
CSC Holdings LLC 5.5% 05/15/2026 144A
126307AU1
16000000.00000000
PA
USD
16900000.00000000
0.375027446236
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.50000000
N
N
N
N
N
N
VOYA CLO 2017-2 4.69769% 06/07/2030 2017-2A B 144A
N/A
VOYA CLO 2017-2 4.69769% 06/07/2030 2017-2A B 144A
92915UAD6
19200000.00000000
PA
USD
18764544.00000000
0.416403492077
Long
ABS-CBDO
CORP
KY
N
2
2030-06-07
Floating
4.35088000
N
N
N
N
N
N
Herc Holdings Inc 5.5% 07/15/2027 144A
549300TP80QLITMSBP82
Herc Holdings Inc 5.5% 07/15/2027 144A
42704LAA2
5300000.00000000
PA
USD
5512000.00000000
0.122316644003
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
AT&T Inc 2.95% 07/15/2026
549300Z40J86GGSTL398
AT&T Inc 2.95% 07/15/2026
00206RHV7
25400000.00000000
PA
USD
25880004.12000000
0.574302476550
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
2.95000000
N
N
N
N
N
N
FANNIE MAE 5.50% 04/01/2022 FNMA 15
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 04/01/2022 FNMA 15
31412ADF8
2903.13000000
PA
USD
2916.82000000
0.000064727074
Long
ABS-MBS
USGA
US
N
2
2022-04-01
Fixed
5.50000000
N
N
N
N
N
N
FANNIE MAE 5.50% 11/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2033 FNMA 30
31385XQ91
39905.71000000
PA
USD
44805.27000000
0.000994272543
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
USD_MXN_20200130
000000000
1.00000000
NC
USD
6668.31000000
0.000147976288
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
26000000.00000000
MXN
1339274.22000000
USD
2020-01-30
6668.31000000
N
N
N
KFC HLDG/PIZZA HUT/TACO BELL 5.00% 06/01/2024 144A
N/A
KFC HLDG/PIZZA HUT/TACO BELL 5.00% 06/01/2024 144A
48250NAA3
6000000.00000000
PA
USD
6240000.00000000
0.138471672456
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
5.00000000
N
N
N
N
N
N
FANNIE MAE 5.50% 11/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2035 FNMA 30
31407XNP2
111267.31000000
PA
USD
125294.36000000
0.002780403778
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 3.50% 12/01/2047 FHLMC
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 3.50% 12/01/2047 FHLMC
3128MJ3A6
12811038.79000000
PA
USD
13313215.75000000
0.295433213249
Long
ABS-MBS
USGA
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
ARES XLIII CLO LTD FRN 10/15/2029 17-43A A 144A
549300ECLIGB6OZRBA51
ARES XLIII CLO LTD FRN 10/15/2029 17-43A A 144A
04016PAA6
3870000.00000000
PA
USD
3875495.40000000
0.086001014364
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
3.22088000
N
N
N
N
N
N
FLAGSHIP CLO VIII LTD FRN 01/16/2026 2014-8A ARR 144A
N/A
FLAGSHIP CLO VIII LTD FRN 01/16/2026 2014-8A ARR 144A
338422AQ1
4838440.84000000
PA
USD
4838295.69000000
0.107366489748
Long
ABS-CBDO
CORP
KY
N
2
2026-01-16
Floating
2.85088000
N
N
N
N
N
N
iHeartCommunications Inc 8.375% 05/01/2027
54930076J6KDZL504O62
iHeartCommunications Inc 8.375% 05/01/2027
45174HBD8
1199371.00000000
PA
USD
1292322.25000000
0.028677888350
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.37500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.00% 06/01/2037 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.00% 06/01/2037 FHLMC G30
3128KSF23
74468.73000000
PA
USD
85545.02000000
0.001898327241
Long
ABS-MBS
USGA
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
FANNIE MAE 5.50% 03/01/2021 FNMA 15
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 03/01/2021 FNMA 15
31409VUR2
5754.50000000
PA
USD
5773.59000000
0.000128121580
Long
ABS-MBS
USGA
US
N
2
2021-03-01
Fixed
5.50000000
N
N
N
N
N
N
ONSITE RENTAL GROUP OPERATIONS PTY LTD 6.81488% 10/25/2022 Term Loan
5493008YQUVFPVW2VW35
ONSITE RENTAL GROUP OPERATIONS PTY LTD 6.81488% 10/25/2022 Term Loan
000000000
3404855.08000000
PA
USD
3362294.39000000
0.074612584531
Long
LON
CORP
AU
N
2
2022-10-25
Floating
6.32275000
N
N
N
N
N
N
WORKCAPITAL BSD SARL WTS EXP 2/13/2026
N/A
WORKCAPITAL BSD SARL WTS EXP 2/13/2026
000000000
6000000.00000000
OU
Warrants
USD
750000.00000000
0.016643229862
Long
CORP
BR
N
3
N
N
N
SEALED AIR CORP 5.125% 12/01/2024 144A
Q0M0CZB4YN6JZ65WXI09
SEALED AIR CORP 5.125% 12/01/2024 144A
81211KAW0
11300000.00000000
PA
USD
12232250.00000000
0.271445531314
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
5.12500000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 7.50% 01/15/2026 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 7.50% 01/15/2026 GNMA SF
36206PNG1
76.76000000
PA
USD
83.11000000
0.000001844291
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
Dryden 42 Senior Loan Fund FRN 07/15/2030 2016-42A DR 144A
549300GTVIVSKVBYOB52
Dryden 42 Senior Loan Fund FRN 07/15/2030 2016-42A DR 144A
26244YAS5
8400000.00000000
PA
USD
7649628.00000000
0.169752689555
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
4.93088000
N
N
N
N
N
N
SYMANTEC CORP 5.00% 04/15/2025 144A
YF6ZV0M6AU4FY94MK914
SYMANTEC CORP 5.00% 04/15/2025 144A
871503AU2
9500000.00000000
PA
USD
9743079.35000000
0.216208412254
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.00000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.00% 09/20/2033 GNMA II
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.00% 09/20/2033 GNMA II
36202DZF1
93297.41000000
PA
USD
103493.61000000
0.002296623920
Long
ABS-MBS
USGA
US
N
2
2033-09-20
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
24640000.00000000
NC
USD
-14635776.24000000
-0.32478211757
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
14253555.55000000
USD
24640000.00000000
USD
-500168.66999999
N
N
N
N/A
N/A
JPY_USD_20200129
000000000
1.00000000
NC
USD
-961032.43000000
-0.02132624485
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
49413218.04000000
USD
5200000000.00000000
JPY
2020-01-29
-961032.43000000
N
N
N
U S TREASURY NOTE
N/A
U S TREASURY NOTE
912796WH8
2910696.62100000
PA
USD
2910696.62100000
0.064591190564
Short
RA
CORP
US
N
2
Repurchase
Y
0.01721739
2019-11-01
2910696.62097219
USD
2968914.96268971
USD
UST
N
N
N
FANNIE MAE 5.50% 12/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 12/01/2035 FNMA 30
31407FN97
71398.95000000
PA
USD
79060.58000000
0.001754431208
Long
ABS-MBS
USGA
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
CSM BAKERY SUPPLIES LLC 10.16% 07/03/2021 Second Lien Term Loan
5493001EXHLY7Q2ERI31
CSM BAKERY SUPPLIES LLC 10.16% 07/03/2021 Second Lien Term Loan
60001PAD9
16940234.02000000
PA
USD
15161509.45000000
0.336448649119
Long
LON
CORP
US
N
2
2021-07-03
Floating
9.78000000
N
N
N
N
N
N
CALPINE CORP 5.375% 01/15/2023
43R4VPJBXTU2O15HEF41
CALPINE CORP 5.375% 01/15/2023
131347CE4
4000000.00000000
PA
USD
4074800.00000000
0.090423777391
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
5.37500000
N
N
N
N
N
N
TEREX CORP 5.625% 02/01/2025 144A
YAWJZJYEQ7M1SYMOS462
TEREX CORP 5.625% 02/01/2025 144A
880779AZ6
14600000.00000000
PA
USD
14727750.00000000
0.326823104810
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.62500000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC 3.81% 03/31/2023 Term A-2 Loan
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC 3.81% 03/31/2023 Term A-2 Loan
16117LBR9
2959459.46000000
PA
USD
2955760.14000000
0.065591193904
Long
LON
CORP
US
N
2
2023-03-31
Floating
3.55000000
N
N
N
N
N
N
T-MOBILE USA INC ESRW USD NPV REF SM# 630529
549300V2JRLO5DIFGE82
T-MOBILE USA INC ESRW USD NPV REF SM# 630529
87299ATE4
4200000.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
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
6710000.00000000
PA
USD
6678060.40000000
0.148192659030
Long
ABS-CBDO
CORP
KY
N
2
2028-11-20
Floating
3.58588000
N
N
N
N
N
N
FANNIE MAE 5.50% 11/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2033 FNMA 30
31401XC62
5605.87000000
PA
USD
6076.18000000
0.000134836347
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
Digicel Group Two Ltd 8.25% 09/30/2022 144A
N/A
Digicel Group Two Ltd 8.25% 09/30/2022 144A
25382FAB7
2427000.00000000
PA
USD
627937.71000000
0.013934548862
Long
DBT
CORP
BM
N
2
2022-09-30
Fixed
8.25000000
N
N
N
N
N
N
Digicel Ltd 6.00% 04/15/2021 144A
N/A
Digicel Ltd 6.00% 04/15/2021 144A
25380QAG4
10000000.00000000
PA
USD
7562500.00000000
0.167819234447
Long
DBT
CORP
BM
N
2
2021-04-15
Fixed
6.00000000
N
N
N
N
N
N
DAVITA INC 5.00% 05/01/2025
M2XHYMU3TZNEZURC6H66
DAVITA INC 5.00% 05/01/2025
23918KAR9
6000000.00000000
PA
USD
6097500.00000000
0.135309458782
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 07/01/2022 FHLMC G15
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 07/01/2022 FHLMC G15
3128MBGS0
33447.11000000
PA
USD
34587.35000000
0.000767526955
Long
ABS-MBS
USGA
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
Mauser Packaging Solutions Holding Co 7.25% 04/15/2025 144A
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co 7.25% 04/15/2025 144A
