0001752724-20-212880.txt : 20201022
0001752724-20-212880.hdr.sgml : 20201022
20201022152503
ACCESSION NUMBER: 0001752724-20-212880
CONFORMED SUBMISSION TYPE: NPORT-P/A
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200430
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: 201254780
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
0000872625-20-000040
0000872625
XXXXXXXX
S000006879
C000018624
C000018620
C000128861
C000018623
C000018622
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
2020-04-30
N
4365008993.75
453718680.02
3911290313.73
0.00000000
18478737.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
310237432.85000000
0.00000000
0.00000000
0.0000000
BRL
CNY
SEK
ZAR
JPY
GBP
EUR
TRY
DOP
UYU
COP
AUD
NOK
EGP
CAD
SGD
PHP
MXN
IDR
USD
PLN
NZD
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
-1450065.83000000
-0.03707384810
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE PALMA 06/21/20 5-7% TRANCHE 2.30% 06/20/2021 CDX
Y
2021-06-20
0.00000000
USD
0.00000000
USD
6700000.00000000
USD
-1450065.83000000
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
24640000.00000000
NC
USD
-18202106.52000000
-0.46537344610
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
14253555.55000000
USD
24640000.00000000
USD
-7360540.33000000
N
N
N
City of Austin TX Electric Utility Revenue
N/A
City of Austin TX Electric Utility Revenue
052414JQ3
5955000.00000000
PA
USD
7590957.60000000
0.194078091655
Long
DBT
MUN
US
N
2
2032-11-15
Fixed
6.26200000
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
124118.89000000
PA
USD
136584.48000000
0.003492056816
Long
ABS-MBS
USGA
US
N
2
2036-03-01
Fixed
5.50000000
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
6142.50000000
0.000157045361
Long
CORP
US
N
1
N
N
N
UNITED STATES TREASURY NOTE/BOND 6.875% 08/15/2025
254900HROIFWPRGM1V77
UNITED STATES TREASURY NOTE/BOND 6.875% 08/15/2025
912810EV6
1000000.00000000
PA
USD
1341484.38000000
0.034297745050
Long
DBT
UST
US
N
2
2025-08-15
Fixed
6.87500000
N
N
N
N
N
N
PRIME SECURITY SERVICES BORROWER LLC 6.5% 09/12/2026 Term B-1 Facility
549300O6QPZVWXV2DC15
PRIME SECURITY SERVICES BORROWER LLC 6.5% 09/12/2026 Term B-1 Facility
03765VAJ9
932812.50000000
PA
USD
893361.99000000
0.022840595259
Long
LON
CORP
US
N
2
2026-09-12
Floating
4.26625000
N
N
N
N
N
N
N/A
N/A
US 2YR NOTE (CBT) Jun20 Jun 20 Future
000000000
767.00000000
NC
USD
2406603.24000000
0.061529649986
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
US 2YR NOTE (CBT) Jun20 Jun 20 Future
US 2YR NOTE (CBT) Jun20 Jun 20 Future
2020-06-30
166662967.07000000
USD
2405667.50000000
N
N
N
Cigna Corp 4.9% 12/15/2048
549300VIWYMSIGT1U456
Cigna Corp 4.9% 12/15/2048
125523AK6
1200000.00000000
PA
USD
1550596.85000000
0.039644125739
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.90000000
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
1810400.00000000
0.046286515568
Long
DBT
CORP
MX
N
2
2025-05-05
Fixed
6.12500000
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
3222345.49000000
PA
USD
2920729.76000000
0.074674328053
Long
LON
CORP
US
N
2
2041-09-16
Variable
9.46106
N
N
N
N
N
N
AbbVie Inc 2.95% 11/21/2026 144A
FR5LCKFTG8054YNNRU85
AbbVie Inc 2.95% 11/21/2026 144A
00287YBU2
5900000.00000000
PA
USD
6255565.51000000
0.159936108246
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2020-7 FRN 04/17/2045 144A
N/A
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2020-7 FRN 04/17/2045 144A
21056VAA8
4169348.73000000
PA
USD
3594205.42000000
0.091893087234
Long
LON
CORP
US
N
2
2045-04-17
Variable
14.158691
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
83535.49000000
PA
USD
93770.03000000
0.002397419329
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
5.00000000
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
55461.18000000
PA
USD
65582.47000000
0.001676747690
Long
ABS-MBS
USGA
US
N
2
2036-06-01
Fixed
6.50000000
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
10916539.08000000
0.279103267831
Long
ABS-CBDO
CORP
US
N
2
2031-10-15
Floating
3.41888000
N
N
N
N
N
N
AIR CANADA 3.40775% 10/06/2023 Term Loans
4B4HI3CGXMBDC0G6BM51
AIR CANADA 3.40775% 10/06/2023 Term Loans
C0102MAK1
404660.60000000
PA
USD
369252.80000000
0.009440690165
Long
LON
CORP
CA
N
2
2023-10-06
Floating
2.46825000
N
N
N
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
5473365.22000000
0.139937585322
Long
DBT
CORP
NO
N
2
2024-06-15
Fixed
4.75000000
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
-2313711.07000000
-0.05915467491
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE PHOENIX 12/20/21 5-7% TRANCHE 12/20/2021 CDX
Y
2021-12-20
0.00000000
USD
0.00000000
USD
8500000.00000000
USD
-2313711.07000000
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
28533901.67000000
0.729526559811
Long
LON
CORP
US
N
3
2021-05-15
Floating
9.50000000
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
2807805.22000000
PA
USD
2132023.78000000
0.054509474086
Long
LON
CORP
US
N
3
2025-06-15
Variable
10.739058
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
3993104.00000000
0.102091731365
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
4.08525000
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
30252KAF4
15104489.37000000
PA
USD
13194791.47000000
0.337351370305
Long
LON
CORP
US
N
3
2022-05-15
Floating
12.00000000
N
N
Y
N
N
N
FANNIE MAE 5.50% 09/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 09/01/2033 FNMA 30
31402W2B3
28847.14000000
PA
USD
31760.68000000
0.000812025634
Long
ABS-MBS
USGA
US
N
2
2033-09-01
Fixed
5.50000000
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
11581.95000000
0.000296115835
Long
EC
CORP
US
N
3
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
45731.42000000
PA
USD
51570.07000000
0.001318492514
Long
ABS-MBS
USGA
US
N
2
2034-09-15
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
31406B7C8
303885.21000000
PA
USD
339089.69000000
0.008669509619
Long
ABS-MBS
USGA
US
N
2
2034-10-01
Fixed
6.00000000
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
2834359.33000000
0.072466094374
Long
ABS-CBDO
CORP
US
N
2
2027-10-25
Floating
3.78725000
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
24480.79000000
PA
USD
25722.81000000
0.000657655349
Long
ABS-MBS
USGA
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
COLBUN SA 3.95% 10/11/2027 144A
5493003VQJLE2QB8IF36
COLBUN SA 3.95% 10/11/2027 144A
192714AC7
7500000.00000000
PA
USD
7943250.00000000
0.203085155098
Long
DBT
CORP
CL
N
2
2027-10-11
Fixed
3.95000000
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
16100000.00000000
PA
USD
14626206.00000000
0.373948360433
Long
DBT
NUSS
US
N
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
N/A
N/A
CDX.EM.32 1.00% 12/20/2024 CDX
000000000
29400000.00000000
NC
USD
-2709837.93000000
-0.06928245444
N/A
DCR
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDX.EM.32 1.00% 12/20/2024 CDX
CXPEM532
Y
2024-12-20
-917388.90000000
USD
1548444.44000000
USD
29400000.00000000
USD
-1585440.56000000
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
136706.28000000
PA
USD
152327.30000000
0.003894553658
Long
ABS-MBS
USGA
US
N
2
2034-08-01
Fixed
6.00000000
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
2254514.57000000
PA
USD
2187936.50000000
0.055938995178
Long
LON
CORP
LU
N
2
2026-05-01
Floating
3.07200000
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
3104.36000000
PA
USD
3144.25000000
0.000080389072
Long
ABS-MBS
USGA
US
N
2
2021-03-01
Fixed
5.50000000
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
80403.58000000
PA
USD
92054.13000000
0.002353548896
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Fixed
5.50000000
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
21540.76000000
PA
USD
23395.44000000
0.000598151457
Long
ABS-MBS
USGA
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury Note/Bond 1.50% 11/30/2021
254900HROIFWPRGM1V77
United States Treasury Note/Bond 1.50% 11/30/2021
912828YT1
30000000.00000000
PA
USD
30624023.40000000
0.782964723751
Long
DBT
UST
US
N
2
2021-11-30
Fixed
1.50000000
N
N
N
N
N
N
FANNIE MAE 6.00% 06/01/2034 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 06/01/2034 FNMA 30
31404XW91
54250.45000000
PA
USD
60366.03000000
0.001543378914
Long
ABS-MBS
USGA
US
N
2
2034-06-01
Fixed
6.00000000
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
1821.99500000
PA
USD
1865.16000000
0.000047686565
Long
ABS-MBS
USGA
US
N
2
2021-09-01
Fixed
7.00000000
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
85343.00000000
PA
USD
98707.65000000
0.002523659510
Long
ABS-MBS
USGA
US
N
2
2034-11-20
Fixed
6.00000000
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
28801.61000000
PA
USD
32943.96000000
0.000842278566
Long
ABS-MBS
USGA
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
5230000.00000000
NC
USD
-3863515.31000000
-0.09877853598
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
3002020.00000000
USD
5230000.00000000
USD
-1617148.81000000
N
N
N
Fox Corp 3.5% 04/08/2030
549300DDU6FDRBIELS05
Fox Corp 3.5% 04/08/2030
35137LAL9
4000000.00000000
PA
USD
4312035.48000000
0.110245855820
Long
DBT
CORP
US
N
2
2030-04-08
Fixed
3.50000000
N
N
N
N
N
N
Imperial Brands Finance PLC 3.875% 07/26/2029 144A
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC 3.875% 07/26/2029 144A
45262BAC7
2200000.00000000
PA
USD
2212876.91000000
0.056576646899
Long
DBT
CORP
GB
N
2
2029-07-26
Fixed
3.87500000
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
5391.43000000
PA
USD
5990.06000000
0.000153147926
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
KB HOME 7.00% 12/15/2021
549300LGUCWQURMWLG09
KB HOME 7.00% 12/15/2021
48666KAT6
8000000.00000000
PA
USD
8338000.00000000
0.213177732441
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
7.00000000
N
N
N
N
N
N
State of Texas
549300X9CH74QB747L76
State of Texas
882724QP5
5895000.00000000
PA
USD
6293266.20000000
0.160900002178
Long
DBT
MUN
US
N
2
2044-04-01
Fixed
3.21100000
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
7736320.00000000
0.197794573643
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
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
4704549.75000000
PA
USD
4270846.72000000
0.109192782366
Long
LON
CORP
US
N
2
2024-05-06
Floating
5.52355000
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
8403.58000000
PA
USD
8700.16000000
0.000222437080
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
7.00000000
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
-149537.15000000
-0.00382321786
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE BOGOTA 06/20/20 7-10% TRANCHE 1.35% 06/20/2020 CDX
Y
2020-06-20
0.00000000
USD
0.00000000
USD
7000000.00000000
USD
-149537.15000000
N
N
N
GINNIE MAE
N/A
GINNIE MAE
3617N3VR4
498980.83000000
PA
USD
498980.83000000
0.012757448053
Short
RA
CORP
US
N
2
Repurchase
Y
0.00027655
2020-05-01
498980.82809067
USD
508960.44881065
USD
ADAS
N
N
N
REPUBLIC OF GABON 6.625% 02/06/2031 144A
N/A
REPUBLIC OF GABON 6.625% 02/06/2031 144A
362420AD3
17150000.00000000
PA
USD
12232830.55000000
0.312756905491
Long
ABS-O
USGA
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
Bausch Health Cos Inc 5% 01/30/2028 144A
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc 5% 01/30/2028 144A
071734AH0
3000000.00000000
PA
USD
2886900.00000000
0.073809402228
Long
DBT
CORP
CA
N
2
2028-01-30
Fixed
5.00000000
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
34702.84000000
PA
USD
40036.44000000
0.001023612076
Long
ABS-MBS
USGA
US
N
2
2033-06-01
Fixed
6.00000000
N
N
N
N
N
N
Water Works Board of the City of Birmingham/The
N/A
Water Works Board of the City of Birmingham/The
091096NR4
11790000.00000000
PA
USD
12335759.10000000
0.315388480796
Long
DBT
MUN
US
N
2
2045-01-01
Fixed
3.57300000
N
N
N
N
N
N
Manitowoc Co Inc/The 9% 04/01/2026 144A
2RTSLGQ89VMY18RHX631
Manitowoc Co Inc/The 9% 04/01/2026 144A
563571AL2
7000000.00000000
PA
USD
6341650.00000000
0.162137031294
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.00000000
N
N
N
N
N
N
BATTALION OIL CORP WTS EXP 10/8/2022 CL A
3XHTN2NNIMMPORDAMJ28
BATTALION OIL CORP WTS EXP 10/8/2022 CL A
07134L123
10639.00000000
OU
Warrants
USD
31517.12000000
0.000805798533
Long
CORP
US
N
3
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
4108226.44000000
0.105035067982
Long
DBT
MUN
US
N
2
2028-10-01
Fixed
3.77700000
N
N
N
N
N
N
Diageo Capital PLC 2% 04/29/2030
213800L23DJLALFC4O95
Diageo Capital PLC 2% 04/29/2030
25243YBD0
7300000.00000000
PA
USD
7282400.80000000
0.186189216751
Long
DBT
CORP
GB
N
2
2030-04-29
Fixed
2.00000000
N
N
N
N
N
N
NAVISTAR INC 5.89% 11/06/2024 Tranche B Term Loan
4EW4JDYTYMZ6D6T42H76
NAVISTAR INC 5.89% 11/06/2024 Tranche B Term Loan
63937YAE1
1508571.43000000
PA
USD
1377828.07000000
0.035226944549
Long
LON
CORP
US
N
2
2024-11-06
Floating
4.22000000
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
30800000.00000000
PA
USD
13706585.20000000
0.350436405906
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
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
3978.70000000
PA
USD
4568.76000000
0.000116809534
Long
ABS-MBS
USGA
US
N
2
2028-07-20
Fixed
6.50000000
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2019-SLCT8 FRN 01/15/2045 2019-S8 PT 144A
N/A
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2019-SLCT8 FRN 01/15/2045 2019-S8 PT 144A
21057BAA1
5160365.56000000
PA
USD
4204372.75000000
0.107493241686
Long
LON
CORP
US
N
2
2045-01-15
Variable
11.621546
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
3128P7EL3
22182.06000000
PA
USD
24091.95000000
0.000615959135
Long
ABS-MBS
USGA
US
N
2
2027-05-01
Fixed
5.00000000
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
8855280.00000000
0.226403035563
Long
ABS-O
USGA
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
ZAR_USD_20200518
000000000
1.00000000
NC
USD
-2484521.04
-0.06352177518
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
13252493.13000000
USD
200000000.00000000
ZAR
2020-05-18
-2484521.04000000
N
N
N
KROGER CO 4.45% 02/01/2047
6CPEOKI6OYJ13Q6O7870
KROGER CO 4.45% 02/01/2047
501044DG3
1200000.00000000
PA
USD
1416163.64000000
0.036207070465
Long
DBT
CORP
US
N
2
2047-02-01
Fixed
4.45000000
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
10620600.00000000
0.271536990305
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6.00000000
N
N
N
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
1489800.00000000
0.038089732044
Long
DBT
CORP
CL
N
2
2023-04-03
Fixed
3.62500000
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
46171.73000000
0.001180473099
Long
EC
CORP
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
18937663.97900000
PA
USD
20046485.79000000
0.512528710017
Long
DBT
NUSS
US
N
2
2027-07-15
Fixed
0.37500000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200805
000000000
1.00000000
NC
USD
651735
0.016662915501
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
23300000.00000000
EUR
26234635.00000000
USD
2020-08-05
651735.00000000
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
1792284.16000000
PA
USD
1715739.29000000
0.043866324214
Long
LON
CORP
US
N
2
2024-04-17
Floating
3.25000000
N
N
N
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
13685760.00000000
0.349903967802
Long
DBT
CORP
KY
N
2
2026-06-02
Fixed
3.15000000
N
N
N
N
N
N
UNITED STATES TREASURY NOTE/BOND 6.25% 08/15/2023
254900HROIFWPRGM1V77
UNITED STATES TREASURY NOTE/BOND 6.25% 08/15/2023
912810EQ7
4000000.00000000
PA
USD
4788750.00000000
0.122434020895
Long
DBT
UST
US
N
2
2023-08-15
Fixed
6.25000000
N
N
N
N
N
N
FANNIE MAE 6.00% 03/01/2036 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 03/01/2036 FNMA 30
31408HB87
603396.57000000
PA
USD
693328.41000000
0.017726334646
Long
ABS-MBS
USGA
US
N
2
2036-03-01
Fixed
6.00000000
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
51496.26000000
PA
USD
57779.01000000
0.001477236547
Long
ABS-MBS
USGA
US
N
2
2036-08-01
Fixed
5.00000000
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
8346.64000000
PA
USD
9367.99000000
0.000239511497
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.00000000
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
25371.35000000
PA
USD
28993.52000000
0.000741277626
Long
ABS-MBS
USGA
US
N
2
2038-02-01
Fixed
5.00000000
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
5925596.25000000
PA
USD
4688246.42000000
0.119864444823
Long
LON
CORP
US
N
2
2044-09-15
Variable
22.58
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
15168.45000000
PA
USD
17649.96000000
0.000451256710
Long
ABS-MBS
USGA
US
N
2
2032-04-20
Fixed
7.50000000
N
N
N
N
N
N
Schlumberger Holdings Corp 3.9% 05/17/2028 144A
529900IKZG65COT1D505
Schlumberger Holdings Corp 3.9% 05/17/2028 144A
806851AK7
3800000.00000000
PA
USD
3656308.62000000
0.093480880392
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
N/A
N/A
MCDX.NA.31 1.00% 12/20/2023 MCDX
000000000
23060000.00000000
NC
USD
-28446.61000000
-0.00072729477
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
-198433.48000000
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
1237326.45000000
0.031634738174
Long
DBT
CORP
IE
N
2
2023-07-15
Fixed
6.00000000
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
1185427.38000000
PA
USD
1186440.92000000
0.030333747301
Long
ABS-CBDO
CORP
US
N
2
2034-03-25
Variable
5.21000000
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
1232923.00000000
0.031522155122
Long
DBT
MUN
US
N
2
2028-07-01
Fixed
2.58500000
N
N
N
N
N
N
Calpine Corp 5.125% 03/15/2028 144A
43R4VPJBXTU2O15HEF41
Calpine Corp 5.125% 03/15/2028 144A
131347CN4
4000000.00000000
PA
USD
3925000.00000000
0.100350515690
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.12500000
N
N
N
N
N
N
Texas State University System
N/A
Texas State University System
88278PZM9
1965000.00000000
PA
USD
2005321.80000000
0.051270083250
Long
DBT
MUN
US
N
2
2040-03-15
Fixed
3.28900000
N
N
N
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
5352693.80000000
0.136852377876
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
3.24800000
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
2878378.38000000
PA
USD
2820810.81000000
0.072119699222
Long
LON
CORP
US
N
2
2023-03-31
Floating
2.49000000
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
5849910.00000000
0.149564709616