12429TAE4
15000000.00000000
PA
USD
14400000.00000000
0.319550013360
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.25000000
N
N
N
N
N
N
REPUBLIC OF GABON 6.375% 12/12/2024 144A
N/A
REPUBLIC OF GABON 6.375% 12/12/2024 144A
362420AB7
29000000.00000000
PA
USD
28954035.00000000
0.642518213271
Long
ABS-O
USGA
GA
N
2
2024-12-12
Fixed
6.37500000
N
N
N
N
N
N
N/A
N/A
MCDX.NA.31 1.00% 12/20/2023 MCDX
000000000
23060000.00000000
NC
USD
408980.38000000
0.009075672631
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
23060000.00000000
USD
215714.65000000
N
N
N
INDONESIA GOVERNMENT 8.375% 09/15/2026
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375% 09/15/2026
Y20721AS8
363988000000.00000000
PA
28355138.38000000
0.629228114456
Long
DBT
NUSS
ID
N
2
2026-09-15
Fixed
8.37500000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200129
000000000
1.00000000
NC
USD
-284975.63000000
-0.00632388655
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
13609326.67000000
USD
1430000000.00000000
JPY
2020-01-29
-284975.63000000
N
N
N
GOVT NATL MORTG ASSN 4.5% 05/20/2049 SF2
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 4.5% 05/20/2049 SF2
36179USV5
4186986.51000000
PA
USD
4391490.74000000
0.097451453100
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.50000000
N
N
N
N
N
N
CHENIERE CORPUS CHRISTI HLDGS LLC 7.00% 06/30/2024
549300I7CIEWU1BBLQ53
CHENIERE CORPUS CHRISTI HLDGS LLC 7.00% 06/30/2024
16412XAD7
8800000.00000000
PA
USD
10142704.00000000
0.225076472133
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
7.00000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-31 FRN 09/15/2044 2019-31 PT 144A
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-31 FRN 09/15/2044 2019-31 PT 144A
21055FAA4
7284494.88000000
PA
USD
6808026.27000000
0.151076728162
Long
LON
CORP
US
N
2
2044-09-15
Variable
22.58
N
N
N
N
N
N
N/A
N/A
CDX.EM.31 1.00% 06/20/2024 CDX
000000000
11100000.00000000
NC
USD
-435075.50000000
-0.00965474873
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDX.EM.31 1.00% 06/20/2024 CDX
CXPEM531
Y
2024-06-20
0.00000000
USD
287860.00000000
USD
11100000.00000000
USD
-153842.22000000
N
N
N
HALCON RESOURCES CORP WTS EXP 10/08/2022 CL A
3XHTN2NNIMMPORDAMJ28
HALCON RESOURCES CORP WTS EXP 10/08/2022 CL A
40537Q134
10639.00000000
OU
Warrants
USD
0.00000000
0.000000
Long
CORP
US
N
3
N
N
N
N/A
N/A
USD_CNH_20200224
000000000
1.00000000
NC
USD
-257370.31000000
-0.00571129763
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
128000000.00000000
CNY
17847183.49000000
USD
2020-02-24
-257370.31000000
N
N
N
CSC HOLDINGS LLC 4.5565% 07/17/2025 March 2017 Incremental Term Loans
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 4.5565% 07/17/2025 March 2017 Incremental Term Loans
64072UAE2
997442.48000000
PA
USD
994013.27000000
0.022058121785
Long
LON
CORP
US
N
2
2025-07-17
Floating
4.17125000
N
N
N
N
N
N
FANNIE MAE 5.50% 05/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 05/01/2035 FNMA 30
31406YFF2
48130.08000000
PA
USD
52565.48000000
0.001166479155
Long
ABS-MBS
USGA
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
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
25700000.00000000
PA
28094676.59000000
0.623448213868
Long
DBT
NUSS
TN
N
2
2024-02-17
Fixed
5.62500000
N
N
N
N
N
N
FANNIE MAE 8.00% 01/01/2025 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 8.00% 01/01/2025 FNMA 30
31371E2V6
59.32000000
PA
USD
63.68000000
0.000001413121
Long
ABS-MBS
USGA
US
N
2
2025-01-01
Fixed
8.00000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 08/01/2035 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 08/01/2035 FHLMC G30
3128MJCJ7
122120.35000000
PA
USD
135014.09000000
0.002996094046
Long
ABS-MBS
USGA
US
N
2
2035-08-01
Fixed
5.00000000
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
7700000.00000000
PA
USD
8153740.98000000
0.180939447159
Long
ABS-CBDO
CORP
US
N
2
2035-03-13
Variable
3.58400000
N
N
N
N
N
N
N/A
N/A
USD_CAD_20200121
000000000
1.00000000
NC
USD
95035.05000000
0.002108920242
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
15200000.00000000
CAD
11645903.25000000
USD
2020-01-21
95035.05000000
N
N
N
FANNIE MAE 5.50% 11/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2035 FNMA 30
31407YEJ4
35631.18000000
PA
USD
38939.84000000
0.000864112943
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
FANNIE MAE 5.00% 10/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 10/01/2035 FNMA 30
31402RSN0
696958.03000000
PA
USD
769714.89000000
0.017080722457
Long
ABS-MBS
USGA
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
THOR INDUSTRIES INC 6.5% 02/01/2026 Initial USD Term Loans
254900XZO1228PDSG060
THOR INDUSTRIES INC 6.5% 02/01/2026 Initial USD Term Loans
88516DAB9
1884414.88000000
PA
USD
1840837.79000000
0.040849981971
Long
LON
CORP
US
N
2
2026-02-01
Floating
5.81250000
N
N
N
N
N
N
Akbank T.A.S. 5.125% 03/31/2025 144A
789000TUMN63Z28TJ497
Akbank T.A.S. 5.125% 03/31/2025 144A
00971YAF7
12400000.00000000
PA
USD
11867296.00000000
0.263346846899
Long
DBT
CORP
TR
N
2
2025-03-31
Fixed
5.12500000
N
N
N
N
N
N
1011778 BC ULC/NEW RED FINANCE INC 4.25% 05/15/2024 144A
N/A
1011778 BC ULC/NEW RED FINANCE INC 4.25% 05/15/2024 144A
68245XAC3
2000000.00000000
PA
USD
2056330.00000000
0.045631963817
Long
DBT
CORP
CA
N
2
2024-05-15
Fixed
4.25000000
N
N
N
N
N
N
LCM XVI LP FRN 10/15/2031 2016A A2R 144A
549300RB1XGNK3FHRH35
LCM XVI LP FRN 10/15/2031 2016A A2R 144A
50181GBE9
7655557.00000000
PA
USD
7634121.44000000
0.169408583899
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
3.18088000
N
N
N
N
N
N
U S TREASURY NOTE/BOND I/L 0.125% 07/15/2024 INDEX LINKED TO CPURNSA
254900HROIFWPRGM1V77
U S TREASURY NOTE/BOND I/L 0.125% 07/15/2024 INDEX LINKED TO CPURNSA
912828WU0
97827737.53100000
PA
USD
97925262.00000000
2.173056859754
Long
DBT
NUSS
US
N
2
2024-07-15
Fixed
0.12500000
N
N
N
N
N
N
Clear Channel Outdoor Holdings Inc COM USD 1
N/A
Clear Channel Outdoor Holdings Inc COM USD 1
18453H106
285564.00000000
NS
USD
665364.12000000
0.014765077321
Long
EC
CORP
US
N
1
N
N
N
FANNIE MAE 6.00% 06/01/2034 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 06/01/2034 FNMA 30
31404XW91
55497.04000000
PA
USD
61344.03000000
0.001361283722
Long
ABS-MBS
USGA
US
N
2
2034-06-01
Fixed
6.00000000
N
N
N
N
N
N
GINNIE MAE
N/A
GINNIE MAE
36179UEB4
12754608.78000000
PA
USD
12754608.78000000
0.283037180976
Short
RA
CORP
US
N
2
Repurchase
Y
0.01721739
2019-11-01
12754608.78396730
USD
13009700.96957380
USD
ADAS
N
N
N
SECURUS TECHNOLOGIES HOLDINGS INC 10.12688% 11/01/2025 SECOND LIEN INITIAL LOAN
549300EBCNNXVCJ2FW66
SECURUS TECHNOLOGIES HOLDINGS INC 10.12688% 11/01/2025 SECOND LIEN INITIAL LOAN
78410QAE2
10588688.18000000
PA
USD
5823778.50000000
0.129235312325
Long
LON
CORP
US
N
2
2025-11-01
Floating
10.03588000
N
N
N
N
N
N
VOYA CLO LTD FRN 04/25/2031 2013-2A BR 144A
5493007ASGBOUR3XJY69
VOYA CLO LTD FRN 04/25/2031 2013-2A BR 144A
92916WAG4
5770000.00000000
PA
USD
5433955.20000000
0.120584753941
Long
ABS-CBDO
CORP
US
N
2
2031-04-25
Floating
3.78963000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 6.50% 07/20/2031 GNMA II
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 6.50% 07/20/2031 GNMA II
36202DNY3
5089.85000000
PA
USD
5823.55000000
0.000129230241
Long
ABS-MBS
USGA
US
N
2
2031-07-20
Fixed
6.50000000
N
N
N
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
9945585.74000000
PA
USD
10855817.68000000
0.240901158658
Long
ABS-CBDO
CORP
US
N
2
2028-09-25
Floating
7.82275000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.50% 06/15/2033 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.50% 06/15/2033 GNMA SF
36202U5B5
15852.91000000
PA
USD
17027.17000000
0.000377849472
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
LCM XVIII LP FRN 04/20/2031 18A DR 144A
549300PYL1KC7BYM8G75
LCM XVIII LP FRN 04/20/2031 18A DR 144A
50188GAW3
6860000.00000000
PA
USD
6151567.80000000
0.136509275880
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
4.76588000
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
7000000.00000000
NC
USD
34628.16000000
0.000768432568
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
7000000.00000000
USD
34628.16000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 9.00% 12/01/2024 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 9.00% 12/01/2024 FHLMC G30
31292GM78
50.88200000
PA
USD
55.43000000
0.000001230045
Long
ABS-MBS
USGA
US
N
2
2024-12-01
Fixed
9.00000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200129
000000000
1.00000000
NC
USD
-908036.53000000
-0.02015021425
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
48428449.34000000
USD
5100000000.00000000
JPY
2020-01-29
-908036.53000000
N
N
N
CITIBANK CREDIT CARD ISSUANCE TRUST FRN 12/07/2023 2016-A3 A3
R8AG6FXVDQAMDKCSJJ64
CITIBANK CREDIT CARD ISSUANCE TRUST FRN 12/07/2023 2016-A3 A3
17305EFY6
4800000.00000000
PA
USD
4826268.48000000
0.107099594254
Long
ABS-CBDO
CORP
US
N
2
2023-12-07
Floating
2.47950000
N
N
N
N
N
N
REYNOLDS GROUP ISSUER INC/LLC/SA 5.125% 07/15/2023 144A
N/A
REYNOLDS GROUP ISSUER INC/LLC/SA 5.125% 07/15/2023 144A
761735AT6
5900000.00000000
PA
USD
6067855.00000000
0.134651607383
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
5.12500000
N
N
N
N
N
N
Bausch Health Cos Inc 7.00% 03/15/2024 144A
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc 7.00% 03/15/2024 144A
91911KAK8
2100000.00000000
PA
USD
2202217.50000000
0.048869349413
Long
DBT
CORP
CA
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
FANNIE MAE 6.50% 03/01/2037 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 03/01/2037 FNMA 30
31410F2S3
31447.16000000
PA
USD
36304.79000000
0.000805638620
Long
ABS-MBS
USGA
US
N
2
2037-03-01
Fixed
6.50000000
N
N
N
N
N
N
Carlyle Global Market Strategies CLO 2014-4-R Ltd FRN 07/15/2030 2014-4RA C 144A
N/A
Carlyle Global Market Strategies CLO 2014-4-R Ltd FRN 07/15/2030 2014-4RA C 144A
14316CAL7
3000000.00000000
PA
USD
2690670.00000000
0.059708585725
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
4.90088000
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC 6.5% 05/04/2026 TERM LOAN
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC 6.5% 05/04/2026 TERM LOAN
45175AAB7
2282582.87000000
PA
USD
2293276.77000000
0.050890043228
Long
LON
CORP
US
N
2
2026-05-04
Floating
6.03150000
N
N
N
N
N
N
MKS INSTRUMENTS INC 6.50% 02/02/2026 Tranche B-6 Term Loan
549300KEQATBHAGVF505
MKS INSTRUMENTS INC 6.50% 02/02/2026 Tranche B-6 Term Loan
55314NAL8
3549320.25000000
PA
USD
3563737.59000000
0.079082805173
Long
LON
CORP
US
N
2
2026-02-02
Floating
3.53588000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 6.50% 10/20/2031 GNMA II
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 6.50% 10/20/2031 GNMA II
36202DQB0
19429.60000000
PA
USD
22614.62000000
0.000501840425
Long
ABS-MBS
USGA
US
N
2
2031-10-20
Fixed
6.50000000
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
9910000.00000000
PA
USD
10473369.63000000
0.232414264250
Long
ABS-CBDO
CORP
US
N
2
2029-01-25
Floating
6.07275000
N
N
N
N
N
N
CITIGROUP INC 5.50% 09/13/2025
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.50% 09/13/2025
172967HB0
10000000.00000000
PA
USD
11455689.00000000
0.254212887014
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.00% 06/01/2033 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.00% 06/01/2033 FHLMC G30
31283HXH3
35805.65000000
PA
USD
41188.36000000
0.000914009790
Long
ABS-MBS
USGA
US
N
2
2033-06-01
Fixed
6.00000000
N
N
N
N
N
N
ECOPETROL SA 4.125% 01/16/2025
254900IDGKCJICKBPA66
ECOPETROL SA 4.125% 01/16/2025
279158AK5
8200000.00000000
PA
USD
8626400.00000000
0.191428210781
Long
DBT
CORP
CO
N
2
2025-01-16
Fixed
4.12500000
N
N
N
N
N
N
LIONS GATE ENTERTAINMENT CORP 6.50% 03/22/2023 TERM A LOAN
5493000JSMHPHZURLM72
LIONS GATE ENTERTAINMENT CORP 6.50% 03/22/2023 TERM A LOAN
53627MAC7
2478118.51000000
PA
USD
2419263.20000000
0.053685804714
Long
LON
CORP
CA
N
2
2023-03-22
Floating
3.53588000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 03/01/2036 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 03/01/2036 FHLMC G30
3128K4AB1
172313.13000000
PA
USD
188415.06000000
0.004181113537
Long
ABS-MBS
USGA
US
N
2
2036-03-01
Fixed
5.50000000
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
12800000.00000000
PA
USD
13539456.00000000
0.300453704562
Long
DBT
CORP
VG
N
2
2027-05-04
Fixed
3.50000000
N
N
N
N
N
N
KB HOME 7.50% 09/15/2022
549300LGUCWQURMWLG09
KB HOME 7.50% 09/15/2022
48666KAR0
5000000.00000000
PA
USD
5662500.00000000
0.125656385462
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
7.50000000
N
N
N
N
N
N
CVS Health Corp 4.30% 03/25/2028
549300EJG376EN5NQE29
CVS Health Corp 4.30% 03/25/2028
126650CX6
5800000.00000000
PA
USD
6301242.67000000
0.139830706902
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
UTEX INDUSTRIES INC 9.552% 05/20/2022 Second Lien Initial Term Loan
N/A
UTEX INDUSTRIES INC 9.552% 05/20/2022 Second Lien Initial Term Loan
91759UAP0
955410.18000000
PA
USD
506367.40000000
0.011236785377
Long
LON
CORP
US
N
2
2022-05-20
Floating
9.03588000
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
10976000.00000000
NC
USD
67904.13000000
0.001506858725
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-07-10
0.00000000
USD
0.00000000
USD
10976000.00000000
USD
67904.13000000
N
N
N
Voya CLO 2018-2 Ltd FRN 07/15/2031 2018-2A A1 144A
N/A
Voya CLO 2018-2 Ltd FRN 07/15/2031 2018-2A A1 144A
92917JAA5
5000000.00000000
PA
USD
4947600.00000000
0.109792058757
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
3.00088000
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
14067317.26000000
PA
USD
14432352.89000000
0.320267955474
Long
ABS-CBDO
CORP
US
N
2
2049-02-25
Variable
4.00000000
N
N
N
N
N
N
CEMEX SAB DE CV 5.70% 01/11/2025 144A
549300RIG2CXWN6IV731
CEMEX SAB DE CV 5.70% 01/11/2025 144A
151290BM4
13000000.00000000
PA
USD
13369525.00000000
0.296682770304
Long
DBT
CORP
MX
N
2
2025-01-11
Fixed
5.70000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 7.50% 01/15/2026 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 7.50% 01/15/2026 GNMA SF
36206UM71
152.81000000
PA
USD
163.57000000
0.000003629777
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
UKRAINE GOVERNMENT 7.375% 09/25/2032 144A
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.375% 09/25/2032 144A
903724BM3
6000000.00000000
PA
USD
6285090.00000000
0.139472263435
Long
ABS-O
USGA
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
DAE FUNDING LLC 5.00% 08/01/2024 144A
635400SZTPQL3Y1P2C76
DAE FUNDING LLC 5.00% 08/01/2024 144A
23371DAB0
14000000.00000000
PA
USD
14682500.00000000
0.325818963275
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
T-MOBILE USA INC ESRW USD NPV REF SM#662033
549300V2JRLO5DIFGE82
T-MOBILE USA INC ESRW USD NPV REF SM#662033
87299ATZ7
6000000.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
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
6882176.62000000
PA
USD
6970514.86000000
0.154682508100
Long
ABS-CBDO
CORP
US
N
2
2024-09-25
Floating
4.02275000
N
N
N
N
N
N
Roan Resources Inc COM USD 0.0010
N/A
Roan Resources Inc COM USD 0.0010
769755109
88309.00000000
NS
USD
132463.50000000
0.002939493971
Long
EC
CORP
US
N
1
N
N
N
U S TREASURY NOTE
N/A
U S TREASURY NOTE
912828W63
5316736.48800000
PA
USD
5316736.48800000
0.117983556651
Short
RA
CORP
US
N
2
Repurchase
Y
0.01721739
2019-11-01
5316736.48830000
USD
5423079.27217777
USD
UST
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 05/01/2031 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 05/01/2031 FHLMC G30
31292HJR6
4402.38000000
PA
USD
4940.44000000
0.000109633171
Long
ABS-MBS
USGA
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200316
000000000
1.00000000
NC
USD
-450314.13000000
-0.00999290876
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
29500000.00000000
EUR
32753702.50000000
USD
2020-03-16
-450314.13000000
N
N
N
Neuberger Berman CLO XXII Ltd FRN 10/17/2030 2016-22A CR 144A
549300FFV1EYI8ON7P41
Neuberger Berman CLO XXII Ltd FRN 10/17/2030 2016-22A CR 144A
64131BAJ2
2129630.00000000
PA
USD
2071065.18000000
0.045958951801
Long
ABS-CBDO
CORP
KY
N
2
2030-10-17
Floating
4.20213000
N
N
N
N
N
N
REYNOLDS GROUP ISSUER INC/LLC/SA FRN 07/15/2021 144A
N/A
REYNOLDS GROUP ISSUER INC/LLC/SA FRN 07/15/2021 144A
761735AR0
6500000.00000000
PA
USD
6532500.00000000
0.144962532102
Long
DBT
CORP
US
N
2
2021-07-15
Floating
5.50088000
N
N
N
N
N
N
DISH DBS CORP 5.00% 03/15/2023
N/A
DISH DBS CORP 5.00% 03/15/2023
25470XAL9
6000000.00000000
PA
USD
6067500.00000000
0.134643729588
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
GRIFOLS WORLDWIDE OPERATIONS USA INC 4.46988% 01/31/2025 Tranche B Term Loan
N/A
GRIFOLS WORLDWIDE OPERATIONS USA INC 4.46988% 01/31/2025 Tranche B Term Loan
39843PAD5
6741680.68000000
PA
USD
6759586.58000000
0.150001804302
Long
LON
CORP
US
N
2
2025-01-31
Floating
4.08575000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 9.50% 06/15/2025 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 9.50% 06/15/2025 GNMA SF
36206KQ46
366.55000000
PA
USD
367.69000000
0.000008159398
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
9.50000000
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
6200000.00000000
PA
6914860.34000000
0.153447480141
Long
ABS-CBDO
CORP