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.00000000
N
N
N
N
N
N
RWJ BARNABAS HEALTH INC
549300HV60S88R85TC91
RWJ BARNABAS HEALTH INC
78349AAC7
2650000.00000000
PA
USD
2695193.21000000
0.068908032741
Long
DBT
MUN
US
N
2
2049-07-01
Fixed
3.47700000
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
31403J7H3
9654.81000000
PA
USD
10663.33000000
0.000272629468
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
BRAVO Residential Funding Trust 2019-1 3.50 03/25/2058 2019-1 A1C 144A
N/A
BRAVO Residential Funding Trust 2019-1 3.50 03/25/2058 2019-1 A1C 144A
10568GAD9
9158796.00000000
PA
USD
9280155.54000000
0.237265832899
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Fixed
3.50000000
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
3404097.45000000
0.087032594794
Long
DBT
CORP
AU
N
3
2023-10-26
Fixed
0.00000000
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
4257755.65000000
0.108858082844
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
2.81888000
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
17516.19000000
PA
USD
20181.65000000
0.000515984454
Long
ABS-MBS
USGA
US
N
2
2037-11-01
Fixed
6.00000000
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
11882.14000000
PA
USD
12959.76000000
0.000331342318
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
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
2621362.13000000
0.067020392753
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
4.62500000
N
N
N
N
N
N
San Bernardino Community College District
549300Y4FPTEP3EQZ007
San Bernardino Community College District
796720MT4
2160000.00000000
PA
USD
2234822.40000000
0.057137727469
Long
DBT
MUN
US
N
2
2039-08-01
Fixed
3.27100000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20200727
000000000
1.00000000
NC
USD
-71606.85
-0.00183077307
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
3000000.00000000
AUD
1883700.00000000
USD
2020-07-27
-71606.85000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 3% 04/01/2050 FNL
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 3% 04/01/2050 FNL
01F030652
274394000.00000000
PA
USD
289678604.65000000
7.406215888223
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
3.00000000
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
-4666892.33000000
-0.11931848458
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 3.98% 12/20/2021 CDX
Y
2021-12-20
0.00000000
USD
0.00000000
USD
9000000.00000000
USD
-4666892.33000000
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
2310529.32000000
0.059073327078
Long
ABS-CBDO
CORP
KY
N
2
2030-07-27
Floating
2.69138000
N
N
N
N
N
N
N/A
N/A
CHESAPEAKE ENERGY CORP 5.00% 06/20/2020 CDS
000000000
-910000.00000000
NC
USD
601914.65000000
0.015389158096
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2020-06-20
-163294.44000000
USD
0.00000000
USD
-910000.00000000
USD
519504.36000000
N
N
N
N/A
N/A
CHESAPEAKE ENERGY CORP 5.00% 06/20/2020 CDS
000000000
-3650000.00000000
NC
USD
2414273.03000000
0.061725743587
N/A
DCR
CORP
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2020-06-20
-727465.28000000
USD
0.00000000
USD
-3650000.00000000
USD
2045485.29000000
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
8716.99000000
PA
USD
9502.93000000
0.000242961509
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
5.50000000
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
7275450.00000000
0.186011505575
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
FANNIE MAE 4.50% 03/01/2028 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 4.50% 03/01/2028 FNMA 30
31371NTK1
58151.84000000
PA
USD
62727.71000000
0.001603760011
Long
ABS-MBS
USGA
US
N
2
2028-03-01
Fixed
4.50000000
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
540390.45000000
0.013816168237
Long
EC
CORP
US
N
1
N
N
N
FANNIE MAE 4.50% 02/01/2041 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 4.50% 02/01/2041 FNMA 30
31417YWA1
304630.98000000
PA
USD
338910.50000000
0.008664928267
Long
ABS-MBS
USGA
US
N
2
2041-02-01
Fixed
4.50000000
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
1722639.25000000
PA
USD
1272713.96000000
0.032539491009
Long
LON
CORP
US
N
2
2043-12-15
Variable
28.366355
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
5385250.00000000
0.137684742579
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
7.50000000
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
3345000.00000000
0.085521649678
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.87500000
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
3149057.50000000
0.080511985749
Long
DBT
CORP
CA
N
2
2025-04-15
Fixed
6.12500000
N
N
N
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
32976.78000000
PA
USD
37758.67000000
0.000965376307
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA IIS RCV INFL CPURNSA 01/14/29 USD
000000000
44600000.00000000
NC
USD
-2982377.47000000
-0.07625047569
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA IIS RCV INFL CPURNSA 01/14/29 USD
CPURNSA
Y
2029-01-14
0.00000000
USD
0.00000000
USD
44600000.00000000
USD
-2982570.73000000
N
N
N
ARAMARK CORPORATION 6.5% 1/15/2027 U.S. Term B-4 Loan
N/A
ARAMARK CORPORATION 6.5% 1/15/2027 U.S. Term B-4 Loan
03852JAR2
3900000.00000000
PA
USD
3689766.60000000
0.094336300914
Long
LON
CORP
US
N
2
2027-01-15
Floating
2.73938000
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
4266360.00000000
0.109078070349
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.25000000
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
3656340.00000000
0.093481682685
Long
DBT
CORP
AU
N
2
2023-03-15
Fixed
5.12500000
N
N
N
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
57518.20000000
PA
USD
62484.10000000
0.001597531632
Long
ABS-MBS
USGA
US
N
2
2029-04-01
Fixed
5.00000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2029 2016-C07 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2029 2016-C07 2M2
30711XEC4
3393709.41000000
PA
USD
3361827.21000000
0.085951871130
Long
ABS-CBDO
CORP
US
N
2
2029-05-25
Floating
4.83725000
N
N
N
N
N
N
BATTALION OIL CORP WTS EXP 10/08/2022 CL C
3XHTN2NNIMMPORDAMJ28
BATTALION OIL CORP WTS EXP 10/08/2022 CL C
07134L131
17100.00000000
OU
Warrants
USD
49342.89000000
0.001261550180
Long
CORP
US
N
3
N
N
N
Proper Pass-Thru Trust III 9.44422% 04/15/2026 144A PT2 A
N/A
Proper Pass-Thru Trust III 9.44422% 04/15/2026 144A PT2 A
74360NAB4
4670270.39000000
PA
USD
4547770.60000000
0.116272898077
Long
LON
CORP
US
N
2
2026-04-15
Fixed
9.44422
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 10/25/2028 2016-DNA2 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 10/25/2028 2016-DNA2 M3
3137G0JU4
14997874.40000000
PA
USD
14936515.10000000
0.381882036410
Long
ABS-CBDO
CORP
US
N
2
2028-10-25
Floating
5.13725000
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
-357073.36000000
-0.00912929829
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
68638.00000000
N
N
N
Proper Pass-Thru Trust III 8.79567% 03/15/2026 144A PT1 A
N/A
Proper Pass-Thru Trust III 8.79567% 03/15/2026 144A PT1 A
74360NAA6
4292165.35000000
PA
USD
4129222.74000000
0.105571880601
Long
LON
CORP
US
N
2
2026-03-15
Floating
8.79567
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
9362080.00000000
0.239360396417
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.25000000
N
N
N
N
N
N
N/A
N/A
NOK_USD_20200915
000000000
1.00000000
NC
USD
-565386.45
-0.01445524122
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
41327551.04000000
USD
417400000.00000000
NOK
2020-09-15
-565386.45000000
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
0.019175257775
Long
CORP
BR
N
3
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
6400000.00000000
PA
USD
6638685.63000000
0.169731344326
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.87500000
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
23898470.58000000
0.611012445077
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Floating
3.48725000
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
549875.00000000
0.014058659825
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
6.62500000
N
N
N
N
N
N
Aventiv Technologies LLC 6.37688% 11/01/2024 INITIAL TERM LOAN
N/A
Aventiv Technologies LLC 6.37688% 11/01/2024 INITIAL TERM LOAN
78410QAB8
2474683.56000000
PA
USD
2078734.19000000
0.053147018586
Long
LON
CORP
US
N
2
2024-11-01
Floating
5.50000000
N
N
N
N
N
N
Madison Park Euro Funding VIII DAC FRN, 04/15/2032 8A BRN 144A
635400Y8CTGVSWYFMB36
Madison Park Euro Funding VIII DAC FRN, 04/15/2032 8A BRN 144A
BCC2M53C1
4100000.00000000
PA
4190996.55000000
0.107151252242
Long
ABS-CBDO
CORP
IE
N
2
2032-04-15
Floating
1.70000000
N
N
N
N
N
N
SOUTH AFRICA REPUBLIC OF 7.00% 02/28/2031
378900AAFB4F17004C49
SOUTH AFRICA REPUBLIC OF 7.00% 02/28/2031
S69124NF8
365000000.00000000
PA
15253746.03000000
0.389992682886
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
7.00000000
N
N
N
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
3652382.94000000
0.093380512491
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
3.31888000
N
N
N
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
13682200.00000000
0.349812949245
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
5.87500000
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
137495.25000000
PA
USD
153510.91000000
0.003924815027
Long
ABS-MBS
USGA
US
N
2
2036-08-01
Fixed
6.00000000
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
11134728.36000000
PA
USD
9648379.08000000
0.246680207964
Long
ABS-CBDO
CORP
US
N
2
2023-11-25
Floating
4.73725000
N
N
N
N
N
N
U S TREASURY NOTE
N/A
U S TREASURY NOTE
912828Y87
112079009.80000000
PA
USD
112079009.80000000
2.865525205494
Short
RA
CORP
US
N
2
Repurchase
Y
0.00027655
2020-05-01
112079009.79075400
USD
114349012.30356400
USD
UST
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
12151801.62000000
0.310685237997
Long
DBT
CORP
US
N
2
2025-02-05
Fixed
3.20000000
N
N
N
N
N
N
INFOR US INC LAWSON 6.5% 02/01/2022 Tranche B-6 Term Loan
N/A
INFOR US INC LAWSON 6.5% 02/01/2022 Tranche B-6 Term Loan
45672LAE5
994871.80000000
PA
USD
980777.45000000
0.025075547231
Long
LON
CORP
US
N
2
2022-02-01
Floating
3.75000000
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
992462.32000000
PA
USD
870127.44000000
0.022246557279
Long
LON
CORP
US
N
2
2025-11-29
Floating
5.70013000
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
17651.99000000
PA
USD
19701.82000000
0.000503716636
Long
ABS-MBS
USGA
US
N
2
2036-05-01
Fixed
6.50000000
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
111819.09000000
PA
USD
128802.14000000
0.003293085648
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Fixed
6.00000000
N
N
N
N
N
N
Braskem Netherlands Finance BV 4.5% 01/31/2030 144A
N/A
Braskem Netherlands Finance BV 4.5% 01/31/2030 144A
10554TAD7
10000000.00000000
PA
USD
8125000.00000000
0.207731959232
Long
DBT
CORP
NL
N
2
2030-01-31
Fixed
4.50000000
N
N
N
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
1445886.97800000
PA
USD
1379988.80000000
0.035282187956
Long
ABS-CBDO
CORP
US
N
2
2034-11-25
Floating
1.38725000
N
N
N
N
N
N
Lloyds Banking Group PLC 3.87% 07/09/2025
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC 3.87% 07/09/2025
53944YAL7
1600000.00000000
PA
USD
1685197.52000000
0.043085462464
Long
DBT
CORP
GB
N
2
2025-07-09
Variable
3.87000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200727
000000000
1.00000000
NC
USD
190215.36
0.004863238081
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
57003901.00000000
USD
6130000000.00000000
JPY
2020-07-27
190215.36000000
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
2414577.01000000
PA
USD
2275738.83000000
0.058183838259
Long
LON
CORP
CA
N
2
2023-03-22
Floating
2.73938000
N
N
N
N
N
N
University of Pittsburgh-of the Commonwealth System of Higher Education
5493002C83QSGL8ETT42
University of Pittsburgh-of the Commonwealth System of Higher Education
91335VKU9
5500000.00000000
PA
USD
5571280.00000000
0.142440973518
Long
DBT
MUN
US
N
2
2041-09-15
Fixed
3.00500000
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
2985000.00000000
PA
USD
2449565.63000000
0.062628069857
Long
LON
CORP
US
N
2
2026-08-24
Floating
3.82000000
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
15.60100000
PA
USD
15.67000000
0.000000400635
Long
ABS-MBS
USGA
US
N
2
2026-01-01
Fixed
8.00000000
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
2009780.00000000
0.051384066095
Long
DBT
CORP
CA
N
2
2024-05-15
Fixed
4.25000000
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
3765.99000000
PA
USD
3789.92000000
0.000096896923
Long
ABS-MBS
USGA
US
N
2
2021-03-01
Fixed
5.50000000
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
12543385.76000000
0.320696873764
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
2.96888000
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
13398287.50000000
0.342554155414
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 02/25/2024 2014-DN1 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 02/25/2024 2014-DN1 M2
3137G0AL3
4184927.37000000
PA
USD
4013784.77000000
0.102620476826
Long
ABS-CBDO
CORP
US
N
2
2024-02-25
Floating
2.68725000
N
N
N
N
N
N
Appvion Operations Inc COM USD NPV
549300KG8GQ03SX7CT73
Appvion Operations Inc COM USD NPV
000000000
331326.00000000
NS
USD
6144820.04000000
0.157104677666
Long
EC
CORP
US
Y
3
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
1856570.08000000
0.047466946482
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.37500000
N
N
N
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
4099.25000000
PA
USD
4494.02000000
0.000114898655
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
Jpmorgan Chase & Co 2.522% 04/22/2031 *FIXED TO FLOAT*
8I5DZWZKVSZI1NUHU748
Jpmorgan Chase & Co 2.522% 04/22/2031 *FIXED TO FLOAT*
46647PBL9
9400000.00000000
PA
USD
9616216.73000000
0.245857912828
Long
DBT
CORP
US
N
2
2031-04-22
Variable
2.52200000
N
N
N
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
327.66000000
PA
USD
329.08000000
0.000008413591
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
7.50000000
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
3651375.00000000
0.093354742479
Long
DBT
CORP
US
N
2
2023-03-31
Fixed
6.25000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-SLCT7 12/15/2044 2019-S7 PT 144A
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-SLCT7 12/15/2044 2019-S7 PT 144A
21050KAA8
4144155.56000000
PA
USD
3351315.61000000
0.085683120944
Long
LON
CORP
US
N
2
2044-12-15
Variable
11.520908
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
39342.70000000
PA
USD
45001.26000000
0.001150547680
Long
ABS-MBS
USGA
US
N
2
2034-05-01
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
207744.77000000
PA
USD
240072.42000000
0.006137934051
Long
ABS-MBS
USGA
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
Centene Corp 4.625% 12/15/2029 144A
549300Z7JJ4TQSQGT333
Centene Corp 4.625% 12/15/2029 144A
15135BAS0
2300000.00000000
PA
USD
2529195.00000000
0.064663954785
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
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
6546096.17000000
0.167364108642
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
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
4372.15300000
PA
USD
5274.25000000
0.000134846804
Long
ABS-MBS
USGA
US
N
2
2031-01-01
Fixed
7.50000000
N
N
N
N
N
N
Utah Transit Authority
N/A
Utah Transit Authority
917567EX3
3930000.00000000
PA
USD
4145364.00000000
0.105984564363
Long
DBT
MUN
US
N
2
2042-12-15
Fixed
3.44300000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA 6% 02/15/2028 144A
5299000JVHXKJPOE6H40
ALTICE FRANCE HOLDING SA 6% 02/15/2028 144A
02156TAA2
6100000.00000000
PA
USD
5612000.00000000
0.143482062180
Long
DBT
CORP
LU
N
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
B&G Foods Inc 5.25% 09/15/2027
549300TRW1LZMDJZAQ78
B&G Foods Inc 5.25% 09/15/2027
05508WAB1
9000000.00000000
PA
USD
9128070.00000000
0.233377460321
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
5.25000000
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
7044786.89000000
0.180114139450
Long
ABS-CBDO
CORP
US
N
2
2029-07-25
Floating
3.73725000
N
N
N
N
N
N
HUGHES SATELLITE SYSTEMS CORPORATION 6.625% 08/01/2026
N/A
HUGHES SATELLITE SYSTEMS CORPORATION 6.625% 08/01/2026
444454AF9
5200000.00000000
PA
USD
5600920.00000000
0.143198779705
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
6.62500000
N
N
N
N
N
N
NORTONLIFELOCK INC 5.00% 04/15/2025 144A
YF6ZV0M6AU4FY94MK914
NORTONLIFELOCK INC 5.00% 04/15/2025 144A
871503AU2
9500000.00000000
PA
USD
9606875.00000000
0.245619072720
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.00000000
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
2436.31000000
PA
USD
2760.54000000
0.000070578754
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
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
13083790.00000000
0.334513394571
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
6.00000000
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
Colbun Sa 3.15% 03/06/2030 144A
5493003VQJLE2QB8IF36
Colbun Sa 3.15% 03/06/2030 144A
192714AD5
2900000.00000000
PA
USD
2780375.00000000
0.071085876449
Long
DBT
CORP
CL
N
2
2030-03-06
Fixed
3.15000000
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
310.71000000
PA
USD
312.57000000
0.000007991480
Long
ABS-MBS
USGA
US
N
2
2021-03-01
Fixed
5.50000000
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
-1948968.46000000
-0.04982929682
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE JUNE-20 0-3% EQUITY TRANCHE CDX 06/20/2020 CDX
Y
2020-06-20
0.00000000
USD
1397000.00000000
USD
4394021.50000000
USD
-1851167.51000000
N
N
N
N/A
N/A
NOK_USD_20200511
000000000
1.00000000
NC
USD
-1980417
-0.05063334197
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
20037649.12000000
USD
185000000.00000000
NOK
2020-05-11
-1980417.00000000
N
N
N
Blackboard Inc 10.375% 11/15/2024 144A
549300ONVS6PJZ5LRX23
Blackboard Inc 10.375% 11/15/2024 144A
091935AE6
3200000.00000000
PA
USD
3028000.00000000
0.077416907391
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
10.37500000
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
10131263.30800000
PA
USD
12664.08000000
0.000323782664
Long
DBT
CORP
ZA
N