IE
N
2
2033-01-15
Floating
1.55000000
N
N
N
N
N
N
N/A
N/A
USD_BRL_20191213
000000000
1.00000000
NC
USD
-31892.75000000
-0.00070773115
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
9200000.00000000
BRL
2254901.96000000
USD
2019-12-13
-31892.75000000
N
N
N
N/A
N/A
USD_CNH_20200224
000000000
1.00000000
NC
USD
-203933.42000000
-0.00452548104
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
144100000.00000000
CNY
20177833.79000000
USD
2020-02-24
-203933.42000000
N
N
N
N/A
N/A
ALLY FINANCIAL INC 5.00% 12/20/2024 CDS
000000000
-19800000.00000000
NC
USD
-4073923.94000000
-0.09040433676
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2024-12-20
0.00000000
USD
0.00000000
USD
-19800000.00000000
USD
-270236.16000000
N
N
N
LCM XVII LP FRN 10/15/2031 17A CRR 144A
549300K6S4MWQOINB710
LCM XVII LP FRN 10/15/2031 17A CRR 144A
50190AAT9
4240000.00000000
PA
USD
4048903.20000000
0.089849102198
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
4.10088000
N
N
N
N
N
N
N/A
N/A
USD_CAD_20200316
000000000
1.00000000
NC
USD
14214.08000000
0.000315424267
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
3000000.00000000
CAD
2293998.90000000
USD
2020-03-16
14214.08000000
N
N
N
K2016470260 SA LTD 25.00% 12/31/2022 PIK 144A
3789003E1C22310B3356
K2016470260 SA LTD 25.00% 12/31/2022 PIK 144A
S7409CAF2
2371531.00000000
PA
USD
11857.66000000
0.000263133014
Long
DBT
CORP
ZA
N
3
2022-12-31
Fixed
0.00000000
N
N
Y
N
N
N
N/A
N/A
CITIBANK NA CCS RV USD 3M+ 2.87% PY EUR 2.5% 05/04/21
000000000
3834600.00000000
NC
USD
150512.99000000
0.003340029719
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-05-04
0.00000000
USD
0.00000000
USD
3834600.00000000
USD
150512.99000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 04/01/2029 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 04/01/2029 FHLMC G30
3128P7L43
67659.65000000
PA
USD
72298.90000000
0.001604382948
Long
ABS-MBS
USGA
US
N
2
2029-04-01
Fixed
5.00000000
N
N
N
N
N
N
FANNIE MAE 4.50% 02/01/2041 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 4.50% 02/01/2041 FNMA 30
31417YWA1
347418.75000000
PA
USD
376378.87000000
0.008352213398
Long
ABS-MBS
USGA
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
iHeartMedia Inc COM USD NPV CL A
N/A
iHeartMedia Inc COM USD NPV CL A
45174J509
115084.00000000
NS
USD
1650304.56000000
0.036621864180
Long
EC
CORP
US
N
1
N
N
N
Buttermilk Park CLO Ltd FRN 10/15/2031 2018-1A C 144A
N/A
Buttermilk Park CLO Ltd FRN 10/15/2031 2018-1A C 144A
124166AJ8
9730950.00000000
PA
USD
9410704.44000000
0.208832689551
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
4.10088000
N
N
N
N
N
N
FANNIE MAE 6.50% 12/01/2028 FNMA
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 12/01/2028 FNMA
31371HB72
3374.81000000
PA
USD
3777.40000000
0.000083824181
Long
ABS-MBS
USGA
US
N
2
2028-12-01
Fixed
6.50000000
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
12450000.00000000
PA
USD
13384853.07000000
0.297022915093
Long
ABS-CBDO
CORP
US
N
2
2048-09-15
Fixed
3.70500000
N
N
N
N
N
N
HARSCO CORP 6.5% 12/10/2024 Term Loan B-2
KAO98FK89NPNNPQGUZ43
HARSCO CORP 6.5% 12/10/2024 Term Loan B-2
41587CAP3
2040989.94000000
PA
USD
2047368.03000000
0.045433088982
Long
LON
CORP
US
N
2
2024-12-10
Floating
4.06250000
N
N
N
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
12101524.05000000
PA
USD
13061494.39000000
0.289847271308
Long
ABS-CBDO
CORP
US
N
2
2023-11-25
Floating
6.07275000
N
N
N
N
N
N
FANNIE MAE 6.00% 12/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 12/01/2035 FNMA 30
31407YJ67
44770.25000000
PA
USD
49585.65000000
0.001100353827
Long
ABS-MBS
USGA
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
Riviera Resources Inc COM USD 0.01
N/A
Riviera Resources Inc COM USD 0.01
76964R104
84462.00000000
NS
USD
1101384.48000000
0.024440793423
Long
EC
CORP
US
N
1
N
N
N
U S TREASURY NOTE
N/A
U S TREASURY NOTE
912796WG0
5087994.28900000
PA
USD
5087994.28900000
0.112907544654
Short
RA
CORP
US
N
2
Repurchase
Y
0.01721739
2019-11-01
5087994.28909989
USD
5189761.88248124
USD
UST
N
N
N
Amplify Energy Corp COM USD.01
J0TW5YQRAZXYN7VEU787
Amplify Energy Corp COM USD.01
03212B103
5288.00000000
NS
USD
38338.00000000
0.000850757528
Long
EC
CORP
US
N
1
N
N
N
INTERGEN NV 7.00% 06/30/2023 144A
549300E3XRGX2JMPEC79
INTERGEN NV 7.00% 06/30/2023 144A
45867XAG9
4800000.00000000
PA
USD
4586400.00000000
0.101776679255
Long
DBT
CORP
NL
N
2
2023-06-30
Fixed
7.00000000
N
N
N
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
20900000.00000000
PA
23309771.13000000
0.517266505279
Long
ABS-CBDO
CORP
IE
N
2
2033-01-15
Floating
0.91000000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20200128
000000000
1.00000000
NC
USD
-129292.66000000
-0.00286912994
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
14000000.00000000
AUD
9544500.00000000
USD
2020-01-28
-129292.66000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 09/01/2027 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 09/01/2027 FHLMC G30
3128CUMV5
18221.29000000
PA
USD
19488.99000000
0.000432479653
Long
ABS-MBS
USGA
US
N
2
2027-09-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL TRS RCV MARKIT IBOXX US PAY US0003M 03/20/20
000000000
61400000.00000000
NC
USD
1011493.53000000
0.022446025765
N/A
DCR
CORP
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2020-03-20
0.00000000
USD
700455.08000000
USD
61400000.00000000
USD
1011493.53000000
N
N
N
K2016470219 SA LTD ORD ZAR NPV CL A
N/A
K2016470219 SA LTD ORD ZAR NPV CL A
000000000
125940079.00000000
NS
83322.08000000
0.001848998040
Long
EC
CORP
ZA
Y
3
N
N
N
Pennsylvania Turnpike Commission
549300J8LLBYEYEXZJ24
Pennsylvania Turnpike Commission
709224V71
9825000.00000000
PA
USD
9930225.75000000
0.220361372992
Long
DBT
MUN
US
N
2
2043-12-01
Fixed
3.57900000
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC ESRW USD NPV REF SM# 594530
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC ESRW USD NPV REF SM# 594530
451ESCAA5
3100000.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
N/A
N/A
USD_EUR_20200130
000000000
1.00000000
NC
USD
24687.37000000
0.000547836764
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
2150000.00000000
EUR
2437992.50000000
USD
2020-01-30
24687.37000000
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
26312269.00000000
PA
USD
26868426.17000000
0.596236523722
Long
ABS-CBDO
CORP
US
N
2
2030-03-25
Floating
4.32275000
N
N
N
N
N
N
Crown Americas LLC / Crown Americas Capital Corp VI 4.75% 02/01/2026
N/A
Crown Americas LLC / Crown Americas Capital Corp VI 4.75% 02/01/2026
228187AB6
7100000.00000000
PA
USD
7472750.00000000
0.165827594607
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
4.75000000
N
N
N
N
N
N
FMG RESOURCES AUGUST 2006 PTY LTD 5.125% 05/15/2024 144A
549300EFD6S2NFE9D745
FMG RESOURCES AUGUST 2006 PTY LTD 5.125% 05/15/2024 144A
30251GAW7
7700000.00000000
PA
USD
8085000.00000000
0.179414017918
Long
DBT
CORP
AU
N
2
2024-05-15
Fixed
5.12500000
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
2830000.00000000
PA
USD
3010898.98000000
0.066814778422
Long
ABS-CBDO
CORP
US
N
2
2027-10-25
Floating
5.12275000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 05/01/2036 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 05/01/2036 FHLMC G30
3128KAHF1
18595.48000000
PA
USD
20733.20000000
0.000460089884
Long
ABS-MBS
USGA
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
Cheniere Energy Partners LP 5.25% 10/01/2025
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP 5.25% 10/01/2025
16411QAB7
11900000.00000000
PA
USD
12361125.00000000
0.274305392979
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.25000000
N
N
N
N
N
N
Magnetite XIV-R LTD FRN 10/18/2031 2015-14RA A1 144A
549300XD71H6EU9N2I97
Magnetite XIV-R LTD FRN 10/18/2031 2015-14RA A1 144A
55954LAC7
2000000.00000000
PA
USD
1994660.00000000
0.044263446503
Long
ABS-CBDO
CORP
KY
N
2
2031-10-18
Floating
3.12325000
N
N
N
N
N
N
FANNIE MAE 5.50% 09/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 09/01/2035 FNMA 30
31407FKN9
23069.39000000
PA
USD
25980.70000000
0.000576537016
Long
ABS-MBS
USGA
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 7.00% 04/01/2028 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 7.00% 04/01/2028 FHLMC G30
3128G2WP5
2820.28000000
PA
USD
2824.56000000
0.000062679735
Long
ABS-MBS
USGA
US
N
2
2028-04-01
Fixed
7.00000000
N
N
N
N
N
N
Chaparral Energy Inc COM USD 0.01 CL A
V5IUQSDP5WPR92NJWH73
Chaparral Energy Inc COM USD 0.01 CL A
15942R208
94305.00000000
NS
USD
88392.08000000
0.001961506273
Long
EC
CORP
US
N
1
N
N
N
FANNIE MAE 5.00% 05/01/2031 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 05/01/2031 FNMA 30
31417YZQ3
25090.45000000
PA
USD
26846.77000000
0.000595755952
Long
ABS-MBS
USGA
US
N
2
2031-05-01
Fixed
5.00000000
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
9200000.00000000
PA
USD
10037062.00000000
0.222732173347
Long
DBT
CORP
IL
N
2
2028-08-14
Fixed
4.25000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 10/01/2035 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 10/01/2035 FHLMC G30
31297UL40
36395.86000000
PA
USD
39234.24000000
0.000870645966
Long
ABS-MBS
USGA
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY 3.875% 01/27/2026
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.875% 01/27/2026
61746BDZ6
32300000.00000000
PA
USD
34891659.95000000
0.774279889111
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.87500000
N
N
N
N
N
N
FANNIE MAE 5.00% 06/01/2031 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 06/01/2031 FNMA 30
31417Y2K2
47040.97000000
PA
USD
50337.53000000
0.001117038776
Long
ABS-MBS
USGA
US
N
2
2031-06-01
Fixed
5.00000000
N
N
N
N
N
N
Sunoco LP / Sunoco Finance Corp 4.875% 01/15/2023
N/A
Sunoco LP / Sunoco Finance Corp 4.875% 01/15/2023
86765LAJ6
5900000.00000000
PA
USD
6069625.00000000
0.134690885405
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
4.87500000
N
N
N
N
N
N
CENTENE CORP 4.75% 05/15/2022
549300Z7JJ4TQSQGT333
CENTENE CORP 4.75% 05/15/2022
15135BAD3
2000000.00000000
PA
USD
2050000.00000000
0.045491494957
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
4.75000000
N
N
N
N
N
N
State of New York
N/A
State of New York
649791QE3
11740000.00000000
PA
USD
11897668.20000000
0.264020835574
Long
DBT
MUN
US
N
2
2039-02-15
Fixed
3.20000000
N
N
N
N
N
N
Octagon Investment Partners 37 Ltd FRN 07/25/2030 144A 18-2A C
N/A
Octagon Investment Partners 37 Ltd FRN 07/25/2030 144A 18-2A C
67591VAJ4
4000000.00000000
PA
USD
3624160.00000000
0.080423637251
Long
ABS-CBDO
CORP
KY
N
2
2030-07-25
Floating
4.78963000
N
N
N
N
N
N
FANNIE MAE 5.00% 03/01/2028 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 03/01/2028 FNMA 30
31371NSV8
6155.23000000
PA
USD
6573.95000000
0.000145882347
Long
ABS-MBS
USGA
US
N
2
2028-03-01
Fixed
5.00000000
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
6088429.71900000
PA
USD
6450474.54000000
0.143142307322
Long
ABS-CBDO
CORP
US
N
2
2024-10-25
Floating
6.57275000
N
N
N
N
N
N
GAZ CAPITAL SA (OJSC GAZPROM) 3.85% 02/06/2020 144A
213800568PRHV2JR9650
GAZ CAPITAL SA (OJSC GAZPROM) 3.85% 02/06/2020 144A
368266AS1
20000000.00000000
PA
USD
20084100.00000000
0.445685723843
Long
LON
CORP
LU
N
2
2020-02-06
Fixed
3.85000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 6.50% 12/20/2031 GNMA II
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 6.50% 12/20/2031 GNMA II
36202DQ20
10910.08000000
PA
USD
12613.38000000
0.000279903176
Long
ABS-MBS
USGA
US
N
2
2031-12-20
Fixed
6.50000000
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
11000000.00000000
PA
USD
11544376.25000000
0.256180943397
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
7.50000000
N
N
N
N
N
N
OWENS-BROCKWAY GLASS CONTAINER INC 5.00% 01/15/2022 144A
V2UQUCDZJ9WY98W8QU33
OWENS-BROCKWAY GLASS CONTAINER INC 5.00% 01/15/2022 144A
690872AA4
6000000.00000000
PA
USD
6217500.00000000
0.137972375560
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY 3.591% 07/22/2028 FIXED TO FLOAT
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.591% 07/22/2028 FIXED TO FLOAT
61744YAK4
10000000.00000000
PA
USD
10578159.50000000
0.234739653441
Long
DBT
CORP
US
N
2
2028-07-22
Variable
3.59100000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-37 10/17/2044 2019-37 PT 144A
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-37 10/17/2044 2019-37 PT 144A
21054QAA1
7257122.11000000
PA
USD
6973306.95000000
0.154744467294
Long
LON
CORP
US
N
2
2044-10-17
Fixed
23.923225
N
N
N
N
N
N
OPTEUM MORTGAGE ACCEPTANCE CORP TRUST FRN 11/25/2035 05-4 1APT
N/A
OPTEUM MORTGAGE ACCEPTANCE CORP TRUST FRN 11/25/2035 05-4 1APT
68383NCA9
1680613.13600000
PA
USD
1693820.74000000
0.037587530562
Long
ABS-CBDO
CORP
US
N
2
2035-11-25
Floating
2.13275000
N
N
N
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
6400000.00000000
PA
USD
6232256.00000000
0.138299825560
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
4.55088000
N
N
N
N
N
N
SPRINT COMMUNICATIONS INC 7.00% 03/01/2020 144A
549300JKU50UT08ZWD77
SPRINT COMMUNICATIONS INC 7.00% 03/01/2020 144A
852061AQ3
5000000.00000000
PA
USD
5075000.00000000
0.112619188736
Long
DBT
CORP
US
N
2
2020-03-01
Fixed
7.00000000
N
N
N
N
N
N
NEW GOLD INC 6.375% 05/15/2025 144A
5493005G0GNCHP0H6L96
NEW GOLD INC 6.375% 05/15/2025 144A
644532AA1
6900000.00000000
PA
USD
6589500.00000000
0.146227417572
Long
DBT
CORP
CA
N
2
2025-05-15
Fixed
6.37500000
N
N
N
N
N
N
State of Ohio
5493005LEB5E170OMX59
State of Ohio
677561LN0
1975000.00000000
PA
USD
2029569.25000000
0.045038116732
Long
DBT
MUN
US
N
2
2042-01-01
Fixed
3.27600000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC 3.50% 01/23/2025
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC 3.50% 01/23/2025
38148LAC0
23000000.00000000
PA
USD
24057872.12000000
0.533867594262
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
3.50000000
N
N
N
N
N
N
WORKCAPITAL BSD SARL 6.5% 02/11/2022 Loan
N/A
WORKCAPITAL BSD SARL 6.5% 02/11/2022 Loan
000000000
20000000.00000000
PA
USD
20023463.20000000
0.444340134242
Long
LON
CORP
BR
N
3
2022-02-11
Floating
18.17563000
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust 2019-SLCT4 FRN 08/15/2044 2019-S4 PT 144A
N/A
Consumer Loan Underlying Bond Credit Trust 2019-SLCT4 FRN 08/15/2044 2019-S4 PT 144A
21054GAA3
6712272.54000000
PA
USD
6265038.52000000
0.139027301581
Long
LON
CORP
US
N
2
2044-08-15
Variable
13.454231
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 05/01/2049 G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 3.5% 05/01/2049 G30
3128MJ6N5
53806223.80000000
PA
USD
55328845.77000000
1.227800930906
Long
ABS-MBS
USGA
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
SANCHEZ ENERGY CORP 6.125% 01/15/2023 *DEFAULT*
549300SB0HTIM17TVR61
SANCHEZ ENERGY CORP 6.125% 01/15/2023 *DEFAULT*
79970YAD7
6000000.00000000
PA
USD
300000.00000000
0.006657291945
Long
DBT
CORP
US
N
2
2023-01-15
None
6.12500000
Y
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
13753024.24700000
PA
USD
14752522.53000000
0.327372831358
Long
ABS-CBDO
CORP
US
N
2
2024-10-25
Floating
6.37275000
N
N
N
N
N
N
CROWN Americas LLC 4.28319% 04/03/2025 Dollar Term B Loan
RPPGGRL1J75WGF2DFO04
CROWN Americas LLC 4.28319% 04/03/2025 Dollar Term B Loan
22818RAW6
530376.49000000
PA
USD
534354.31000000
0.011857842145
Long
LON
CORP
US
N
2
2025-04-03
Floating
3.99725000
N
N
N
N
N
N
T-MOBILE USA INC 6.50% 01/15/2024
549300V2JRLO5DIFGE82
T-MOBILE USA INC 6.50% 01/15/2024
87264AAJ4
3000000.00000000
PA
USD
3123750.00000000
0.069319052377
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
6.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 08/01/2035 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 08/01/2035 FHLMC G30
3128K7MM7
201974.68000000
PA
USD
222938.73000000
0.004947227371
Long
ABS-MBS
USGA
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
ALTICE FINANCING SA 7.50% 05/15/2026 144A
549300DIYGW8HVDF7Q17
ALTICE FINANCING SA 7.50% 05/15/2026 144A
02154CAE3
3000000.00000000
PA
USD
3191250.00000000
0.070816943065
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
7.50000000
N
N
N
N
N
N
CALPINE CORP 5.75% 01/15/2025
43R4VPJBXTU2O15HEF41
CALPINE CORP 5.75% 01/15/2025
131347CF1
9000000.00000000
PA
USD
9258750.00000000
0.205460672653
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
5.75000000
N
N
N
N
N
N
Octagon Investment Partners 36 Ltd FRN 04/15/2031 144A 18-1A A1
549300S890TBOLY1D042
Octagon Investment Partners 36 Ltd FRN 04/15/2031 144A 18-1A A1
67591UAC1
7475000.00000000
PA
USD
7419535.50000000
0.164646713066
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
2.97088000
N
N
N
N
N
N
MARTIN MIDSTREAM PARTNERS LP/MARTIN MIDSTREAM FI 7.25% 02/15/2021
N/A
MARTIN MIDSTREAM PARTNERS LP/MARTIN MIDSTREAM FI 7.25% 02/15/2021
573334AD1
19000000.00000000
PA
USD
17166500.00000000
0.380941340580
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
7.25000000
N
N
N
N
N
N
N/A
N/A
USD_BRL_20191213
000000000
1.00000000
NC
USD
-48965.82000000
-0.00108659919
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
13000000.00000000
BRL
3182374.54000000
USD
2019-12-13
-48965.82000000
N
N
N
EAGLE HOLDINGS CO II LLC 7.625%/8.375% 05/15/2022 TOGG PIK 144A
N/A
EAGLE HOLDINGS CO II LLC 7.625%/8.375% 05/15/2022 TOGG PIK 144A
26959XAA1
3300000.00000000
PA
USD
3337125.00000000
0.074054051273
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