3
2022-12-31
Fixed
0.00000000
N
N
Y
N
N
N
Dominion Energy Inc 3.375% 04/01/2030
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc 3.375% 04/01/2030
25746UDG1
8500000.00000000
PA
USD
9247111.50000000
0.236420995586
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.37500000
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
992443.33000000
PA
USD
954074.48000000
0.024392832121
Long
LON
CORP
US
N
2
2025-10-31
Floating
2.73938000
N
N
N
N
N
N
INDONESIA GOVERNMENT 12.80% 06/15/2021
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 12.80% 06/15/2021
Y39814DL2
129210000000.00000000
PA
9358279.75000000
0.239263235386
Long
DBT
UST
ID
N
2
2021-06-15
Fixed
12.80000000
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
95.22000000
PA
USD
95.67000000
0.000002445995
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200813
000000000
1.00000000
NC
USD
-2383021.61
-0.06092673820
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
84329827.59000000
USD
8780000000.00000000
JPY
2020-08-13
-2383021.61000000
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
1099875.00000000
0.028120515527
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
4.65000000
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
44134931.99000000
1.128398263741
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Floating
1.44400000
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
24185087.13300000
PA
USD
18262268.13000000
0.466911598607
Long
ABS-CBDO
CORP
US
N
2
2025-07-25
Floating
5.48725000
N
N
N
N
N
N
Telefonica Emisiones SA 4.895% 03/06/2048
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA 4.895% 03/06/2048
87938WAW3
1000000.00000000
PA
USD
1159237.66000000
0.029638241271
Long
DBT
CORP
ES
N
2
2048-03-06
Fixed
4.89500000
N
N
N
N
N
N
NATIONAL MENTOR HOLDINGS INC 6.5% 03/08/2026 Initial Term Loans
5493004QULJVJP3CNZ62
NATIONAL MENTOR HOLDINGS INC 6.5% 03/08/2026 Initial Term Loans
63689EAJ4
123361.48000000
PA
USD
117810.21000000
0.003012054860
Long
LON
CORP
US
N
2
2026-03-08
Floating
5.12274000
N
N
N
N
N
N
Gilroy Unified School District
N/A
Gilroy Unified School District
376087GM8
6485000.00000000
PA
USD
6427932.00000000
0.164343004083
Long
DBT
MUN
US
N
2
2047-08-01
Fixed
3.36400000
N
N
N
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
6262650.88000000
0.160117259974
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
3.93525000
N
N
N
N
N
N
BLUEMOUNTAIN CLO 2012-2 Ltd FRN 11/20/2028 144A 2012-2A CR2
549300WSX4P5CXVKVR97
BLUEMOUNTAIN CLO 2012-2 Ltd FRN 11/20/2028 144A 2012-2A CR2
09626RBA2
2730000.00000000
PA
USD
2497292.15000000
0.063848294288
Long
ABS-CBDO
CORP
KY
N
2
2028-11-20
Floating
3.69463000
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
2331005.46000000
PA
USD
2217368.94000000
0.056691494676
Long
LON
CORP
US
N
2
2025-10-01
Floating
2.98938000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20200511
000000000
1.00000000
NC
USD
228443.38
0.005840614264
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
10000000.00000000
AUD
6745200.00000000
USD
2020-05-11
228443.38000000
N
N
N
Pennsylvania Turnpike Commission
549300J8LLBYEYEXZJ24
Pennsylvania Turnpike Commission
709224V71
9825000.00000000
PA
USD
9900849.00000000
0.253135109026
Long
DBT
MUN
US
N
2
2043-12-01
Fixed
3.57900000
N
N
N
N
N
N
CENCOSUD SA 4.375% 07/17/2027 144A
549300NLTGCFV7482429
CENCOSUD SA 4.375% 07/17/2027 144A
15132HAH4
7500000.00000000
PA
USD
7054442.03000000
0.180360992515
Long
DBT
CORP
CL
N
2
2027-07-17
Fixed
4.37500000
N
N
N
N
N
N
DAVITA INC 5.125% 07/15/2024
M2XHYMU3TZNEZURC6H66
DAVITA INC 5.125% 07/15/2024
23918KAQ1
8000000.00000000
PA
USD
8161600.00000000
0.208667711812
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
5.12500000
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
339690.22000000
PA
USD
322068.79000000
0.008234336092
Long
LON
CORP
US
N
2
2026-01-02
Floating
3.49288000
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
15886047.20000000
0.406158733455
Long
DBT
NUSS
IN
N
2
2028-02-01
Fixed
3.87500000
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
2105972.00000000
0.053843407956
Long
DBT
NUSS
UA
N
2
2022-09-01
Fixed
7.75000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital 2.8% 04/01/2031
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital 2.8% 04/01/2031
161175BU7
3300000.00000000
PA
USD
3326334.79000000
0.085044436060
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
FANNIE MAE 5.00% 05/01/2029 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 05/01/2029 FNMA 30
31416RKA0
84637.39000000
PA
USD
92059.32000000
0.002353681588
Long
ABS-MBS
USGA
US
N
2
2029-05-01
Fixed
5.00000000
N
N
N
N
N
N
MPH ACQUISITION HOLDINGS LLC 7.125% 06/01/2024 144A
5493002WXOPRPTXWTU06
MPH ACQUISITION HOLDINGS LLC 7.125% 06/01/2024 144A
553283AB8
8000000.00000000
PA
USD
7179760.00000000
0.183564998353
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
7.12500000
N
N
N
N
N
N
ARES L CLO Ltd FRN 01/15/2032 2018-50A B 144A
549300S7Y78W7UJHZZ39
ARES L CLO Ltd FRN 01/15/2032 2018-50A B 144A
04018LAC9
15700000.00000000
PA
USD
14909901.58000000
0.381201608268
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
2.91888000
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
9394984.00000000
0.240201653327
Long
DBT
NUSS
RU
N
2
2023-09-16
Fixed
4.87500000
N
N
N
N
N
N
Massachusetts State College Building Authority
N/A
Massachusetts State College Building Authority
575831FJ6
5140000.00000000
PA
USD
5140308.40000000
0.131422318153
Long
DBT
MUN
US
N
2
2043-05-01
Fixed
3.37300000
N
N
N
N
N
N
N/A
N/A
US ULTRA BOND CBT Jun20 Jun 20 Future
000000000
60.00000000
NC
USD
17250.00000000
0.000441030928
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
US ULTRA BOND CBT Jun20 Jun 20 Future
US ULTRA BOND CBT Jun20 Jun 20 Future
2020-06-19
13469625.00000000
USD
17161.50000000
N
N
N
N/A
N/A
EUR_USD_20200723
000000000
1.00000000
NC
USD
285302.7
0.007294337088
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
26334608.98000000
USD
24251524.30000000
EUR
2020-07-23
285302.70000000
N
N
N
FANNIE MAE 6.50% 08/01/2032 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 08/01/2032 FNMA 30
31390RM26
7485.55000000
PA
USD
8343.28000000
0.000213312726
Long
ABS-MBS
USGA
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
Caesars Resort Collection LLC 6.5% 12/22/2024 Term B Loans
549300V3UCT773B1KR38
Caesars Resort Collection LLC 6.5% 12/22/2024 Term B Loans
12769LAB5
2992346.94000000
PA
USD
2529780.97000000
0.064678936286
Long
LON
CORP
US
N
2
2024-12-22
Floating
3.73938000
N
N
N
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
6417553.30000000
PA
USD
5125778.76000000
0.131050838696
Long
LON
CORP
US
N
2
2044-11-15
Variable
20.89674
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
11581880.00000000
0.296114046030
Long
DBT
CORP
IE
N
2
2025-02-15
Fixed
6.00000000
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
6453622.30000000
PA
USD
5132283.79000000
0.131217152865
Long
LON
CORP
US
N
2
2044-08-15
Variable
19.323917
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
5064139.10000000
0.129474896870
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.12500000
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
27936242.46600000
PA
USD
21806357.61000000
0.557523371084
Long
ABS-CBDO
CORP
US
N
2
2024-07-25
Floating
3.48725000
N
N
N
N
N
N
TELUS Corp 4.6% 11/16/2048
L2TEUTQ8OSHMJWVLCE40
TELUS Corp 4.6% 11/16/2048
87971MBH5
1000000.00000000
PA
USD
1183000.54000000
0.030245787070
Long
DBT
CORP
CA
N
2
2048-11-16
Fixed
4.60000000
N
N
N
N
N
N
FANNIE MAE 6.00% 05/01/2038 FNL FNCL
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 05/01/2038 FNL FNCL
31412S5S0
260203.14000000
PA
USD
299794.06000000
0.007664837840
Long
ABS-MBS
USGA
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-52 FRN 01/15/2045 144A
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-52 FRN 01/15/2045 144A
21056JAA5
6627668.72000000
PA
USD
5610558.18000000
0.143445199153
Long
LON
CORP
US
N
2
2045-01-15
Variable
17.15066
N
N
N
N
N
N
Texas State University System
N/A
Texas State University System
88278PZK3
2315000.00000000
PA
USD
2361091.65000000
0.060366054693
Long
DBT
MUN
US
N
2
2033-03-15
Fixed
2.93800000
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
43808.77000000
PA
USD
48798.99000000
0.001247644283
Long
ABS-MBS
USGA
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
NATIONAL MENTOR HOLDINGS INC 6.5% 03/08/2026 Initial Term C Loans
5493004QULJVJP3CNZ62
NATIONAL MENTOR HOLDINGS INC 6.5% 03/08/2026 Initial Term C Loans
63689EAK1
5602.60000000
PA
USD
5350.48000000
0.000136795777
Long
LON
CORP
US
N
2
2026-03-08
Floating
5.46000000
N
N
N
N
N
N
N/A
N/A
USD_SGD_20200813
000000000
1.00000000
NC
USD
921074.46
0.023549120267
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
119400000.00000000
SGD
85623621.79000000
USD
2020-08-13
921074.46000000
N
N
N
Weatherford International PLC ORD USD 0.001
529900LPBDSCQDJKHQ39
Weatherford International PLC ORD USD 0.001
000000000
151545.00000000
NS
USD
681952.50000000
0.017435486637
Long
EC
CORP
IE
N
1
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
1368.22400000
PA
USD
1541.97000000
0.000039423562
Long
ABS-MBS
USGA
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA CCS RV USD 3M+ 2.87% PY EUR 2.5% 05/04/21
000000000
3834600.00000000
NC
USD
182814.40000000
0.004674017660
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-05-04
0.00000000
USD
0.00000000
USD
3834600.00000000
USD
182814.40000000
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
6112500.00000000
0.156278350869
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.12500000
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
44876.52000000
PA
USD
49229.12000000
0.001258641421
Long
ABS-MBS
USGA
US
N
2
2030-05-01
Fixed
5.00000000
N
N
N
N
N
N
Metro Wastewater Reclamation District
N/A
Metro Wastewater Reclamation District
59164GFA5
4880000.00000000
PA
USD
5087741.60000000
0.130078342232
Long
DBT
MUN
US
N
2
2041-04-01
Fixed
3.15800000
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
9225000.00000000
0.235855670636
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.50000000
N
N
N
N
N
N
Navistar International Corp 9.5% 05/01/2025 144A
WNDD3CRVXJGC8I7GX671
Navistar International Corp 9.5% 05/01/2025 144A
63934EAW8
3300000.00000000
PA
USD
3473250.00000000
0.088800618757
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
9.50000000
N
N
N
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
4800661.44000000
0.122738560805
Long
ABS-CBDO
CORP
US
N
2
2023-12-07
Floating
1.47513000
N
N
N
N
N
N
PITNEY BOWES INC 6.5% 01/07/2025 Incremental Tranche B Term Loans
549300N2O26NW4ST6W55
PITNEY BOWES INC 6.5% 01/07/2025 Incremental Tranche B Term Loans
72448FAR6
2700000.00000000
PA
USD
2340000.90000000
0.059826827269
Long
LON
CORP
US
N
2
2025-01-07
Floating
6.49000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
New York State Dormitory Authority
64990GWW8
3145000.00000000
PA
USD
3092887.35000000
0.079075882941
Long
DBT
MUN
US
N
2
2043-07-01
Fixed
3.14200000
N
N
N
N
N
N
B&G FOODS INC 6.5% 10/10/2026 Tranche B-4 Term Loan
549300TRW1LZMDJZAQ78
B&G FOODS INC 6.5% 10/10/2026 Tranche B-4 Term Loan
05508TAU6
2053845.17000000
PA
USD
2002926.24000000
0.051208835942
Long
LON
CORP
US
N
2
2026-10-10
Floating
3.48938000
N
N
N
N
N
N
BRAVO Residential Funding Trust 2019-NQM2 FRN 10/25/2044 2019-2 A3 144A
N/A
BRAVO Residential Funding Trust 2019-NQM2 FRN 10/25/2044 2019-2 A3 144A
10568LAL0
9882699.53000000
PA
USD
10098784.76000000
0.258195734654
Long
ABS-CBDO
CORP
US
N
2
2044-10-25
Variable
3.50000000
N
N
N
N
N
N
U S TREASURY NOTE
N/A
U S TREASURY NOTE
9128283Q1
5890392.35000000
PA
USD
5890392.35000000
0.150599722278
Short
RA
CORP
US
N
2
Repurchase
Y
0.00027655
2020-05-01
5890392.35338865
USD
6008204.37900330
USD
UST
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
4823296.75000000
PA
USD
4726830.82000000
0.120850932578
Long
LON
CORP
US
N
2
2026-06-15
Floating
7.33186000
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
174896.39000000
PA
USD
201970.67000000
0.005163786213
Long
ABS-MBS
USGA
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
Alpek SAB de CV 4.25% 09/18/2029 144A
549300PWKJTP62D4IQ66
Alpek SAB de CV 4.25% 09/18/2029 144A
020564AD2
16000000.00000000
PA
USD
13957600.00000000
0.356854103900
Long
DBT
CORP
MX
N
2
2029-09-18
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
CAN 10YR BOND FUT Jun20 Jun 20 Future
000000000
114.00000000
NC
734717.63000000
0.018784533263
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
CAN 10YR BOND FUT Jun20 Jun 20 Future
CAN 10YR BOND FUT Jun20 Jun 20 Future
2020-06-19
16007880.00000000
CAD
734556.42000000
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
13408850.00000000
0.342824206961
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.37500000
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
3468916.47000000
0.088689823351
N/A
DIR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2029-07-17
0.00000000
USD
0.00000000
USD
55000000.00000000
CAD
3468730.94000000
N
N
N
N/A
N/A
USD_CAD_20200715
000000000
1.00000000
NC
USD
-20666.28
-0.00052837499
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
8500000.00000000
CAD
6086274.73000000
USD
2020-07-15
-20666.28000000
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
1985836.40000000
0.050771899826
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.25000000
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
83285.94000000
PA
USD
93735.63000000
0.002396539823
Long
ABS-MBS
USGA
US
N
2
2033-11-20
Fixed
5.00000000
N
N
N
N
N
N
Metropolitan St Louis Sewer District
N/A
Metropolitan St Louis Sewer District
592481LV5
14150000.00000000
PA
USD
14499222.00000000
0.370701759189
Long
DBT
MUN
US
N
2
2045-05-01
Fixed
3.25900000
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
25885215.40000000
0.661807570487
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
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
17804.01000000
PA
USD
20384.64000000
0.000521174302
Long
ABS-MBS
USGA
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
Provident Funding Mortgage Trust 2019-1 FRN 12/25/2049 144A 2019-1 A2
N/A
Provident Funding Mortgage Trust 2019-1 FRN 12/25/2049 144A 2019-1 A2
74387LAC5
9570870.83000000
PA
USD
9900077.20000000
0.253115376407
Long
ABS-CBDO
CORP
US
N
2
2049-12-25
Variable
3.00000000
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
25440811.23600000
PA
USD
26129946.33000000
0.668064608711
Long
DBT
NUSS
US
N
2
2024-01-15
Fixed
0.62500000
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
28678.36000000
PA
USD
33447.41000000
0.000855150278
Long
ABS-MBS
USGA
US
N
2
2037-03-01
Fixed
6.50000000
N
N
N
N
N
N
FedEx Corp 4.05% 02/15/2048
549300E707U7WNPZN687
FedEx Corp 4.05% 02/15/2048
31428XBQ8
1200000.00000000
PA
USD
1189810.81000000
0.030419905314
Long
DBT
CORP
US
N
2
2048-02-15
Fixed
4.05000000
N
N
N
N
N
N
GOLDEN NUGGET INC 6.75% 10/15/2024 144A
91D14OD6M4H1RVBN7R43
GOLDEN NUGGET INC 6.75% 10/15/2024 144A
38113YAE9
13200000.00000000
PA
USD
10378500.00000000
0.265347217095
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
6.75000000
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
3737409.68000000
0.095554392034
Long
ABS-CBDO
CORP
US
N
2
2030-10-24
Floating
2.82025000
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
9800000.00000000
PA
USD
8782760.00000000
0.224548915972
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
Euro-BTP Future Jun20 Jun 20 Future
000000000
427.00000000
NC
-3788968.77000000
-0.09687260382
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
Euro-BTP Future Jun20 Jun 20 Future
Euro-BTP Future Jun20 Jun 20 Future
2020-06-08
62640234.93000000
EUR
-3789330.06000000
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
138.77000000
PA
USD
143.98000000
0.000003681138
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
7.00000000
N
N
N
N
N
N
State of New York
N/A
State of New York
649791QE3
11740000.00000000
PA
USD
12014011.60000000
0.307162359128
Long
DBT
MUN
US
N
2
2039-02-15
Fixed
3.20000000
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
41380.27000000
PA
USD
46324.62000000
0.001184382039
Long
ABS-MBS
USGA
US
N
2
2035-10-01
Fixed
5.50000000
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
206754.98000000
PA
USD
216657.70000000
0.005539289662
Long
ABS-MBS
USGA
US
N
2
2027-07-01
Fixed
2.50000000
N
N
N
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
13229641.15000000
0.338242372435
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.37500000
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
6086700.00000000
0.155618722001
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
5.00000000
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
3128K7MM7
173171.76000000
PA
USD
197488.72000000
0.005049196151
Long
ABS-MBS
USGA
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
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
10965240.00000000
0.280348404758
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
5.87500000
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
61590110.39500000
PA
USD
62618322.18000000
1.600963292348
Long
DBT
NUSS
US
N
2
2024-07-15
Fixed
0.12500000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT 5.00% 07/27/2027 144A
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT 5.00% 07/27/2027 144A
06675QAB9
15800000.00000000
PA
USD
14754514.00000000
0.377228812400
Long
DBT
NUSS
US
N
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200915
000000000
1.00000000
NC
USD
3525081.77
0.090125802158
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
136206320.77000000
EUR
153218490.23000000
USD
2020-09-15
3525081.77000000
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
825792.30000000
PA
USD
759728.92000000
0.019423997173
Long
LON
CORP
AU
N
2
2026-05-21
Floating
4.95013000
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
6472965.92000000
0.165494386782
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
3.21888000
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
-161232.17000000
-0.00412222456
N/A
DCR
N/A
N
2
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
N/A
N/A
BNP PARIBAS BESPOKE BORDEAUX 6/20/20 7-10% TRANC 2.10% 06/20/2020 CDX
Y
2020-06-20
0.00000000
USD
0.00000000
USD
6850000.00000000
USD
-161232.17000000
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
132164.76000000
0.003379057789
Long
LON
CORP
US
N
2
2022-05-20
Floating
8.56138000
N
N
N
N
N
N
NETFLIX INC 4.375% 11/15/2026
549300Y7VHGU0I7CE873
NETFLIX INC 4.375% 11/15/2026
64110LAN6
11800000.00000000
PA
USD
12439560.00000000
0.318042359482
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
US 10YR NOTE (CBT)Jun20 Jun 20 Future
000000000
1939.00000000
NC
USD
1802687.51000000
0.046089330256
N/A
DIR
CORP
US
N
1
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
US 10YR NOTE (CBT)Jun20 Jun 20 Future
US 10YR NOTE (CBT)Jun20 Jun 20 Future
2020-06-19
267839500.00000000
USD
1799837.18000000
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
958343.45000000
PA
USD
904676.22000000
0.023129866295
Long
LON
CORP
US
N
2
2026-09-19
Floating
3.73450000
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
19076.17000000
PA
USD
21562.34000000
0.000551284570
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
5.50000000
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
3128MJCJ7
112379.18000000
PA
USD
128469.22000000
0.003284573879
Long
ABS-MBS
USGA
US
N
2
2035-08-01
Fixed
5.00000000
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
39.94000000
PA
USD
41.65000000
0.000001064865
Long
ABS-MBS
USGA
US
N
2
2024-08-15
Fixed
8.50000000
N
N
N
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
California Health Facilities Financing Authority
13032UVK1
3010000.00000000
PA
USD
2950371.90000000
0.075432188954
Long
DBT
MUN
US
N
2
2032-06-01
Fixed
2.93400000
N
N
N
N
N
N
General Electric Co 3.45% 05/01/2027
3C7474T6CDKPR9K6YT90
General Electric Co 3.45% 05/01/2027
369604BV4
2200000.00000000
PA
USD
2240490.21000000
0.057282636426
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
CHINA OVERSEAS FINANCE CAYMAN VI LTD 5.95% 05/08/2024 REG S
3003000GRJQBQQJ25K03
CHINA OVERSEAS FINANCE CAYMAN VI LTD 5.95% 05/08/2024 REG S
G2157ZAB8
7500000.00000000
PA
USD
8451000.00000000
0.216066804612
Long
DBT
CORP
KY
N
2
2024-05-08
Fixed
5.95000000
N
N
N
N
N
N
Foothill-Eastern Transportation Corridor Agency
N/A
Foothill-Eastern Transportation Corridor Agency
345105JE1
1540000.00000000
PA
USD
1552504.80000000
0.039692906316
Long
DBT
MUN
US
N
2
2049-01-15
Fixed
4.09400000
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
7737750.00000000
0.197831134468
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
7.25000000
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
3963593.50000000
0.101337236105
Long
ABS-CBDO
CORP
KY
N
2
2030-07-30
Floating
3.81013000
N
N
N
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Jun20 Jun 20 Future
000000000
1430.00000000
NC
USD
195730.54000000
0.005004244745
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
US 5YR NOTE (CBT) Jun20 Jun 20 Future
US 5YR NOTE (CBT) Jun20 Jun 20 Future
2020-06-30
179246925.72000000
USD
193914.44000000
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
12477500.00000000
0.319012371855
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
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
6043200.00000000
0.154506557050
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.12500000
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
40305.97000000
PA
USD
43776.35000000
0.001119230394
Long
ABS-MBS
USGA
US
N
2
2027-05-01
Fixed
5.00000000
N
N
N
N
N
N
BDO Unibank Inc 2.95% 03/06/2023 REG S
3FGIIBS1PEI1FYQBGN97
BDO Unibank Inc 2.95% 03/06/2023 REG S
000000000
1550000.00000000
PA
USD
1542084.63000000
0.039426493722
Long
DBT
CORP
PH
N
2
2023-03-06
Fixed
2.95000000
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
84682.31000000
PA
USD
95350.62000000
0.002437830290
Long
ABS-MBS
USGA
US
N
2
2033-09-20
Fixed
5.00000000
N
N
N
N
N
N
LENDING CLUB LCX 4194 Marketplace Loans
549300YC50YO7Y1OJR92
LENDING CLUB LCX 4194 Marketplace Loans
000000000
4145057.3500
PA
USD
3823881.77000000
0.097765224856
Long
LON
CORP
US
N
3
2023-08-26
None
14.061387
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2020-2 FRN 03/15/2045 2020-2 PT 144A
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2020-2 FRN 03/15/2045 2020-2 PT 144A
21056TAA3
6616669.89000000
PA
USD
5637160.58000000
0.144125342990
Long
LON
CORP
US
N
2
2045-03-15
Variable
15.85
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
5077077.71000000
PA
USD
3997420.38000000
0.102202088297
Long
LON
CORP
US
N
2
2044-04-15
Variable
16.344831
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
357073.36000000
0.009129298296
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
259993.02000000
N
N
N
BATTALION OIL CORP WTS EXP 10/08/2022 CL B
3XHTN2NNIMMPORDAMJ28
BATTALION OIL CORP WTS EXP 10/08/2022 CL B
07134L115
13300.00000000
OU
Warrants
USD
38945.09000000
0.000995709519
Long
CORP
US
N
3
N
N
N
FANNIE MAE 5.50% 10/01/2033 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 10/01/2033 FNMA 30
31402UYG1
28750.59000000
PA
USD
32888.74000000
0.000840866756
Long
ABS-MBS
USGA
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
USD_CAD_20200728
000000000
1.00000000
NC
USD
-330888.42
-0.00845982766
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
23800000.00000000
CAD
16769006.93000000
USD
2020-07-28
-330888.42000000
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
5780820.00000000
0.147798284870
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
4.87500000
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
1673.45000000
0.000042785113
Long
EC
CORP
US
N
1
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
10877.19000000
PA
USD
10947.17000000
0.000279886408
Long
ABS-MBS
USGA
US
N
2
2033-01-01
Floating
3.67900000
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
5535250.00000000
0.141519794134
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
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
3132DV3Y9
2806394.73000000
PA
USD
2926829.62000000
0.074830283237
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
2.50000000
N
N
N
N
N
N
FANNIE MAE 6.50% 03/01/2028 FNMA
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 03/01/2028 FNMA
31379FGY4
33962.20800000
PA
USD
37859.48000000
0.000967953717
Long
ABS-MBS
USGA
US
N
2
2028-03-01
Fixed
6.50000000
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
50875176.47700000
NS
USD
50875176.48000000
1.300726164493
Long
EC
RF
US
N
1
N
N
N
N/A
N/A
USD_NOK_20200511
000000000
1.00000000
NC
USD
115120.36
0.002943283437
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
185000000.00000000
NOK
18172352.48000000
USD
2020-05-11
115120.36000000
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
4315741.21000000
0.110340600257
Long
ABS-CBDO
CORP
KY
N
2
2031-04-21
Floating
3.00900000
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
11662.96000000
PA
USD
13148.35000000
0.000336164000
Long
ABS-MBS
USGA
US
N
2
2030-12-20
Fixed
6.50000000
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
3788796.00000000
PA
USD
3001480.40000000
0.076738880503
Long
LON
CORP
US
N
2
2044-05-16
Variable
13.400459
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200813
000000000
1.00000000
NC
USD
-82357.48
-0.00210563454
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
16882386.04000000
USD
1800000000.00000000
JPY
2020-08-13
-82357.48000000
N
N
N
New York State Urban Development Corp
54930039Y2EMGXN6LM88
New York State Urban Development Corp
64985TBJ9
19210000.00000000
PA
USD
20119209.30000000
0.514388032751
Long
DBT
MUN
US
N
2
2034-03-15
Fixed
2.97000000
N
N
N
N
N
N
K2016470219 SA LTD ORD ZAR NPV CL B
378900DECAC8CFA88345
K2016470219 SA LTD ORD ZAR NPV CL B
000000000
12532821.00000000
NS
0.00000000
0.000000
Long
EC
CORP
ZA
Y
3
N
N
N
FANNIE MAE 6.50% 04/01/2031 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 04/01/2031 FNMA 30
31384WGU8
1123.26200000
PA
USD
1295.10000000
0.000033111835
Long
ABS-MBS
USGA
US
N
2
2031-04-01
Fixed
6.50000000
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
2314.80000000
PA
USD
2335.23000000
0.000059704849
Long
ABS-MBS
USGA
US
N
2
2022-04-01
Fixed
5.50000000
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
-4180765.55000000
-0.10688967615
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 4.10% 12/20/2021 CDX
Y
2021-12-20
0.00000000
USD
0.00000000
USD
9000000.00000000
USD
-4180765.55000000
N
N
N
N/A
N/A
USD_NOK_20200723
000000000
1.00000000
NC
USD
120425.24
0.003078913359
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
257400000.00000000
NOK
25255102.04000000
USD
2020-07-23
120425.24000000
N
N
N
N/A
N/A
US 10yr Ultra Fut Jun20 Jun 20 Future
000000000
355.00000000
NC
USD
116062.99000000
0.002967383668
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
US 10yr Ultra Fut Jun20 Jun 20 Future
US 10yr Ultra Fut Jun20 Jun 20 Future
2020-06-19
55630030.76000000
USD
115576.64000000
N
N
N
BLUEMOUNTAIN CLO 2012-2 Ltd FRN 11/20/2028 144A 2A BR2
549300WSX4P5CXVKVR97
BLUEMOUNTAIN CLO 2012-2 Ltd FRN 11/20/2028 144A 2A BR2
09626RAY1
6710000.00000000
PA
USD
6388635.22000000
0.163338302901
Long
ABS-CBDO
CORP
KY
N
2
2028-11-20
Floating
3.14463000
N
N
N
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
14507761.15000000
0.370920079725
Long
ABS-CBDO
CORP
KY
N
2
2031-02-26
Floating
3.19663000
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
108077744.21000000
2.763224806673
Long
EC
RF
US
N
1
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
7.02000000
0.000000179480
Long
CORP
US
N
1
N
N
N
N/A
N/A
CDX.EM.31 1.00% 06/20/2024 CDX
000000000
18800000.00000000
NC
USD
-1714983.21000000
-0.04384699350
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
-1309071.95000000
N
N
N
FANNIE MAE 5.50% 12/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 12/01/2035 FNMA 30
31407FN97
59500.18000000
PA
USD
66496.53000000
0.001700117471
Long
ABS-MBS
USGA
US
N
2
2035-12-01
Fixed
5.50000000
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
42084.78000000
PA
USD
46165.29000000
0.001180308448
Long
ABS-MBS
USGA
US
N
2
2031-06-01
Fixed
5.00000000
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
1207995.74000000
0.030884839608
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
1207807.47000000
N
N
N
FREDDIE MAC 5.50% 06/01/2036 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.50% 06/01/2036 FHLMC G30
3128KASF9
190731.54000000
PA
USD
213380.40000000
0.005455498898
Long
ABS-MBS
USGA
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
BAT Capital Corp 4.54% 08/15/2047
2138005GYEXN7XRHFA84
BAT Capital Corp 4.54% 08/15/2047
05526DBF1
600000.00000000
PA
USD
625903.23000000
0.016002474370
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
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
5341380.00000000
0.136563117834
Long
ABS-O
USGA
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
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
10523.94000000
PA
USD
11744.28000000
0.000300266128
Long
ABS-MBS
USGA
US
N
2
2027-11-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
BARCLAYS BANK PLC TRS RCV MARKIT IBOXX US PAY US0003M 06/20/20
000000000
61400000.00000000
NC
USD
-1571247.82000000
-0.04017210930
N/A
DCR
CORP
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2020-06-20
0.00000000
USD
540197.20000000
USD
61400000.00000000
USD
-1571247.82000000
N
N
N
BUCKEYE PARTNERS LP 6.50% 11/01/2026 Initial Term Loans
549300C1PQJLVEIUBK50
BUCKEYE PARTNERS LP 6.50% 11/01/2026 Initial Term Loans
11823LAH8
1569433.96000000
PA
USD
1481153.30000000
0.037868661776
Long
LON
CORP
US
N
2
2026-11-01
Floating
3.76625000
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
2809005.44000000
0.071817871205
Long
LON
CORP
AU
N
2
2022-10-25
Floating
5.50000000
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
2245211.34000000
0.057403341606
Long
ABS-CBDO
CORP
US
N
2
2031-04-22
Floating
2.74763000
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
1960.14000000
PA
USD
2226.89000000
0.000056934919
Long
ABS-MBS
USGA
US
N
2
2025-12-01
Fixed
8.00000000
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
9750942.00000000
0.249302435203
Long
DBT
CORP
IL
N
2
2028-08-14
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
TRY_USD_20200714
000000000
1.00000000
NC
USD
-318324.65
-0.00813860962
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
8999201.68000000
USD
62000000.00000000
TRY
2020-07-14
-318324.65000000
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
20855250.00000000
0.533206392959
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Euro-OAT Future Jun20 Jun 20 Future
000000000
558.00000000
NC
1255711.78000000
0.032104796097
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
Euro-OAT Future Jun20 Jun 20 Future
Euro-OAT Future Jun20 Jun 20 Future
2020-06-08
93061103.84000000
EUR
1255257.93000000
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
1586298.30600000
PA
USD
1511372.04000000
0.038641264615
Long
ABS-CBDO
CORP
US
N
2
2035-02-25
Floating
2.48450000
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
4129020.93000000
PA
USD
3913535.59000000
0.100057405001
Long
LON
CORP
US
N
2
2026-05-17
Floating
3.23938000
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
233115.12000000
0.005960056689
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
MXN_USD_20200728
000000000
1.00000000
NC
USD
170383.93
0.004356207704
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
12011505.55000000
USD
297700000.00000000
MXN
2020-07-28
170383.93000000
N
N
N
Greenville City School District
N/A
Greenville City School District
396352GY6
7335000.00000000
PA
USD
7339841.10000000
0.187657793496
Long
DBT
MUN
US
N
2
2051-01-01
Fixed
3.54100000
N
N
N
N
N
N
COMMSCOPE INC 6.5% 04/04/2026 Initial Term Loans
549300Z6K4JXMFE8QY54
COMMSCOPE INC 6.5% 04/04/2026 Initial Term Loans
20337EAQ4
2194486.22000000
PA
USD
2084213.29000000
0.053287102792
Long
LON
CORP
US
N
2
2026-04-04
Floating
4.23938000
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
87496.36000000
PA
USD
99251.42000000
0.002537562084
Long
ABS-MBS
USGA
US
N
2
2034-06-20
Fixed
5.50000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 12/25/2029 HQA2 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 12/25/2029 HQA2 M2
3137G0PU7
2885000.00000000
PA
USD
2592355.99000000
0.066278792471
Long
ABS-CBDO
CORP
US
N
2
2029-12-25
Floating
3.13725000
N
N
N
N
N
N
TNB GLOBAL VENTURES CAPITAL BHD 3.244% 10/19/2026 REG S
5493004U8XEGPFWIBZ14
TNB GLOBAL VENTURES CAPITAL BHD 3.244% 10/19/2026 REG S
Y8850AAA2
3775000.00000000
PA
USD
3850632.73000000
0.098449166927
Long
DBT
CORP
MY
N
2
2026-10-19
Fixed
3.24400000
N
N
N
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
5042008.17000000
PA
USD
4066929.17000000
0.103979220251
Long
LON
CORP
US
N
2
2044-09-15
Variable
18.85
N
N
N
N
N
N
STAPLES INC 6.50% 04/12/2026 2019 Refinancing Term B-1 Loans
XQM2JINI1UL7642TU573
STAPLES INC 6.50% 04/12/2026 2019 Refinancing Term B-1 Loans
855031AQ3
535237.16000000
PA
USD
430196.87000000
0.010998847835
Long
LON
CORP
US
N
2
2026-04-12
Floating
6.01625000
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
4813001.14000000
PA
USD
3895596.92000000
0.099598766839
Long
LON
CORP
US
N
2
2044-10-17
Variable
12.84881
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
0.003138572188
Long
EC
CORP
US
N
3
N
N
N
FANNIE MAE 5.50% 11/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 11/01/2035 FNMA 30
31407YEJ4
34792.81000000
PA
USD
38689.90000000
0.000989185074
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
California Health Facilities Financing Authority
13032UVL9
2600000.00000000
PA
USD
2537678.00000000
0.064880839734
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
2.98400000
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
5706671.69000000
0.145902534260
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Floating
3.93725000
N
N
N
N
N
N
Intrado Corp 8.50% 10/15/2025 144A
5493005Z5DB0O5S30R71
Intrado Corp 8.50% 10/15/2025 144A
68163PAA2
9400000.00000000
PA
USD
6628410.00000000
0.169468627187
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
8.50000000
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
31403RHW1
13827.82000000
PA
USD
15176.24000000
0.000388011085
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
ALLEGIANT TRAVEL CO 6.5% 02/05/2024 Class B Term Loan
549300JM9OZXOHWL2K18
ALLEGIANT TRAVEL CO 6.5% 02/05/2024 Class B Term Loan
01748LAE8
5571984.77000000
PA
USD
4457587.82000000
0.113967194006
Long
LON
CORP
US
N
2
2024-02-05
Floating
4.70725000
N
N
N
N
N
N
N/A
N/A
USD_NOK_20200915
000000000
1.00000000
NC
USD
159404.04
0.004075484743
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
417400000.00000000
NOK
40921568.63000000
USD
2020-09-15
159404.04000000
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
6026930.81000000
PA
USD
4902598.43000000
0.125344784885
Long
LON
CORP
US
N
2
2044-10-17
Floating
21.924719
N
N
N
N
N
N
CATALENT PHARMA SOLUTIONS INC 6.5% 05/17/2026 Dollar Term B-2 Loan
549300HALRZ339MSTH85
CATALENT PHARMA SOLUTIONS INC 6.5% 05/17/2026 Dollar Term B-2 Loan
14880BAG6
5286649.87000000
PA
USD
5220566.75000000
0.133474284219
Long
LON
CORP
US
N
2
2026-05-17
Floating
3.23938000
N
N
N
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
8813821.59000000
0.225343067965
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
3.31888000
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
1007051.86000000
0.025747305344
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.37500000
N
N
N
N
N
N
BASS PRO GROUP LLC 6.5% 09/25/2024 Initial Term Loans
N/A
BASS PRO GROUP LLC 6.5% 09/25/2024 Initial Term Loans
07014QAK7
2241064.91000000
PA
USD
1875771.33000000
0.047957865040
Long
LON
CORP
US
N
2
2024-09-25
Floating
6.07200000
N
N
N
N
N
N
N/A
N/A
CDX.EM.31 1.00% 06/20/2024 CDX
000000000
18800000.00000000
NC
USD
-1714983.21000000
-0.04384699350
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
-1312019.59000000
N
N
N
BlueMountain Fuji Eur CLO V DAC FRN 01/15/2033 5A A 144A
635400IYPG2G6NM3OV52
BlueMountain Fuji Eur CLO V DAC FRN 01/15/2033 5A A 144A
BCC2LWNA5
20900000.00000000
PA
21932772.71000000
0.560755427256
Long
ABS-CBDO
CORP
IE
N
2
2033-01-15
Floating
0.91000000
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
4923318.96900000
PA
USD
4329737.54000000