7.62500000
N
N
N
N
N
N
Race Point IX CLO Ltd FRN 10/15/2030 2015-9A A1AR 144A
549300C3570PBQ31OI09
Race Point IX CLO Ltd FRN 10/15/2030 2015-9A A1AR 144A
74981HCC2
3600000.00000000
PA
USD
3591072.00000000
0.079689382331
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
3.21088000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 10/01/2035 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 10/01/2035 FHLMC G30
3128K8GM2
22116.79000000
PA
USD
24413.89000000
0.000541767977
Long
ABS-MBS
USGA
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20200128
000000000
1.00000000
NC
USD
-148650.80000000
-0.00329870591
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
12100000.00000000
AUD
8212270.00000000
USD
2020-01-28
-148650.80000000
N
N
N
ELDORADO RESORTS INC 4.28725% 04/17/2024 Initial Term Loan
5299000BKFWWVND5L441
ELDORADO RESORTS INC 4.28725% 04/17/2024 Initial Term Loan
28470YAB3
3215110.25000000
PA
USD
3214412.57000000
0.071330943034
Long
LON
CORP
US
N
2
2024-04-17
Floating
4.21425000
N
N
N
N
N
N
FANNIE MAE 3.50% 11/01/2047 FNMA
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3.50% 11/01/2047 FNMA
31418CRC0
13325469.33000000
PA
USD
13828671.30000000
0.306871673519
Long
ABS-MBS
USGA
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 05/01/2027 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 05/01/2027 FHLMC G30
3128CULH7
46494.31000000
PA
USD
49682.31000000
0.001102498807
Long
ABS-MBS
USGA
US
N
2
2027-05-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
NOK_USD_20200130
000000000
1.00000000
NC
USD
-126259.69000000
-0.00280182539
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
14922179.74000000
USD
136000000.00000000
NOK
2020-01-30
-126259.69000000
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
3500000.00000000
PA
USD
3463635.00000000
0.076861431286
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
3.46588000
N
N
N
N
N
N
FANNIE MAE 8.00% 12/01/2025 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 8.00% 12/01/2025 FNMA 30
31374FXG9
2265.44000000
PA
USD
2534.72000000
0.000056247903
Long
ABS-MBS
USGA
US
N
2
2025-12-01
Fixed
8.00000000
N
N
N
N
N
N
KFC HLDG/PIZZA HUT/TACO BELL 5.25% 06/01/2026 144A
N/A
KFC HLDG/PIZZA HUT/TACO BELL 5.25% 06/01/2026 144A
48250NAB1
9100000.00000000
PA
USD
9646000.00000000
0.214054127005
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.25000000
N
N
N
N
N
N
FANNIE MAE 6.00% 10/01/2034 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 10/01/2034 FNMA 30
31405PNC0
190460.33000000
PA
USD
215782.93000000
0.004788433205
Long
ABS-MBS
USGA
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
FANNIE MAE 3.418% 12/01/2034 FNMA ARM
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3.418% 12/01/2034 FNMA ARM
31406AGW6
116365.80000000
PA
USD
122864.26000000
0.002726477494
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Floating
3.41800000
N
N
N
N
N
N
N/A
N/A
USD_CAD_20200316
000000000
1.00000000
NC
USD
-135555.59000000
-0.00300811045
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
37400000.00000000
CAD
28285761.82000000
USD
2020-03-16
-135555.59000000
N
N
N
SOCIEDAD QUIMICA Y MINERA DE CHILE SA SOQUIMICH 3.625% 04/03/2023 144A
TJ88LXZZW5PWIN93ZC81
SOCIEDAD QUIMICA Y MINERA DE CHILE SA SOQUIMICH 3.625% 04/03/2023 144A
833636AE3
1500000.00000000
PA
USD
1539750.00000000
0.034168550907
Long
DBT
CORP
CL
Y
2
2023-04-03
Fixed
3.62500000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 6.50% 07/20/2028 GNMA II
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 6.50% 07/20/2028 GNMA II
36202C3Y7
4490.71000000
PA
USD
5055.16000000
0.000112178919
Long
ABS-MBS
USGA
US
N
2
2028-07-20
Fixed
6.50000000
N
N
N
N
N
N
ALTRA INDUSTRIAL MOTION CORP 6.5% 10/1/2025 Term Loan
NQ0NIXPGW4YKG4MWM571
ALTRA INDUSTRIAL MOTION CORP 6.5% 10/1/2025 Term Loan
02208HAB4
692214.24000000
PA
USD
691128.16000000
0.015336806441
Long
LON
CORP
US
N
2
2025-10-01
Floating
3.78588000
N
N
N
N
N
N
City of Austin TX Electric Utility Revenue
N/A
City of Austin TX Electric Utility Revenue
052414JQ3
5955000.00000000
PA
USD
7483588.95000000
0.166068121455
Long
DBT
MUN
US
N
2
2032-11-15
Fixed
6.26200000
N
N
N
N
N
N
VOYA CLO 2016-3 LTD FRN 10/18/2031 2016-3A A1R 144A
549300001G5S0D8B8343
VOYA CLO 2016-3 LTD FRN 10/18/2031 2016-3A A1R 144A
92915HAL7
10000000.00000000
PA
USD
9986100.00000000
0.221601276973
Long
ABS-CBDO
CORP
KY
N
2
2031-10-18
Floating
3.19325000
N
N
N
N
N
N
FANNIE MAE 7.50% 10/01/2029 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 7.50% 10/01/2029 FNMA 30
31371HYB8
4811.09000000
PA
USD
5626.78000000
0.000124863723
Long
ABS-MBS
USGA
US
N
2
2029-10-01
Fixed
7.50000000
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
11163112.78300000
PA
USD
11615055.87000000
0.257749392947
Long
ABS-CBDO
CORP
US
N
2
2025-05-25
Floating
5.82275000
N
N
N
N
N
N
VENTIA PTY LTD 6.5% 05/21/2026 Term B Loans
549300DFPWYJ2KFSLN90
VENTIA PTY LTD 6.5% 05/21/2026 Term B Loans
Q5642FAE1
829952.46000000
PA
USD
832027.34000000
0.018463496362
Long
LON
CORP
AU
N
2
2026-05-21
Floating
5.60438000
N
N
N
N
N
N
ARES CLO LTD FRN 07/20/2030 2018-48A D 144A
N/A
ARES CLO LTD FRN 07/20/2030 2018-48A D 144A
04017FAJ8
3550000.00000000
PA
USD
3274875.00000000
0.072672663194
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
4.66588000
N
N
N
N
N
N
FANNIE MAE 5.00% 04/01/2029 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 04/01/2029 FNMA 30
3138EGP57
119609.00000000
PA
USD
127745.68000000
0.002834800954
Long
ABS-MBS
USGA
US
N
2
2029-04-01
Fixed
5.00000000
N
N
N
N
N
N
DONCASTERS US FINANCE LLC 10.58438% 10/09/2020 Second-Lien Term Loans
N/A
DONCASTERS US FINANCE LLC 10.58438% 10/09/2020 Second-Lien Term Loans
25769JAE6
12543187.72000000
PA
USD
3386660.68000000
0.075153296218
Long
LON
CORP
US
N
2
2020-10-09
Floating
10.35438000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.00% 11/20/2033 GNMA II
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.00% 11/20/2033 GNMA II
36202D2D2
91783.76000000
PA
USD
101620.97000000
0.002255068216
Long
ABS-MBS
USGA
US
N
2
2033-11-20
Fixed
5.00000000
N
N
N
N
N
N
SEALED AIR CORP 4.875% 12/01/2022 144A
Q0M0CZB4YN6JZ65WXI09
SEALED AIR CORP 4.875% 12/01/2022 144A
81211KAV2
4000000.00000000
PA
USD
4250000.00000000
0.094311635887
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
4.87500000
N
N
N
N
N
N
FANNIE MAE 5.50% 05/01/2034 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 05/01/2034 FNMA 30
31404NF27
41853.60000000
PA
USD
47154.94000000
0.001046414007
Long
ABS-MBS
USGA
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
USD_KRW_20191216
000000000
1.00000000
NC
USD
-15497.17000000
-0.00034389728
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
18600000000.00000000
KRW
15898115.30000000
USD
2019-12-16
-15497.17000000
N
N
N
FANNIE MAE 5.00% 05/01/2029 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 05/01/2029 FNMA 30
31416RKA0
89068.41000000
PA
USD
95189.91000000
0.002112356736
Long
ABS-MBS
USGA
US
N
2
2029-05-01
Fixed
5.00000000
N
N
N
N
N
N
ALLERGAN FUNDING SCS 3.80% 03/15/2025
222100FLFVOSKCBCAR54
ALLERGAN FUNDING SCS 3.80% 03/15/2025
00507UAS0
25000000.00000000
PA
USD
26251150.00000000
0.582538564808
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
3.80000000
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
3870000.00000000
PA
USD
4189237.85000000
0.092963264648
Long
DBT
MUN
US
N
2
2028-10-01
Fixed
3.77700000
N
N
N
N
N
N
BCC Middle Market CLO 2018-1A A2 FRN 10/20/2030 144A 1A A2
N/A
BCC Middle Market CLO 2018-1A A2 FRN 10/20/2030 144A 1A A2
055328AC2
6300000.00000000
PA
USD
6253695.00000000
0.138775577833
Long
ABS-CBDO
CORP
US
N
2
2030-10-20
Floating
4.11588000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-SLCT2 FRN 05/16/2044 2019-S2 PT 144A
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-SLCT2 FRN 05/16/2044 2019-S2 PT 144A
21050HAA5
5130082.49000000
PA
USD
4689474.07000000
0.104063993175
Long
LON
CORP
US
N
2
2044-05-16
Variable
14.389038
N
N
N
N
N
N
CHINA OVERSEAS FINANCE CAYMAN VI LTD 5.95% 05/08/2024 REG S
N/A
CHINA OVERSEAS FINANCE CAYMAN VI LTD 5.95% 05/08/2024 REG S
G2157ZAB8
7500000.00000000
PA
USD
8501700.00000000
0.188660996429
Long
DBT
CORP
KY
N
2
2024-05-08
Fixed
5.95000000
N
N
N
N
N
N
INTESA SANPAOLO SPA 6.50% 02/24/2021 144A
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 6.50% 02/24/2021 144A
46115HAD9
1400000.00000000
PA
USD
1469433.00000000
0.032608148248
Long
DBT
CORP
IT
N
2
2021-02-24
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200316
000000000
1.00000000
NC
USD
-2663.67000000
-0.00005910942
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
7300000.00000000