0.110698444572
Long
ABS-CBDO
CORP
US
N
2
2024-10-25
Floating
5.23725000
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
7853229.23000000
0.200783593138
Long
DBT
CORP
AU
N
2
2024-05-15
Fixed
5.12500000
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
56933.85000000
PA
USD
63844.32000000
0.001632308391
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.50000000
N
N
N
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
1990000.01000000
PA
USD
1920350.01000000
0.049097608614
Long
LON
CORP
US
N
2
2026-09-18
Floating
2.98938000
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
1838814.89000000
0.047012999355
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
3.31888000
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
5106.13400000
PA
USD
5948.84000000
0.000152094053
Long
ABS-MBS
USGA
US
N
2
2032-08-01
Fixed
7.00000000
N
N
N
N
N
N
FANNIE MAE 8.00% 05/01/2026 FNMA
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 8.00% 05/01/2026 FNMA
31375UK20
76.08000000
PA
USD
76.78000000
0.000001963035
Long
ABS-MBS
USGA
US
N
2
2026-05-01
Fixed
8.00000000
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
46.28000000
PA
USD
46.48000000
0.000001188354
Long
ABS-MBS
USGA
US
N
2
2025-11-01
Fixed
8.00000000
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
16652800.00000000
0.425762310241
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.50000000
N
N
N
N
N
N
FANNIE MAE 3% 9/1/2048 FNL
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3% 9/1/2048 FNL
3140JADM7
35832326.79000000
PA
USD
38126690.74000000
0.974785497414
Long
ABS-MBS
USGA
US
N
2
2048-09-01
Fixed
3.00000000
N
N
N
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
15148.48000000
PA
USD
16484.98000000
0.000421471654
Long
ABS-MBS
USGA
US
N
2
2027-09-01
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
60000.00000000
0.001534020622
Long
EC
CORP
US
N
2
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
12725890.22000000
PA
USD
9734342.67000000
0.248878039961
Long
ABS-CBDO
CORP
US
N
2
2024-05-25
Floating
3.08725000
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
1989965.19000000
0.050877460642
Long
LON
CORP
US
N
2
2024-12-10
Floating
3.25000000
N
N
N
N
N
N
Surf Holdings LLC 6.5% 03/05/2027 Dollar Tranche Term Loan
N/A
Surf Holdings LLC 6.5% 03/05/2027 Dollar Tranche Term Loan
86875TAB3
754770.64000000
PA
USD
696275.92000000
0.017801693665
Long
LON
CORP
US
N
2
2027-03-05
Floating
4.81425000
N
N
N
N
N
N
EOG Resources Inc 4.375% 04/15/2030
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc 4.375% 04/15/2030
26875PAU5
1000000.00000000
PA
USD
1117637.50000000
0.028574649549
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20200727
000000000
1.00000000
NC
USD
-600473.73
-0.01535231808
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
25000000.00000000
AUD
15693750.00000000
USD
2020-07-27
-600473.73000000
N
N
N
Salt Lake City Corp
549300CRGKV67DRSGT85
Salt Lake City Corp
79560TEF5
2750000.00000000
PA
USD
2768837.50000000
0.070790897067
Long
DBT
MUN
US
N
2
2038-04-01
Fixed
3.10200000
N
N
N
N
N
N
CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 08/15/2030 144A
N/A
CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 08/15/2030 144A
1248EPCE1
2000000.00000000
PA
USD
2019400.00000000
0.051630020735
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
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
531781.87000000
0.013596072583
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
2.91888000
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
13083850.00000000
0.334514928592
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
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
45000.00000000
0.001150515466
Long
DBT
CORP
US
N
2
2023-01-15
None
6.12500000
Y
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
23454601.75000000
0.599664046099
Long
DBT
NUSS
TN
N
2
2024-02-17
Fixed
5.62500000
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
9942.73000000
PA
USD
11887.69000000
0.000303932693
Long
ABS-MBS
USGA
US
N
2
2031-12-20
Fixed
6.50000000
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
18601.71000000
PA
USD
21212.65000000
0.000542344042
Long
ABS-MBS
USGA
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo & Co 2.188% 04/30/2026 *FIXED TO FLOAT*
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co 2.188% 04/30/2026 *FIXED TO FLOAT*
95000U2N2
7700000.00000000
PA
USD
7748723.91000000
0.198111704539
Long
DBT
CORP
US
N
2
2026-04-30
Variable
2.18800000
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
3253130.00000000
0.083172808435
Long
ABS-CBDO
CORP
US
N
2
2038-07-10
Variable
5.80691600
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
New Jersey Transportation Trust Fund Authority
6461366S5
3535000.00000000
PA
USD
3443443.50000000
0.088038555663
Long
DBT
MUN
US
N
2
2042-06-15
Fixed
4.13100000
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
26712831.00000000
0.682967227112
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
EnLink Midstream LLC 5.375% 06/01/2029
54930000GY1H533OBE23
EnLink Midstream LLC 5.375% 06/01/2029
29336TAA8
2900000.00000000
PA
USD
1814820.00000000
0.046399521754
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
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
9240797.70000000
0.236259570596
Long
DBT
CORP
CN
N
2
2027-11-08
Fixed
3.53800000
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
5382564.55000000
PA
USD
4287500.63000000
0.109618573056
Long
LON
CORP
US
N
2
2044-08-15
Variable
13.259062
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
5885236.50000000
0.150467902608
Long
DBT
CORP
NL
N
2
2028-10-10
Fixed
4.50000000
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
2067996.04000000
0.052872476193
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
4.45000000
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
13778730.21000000
PA
USD
14110632.26000000
0.360766681278
Long
ABS-CBDO
CORP
US
N
2
2049-05-25
Variable
4.00000000
N
N
N
N
N
N
N/A
N/A
USD_CNH_20200821
000000000
1.00000000
NC
USD
205173.89
0.005245682972
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
182400000.00000000
CNY
25906882.94000000
USD
2020-08-21
205173.89000000
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
10481.32000000
PA
USD
11668.01000000
0.000298316132
Long
ABS-MBS
USGA
US
N
2
2035-07-01
Fixed
6.00000000
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
34575437.57700000
PA
USD
35937050.46000000
0.918802941674
Long
DBT
NUSS
US
N
2
2025-07-15
Fixed
0.37500000
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
2492610.00000000
0.063728585711
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
10.50000000
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
167362.86000000
0.004278967976
Long
DBT
CORP
BM
N
2
2024-04-01
Fixed
7.12500000
N
N
Y
N
N
N
N/A
N/A
AUST 3YR BOND FUT Jun20 Jun 20 Future
000000000
1173.00000000
NC
536318.04000000
0.013712048888
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
AUST 3YR BOND FUT Jun20 Jun 20 Future
AUST 3YR BOND FUT Jun20 Jun 20 Future
2020-06-15
136623013.18000000
AUD
535053.49000000
N
N
N
UNITED MEXICAN STATES 4.15% 03/28/2027
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.15% 03/28/2027
91087BAC4
32700000.00000000
PA
USD
32822625.00000000
0.839176393651
Long
DBT
NUSS
MX
N
2
2027-03-28
Fixed
4.15000000
N
N
N
N
N
N
State of Oregon Department of Transportation
N/A
State of Oregon Department of Transportation
68607DUG8
3930000.00000000
PA
USD
4040826.00000000
0.103311840233
Long
DBT
MUN
US
N
2
2038-11-15
Fixed
3.16800000
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
1277534.56000000
0.032662739339
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.05000000
N
N
N
N
N
N
AT&T Inc 2.95% 07/15/2026
549300Z40J86GGSTL398
AT&T Inc 2.95% 07/15/2026
00206RHV7
14800000.00000000
PA
USD
15290843.78000000
0.390941161445
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
2.95000000
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
10665314.80000000
0.272680214060
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
City of San Francisco CA Public Utilities Commission Water Revenue
N/A
City of San Francisco CA Public Utilities Commission Water Revenue
79765R5B1
2310000.00000000
PA
USD
2422982.10000000
0.061948408470
Long
DBT
MUN
US
N
2
2043-11-01
Fixed
3.47300000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 10/25/2024 2014-DN4 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 10/25/2024 2014-DN4 M3
3137G0CU1
11859300.02700000
PA
USD
10011555.86000000
0.255965552463
Long
ABS-CBDO
CORP
US
N
2
2024-10-25
Floating
5.03725000
N
N
N
N
N
N
N/A
N/A
USD_IDR_20200603
000000000
1.00000000
NC
USD
872426.44
0.022305335836
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
190000000000.00000000
IDR
13356766.26000000
USD
2020-06-03
872426.44000000
N
N
N
NCI Building Systems Inc 8.00% 04/15/2026 144A
549300IW41QEWQ6T0H29
NCI Building Systems Inc 8.00% 04/15/2026 144A
72431PAA0
9000000.00000000
PA
USD
7704090.00000000
0.196970548899
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
8.00000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA 3.875% 04/25/2027
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.875% 04/25/2027
195325DL6
14000000.00000000
PA
USD
13895000.00000000
0.355253609051
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.87500000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA 9.85% 06/28/2027
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 9.85% 06/28/2027
P3772NBA9
55750000000.00000000
PA
16136675.83000000
0.412566558236
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
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
629018.06000000
PA
USD
719437.34000000
0.018393861930
Long
ABS-MBS
USGA
US
N
2
2035-10-01
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
4128200.00000000
0.105545732197
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
4.87500000
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
11711700.00000000
0.299433155316
Long
DBT
CORP
MX
N
2
2025-01-11
Fixed
5.70000000
N
N
N
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
32440705.25000000
0.829411847443
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
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
10739466.74000000
PA
USD
10932668.67000000
0.279515653226
Long
ABS-CBDO
CORP
US
N
2
2049-02-25
Variable
4.00000000
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
24366670.12000000
0.622982907570
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
3.50000000
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
2190069.00000000
0.055993516827
Long
DBT
CORP
CA
N
2
2024-03-15
Fixed
7.00000000
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
5752500.00000000
0.147074227136
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
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
24574750.00000000
0.628302888019
Long
DBT
CORP
FR
N
2
N/A
Variable
5.25000000
N
N
N
N
N
N
N/A
N/A
USD_JPY_20200716
000000000
1.00000000
NC
USD
-121585.79
-0.00310858515
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
5660032700.00000000
JPY
52677193.05000000
USD
2020-07-16
-121585.79000000
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
4798700.04000000
0.122688413671
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Floating
4.13488000
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
2371125.96000000
0.060622602001
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
4.06888000
N
N
N
N
N
N
Indonesia Government International Bond 4.35% 01/08/2027 144A
529900FWX0GRR7WG5W79
Indonesia Government International Bond 4.35% 01/08/2027 144A
455780BX3
8100000.00000000
PA
USD
8606026.60000000
0.220030371302
Long
DBT
NUSS
ID
N
2
2027-01-08
Fixed
4.35000000
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
67.13000000
PA
USD
73.88000000
0.000001888890
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
7.50000000
N
N
N
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
1140947.40000000
0.029170614004
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
9.25000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 08/25/2024 2014-HQ1 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 08/25/2024 2014-HQ1 M3
3137G0BW8
2546802.29000000
PA
USD
2197642.32000000
0.056187143978
Long
ABS-CBDO
CORP
US
N
2
2024-08-25
Floating
4.58725000
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
340.15000000
PA
USD
341.97000000
0.000008743150
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
9.50000000
N
N
N
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
3347719.59000000
0.085591181463
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
2.63525000
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
263231.78000000
PA
USD
298148.58000000
0.007622767835
Long
ABS-MBS
USGA
US
N
2
2034-03-01
Fixed
5.00000000
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
1405169.40600000
PA
USD
1381402.23000000
0.035318325135
Long
ABS-CBDO
CORP
US
N
2
2035-11-25
Floating
0.79725000
N
N
N
N
N
N
N/A
N/A
USD_BRL_20200513
000000000
1.00000000
NC
USD
87968.16
0.002249082858
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1888500.00000000
BRL
434917.78000000
USD
2020-05-13
87968.16000000
N
N
N
Massachusetts School Building Authority
N/A
Massachusetts School Building Authority
576000XQ1
5895000.00000000
PA
USD
6088650.75000000
0.155668596847
Long
DBT
MUN
US
N
2
2040-10-15
Fixed
3.39500000
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
8087996.00000000
0.206785877581
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.37500000
N
N
N
N
N
N
N/A
N/A
CNH_USD_20200821
000000000
1.00000000
NC
USD
-432717.04
-0.01106328104
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
26134426.09000000
USD
182400000.00000000
CNY
2020-08-21
-432717.04000000
N
N
N
Altice France SA/France 5.5% 01/15/2028 144A
5493001ZMCICV4N02J21
Altice France SA/France 5.5% 01/15/2028 144A
02156LAC5
2500000.00000000
PA
USD
2536375.00000000
0.064847525919
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
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
3085950.00000000
0.078898515642
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
6.50000000
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
16540800.00000000
0.422898805080
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.87500000
N
N
N
N
N
N
U S TREASURY NOTE
N/A
U S TREASURY NOTE
912796TD1
4182844.92000000
PA
USD
4182844.92000000
0.106942839433
Short
RA
CORP
US
N
2
Repurchase
Y
0.00027655
2020-05-01
4182844.91562498
USD
4266504.78117846
USD
UST
N
N
N
Regional Transportation District Sales Tax Revenue
N/A
Regional Transportation District Sales Tax Revenue
759136US1
3145000.00000000
PA
USD
3241299.90000000
0.082870348146
Long
DBT
MUN
US
N
2
2038-11-01
Fixed
3.25800000
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
35559872.66000000
0.909159632952
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.87500000
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
230880.00000000
0.005902911353
Long
EC
CORP
US
N
3
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
1898313.76000000
PA
USD
1853703.39000000
0.047393653789
Long
LON
CORP
US
N
2
2024-06-01
Floating
3.20013000
N
N
N
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
1921323.35000000
0.049122494008
Long
ABS-CBDO
CORP
KY
N
2
2030-10-17
Floating
3.33488000
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
8959385.13000000
PA
USD
8890457.89000000
0.227302429042
Long
ABS-CBDO
CORP
US
N
2
2029-01-25
Floating
4.73725000
N
N
N
N
N
N
RUSSELL INVESTMENTS US INSTITUTIONAL HOLDCO INC 6.5% 06/01/2023 Term Loan B
5493008YG7V0FQCJQI74
RUSSELL INVESTMENTS US INSTITUTIONAL HOLDCO INC 6.5% 06/01/2023 Term Loan B
78249LAB6
630769.24000000
PA
USD
580938.47000000
0.014852859885
Long
LON
CORP
US
N
2
2023-06-01
Floating
3.82200000
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
5167450.37000000
PA
USD
4758352.11000000
0.121656837726
Long
ABS-CBDO
CORP
US
N
2
2025-03-25
Floating
4.28725000
N
N
N
N
N
N
Anheuser-Busch Inbev Worldwide Inc 3.5% 06/01/2030
549300CRGMZK3K53BF92
Anheuser-Busch Inbev Worldwide Inc 3.5% 06/01/2030
035240AV2
8400000.00000000
PA
USD
8978215.01000000
0.229546116239
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
TPC Group Inc 10.5% 08/01/2024 144A
549300K276KVW5JD1583
TPC Group Inc 10.5% 08/01/2024 144A
89236YAB0
11000000.00000000
PA
USD
9049700.00000000
0.231373773719
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
10.50000000
N
N
N
N
N
N
Nascar Holdings Inc 6.5% 10/18/2026 Initial Term Loans
549300XWV2JTQZZOV244
Nascar Holdings Inc 6.5% 10/18/2026 Initial Term Loans
63108EAB4
4000000.00000000
PA
USD
3758216.00000000
0.096086347433
Long
LON
CORP
US
N
2
2026-10-18
Floating
3.37463000
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
934312.04000000
0.023887565612
Long
ABS-CBDO
CORP
US
N
2
2031-04-22
Floating
3.77763000
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
5322793.02000000
0.136087904324
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Floating
1.17400000
N
N
N
N
N
N
Allison Transmission Inc 5.875% 06/01/2029 144A
MWKQ3I0U1GXP2YDSZW75
Allison Transmission Inc 5.875% 06/01/2029 144A
019736AF4
2000000.00000000
PA
USD
1950660.00000000
0.049872544442
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.87500000
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
4000000.00000000
PA
USD
4198600.00000000
0.107345649727
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200723
000000000
1.00000000
NC
USD
200090.07
0.005115704894
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
18500000.00000000
EUR
20506787.50000000
USD
2020-07-23
200090.07000000
N
N
N
Comcast Corp 4.75% 03/01/2044
51M0QTTNCGUN7KFCFZ59
Comcast Corp 4.75% 03/01/2044
20030NBK6
1400000.00000000
PA
USD
1822000.73000000
0.046583111552
Long
DBT
CORP
US
N
2
2044-03-01
Fixed
4.75000000
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
2226570.28000000
0.056926745431
Long
DBT
UST
ID
N
2
2023-08-15
Fixed
11.75000000
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
20135.74000000
PA
USD
22977.97000000
0.000587477997
Long
ABS-MBS
USGA
US
N
2
2035-10-01
Fixed
5.00000000
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
3913.53000000
PA
USD
4250.41000000
0.000108670276
Long
ABS-MBS
USGA
US
N
2
2023-09-01
Fixed
5.00000000
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
19742597.17700000
PA
USD
16389411.81000000
0.419028261657
Long
ABS-CBDO
CORP
US
N
2
2025-05-25
Floating
4.48725000
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
11379467.60000000
0.290938966101
Long
DBT
CORP
TR
N
2
2025-03-31
Fixed
5.12500000
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
19604572.60000000
0.501230310907
Long
LON
CORP
BR
N
3
2022-02-11
Floating
17.70725000
N
N
N
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
8302.35000000
PA
USD
9025.94000000
0.000230766301
Long
ABS-MBS
USGA
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
VICI Properties LP / VICI Note Co Inc 3.75% 02/15/2027 144A
N/A
VICI Properties LP / VICI Note Co Inc 3.75% 02/15/2027 144A
92564RAD7
2500000.00000000
PA
USD
2336750.00000000
0.059743711475
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.75000000
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
13130747.73000000
0.335713963341
Long
DBT
NUSS
BR
N
2
2023-05-15
Fixed
6.00000000
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
11172098.34900000
PA
USD
8697030.56000000
0.222357070490
Long
ABS-CBDO
CORP
US
N
3
2025-07-25
Floating
5.48725000
N
N
N
N
N
N
VICI Properties LP / VICI Note Co Inc 4.125% 08/15/2030 144A
N/A
VICI Properties LP / VICI Note Co Inc 4.125% 08/15/2030 144A
92564RAE5
1300000.00000000
PA
USD
1189110.00000000
0.030401987697
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.12500000
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
7102620.99000000
0.181592784485
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
2.18888000
N
N
N
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
19372.30000000
PA
USD
22140.48000000
0.000566065881
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.00000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 08/25/2024 14-DN3 M3
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 08/25/2024 14-DN3 M3
3137G0BK4
917035.04100000
PA
USD
745883.93000000
0.019070022170
Long
ABS-CBDO
CORP
US
N
2
2024-08-25
Floating
4.48725000
N
N
N
N
N
N
ICTSI TREASURY BV 4.625% 01/16/2023 REG S
724500OT4U4QE3XWJH54
ICTSI TREASURY BV 4.625% 01/16/2023 REG S
N43872AA3
12000000.00000000
PA
USD
12234600.00000000
0.312802145037
Long
DBT
CORP
NL
N
2
2023-01-16
Fixed
4.62500000
N
N
N
N
N
N
Biogen Inc 2.25% 05/01/2030
W8J5WZB5IY3K0NDQT671
Biogen Inc 2.25% 05/01/2030
09062XAH6
2700000.00000000
PA
USD
2690375.99000000
0.068784870827
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
EXELON CORP 4.45% 04/15/2046
3SOUA6IRML7435B56G12
EXELON CORP 4.45% 04/15/2046
30161NAV3
1400000.00000000
PA
USD
1673771.39000000
0.042793330480
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.45000000
N
N
N
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
3425309.44000000
0.087574921963
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
3.33525000
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
3179693.88000000
0.081295266394
Long
ABS-CBDO
CORP
KY
N
2
2031-05-16
Floating
3.49175000
N
N
N
N
N
N
WESTJET AIRLINES LTD 6.5% 12/11/2026 Initial Term Loan
N/A
WESTJET AIRLINES LTD 6.5% 12/11/2026 Initial Term Loan
C4927UAB8
2094750.00000000
PA
USD
1719789.75000000
0.043969882367
Long
LON
CORP
CA
N
2
2026-12-11
Floating
4.00000000
N
N
N
N
N
N
T-Mobile USA Inc 3.875% 04/15/2030 144A
549300V2JRLO5DIFGE82
T-Mobile USA Inc 3.875% 04/15/2030 144A
87264ABE4
13400000.00000000
PA
USD
14724590.00000000
0.376463745181
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
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
3161039.12000000
0.080818319951
Long
ABS-CBDO
CORP
KY
N
2
2030-07-25
Floating
3.84138000
N
N
N
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
33.27000000
PA
USD
36.51000000
0.000000933451
Long
ABS-MBS
USGA
US
N
2
2025-02-15
Fixed
8.00000000
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
1799396.80000000
PA
USD
1656195.40000000
0.042343964961
Long
LON
CORP
US
N
2
2026-02-01
Floating
4.74870000
N
N
N
N
N
N
Provident Funding Mortgage Trust 2020-1 FRN 144A 2020-1 A3
N/A
Provident Funding Mortgage Trust 2020-1 FRN 144A 2020-1 A3
743874AE9
10457206.06000000
PA
USD
10716041.78000000
0.273977151283
Long
ABS-CBDO
CORP
US
N
2
2050-02-25
Variable
3.00000000
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
46059.71000000
PA
USD
50061.33000000
0.001279918543
Long
ABS-MBS
USGA
US
N
2
2029-04-01
Fixed
5.00000000
N
N
N
N
N
N
China Construction Bank Corp 4.25% 02/27/2029 REG S FIXED TO FLOAT
5493001KQW6DM7KEDR62
China Construction Bank Corp 4.25% 02/27/2029 REG S FIXED TO FLOAT
000000000
8000000.00000000
PA
USD
8396226.72000000
0.214666415595
Long
DBT
CORP
CN
N
2
2029-02-27
Variable
4.25000000
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
628436.43000000
0.016067240720
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.37500000
N
N
N
N
N
N
BlueMountain Fuji Eur CLO V DAC FRN 01/15/2033 144A 5A B
635400IYPG2G6NM3OV52
BlueMountain Fuji Eur CLO V DAC FRN 01/15/2033 144A 5A B
BCC2LWND9
6200000.00000000
PA
6291703.70000000
0.160860053724
Long
ABS-CBDO
CORP
IE
N
2
2033-01-15
Floating
1.55000000
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
6639574.87000000
0.169754079534
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
4.14888000
N
N
N
N
N
N
REMINGTON OUTDOOR CO INC COM USD .01
N/A
REMINGTON OUTDOOR CO INC COM USD .01
75959V104
1322439.00000000
NS
USD
661219.50000000
0.016905405811
Long
EC
CORP
US
N
2
N
N
N
Rutas 2 and 7 Finance Ltd ZERO 09/30/2036 144A
N/A
Rutas 2 and 7 Finance Ltd ZERO 09/30/2036 144A
78319MAA1
1200000.00000000
PA
USD
745320.00000000
0.019055604166
Long
ABS-O
CORP
KY
N
2
2036-09-30
None
0.00000000
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
10152000.00000000
0.259556289247
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
5.87500000
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
15357.52000000
PA
USD
16751.99000000
0.000428298302
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
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
95562.08000000
PA
USD
109437.27000000
0.002797983816
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
County of Broward FL Airport System Revenue
N/A
County of Broward FL Airport System Revenue
114894ZW1
3160000.00000000
PA
USD
3103436.00000000
0.079345580385
Long
DBT
MUN
US
N
2
2043-10-01
Fixed
3.47700000
N
N
N
N
N
N
DUKE ENERGY CORP 3.75% 09/01/2046
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP 3.75% 09/01/2046
26441CAT2
1600000.00000000
PA
USD
1822929.34000000
0.046606853334
Long
DBT
CORP
US
N
2
2046-09-01
Fixed
3.75000000
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
2756139.00000000
0.070466234386
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
2.36013000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2025 2015-C01 2M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2025 2015-C01 2M2
30711XAV6
7419840.70400000
PA
USD
6529663.87000000
0.166943983858
Long
ABS-CBDO
CORP
US
N
2
2025-02-25
Floating
5.03725000
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
17579819.43000000
PA
USD
17620688.99000000
0.450508338083
Long
ABS-CBDO
CORP
US
N
2
2028-03-25
Floating
5.18725000
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
4125134.39000000
0.105467353714
Long
DBT
NUSS
UA
N
2
2024-09-01
Fixed
7.75000000
N
N
N
N
N
N
Fedex Corp 3.8% 05/15/2025
549300E707U7WNPZN687
Fedex Corp 3.8% 05/15/2025
31428XBY1
14300000.00000000
PA
USD
15298567.71000000
0.391138639243
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.80000000
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
401708.50000000
0.010270485384
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Floating
4.10900000
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
3461857.91400000
PA
USD
2723526.36000000
0.069632426681
Long
ABS-CBDO
CORP
US
N
2
2024-07-25
Floating
3.38725000
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
32439645.15000000
PA
USD
8272109.51000000
0.211493109600
Long
LON
CORP
US
N
2
2022-04-11
Floating
7.02713000
N
N
N
N
N
N
FREDDIE MAC 7.00% 05/01/2028 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 7.00% 05/01/2028 FHLMC G30
3128G2H64
6841.83000000
PA
USD
6909.02000000
0.000176642985
Long
ABS-MBS
USGA
US
N
2
2028-05-01
Fixed
7.00000000
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
4393206.73000000
0.112321162010
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.41888000
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
5365.39000000
PA
USD
5826.92000000
0.000148976924
Long
ABS-MBS
USGA
US
N
2
2028-03-01
Fixed
5.00000000
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
65172.65000000
PA
USD
75082.74000000
0.001919641191
Long
ABS-MBS
USGA
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Exxon Mobil Corp 2.61% 10/15/2030
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp 2.61% 10/15/2030
30231GBN1
4700000.00000000
PA
USD
4905018.75000000
0.125406665232
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.61000000
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
2028900.00000000
0.051872907333
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
4.75000000
N
N
N
N
N
N
K2016470219 SA LTD ORD ZAR NPV CL A
378900DECAC8CFA88345
K2016470219 SA LTD ORD ZAR NPV CL A
000000000
125940079.00000000
NS
0.00000000
0.000000
Long
EC
CORP
ZA
Y
3
N
N
N
MEDNAX Inc 6.25% 01/15/2027 144A
N/A
MEDNAX Inc 6.25% 01/15/2027 144A
58502BAC0
11300000.00000000
PA
USD
10302662.00000000
0.263408266163
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.25000000
N
N
N
N
N
N
Springleaf Finance Corp 5.375% 11/15/2029
5493008I795YYBFWFU90
Springleaf Finance Corp 5.375% 11/15/2029
85172FAR0
3300000.00000000
PA
USD
2754971.67000000
0.070436389248
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.37500000
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
30620.77000000
PA
USD
33571.69000000
0.000858327746
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
6.50000000
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
4149587.72000000
0.106092552256
Long
DBT
NUSS
UA
N
2
2023-09-01
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200716
000000000
1.00000000
NC
USD
98778.84
0.002525479626
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
52700000.00000000
USD
5660032700.00000000
JPY
2020-07-16
98778.84000000
N
N
N
AVIS BUDGET CAR RENTAL LLC 3.42% 08/06/2027 Tranche B Term Loans
XN8R4HH1TVC1XOCL5P21
AVIS BUDGET CAR RENTAL LLC 3.42% 08/06/2027 Tranche B Term Loans
05377JAR3
1674795.58000000
PA
USD
1169007.31000000
0.029888022014
Long
LON
CORP
US
N
2
2027-08-06
Floating
2.74000000
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
36434.08000000
PA
USD
41640.32000000
0.001064618493
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
State of Ohio
5493005LEB5E170OMX59
State of Ohio
677561LN0
1975000.00000000
PA
USD
2066225.25000000
0.052827202387
Long
DBT
MUN
US
N
2
2042-01-01
Fixed
3.27600000
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
9010890.00000000
0.230381518047
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
5.75000000
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
7432729.83000000
0.190032680619
N/A
DO
NUSS
UA
N
2
N/A
N/A
2040-05-31
XXXX
3486679.83000000
N
N
N
FIVE POINT OPERATING CO LP/FIVE POINT CAPITAL CO 7.875% 11/15/2025 144A
N/A
FIVE POINT OPERATING CO LP/FIVE POINT CAPITAL CO 7.875% 11/15/2025 144A
33834YAA6
8000000.00000000
PA
USD
7790000.00000000
0.199167010759
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
7.87500000
N
N
N
N
N
N
U S TREASURY NOTE
N/A
U S TREASURY NOTE
9128285H9
10766676.96000000
PA
USD
10766676.96000000
0.275271741455
Short
RA
CORP
US
N
2
Repurchase
Y
0.00027655
2020-05-01
10766676.95992880
USD
10982018.13682990
USD
UST
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
441152.00000000
0.011278937757
Long
LON
CORP
US
N
2
2026-11-29
Floating
9.70013000
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
5427001.19200000
PA
USD
5380774.54000000
0.137570318447
Long
ABS-CBDO
CORP
US
N
2
2029-01-25
Floating
4.93725000
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
22194857.25000000
PA
USD
21525649.01000000
0.550346491397
Long
ABS-CBDO
CORP
US
N
2
2029-07-25
Floating
4.03725000
N
N
N
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
11400000.00000000
PA
USD
11304297.00000000
0.289017078592
Long
DBT
NUSS
BY
N
2
2027-06-29
Fixed
7.62500000
N
N
N
N
N
N
DAVITA INC 3.40275% 08/12/2026 Tranche B-1 Term Loan
M2XHYMU3TZNEZURC6H66
DAVITA INC 3.40275% 08/12/2026 Tranche B-1 Term Loan
23918VAY0
1995000.00000000
PA
USD
1948554.41000000
0.049818710801
Long
LON
CORP
US
N
2
2026-08-12
Floating
2.73938000
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
2138576.33000000
PA
USD
591673.50000000
0.015127322508
Long
LON
CORP
US
N
2
2021-05-21
Floating
5.31138000
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
807889.68000000
0.020655323824
Long
EC
CORP
US
N
1
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
3397050.60000000
0.086852427907
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
2.73525000
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
9984.47000000
PA
USD
11412.38000000
0.000291780437
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
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
1312963.76100000
PA
USD
1204020.07000000
0.030783193611
Long
ABS-CBDO
CORP
US
N
2
2035-12-25
Floating
1.00725000
N
N
N
N
N
N
Qorvo Inc 5.5% 07/15/2026
254900YAUJV2EUEVBR11
Qorvo Inc 5.5% 07/15/2026
74736KAF8
900000.00000000
PA
USD
949230.00000000
0.024268973250
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.50000000
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
3350786.04000000
0.085669581422
Long
ABS-CBDO
CORP
US
N
2
2031-04-22
Floating
2.94763000
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
-332093.13000000
-0.00849062849
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2024-12-20
0.00000000
USD
0.00000000
USD
13500000.00000000
USD
-456312.22000000
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
138.70000000
PA
USD
151.11000000
0.000003863430
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
7.50000000
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
20030.01000000
PA
USD
21786.21000000
0.000557008256
Long
ABS-MBS
USGA
US
N
2
2029-09-01
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
103292.90000000
PA
USD
118098.82000000
0.003019433755
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
USD_BRL_20200513
000000000
1.00000000
NC
USD
57661.42
0.001474230122
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1889507.00000000
BRL
404796.05000000
USD
2020-05-13
57661.42000000
N
N
N
San Diego County Regional Transportation Commission
W4FR340A6EQ2SSI17B56
San Diego County Regional Transportation Commission
797400LP1
2360000.00000000
PA
USD
2458766.00000000
0.062863295812
Long
DBT
MUN
US
N
2
2048-04-01
Fixed
3.24800000
N
N
N
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
4214420.24000000
0.107750125967
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
4.11888000
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
546624.02000000
PA
USD
539611.71000000
0.013796258183
Long
ABS-CBDO
CORP
US
N
2
2035-08-25
Floating
0.86725000
N
N
N
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
8227.77100000
PA
USD
9398.42000000
0.000240289501
Long
ABS-MBS
USGA
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
FREDDIE MAC 6.50% 05/01/2031 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 6.50% 05/01/2031 FHLMC G30
31292HJR6
3984.18000000
PA
USD
4494.72000000
0.000114916552
Long
ABS-MBS
USGA
US
N
2
2031-05-01
Fixed
6.50000000
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
13585.75000000
PA
USD
15117.25000000
0.000386502887
Long
ABS-MBS
USGA
US
N
2
2035-05-01
Fixed
6.00000000
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
280490.53000000
0.007171304288
N/A
DIR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-07-10
0.00000000
USD
0.00000000
USD
10976000.00000000
USD
280490.53000000
N
N
N
FANNIE MAE 2.5% 12/01/2034 FNI
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2.5% 12/01/2034 FNI
31418DJJ2
9623982.39000000
PA
USD
10079943.19000000
0.257714012038
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Fixed
2.50000000
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
47.61200000
PA
USD
50.56000000
0.000001292668
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.50000000
N
N
N
N
N
N
Knowlton Development Corp 6.5% 12/21/2025 Initial Term Loan
N/A
Knowlton Development Corp 6.5% 12/21/2025 Initial Term Loan
C4953EAD7
600774.61000000
PA
USD
542199.09000000
0.013862409755
Long
LON
CORP
US
N
2
2025-12-21
Floating
4.73938000
N
N
N
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
11924469.41000000
0.304873033028
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
3.41888000
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
8907677.33300000
PA
USD
7776436.16000000
0.198820223922
Long
ABS-CBDO
CORP
US
N
2
2025-05-25
Floating
4.48725000
N
N
N
N
N
N
Baker Hughes A GE Co LLC / Baker Hughes Co-Obligor Inc 4.486% 05/01/2030
N/A
Baker Hughes A GE Co LLC / Baker Hughes Co-Obligor Inc 4.486% 05/01/2030
05724BAA7
700000.00000000
PA
USD
720089.76000000
0.018410542359
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.48600000
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
11143918.00000000
PA
USD
8077334.64000000
0.206513298479
Long
ABS-O
USGA
GA
N
2
2024-12-12
Fixed
6.37500000
N
N
N
N
N
N
United Parcel Service Inc 5.3% 04/01/2050
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc 5.3% 04/01/2050
911312BW5
13400000.00000000
PA
USD
19179784.08000000
0.490369738412
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
5.30000000
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
65395.23000000
PA
USD
71755.42000000
0.001834571567
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
AMC ENTERTAINMENT HOLDINGS INC 5.75% 06/15/2025
549300ZO77UNR6NRBR11
AMC ENTERTAINMENT HOLDINGS INC 5.75% 06/15/2025
00165AAH1
6500000.00000000
PA
USD
1511250.00000000
0.038638144417
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75000000
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
10667400.00000000
0.272733526390
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