EUR
8213923.50000000
USD
2020-03-16
-2663.67000000
N
N
N
N/A
N/A
USD_CAD_20200130
000000000
1.00000000
NC
USD
-161353.82000000
-0.00358059828
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
25000000.00000000
CAD
18837074.38000000
USD
2020-01-30
-161353.82000000
N
N
N
GOVT NATL MORTG ASSN 8.00% 02/15/2025 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 8.00% 02/15/2025 GNMA SF
36225AB58
41.04000000
PA
USD
44.64000000
0.000000990605
Long
ABS-MBS
USGA
US
N
2
2025-02-15
Fixed
8.00000000
N
N
N
N
N
N
OXBOW CARBON LLC 4.62688% 01/04/2022 TRANCHE A TERM LOAN
IH5EFCAY91O8SVS0VX92
OXBOW CARBON LLC 4.62688% 01/04/2022 TRANCHE A TERM LOAN
69138EAT6
3172129.15000000
PA
USD
3156268.50000000
0.070040669537
Long
LON
CORP
US
N
2
2022-01-04
Floating
4.28588000
N
N
N
N
N
N
NORTHWEST ACQUISITIONS ULC / DOMINION FINCO INC 7.125% 11/01/2022 144A
N/A
NORTHWEST ACQUISITIONS ULC / DOMINION FINCO INC 7.125% 11/01/2022 144A
66727WAA0
3800000.00000000
PA
USD
1909500.00000000
0.042373663230
Long
DBT
CORP
CA
N
2
2022-11-01
Fixed
7.12500000
N
N
N
N
N
N
KAISER FOUNDATION HOSPITALS
DW4Z57L3G4IRMHYZYK62
KAISER FOUNDATION HOSPITALS
48305QAE3
9825000.00000000
PA
USD
10031338.56000000
0.222605164644
Long
DBT
MUN
US
N
2
2049-11-01
None
3.26600000
N
N
N
N
N
N
HALCON RESOURCES CORP WTS EXP 10/08/2022 CL C
3XHTN2NNIMMPORDAMJ28
HALCON RESOURCES CORP WTS EXP 10/08/2022 CL C
40537Q142
17100.00000000
OU
Warrants
USD
0.00000000
0.000000
Long
CORP
US
N
3
N
N
N
N/A
N/A
CITIBANK BESPOKE PALMA 06/21/20 5-7% TRANCHE 2.30% 06/20/2021 CDX
000000000
6700000.00000000
NC
USD
95092.93000000
0.002110204656
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
6700000.00000000
USD
95092.93000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 10/01/2021 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 10/01/2021 FHLMC G30
31335HRE5
2577.42000000
PA
USD
2872.75000000
0.000063749118
Long
ABS-MBS
USGA
US
N
2
2021-10-01
Fixed
6.50000000
N
N
N
N
N
N
African Export-Import Bank/The 3.994% 09/21/2029 144A
21380068LJCDYA42GJ76
African Export-Import Bank/The 3.994% 09/21/2029 144A
00831TAA9
8600000.00000000
PA
USD
8724571.00000000
0.193606720806
Long
DBT
NUSS
US
N
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
CAPITAL ONE MULTI-ASSET EXECUTION TRUST FRN 02/15/2024 2016-A2 A2
R42WS16M9R97TJJKGU15
CAPITAL ONE MULTI-ASSET EXECUTION TRUST FRN 02/15/2024 2016-A2 A2
14041NFD8
44033000.00000000
PA
USD
44302887.06000000
0.983124177218
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Floating
2.55125000
N
N
N
N
N
N
N/A
N/A
US LONG BOND(CBT) Dec19 Dec 19 Future
000000000
59.00000000
NC
USD
-216179.69000000
-0.00479723769
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
US LONG BOND(CBT) Dec19 Dec 19 Future
US LONG BOND(CBT) Dec19 Dec 19 Future
2019-12-19
9737304.69000000
USD
-216263.47000000
N
N
N
Betony CLO 2 Ltd FRN 04/30/2031 2018-1A A1 144A
N/A
Betony CLO 2 Ltd FRN 04/30/2031 2018-1A A1 144A
08763QAA0
15300000.00000000
PA
USD
15169338.00000000
0.336622372262
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
3.01550000
N
N
N
N
N
N
DAE FUNDING LLC 4.50% 08/01/2022 144A
635400SZTPQL3Y1P2C76
DAE FUNDING LLC 4.50% 08/01/2022 144A
23371DAA2
2000000.00000000
PA
USD
2040000.00000000
0.045269585226
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200129
000000000
1.00000000
NC
USD
-341536.53000000
-0.00757902796
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
23635856.54000000
USD
2500000000.00000000
JPY
2020-01-29
-341536.53000000
N
N
N
NETFLIX INC 4.375% 11/15/2026
549300Y7VHGU0I7CE873
NETFLIX INC 4.375% 11/15/2026
64110LAN6
11800000.00000000
PA
USD
12039540.00000000
0.267169108879
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
4.37500000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.50% 09/15/2034 GNMA
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.50% 09/15/2034 GNMA
36291LXE0
18365.02000000
PA
USD
19727.68000000
0.000437776417
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
CAPITAL ONE MULTI-ASSET EXECUTION TRUST FRN 09/16/2024 2016-A7 A7
R42WS16M9R97TJJKGU15
CAPITAL ONE MULTI-ASSET EXECUTION TRUST FRN 09/16/2024 2016-A7 A7
14041NFJ5
4400000.00000000
PA
USD
4427740.24000000
0.098255864781
Long
ABS-CBDO
CORP
US
N
2
2024-09-16
Floating
2.43125000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200130
000000000
1.00000000
NC
USD
209754.36000000
0.004654653370
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
30994369.77000000
EUR
34999927.15000000
USD
2020-01-30
209754.36000000
N
N
N
MAXIM INTEGRATED PRODUCTS INC 3.375% 03/15/2023
SO0H5YEO14Y4PVKQH532
MAXIM INTEGRATED PRODUCTS INC 3.375% 03/15/2023
57772KAB7
1800000.00000000
PA
USD
1853167.37000000
0.041123587350
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.37500000
N
N
N
N
N
N
Talen Energy Supply LLC 7.25% 05/15/2027 144A
K5K33XN0PQAU1XF7NN66
Talen Energy Supply LLC 7.25% 05/15/2027 144A
87422VAF5
10800000.00000000
PA
USD
10827000.00000000
0.240261666295
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.25000000
N
N
N
N
N
N
T-MOBILE USA INC ESRW USD NPV REF SM#564912
549300V2JRLO5DIFGE82
T-MOBILE USA INC ESRW USD NPV REF SM#564912
87299ATP9
5000000.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
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
5822051.95000000
PA
USD
5889301.31000000
0.130689327242
Long
ABS-CBDO
CORP
US
N
2
2024-02-25
Floating
4.02275000
N
N
N
N
N
N
Octagon Investment Partners 28 Ltd FRN 10/24/2030 16-1A BR 144A
254900BI638DCRT6IN48
Octagon Investment Partners 28 Ltd FRN 10/24/2030 16-1A BR 144A
67591EAU7
3914730.00000000
PA
USD
3912185.43000000
0.086815201835
Long
ABS-CBDO
CORP
US
N
2
2030-10-24
Floating
3.73600000
N
N
N
N
N
N
FANNIE MAE 5.50% 10/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 10/01/2033 FNMA 30
31402UYG1
29555.89000000
PA
USD
33303.62000000
0.000739039737
Long
ABS-MBS
USGA
US
N
2
2033-10-01
Fixed
5.50000000
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
58670447.72700000
NS
USD
58670447.73000000
1.301954330278
Long
EC
RF
US
N
1
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 04/01/2030 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 04/01/2030 FHLMC G30
3128P7NM1
46932.10000000
PA
USD
50238.96000000
0.001114851412
Long
ABS-MBS
USGA
US
N
2
2030-04-01
Fixed
5.00000000
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
10804900.80000000
PA
USD
11007743.36000000
0.244272537344
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Fixed
3.50000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 8.50% 08/15/2024 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 8.50% 08/15/2024 GNMA SF
36204GNW8
43.71000000
PA
USD
45.23000000
0.000001003697
Long
ABS-MBS
USGA
US
N
2
2024-08-15
Fixed
8.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP 3.20% 02/05/2025
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.20% 02/05/2025
14040HBG9
11900000.00000000
PA
USD
12330982.78000000
0.273636507784
Long
DBT
CORP
US
N
2
2025-02-05
Fixed
3.20000000
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
5868312.00000000
PA
USD
6237802.05000000
0.138422897806
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Floating
5.27275000
N
N
N
N
N
N
NEWPAGE CORP ESCROW ACCOUNT 11.375% 12/31/14 *REF SM#459991*
NO9X1VSZ0FTLOJMCQD79
NEWPAGE CORP ESCROW ACCOUNT 11.375% 12/31/14 *REF SM#459991*
651715AK0
14000000.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 10/01/2049 FNL
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 4.5% 10/01/2049 FNL
01F0426B4
54700000.00000000
PA
USD
57534436.40000000
1.276745133356
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
4.50000000
N
N
N
N
N
N
Texas State University System
N/A
Texas State University System
88278PZK3
2315000.00000000
PA
USD
2356739.45000000
0.052298341856
Long
DBT
MUN
US
N
2
2033-03-15
Fixed
2.93800000
N
N
N
N
N
N
N/A
N/A
USD_IDR_20191213
000000000
1.00000000
NC
USD
-564590.46000000
-0.01252881173
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
230000000000.00000000
IDR
15691090.19000000
USD
2019-12-13
-564590.46000000
N
N
N
NZCG FUNDING LTD FRN 02/26/2031 2015-1A A2R 144A
549300VKPCTKDCMB5721
NZCG FUNDING LTD FRN 02/26/2031 2015-1A A2R 144A
62951CAP7
15500000.00000000
PA
USD
15195580.00000000
0.337204707779
Long
ABS-CBDO
CORP
KY
N
2
2031-02-26
Floating
3.68225000
N
N
N
N
N
N
N/A
N/A
ITRX.EUR.XOVER.31 5.00% 06/20/2024 CDX
000000000
10650000.00000000
NC
1181834.19000000
0.026226050778
N/A
DCR
N/A
N
2
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CITIBANK NA
E57ODZWZ7FF32TWEFA76
ITRX.EUR.XOVER.31 5.00% 06/20/2024 CDX
ITXEX531
Y
2024-06-20
-2176614.90000000
USD
2503375.34000000
USD
10650000.00000000
EUR
94820.76000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 01/01/2035 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.50% 01/01/2035 FHLMC G30
31283H6F7
19532.34000000
PA
USD
22043.68000000
0.000489170711
Long
ABS-MBS
USGA
US
N
2
2035-01-01
Fixed
5.50000000
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
4590000.00000000
PA
USD
4513255.20000000
0.100153524962
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
3.20088000
N
N
N
N
N
N
Madison Park Funding XXIII Ltd FRN 07/27/2030 144A 17-23A C
N/A
Madison Park Funding XXIII Ltd FRN 07/27/2030 144A 17-23A C
55820TAE8
5000000.00000000
PA
USD
4917650.00000000
0.109127439111
Long
ABS-CBDO
CORP
KY
N
2
2030-07-27
Floating
4.28563000
N
N
N
N
N
N
FANNIE MAE 5.50% 10/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 10/01/2035 FNMA 30
31407PYK8
42203.65000000
PA
USD
46364.29000000
0.001028868714
Long
ABS-MBS
USGA
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
FMG RESOURCES AUGUST 2006 PTY LTD 5.125% 03/15/2023 144A
549300EFD6S2NFE9D745
FMG RESOURCES AUGUST 2006 PTY LTD 5.125% 03/15/2023 144A
30251GAY3
3600000.00000000
PA
USD
3757500.00000000
0.083382581611
Long
DBT
CORP
AU
N
2
2023-03-15
Fixed
5.12500000
N
N
N
N
N
N
FLAGSHIP CLO VIII LTD FRN 01/16/2026 2014-8A DR 144A
N/A
FLAGSHIP CLO VIII LTD FRN 01/16/2026 2014-8A DR 144A
338422AW8
3000000.00000000
PA
USD
2879580.00000000
0.063900682463
Long
ABS-CBDO
CORP
KY
N
2
2026-01-16
Floating
5.05088000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2030 C05 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2030 C05 1M2
30711XNX8
12555148.00000000
PA
USD
12713426.98000000
0.282123316758
Long
ABS-CBDO
CORP
US
N
2
2030-01-25
Floating
4.02275000
N
N
N
N
N
N
ARES LII CLO Ltd FRN 04/22/2031 144A 52A B
N/A
ARES LII CLO Ltd FRN 04/22/2031 144A 52A B
04009AAE0
3500000.00000000
PA
USD
3503500.00000000
0.077746074431
Long
ABS-CBDO
CORP
US
N
2
2031-04-22
Floating
3.80325000
N
N
N
N
N
N
Edwards Lifesciences Corp 4.3% 06/15/2028
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp 4.3% 06/15/2028
28176EAD0
2700000.00000000
PA
USD
3049672.17000000
0.067675193240
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.30000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 7.50% 04/20/2032 GNMA II
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 7.50% 04/20/2032 GNMA II
36202DST9
15793.52000000
PA
USD
17819.13000000
0.000395423835
Long
ABS-MBS
USGA
US
N
2
2032-04-20
Fixed
7.50000000
N
N
N
N
N
N
Voya CLO 2018-2 Ltd FRN 07/15/2031 2018-2A D 144A
N/A
Voya CLO 2018-2 Ltd FRN 07/15/2031 2018-2A D 144A
92917JAN7
2900000.00000000
PA
USD
2660141.00000000
0.059031117506
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
4.75088000
N
N
N
N
N
N
FANNIE MAE 5.50% 10/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 10/01/2033 FNMA 30
31403MQ77
33255.45000000
PA
USD
37469.64000000
0.000831487775
Long
ABS-MBS
USGA
US
N
2
2033-10-01
Fixed
5.50000000
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
17500000.00000000
PA
USD
17055150.00000000
0.378470375720
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
3.61588000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20191126
000000000
1.00000000
NC
USD
128911.51000000
0.002860671857
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
12600000.00000000
AUD
8822205.00000000
USD
2019-11-26
128911.51000000
N
N
N
GOVT NATL MORTG ASSN 6.00% 08/15/2036 GNMA SF
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 6.00% 08/15/2036 GNMA SF
36290TUG2
20998.35000000
PA
USD
24105.82000000
0.000534931604
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.00000000
N
N
N
N
N
N
BlueMountain Fuji US Clo III Ltd FRN 01/15/2030 144A 2017-3A A2
N/A
BlueMountain Fuji US Clo III Ltd FRN 01/15/2030 144A 2017-3A A2
09628FAC3
4600000.00000000
PA
USD
4496500.00000000
0.099781710769
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
3.15088000
N
N
N
N
N
N
VOYA CLO LTD FRN 07/23/2027 2015-2A BR 144A
5493008LKHQG3J8X7O71
VOYA CLO LTD FRN 07/23/2027 2015-2A BR 144A
92914XAN9
9290000.00000000
PA
USD
9223948.10000000
0.204688384624
Long
ABS-CBDO
CORP
KY
N
2
2027-07-23
Floating
3.43400000
N
N
N
N
N
N
FANNIE MAE 5.50% 11/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2035 FNMA 30
31407YDC0
32979.95000000
PA
USD
36286.75000000
0.000805238294
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 5.50% 06/20/2034 GNMA II
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 5.50% 06/20/2034 GNMA II
36202D6E6
95757.52000000
PA
USD
107931.66000000
0.002395108569
Long
ABS-MBS
USGA
US
N
2
2034-06-20
Fixed
5.50000000
N
N
N
N
N
N
TURTLE BAY RESORT COM USD NPV
N/A
TURTLE BAY RESORT COM USD NPV
000000000
5579939.46000000
NS
USD
122758.67000000
0.002724134349
Long
EC
CORP
US
N
3
N
N
N
ON SEMICONDUCTOR CORP 6.5% 09/18/2026 2019 Replacement Term B-4 Loans
ZV20P4CNJVT8V1ZGJ064
ON SEMICONDUCTOR CORP 6.5% 09/18/2026 2019 Replacement Term B-4 Loans
68218EAH7
2000000.01000000
PA
USD
2011522.01000000
0.044637630914
Long
LON
CORP
US
N
2
2026-09-18
Floating
3.78588000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
5230000.00000000
NC
USD
-3106538.55000000
-0.06893711355
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
3002020.00000000
USD
5230000.00000000
USD
-177696.26000000
N
N
N
REPUBLIC OF COLOMBIA 5.00% 06/15/2045
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.00% 06/15/2045
195325CU7
20700000.00000000
PA
USD
24162282.00000000
0.536184551106
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
BNP PARIBAS BESPOKE BORDEAUX 6/20/20 7-10% TRANC 2.10% 06/20/2020 CDX
000000000
6850000.00000000
NC
USD
81517.38000000
0.001808949990
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
6850000.00000000
USD
81517.38000000
N
N
N
RWJ BARNABAS HEALTH INC
549300HV60S88R85TC91
RWJ BARNABAS HEALTH INC
78349AAC7
2650000.00000000
PA
USD
2707552.83000000
0.060083232152
Long
DBT
MUN
US
N
2
2049-07-01
Fixed
3.47700000
N
N
N
N
N
N
ENDO DAC / ENDO FINANCE LLC / ENDO FINCO INC 6.00% 07/15/2023 144A
N/A
ENDO DAC / ENDO FINANCE LLC / ENDO FINCO INC 6.00% 07/15/2023 144A
29273EAC2
1637000.00000000
PA
USD
1090651.25000000
0.024202612604
Long
DBT
CORP
IE
N
2
2023-07-15
Fixed
6.00000000
N
N
N
N
N
N
FANNIE MAE 5.50% 04/01/2021 FNMA 15
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 04/01/2021 FNMA 15
31407TW30
564.88000000
PA
USD
566.52000000
0.000012571630
Long
ABS-MBS
USGA
US
N
2
2021-04-01
Fixed
5.50000000
N
N
N
N
N
N
BlueMountain CLO 2018-1 Ltd FRN 07/30/2030 144A 2018-1A D
N/A
BlueMountain CLO 2018-1 Ltd FRN 07/30/2030 144A 2018-1A D
09629TAL2
5000000.00000000
PA
USD
4589250.00000000
0.101839923528
Long
ABS-CBDO
CORP
KY
N
2
2030-07-30
Floating
4.98550000
N
N
N
N
N
N
GOVT NATL MORTG ASSN 6.00% 11/20/2034 GNMA II
549300M8ZYFG0OCMTT87
GOVT NATL MORTG ASSN 6.00% 11/20/2034 GNMA II
36202EBF5
92635.16000000
PA
USD
107425.03000000
0.002383865956
Long
ABS-MBS
USGA
US
N
2
2034-11-20
Fixed
6.00000000
N
N
N
N
N
N
GOLDEN NUGGET INC 6.75% 10/15/2024 144A
N/A
GOLDEN NUGGET INC 6.75% 10/15/2024 144A
38113YAE9
13200000.00000000
PA
USD
13630320.00000000
0.302470065146
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
6.75000000
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
30489149.58600000
PA
USD
32039400.89000000
0.710985484894
Long
ABS-CBDO
CORP
US
N
2
2024-07-25
Floating
4.82275000
N
N
N
N
N
N
ARES LII CLO Ltd FRN 04/22/2031 144A 52A C
N/A
ARES LII CLO Ltd FRN 04/22/2031 144A 52A C
04009AAG5
1000000.00000000
PA
USD
995020.00000000
0.022080462103
Long
ABS-CBDO
CORP
US
N
2
2031-04-22
Floating
4.63325000
N
N
N
N
N
N
Digicel Group Two Ltd 7.125% CASH+2.00% PIK HYBD 04/01/24 TOGG PIK 144A
N/A
Digicel Group Two Ltd 7.125% CASH+2.00% PIK HYBD 04/01/24 TOGG PIK 144A
25382FAA9
3042961.00000000
PA
USD
562947.79000000
0.012492359292
Long
DBT
CORP
BM
N
2
2024-04-01
Fixed
7.12500000
N
N
Y
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 11/01/2027 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 6.50% 11/01/2027 FHLMC G30
3128FUTQ6
11766.16000000
PA
USD
13118.33000000
0.000291108508
Long
ABS-MBS
USGA
US
N
2
2027-11-01
Fixed
6.50000000
N
N
N
N
N
N
Dryden 55 CLO Ltd FRN 4/15/2031 144A 18-55A A1
N/A
Dryden 55 CLO Ltd FRN 4/15/2031 144A 18-55A A1
26245MAC5
11500000.00000000
PA
USD
11393970.00000000
0.252843282342
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
3.02088000
N
N
N
N
N
N
FANNIE MAE 6.00% 12/01/2034 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 12/01/2034 FNMA 30
31406DEJ1
118618.18000000
PA
USD
135997.80000000
0.003017923528
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Fixed
6.00000000
N
N
N
N
N
N
2019-11-30
Robert Kubilis
Robert Kubilis
Robert Kubilis
Chief Financial Officer, Chief Accounting Officer and Treasurer