4.87500000
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
5960180.00000000
0.152383983849
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
5.12500000
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
878180122.66600000
PA
19114767.83000000
0.488707467274
Long
DBT
NUSS
UY
N
2
2037-06-26
Fixed
3.70000000
N
N
N
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
10187500.00000000
0.260463918115
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
6.37500000
N
N
N
N
N
N
Securus Technologies Holdings LLC 10.12688% 11/01/2025 SECOND LIEN INITIAL LOAN
549300EBCNNXVCJ2FW66
Securus Technologies Holdings LLC 10.12688% 11/01/2025 SECOND LIEN INITIAL LOAN
78410QAE2
7588688.18000000
PA
USD
4742930.11000000
0.121262543292
Long
LON
CORP
US
N
2
2025-11-01
Floating
9.25000000
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
10525928.92000000
0.269116533821
Long
ABS-CBDO
CORP
IE
N
2
2032-07-15
Floating
1.12000000
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
8454810.13000000
PA
USD
8685929.13000000
0.222073240114
Long
ABS-CBDO
CORP
US
N
2
2028-09-25
Floating
6.48725000
N
N
N
N
N
N
Gates Global LLC / Gates Corp 6.25% 01/15/2026 144A
N/A
Gates Global LLC / Gates Corp 6.25% 01/15/2026 144A
36740LAA0
1000000.00000000
PA
USD
914710.00000000
0.023386400052
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.25000000
N
N
N
N
N
N
GRIFOLS WORLDWIDE OPERATIONS USA INC 6.5% 11/15/2027 Dollar Tranche B Term Loan
N/A
GRIFOLS WORLDWIDE OPERATIONS USA INC 6.5% 11/15/2027 Dollar Tranche B Term Loan
39843PAG8
4251464.94000000
PA
USD
4200600.41000000
0.107396794230
Long
LON
CORP
US
N
2
2027-11-15
Floating
2.16875000
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
106989.14000000
PA
USD
116206.39000000
0.002971049977
Long
ABS-MBS
USGA
US
N
2
2029-04-01
Fixed
5.00000000
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
13621246.33000000
PA
USD
10442960.06000000
0.266995268117
Long
LON
CORP
US
N
2
2021-07-03
Floating
9.10000000
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
6101250.00000000
0.155990722002
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.00000000
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
7863800.00000000
0.201053856125
Long
DBT
CORP
CO
N
2
2025-01-16
Fixed
4.12500000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 03/25/2030 2017-DNA3 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 03/25/2030 2017-DNA3 M2
3137G0QQ5
26312269.00000000
PA
USD
25082988.74000000
0.641297033154
Long
ABS-CBDO
CORP
US
N
2
2030-03-25
Floating
2.98725000
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
2741.00000000
PA
USD
2776.45000000
0.000070985525
Long
ABS-MBS
USGA
US
N
2
2021-03-01
Fixed
5.50000000
N
N
N
N
N
N
RZD CAPITAL PLC (RUSSIAN RAILWAYS) 5.70% 04/05/2022 REGS
635400VKMH1VQDFMW392
RZD CAPITAL PLC (RUSSIAN RAILWAYS) 5.70% 04/05/2022 REGS
G7722TAA9
17600000.00000000
PA
USD
18534560.00000000
0.473873287670
Long
LON
CORP
IE
N
2
2022-04-05
Fixed
5.70000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 09/25/24 14-HQ2 M2
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 09/25/24 14-HQ2 M2
3137G0CG2
4939704.87000000
PA
USD
4697549.18000000
0.120102288585
Long
ABS-CBDO
CORP
US
N
2
2024-09-25
Floating
2.68725000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 04/25/2029 2016-C06 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 04/25/2029 2016-C06 1M2
30711XDS0
2220000.00000000
PA
USD
2191780.69000000
0.056037279623
Long
ABS-CBDO
CORP
US
N
2
2029-04-25
Floating
4.73725000
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
5777330.01000000
0.147709056260
Long
ABS-CBDO
CORP
US
N
2
2030-10-20
Floating
3.28525000
N
N
N
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
16181894.10000000
0.413722654214
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
3.75000000
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
6798376.23000000
PA
USD
5518932.02000000
0.141102592170
Long
ABS-CBDO
CORP
US
N
2
2025-02-25
Floating
4.78725000
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
11831250.00000000
0.302489691406
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.25000000
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
14666485.72000000
0.374978192452
Long
ABS-CBDO
CORP
US
N
2
2024-04-25
Floating
4.08725000
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
4496.24000000
PA
USD
5338.06000000
0.000136478235
Long
ABS-MBS
USGA
US
N
2
2029-10-01
Fixed
7.50000000
N
N
N
N
N
N
Amplify Energy Corp COM USD.01
J0TW5YQRAZXYN7VEU787
Amplify Energy Corp COM USD.01
03212B103
5288.00000000
NS
USD
6980.16000000
0.000178461823
Long
EC
CORP
US
N
1
N
N
N
GINNIE MAE
N/A
GINNIE MAE
36179UGC0
11485899.42000000
PA
USD
11485899.42000000
0.293660109546
Short
RA
CORP
US
N
2
Repurchase
Y
0.00027655
2020-05-01
11485899.42498720
USD
11715617.50920280
USD
ADAS
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
118118.42000000
PA
USD
131118.10000000
0.003352297822
Long
ABS-MBS
USGA
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
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
992327.40000000
PA
USD
953130.47000000
0.024368696607
Long
LON
CORP
US
N
2
2025-07-17
Floating
3.06400000
N
N
N
N
N
N
GINNIE MAE
N/A
GINNIE MAE
3617HXQ83
296979.11000000
PA
USD
296979.11000000
0.007592867984
Short
RA
CORP
US
N
2
Repurchase
Y
0.00027655
2020-05-01
296979.11198643
USD
302918.69670099
USD
ADAS
N
N
N
N/A
N/A
ALLY FINANCIAL INC 5.00% 12/20/2024 CDS
000000000
-19800000.00000000
NC
USD
-2657415.71000000
-0.06794217500
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
777454.18000000
N
N
N
MILLENNIUM CORPORATE CLAIM TRUST ESRW USD NPV REF SM 574953
N/A
MILLENNIUM CORPORATE CLAIM TRUST ESRW USD NPV REF SM 574953
000000000
8736450.48000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
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
7942000.00000000
0.203053196335
Long
DBT
CORP
IE
N
2
2025-02-01
Fixed
6.00000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORP 2.5% 04/01/2050 FNL
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 2.5% 04/01/2050 FNL
01F022659
13500000.00000000
PA
USD
14058456.93000000
0.359432714075
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
2.50000000
N
N
N
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
963219.12000000
PA
USD
932968.26000000
0.023853209175
Long
LON
CORP
US
N
2
2023-06-28
Floating
4.57511000
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
31405WJX4
19016.12000000
PA
USD
21260.69000000
0.000543572281
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
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
4632728.47000000
PA
USD
3622925.70000000
0.092627378931
Long
LON
CORP
US
N
2
2044-06-15
Variable
14.312085
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
4186693.43000000
0.107041234328
Long
DBT
CORP
TR
N
2
2021-05-04
Fixed
2.37500000
N
N
N
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
2667974.66600000
PA
USD
13339.87000000
0.000341060594
Long
DBT
CORP
ZA
N
3
2022-12-31
Fixed
0.00000000
N
N
Y
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
3288210.00000000
0.084069699159
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.37500000
N
N
N
N
N
N
N/A
N/A
CDX.EM.31 1.00% 06/20/2024 CDX
000000000
11100000.00000000
NC
USD
-1012569.87000000
-0.02588838436
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
-761551.74000000
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
2083345.65000000
0.053264919831
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
4.11888000
N
N
N
N
N
N
Centene Corp 4.25% 12/15/2027 144A
549300Z7JJ4TQSQGT333
Centene Corp 4.25% 12/15/2027 144A
15135BAQ4
3000000.00000000
PA
USD
3152700.00000000
0.080605113584
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
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
119983.30000000
PA
USD
143275.77000000
0.003663133096
Long
ABS-MBS
USGA
US
N
2
2037-10-01
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
1160194.37000000
0.029662701485
Long
DBT
CORP
US
N
2
2037-11-30
Fixed
6.35000000
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
76984.01000000
PA
USD
88106.73000000
0.002252625679
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_20200914
000000000
1.00000000
NC
USD
-908902.23
-0.02323791273
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
38266343.32000000
USD
4000000000.00000000
JPY
2020-09-14
-908902.23000000
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
4398031.00000000
0.112444504171
Long
ABS-CBDO
CORP
US
N
2
2024-09-16
Floating
1.32400000
N
N
N
N
N
N
UNITED STATES TREASURY NOTE/BOND 7.125% 02/15/2023
254900HROIFWPRGM1V77
UNITED STATES TREASURY NOTE/BOND 7.125% 02/15/2023
912810EP9
3000000.00000000
PA
USD
3578085.93000000
0.091480960066
Long
DBT
UST
US
N
2
2023-02-15
Fixed
7.12500000
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
11617300.00000000
0.297019629538
Long
DBT
CORP
CA
N
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
FANNIE MAE 5.50% 07/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.50% 07/01/2035 FNMA 30
31371MCF2
87856.60000000
PA
USD
100533.79000000
0.002570348451
Long
ABS-MBS
USGA
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
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
23375222.11000000
0.597634546020
Long
DBT
CORP
US
N
2
2024-11-18
Fixed
3.80000000
N
N
N
N
N
N
Arconic Corp 6.5% 02/04/2027 Initial Term Loans
549300B4YFWH3U74B152
Arconic Corp 6.5% 02/04/2027 Initial Term Loans
03966BAB7
5930000.00000000
PA
USD
5900350.00000000
0.150854309619
Long
LON
CORP
US
N
2
2027-02-04
Floating
3.70000000
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
180551.19000000
PA
USD
206194.08000000
0.005271766181
Long
ABS-MBS
USGA
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Resideo Funding Inc 6.125% 11/01/2026 144A
5493000IFJ6XJKH66598
Resideo Funding Inc 6.125% 11/01/2026 144A
76119LAA9
9000000.00000000
PA
USD
7931700.00000000
0.202789856128
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
6.12500000
N
N
N
N
N
N
HARBOR FREIGHT TOOLS USA INC 4.37688% 08/19/2023 REFINANCING LOANS
549300Y48HLCFTTB4249
HARBOR FREIGHT TOOLS USA INC 4.37688% 08/19/2023 REFINANCING LOANS
41151PAM7
1524755.02000000
PA
USD
1452329.16000000
0.037131714690
Long
LON
CORP
US
N
2
2023-08-19
Floating
3.48938000
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
1792500.00000000
0.045828866083
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
CDX.NA.IG.33 1.00% 12/20/2024 CDX
000000000
68700000.00000000
NC
USD
576515.91000000
0.014739788247
N/A
DCR
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
MORGAN STANLEY & CO INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDX.NA.IG.33 1.00% 12/20/2024 CDX
CDXIG533
Y
2024-12-20
-1750903.52000000
USD
0.00000000
USD
68700000.00000000
USD
-416436.77000000
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
27283881.60000000
PA
USD
25451979.04000000
0.650731011979
Long
ABS-CBDO
CORP
US
N
2
2029-08-25
Floating
4.03725000
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
4954130.17000000
0.126662297416
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
3.93525000
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
46813.37000000
PA
USD
52019.74000000
0.001329989231
Long
ABS-MBS
USGA
US
N
2
2035-05-01
Fixed
5.50000000
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
5118242.03000000
0.130858147042
Long
ABS-CBDO
CORP
US
N
2
2031-04-25
Floating
2.84138000
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
-2210801.88000000
-0.05652359458
N/A
DCR
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
CITIBANK BESPOKE SINGAPORE JUNE-20 0-3% EQUITY T 06/20/2020 CDX
Y
2020-06-20
0.00000000
USD
1359400.00000000
USD
7000000.00000000
USD
-2074326.68000000
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
14140000.00000000
0.361517526591
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.12500000
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
13462333.45000000
PA
USD
11662843.53000000
0.298184041441
Long
ABS-CBDO
CORP
US
N
2
2023-10-25
Floating
5.73725000
N
N
N
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
California Health Facilities Financing Authority
13032UVM7
1965000.00000000
PA
USD
1911139.35000000
0.048862119574
Long
DBT
MUN
US
N
2
2034-06-01
Fixed
3.03400000
N
N
N
N
N
N
UPGRADE 4194 MARKETPLACE LOANS
N/A
UPGRADE 4194 MARKETPLACE LOANS
000000000
2889856.4200
PA
USD
2585709.78000000
0.066108868751
Long
LON
CORP
US
N
3
2023-07-19
None
26.108143
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
11483883.31000000
0.293608563641
Long
ABS-CBDO
CORP
KY
N
2
2026-10-18
Floating
4.08525000
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
3782416.00000000
0.096705069084
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
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
93.32200000
PA
USD
104.15000000
0.000002662804
Long
ABS-MBS
USGA
US
N
2
2025-12-01
Fixed
6.50000000
N
N
N
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
20641.42000000
PA
USD
23168.50000000
0.000592349279
Long
ABS-MBS
USGA
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
INDONESIA REPUBLIC OF 1.00% 12/20/2024 CDS
000000000
24700000.00000000
NC
USD
-967478.03000000
-0.02473552082
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2024-12-20
0.00000000
USD
0.00000000
USD
24700000.00000000
USD
-1117509.13000000
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
11513.00000000
PA
2294818.89000000
0.058671658351
Long
DBT
CORP
BR
N
2
2024-02-14
Floating
0.00000000
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
5056755.00000000
0.129286107509
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
INDONESIA GOVERNMENT 8.375% 09/15/2026
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375% 09/15/2026
Y20721AS8
363988000000.00000000
PA
25154919.49000000
0.643136087385
Long
DBT
NUSS
ID
N
2
2026-09-15
Fixed
8.37500000
N
N
N
N
N
N
Centurion Pipeline Co LLC 6.5% 09/28/2025 Initial Term Loans
54930040AX5IIFI80J88
Centurion Pipeline Co LLC 6.5% 09/28/2025 Initial Term Loans
15643YAC0
940000.00000000
PA
USD
829550.00000000
0.021209113450
Long
LON
CORP
US
N
2
2025-09-28
Floating
4.23938000
N
N
N
N
N
N
Cushman & Wakefield US Borrower LLC 6.5% 08/21/2025 Replacement Term Loan
N/A
Cushman & Wakefield US Borrower LLC 6.5% 08/21/2025 Replacement Term Loan
23340DAP7
3181257.12000000
PA
USD
2961976.25000000
0.075728877490
Long
LON
CORP
GB
N
2
2025-08-21
Floating
3.73938000
N
N
N
N
N
N
Centene Corp 3.375% 02/15/2030 144A
549300Z7JJ4TQSQGT333
Centene Corp 3.375% 02/15/2030 144A
15135BAU5
1400000.00000000
PA
USD
1416590.00000000
0.036217971215
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
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
299.49000000
PA
USD
303.73000000
0.000007765468
Long
ABS-MBS
USGA
US
N
2
2021-04-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
AUST 10Y BOND FUT Jun20 Jun 20 Future
000000000
261.00000000
NC
183929.46000000
0.004702526410
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
AUST 10Y BOND FUT Jun20 Jun 20 Future
AUST 10Y BOND FUT Jun20 Jun 20 Future
2020-06-15
38567256.18000000
AUD
183642.39000000
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
7345660.00000000
0.187806565373
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
4.75000000
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
17548.55000000
PA
USD
19249.66000000
0.000492156256
Long
ABS-MBS
USGA
US
N
2
2031-02-01
Fixed
5.00000000
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
35950597.57000000
0.919149300776
Long
ABS-CBDO
CORP
US
N
2
2024-08-08
Floating
1.29125000
N
N
N
N
N
N
N/A
N/A
USD_CAD_20200915
000000000
1.00000000
NC
USD
102771.33
0.002627555659
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
29000000.00000000
CAD
20941652.22000000
USD
2020-09-15
102771.33000000
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
0.000000
NS
USD
0.000000
0.0000
Long
EC
CORP
US
N
1
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
7102123.15000000
0.181580056204
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
9.99961200
N
N
N
N
N
N
ENQUEST PLC 7.00%/7.00% 10/15/2023 TOGG PIK 144A
2138008LJU6WFQWOXJ73
ENQUEST PLC 7.00%/7.00% 10/15/2023 TOGG PIK 144A
G315APAC2
10303551.00000000
PA
USD
3556785.81000000
0.090936379677
Long
DBT
CORP
GB
N
2
2022-04-15
Fixed
7.00000000
N
N
Y
N
N
N
Panama Notas del Tesoro 3.75% 04/17/2026 144A
549300SHS4T08CL0LP14
Panama Notas del Tesoro 3.75% 04/17/2026 144A
000000000
8200000.00000000
PA
USD
8351290.00000000
0.213517518008
Long
DBT
NUSS
PA
N
2
2026-04-17
Fixed
3.75000000
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
16315552.93000000
0.417139910906
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
2.78525000
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
2376.32000000
PA
USD
2384.55000000
0.000060965814
Long
ABS-MBS
USGA
US
N
2
2028-04-01
Fixed
7.00000000
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
10833343.90000000
0.276976215802
Long
DBT
CORP
US
N
2
2028-07-22
Variable
3.59100000
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
13249280.00000000
0.338744479117
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.75000000
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
11433520.00000000
0.292320924372
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.25000000
N
N
N
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
2484675.00000000
0.063525711483
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
6.62500000
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
610908.34000000
0.015619099862
Long
DBT
NUSS
ID
N
2
2024-09-15
Fixed
10.00000000
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
20883327.50000000
0.533924250692
Long
DBT
CORP
NL
N
2
2042-07-10
Fixed
6.95000000
N
N
N
N
N
N
Post Holdings Inc 4.625% 04/15/2030 144A
JM1I5YUAURL6DC8N1468
Post Holdings Inc 4.625% 04/15/2030 144A
737446AQ7
6700000.00000000
PA
USD
6607808.00000000
0.168941895640
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.62500000
N
N
N
N
N
N
INTERGEN NV 7.00% 06/30/2023 144A
549300E3XRGX2JMPEC79
INTERGEN NV 7.00% 06/30/2023 144A
45867XAG9
8600000.00000000
PA
USD
7675500.00000000
0.196239588072
Long
DBT
CORP
NL
N
2
2023-06-30
Fixed
7.00000000
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
13695381.04000000
0.350149949031
Long
DBT
NUSS
DO
N
2
2023-02-15
Fixed
8.90000000
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
22214.98000000
PA
USD
25394.56000000
0.000649262978
Long
ABS-MBS
USGA
US
N
2
2035-09-01
Fixed
5.50000000
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
64637.64000000
PA
USD
72686.74000000
0.001858382635
Long
ABS-MBS
USGA
US
N
2
2035-07-01
Fixed
6.00000000
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
7800000.00000000
PA
USD
8356764.00000000
0.213657471823
Long
DBT
CORP
HK
N
2
2025-03-14
Fixed
4.87500000
N
N
N
N
N
N
Battalion Oil Corp COM USD 0.0001
3XHTN2NNIMMPORDAMJ28
Battalion Oil Corp COM USD 0.0001
07134L107
2215.00000000
NS
USD
10853.50000000
0.000277491547
Long
EC
CORP
US
N
1
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
Air Products And Chemicals Inc 2.05% 05/15/2030
7QEON6Y1RL5XR3R1W237
Air Products And Chemicals Inc 2.05% 05/15/2030
009158BC9
3700000.00000000
PA
USD
3770639.36000000
0.096403975607
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.05000000
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
5924586.50000000
0.151473964466
Long
DBT
MUN
US
N
2
2029-08-01
Fixed
3.25000000
N
N
N
N
N
N
MHP LUX SA 6.95% 04/03/2026 144A
222100RHC7R1WZ1J3M44
MHP LUX SA 6.95% 04/03/2026 144A
59318YAA6
8000000.00000000
PA
USD
7462720.00000000
0.190799439607
Long
DBT
CORP
LU
N
2
2026-04-03
Fixed
6.95000000
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
4676.92000000
PA
USD
5493.18000000
0.000140444190
Long
ABS-MBS
USGA
US
N
2
2031-07-20
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
EURO-BUND FUTURE Jun20 Jun 20 Future
000000000
138.00000000
NC
-234370.22000000
-0.00599214584
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIESPLC
K6Q0W1PS1L1O4IQL9C32
Long
EURO-BUND FUTURE Jun20 Jun 20 Future
EURO-BUND FUTURE Jun20 Jun 20 Future
2020-06-08
24285240.00000000
EUR
-234486.03000000
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
6439225.00000000
0.164631732331
Long
DBT
CORP
US
N
2
2021-07-15
Floating
4.71888000
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
16428654.00000000
0.420031567136
Long
ABS-O
USGA
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
Weatherford International Ltd 11% 12/01/2024 144A
549300A2JKMG5PGOGF82
Weatherford International Ltd 11% 12/01/2024 144A
947075AP2
4591000.00000000
PA
USD
3380123.75000000
0.086419658958
Long
DBT
CORP
BM
N
2
2024-12-01
Fixed
11.00000000
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
10742220.00000000
0.274646450106
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.25000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-51 FRN 01/15/2045 2019-51 PT 144A
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-51 FRN 01/15/2045 2019-51 PT 144A
21055HAA0
6842590.76000000
PA
USD
5715967.09000000
0.146140189848
Long
LON
CORP
US
N
2
2045-01-15
Variable
17.71845
N
N
N
N
N
N
FANNIE MAE 6.50% 12/01/2028 FNMA
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.50% 12/01/2028 FNMA
31371HB72
3093.12000000
PA
USD
3507.32000000
0.000089671686
Long
ABS-MBS
USGA
US
N
2
2028-12-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
CDX.NA.HY.33 5.00% 12/20/2024 CDX
000000000
43120000.00000000
NC
USD
-2183201.04000000
-0.05581792362
N/A
DCR
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDX.NA.HY.33 5.00% 12/20/2024 CDX
CXPHY533
Y
2024-12-20
0.00000000
USD
603306.00000000
USD
43120000.00000000
USD
-1132923.57000000
N
N
N
FANNIE MAE 5.00% 05/01/2031 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.00% 05/01/2031 FNMA 30
31417YZQ3
22346.11000000
PA
USD
24512.17000000
0.000626702904
Long
ABS-MBS
USGA
US
N
2
2031-05-01
Fixed
5.00000000
N
N
N
N
N
N
Exelon Corp 4.05% 04/15/2030
3SOUA6IRML7435B56G12
Exelon Corp 4.05% 04/15/2030
30161NAX9
13400000.00000000
PA
USD
15311188.00000000
0.391461302329
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.05000000
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
69209.64000000
PA
USD
79269.08000000
0.002026673390
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
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
2716092.30000000
0.069442359992
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
3.16888000
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
2820105.74000000
PA
USD
2802766.49000000
0.071658359906
Long
ABS-CBDO
CORP
KY
N
2
2026-01-16
Floating
2.02613000
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
9187354.23000000
0.234893180844
Long
ABS-CBDO
CORP
US
N
2
2024-09-16
Floating
1.26400000
N
N
N
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
4953475.00000000
0.126645546678
Long
DBT
CORP
FR
N
2
N/A
Variable
5.62500000
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
161.40000000
PA
USD
162.25000000
0.000004148247
Long
ABS-MBS
USGA
US
N
2
2025-01-15
Fixed
9.00000000
N
N
N
N
N
N
N/A
N/A
USD_BRL_20200602
000000000
1.00000000
NC
USD
4992447.41
0.127641954688
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
119495000.00000000
BRL
26917532.04000000
USD
2020-06-02
4992447.41000000
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
15800000.00000000
PA
USD
17259312.65000000
0.441269025452
Long
DBT
CORP
VG
N
2
2027-05-04
Fixed
3.50000000
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
44.26000000
PA
USD
48.42000000
0.000001237954
Long
ABS-MBS
USGA
US
N
2
2026-01-01
Fixed
7.50000000
N
N
N
N
N
N
China Mengniu Dairy Co Ltd 4.25% 08/07/2023 REG S
2549005Q343BSJ8RSS21
China Mengniu Dairy Co Ltd 4.25% 08/07/2023 REG S
000000000
392000.00000000
PA
USD
420427.84000000
0.010749082943
Long
DBT
CORP
KY
N
2
2023-08-07
Fixed
4.25000000
N
N
N
N
N
N
REPUBLIC OF IRAQ 5.80% 01/15/2028 144A
N/A
REPUBLIC OF IRAQ 5.80% 01/15/2028 144A
462652AA6
29000000.00000000
PA
USD
21315000.00000000
0.544960825975
Long
ABS-O
USGA
IQ
N
2
2028-01-15
Fixed
5.80000000
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
5000000.00000000
PA
USD
4680611.70000000
0.119669247858
Long
ABS-CBDO
CORP
US
N
2
2030-10-24
Floating
2.47025000
N
N
N
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
1560.74000000
PA
USD
1740.38000000
0.000044496313
Long
ABS-MBS
USGA
US
N
2
2021-10-01
Fixed
6.50000000
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
18277.98000000
PA
USD
20566.33000000
0.000525819572
Long
ABS-MBS
USGA
US
N
2
2035-09-01
Fixed
5.50000000
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
18643031.14000000
0.476646570431
Long
ABS-CBDO
CORP
US
N
2
2028-04-25
Floating
5.18725000
N
N
N
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
11737875.00000000
0.300102371813
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
5.12500000
N
N
N
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
6596747.92000000
0.168659122460
Long
DBT
CORP
NL
N
2
2027-11-15
Fixed
3.85000000
N
N
N
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
6213480.00000000
0.158860107575
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
5.00000000
N
N
N
N
N
N
Upgrade Master Pass-Thru Trust 4.84612% 02/15/2026 144A 2019-PT2 A
54930089533DCF1JSH22
Upgrade Master Pass-Thru Trust 4.84612% 02/15/2026 144A 2019-PT2 A
91531XAB0
3713512.98000000
PA
USD
3453198.69000000
0.088287966706
Long
LON
CORP
US
N
3
2026-02-15
Floating
12.569977
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200723
000000000
1.00000000
NC
USD
612054.36
0.015648400167
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
36246948.96000000
EUR
40398855.73000000
USD
2020-07-23
612054.36000000
N
N
N
FANNIE MAE 3.418% 12/01/2034 FNMA ARM
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3.418% 12/01/2034 FNMA ARM
31406AGW6
101873.28000000
PA
USD
105059.07000000
0.002686046331
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Floating
3.41800000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20200806
000000000
1.00000000
NC
USD
-1377647.04
-0.03522231615
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
29000000.00000000
AUD
17523540.00000000
USD
2020-08-06
-1377647.04000000
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
46.19200000
PA
USD
51.06000000
0.000001305451
Long
ABS-MBS
USGA
US
N
2
2024-12-01
Fixed
9.00000000
N
N
N
N
N
N
N/A
N/A
JPMORGAN CHASE BANK NA IIS RCV INFL CPURNSA 01/15/29 USD
000000000
154400000.00000000
NC
USD
-10771232.73000000
-0.27538821887
N/A
DIR
N/A
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA IIS RCV INFL CPURNSA 01/15/29 USD
CPURNSA
Y
2029-01-15
0.00000000
USD
0.00000000
USD
154400000.00000000
USD
-10771426.29000000
N
N
N
Neon Holdings Inc 10.125% 04/01/2026 144A
N/A
Neon Holdings Inc 10.125% 04/01/2026 144A
64051NAA1
5000000.00000000
PA
USD
4529750.00000000
0.115812165210
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
10.12500000
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
5390163.75000000
0.137810372476
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
6.87500000
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
12554.13000000
PA
USD
13638.59000000
0.000348697971
Long
ABS-MBS
USGA
US
N
2
2026-01-01
Fixed
5.00000000
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
8917608.31000000
0.227996584111
Long
ABS-CBDO
CORP
KY
N
2
2027-07-23
Floating
2.54300000
N
N
N
N
N
N
N/A
N/A
CDX.NA.HY.33 5.00% 12/20/2024 CDX
000000000
18130000.00000000
NC
USD
-917997.21000000
-0.02347044418
N/A
DCR
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDX.NA.HY.33 5.00% 12/20/2024 CDX
CXPHY533
Y
2024-12-20
-1554313.12000000
USD
0.00000000
USD
18130000.00000000
USD
-2055686.70000000
N
N
N
Berry Global Inc 6.5% 07/01/2026 Term Y Loans
549300AP2Q7ERHX6RI89
Berry Global Inc 6.5% 07/01/2026 Term Y Loans
08579JBF8
2992462.30000000
PA
USD
2869229.71000000
0.073357625741
Long
LON
CORP
US
N
2
2026-07-01
Floating
2.82888000
N
N
N
N
N
N
CGNPC INTERNATIONAL LTD 3.75% 12/11/2027 REG S
3003007JIKH4XTQVZT05
CGNPC INTERNATIONAL LTD 3.75% 12/11/2027 REG S
Y12564AB9
3289000.00000000
PA
USD
3563190.08000000
0.091100117715
Long
DBT
CORP
HK
N
2
2027-12-11
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
USD_NZD_20200617
000000000
1.00000000
NC
USD
-367285.49
-0.00939039193
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
30600000.00000000
NZD
18393660.00000000
USD
2020-06-17
-367285.49000000
N
N
N
Proper Pass-Thru Trust III 7.18294% 05/15/2026 144A 2020-PT3 A
N/A
Proper Pass-Thru Trust III 7.18294% 05/15/2026 144A 2020-PT3 A
74360NAC2
1304418.00000000
PA
USD
1325764.54000000
0.033895835738
Long
LON
CORP
US
N
2
2026-05-15
Fixed
7.18294000
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
4320609.08000000
0.110465057140
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
3.36888000
N
N
N
N
N
N
Emerson Electric Co 2.75% 10/15/2050
FGLT0EWZSUIRRITFOA30
Emerson Electric Co 2.75% 10/15/2050
291011BM5
1800000.00000000
PA
USD
1754770.09000000
0.044864225082
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
2.75000000
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
16949.90000000
PA
USD
18890.68000000
0.000482978211
Long
ABS-MBS
USGA
US
N
2
2028-06-01
Fixed
6.50000000
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
121350.00000000
0.003102556708
Long
DBT
CORP
BM
N
3
2022-09-30
Fixed
8.25000000
N
Y
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
35675.40000000
PA
USD
38956.08000000
0.000995990501
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.50000000
N
N
N
N
N
N
CSX Corp 4.1% 03/15/2044
549300JVQR4N1MMP3Q88
CSX Corp 4.1% 03/15/2044
126408GY3
1600000.00000000
PA
USD
1855405.95000000
0.047437183158
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.10000000
N
N
N
N
N
N
N/A
N/A
NOK_USD_20200723
000000000
1.00000000
NC
USD
-3326417.25
-0.08504654431
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
28461094.05000000
USD
257400000.00000000
NOK
2020-07-23
-3326417.25000000
N
N
N
Enterprise Products Operating LLC 4.8% 02/01/2049
5493004LGN656HWLDA30
Enterprise Products Operating LLC 4.8% 02/01/2049
29379VBU6
1200000.00000000
PA
USD
1302645.35000000
0.033304747168
Long
DBT
CORP
US
N
2
2049-02-01
Fixed
4.80000000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
5230000.00000000
NC
USD
-3863515.31000000
-0.09877853598
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
3046039.17000000
USD
5230000.00000000
USD
-1594442.98000000
N
N
N
Anthem Inc 3.7% 09/15/2049
8MYN82XMYQH89CTMTH67
Anthem Inc 3.7% 09/15/2049
036752AK9
1400000.00000000
PA
USD
1525025.42000000
0.038990340723
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.70000000
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
35675.85000000
PA
USD
39284.85000000
0.001004396167
Long
ABS-MBS
USGA
US
N
2
2035-10-01
Fixed
5.50000000
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
21992214.90000000
0.562275186344
Long
DBT
NUSS
KZ
N
2
2044-10-14
Fixed
4.87500000
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
49894.76000000
PA
USD
59190.05000000
0.001513312621
Long
ABS-MBS
USGA
US
N
2
2036-10-01
Fixed
6.50000000
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
1371348.31000000
PA
USD
1307351.60000000
0.033425071910
Long
LON
CORP
US
N
2
2024-10-19
Floating
2.85900000
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
275512.15000000
0.007044021995
Long
EC
CORP
US
N
1
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
5001610.00000000
0.127876214722
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
Champ Acquisition Corp 6.5% 12/21/2025 Initial Term Loan
N/A
Champ Acquisition Corp 6.5% 12/21/2025 Initial Term Loan
15807EAC6
705483.46000000
PA
USD
633171.41000000
0.016188300003
Long
LON
CORP
US
N
2
2025-12-21
Floating
6.57200000
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
1992.75000000
PA
USD
2184.09000000
0.000055840651
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
6.50000000
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
14665500.00000000
0.374952990539
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
5.62500000
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
18829.67000000
PA
USD
20855.81000000
0.000533220710
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.00000000
N
N
N
N
N
N
Nabors Industries Ltd 7.25% 01/15/2026 144A
N/A
Nabors Industries Ltd 7.25% 01/15/2026 144A
629571AA8
6000000.00000000
PA
USD
2317500.00000000
0.059251546525
Long
DBT
CORP
BM
N
2
2026-01-15
Fixed
7.25000000
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
18187.64000000
PA
USD
21660.88000000
0.000553803943
Long
ABS-MBS
USGA
US
N
2
2031-10-20
Fixed
6.50000000
N
N
N
N
N
N
GINNIE MAE
N/A
GINNIE MAE
3617K8RA8
1167621.80000000
PA
USD
1167621.80000000
0.029852598665
Short
RA
CORP
US
N
2
Repurchase
Y
0.00027655
2020-05-01
1167621.80076331
USD
1190974.24650876
USD
ADAS
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
1352135.41000000
PA
USD
1318332.02000000
0.033705808422
Long
LON
CORP
US
N
2
2024-08-01
Floating
2.73938000
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
1794005.30600000
PA
USD
1640724.06000000
0.041948409051
Long
ABS-CBDO
CORP
US
N
2
2045-04-25
Variable
3.64778500
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
26777.94000000
PA
USD
29691.29000000
0.000759117519
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
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
2699.24000000
PA
USD
2821.47000000
0.000072136552
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
NZD_USD_20200617
000000000
1.00000000
NC
USD
500089.49
0.012785793175
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
18260856.00000000
USD
30600000.00000000
NZD
2020-06-17
500089.49000000
N
N
N
N/A
N/A
USD_AUD_20200727
000000000
1.00000000
NC
USD
-663199.53
-0.01695602925
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
29000000.00000000
AUD
18238100.00000000
USD
2020-07-27
-663199.53000000
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
-620274.48000000
-0.01585856406
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 3.20% 12/20/2020 CDX
Y
2020-12-20
0.00000000
USD
0.00000000
USD
3300000.00000000
USD
-620274.48000000
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
876225.36000000
0.022402462863
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
2.66013000
N
N
N
N
N
N
N/A
N/A
USD_AUD_20200908
000000000
1.00000000
NC
USD
-1487598.46
-0.03803344524
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
35100000.00000000
AUD
21388711.50000000
USD
2020-09-08
-1487598.46000000
N
N
N
Colombia Government International Bond 4.5% 03/15/2029
549300MHDRBVRF6B9117
Colombia Government International Bond 4.5% 03/15/2029
195325DP7
2800000.00000000
PA
USD
2842028.00000000
0.072662159339
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
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
10771468.80000000
0.275394254478
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
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
1754746.50000000
0.044863621957
Long
EC
CORP
US
N
3
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2030 2017-C05 1M2
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2030 2017-C05 1M2
30711XNX8
19497805.14100000
PA
USD
18255104.73000000
0.466728451885
Long
ABS-CBDO
CORP
US
N
2
2030-01-25
Floating
2.68725000
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
2027333.99000000
0.051832869139
Long
ABS-CBDO
CORP
US
N
2
2031-04-25
Floating
2.39138000
N
N
N
N
N
N
Bell Canada Inc 4.464% 04/01/2048
549300O5ZKB2MUUSKB97
Bell Canada Inc 4.464% 04/01/2048
0778FPAA7
1400000.00000000
PA
USD
1746167.81000000
0.044644290501
Long
DBT
CORP
CA
N
2
2048-04-01
Fixed
4.46400000
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
12300000.00000000
PA
USD
11121623.10000000
0.284346653097
Long
DBT
NUSS
BY
N
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
Costco Wholesale Corp 1.75% 04/20/2032
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp 1.75% 04/20/2032
22160KAQ8
2000000.00000000
PA
USD
1994312.80000000
0.050988616032
Long
DBT
CORP
US
N
2
2032-04-20
Fixed
1.75000000
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
7075499.00000000
PA
USD
6565831.70000000
0.167868687142
Long
ABS-CBDO
CORP
US
N
2
2029-11-25
Floating
3.33725000
N
N
N
N
N
N
Alloy Finco Limited 6.5% 03/06/2025 Term Loan B TOGG PIK
N/A
Alloy Finco Limited 6.5% 03/06/2025 Term Loan B TOGG PIK
000000000
2746713.7900
PA
USD
1339022.97000000
0.034234814155
Long
LON
CORP
US
N
2
2025-03-06
Floating
14.00000000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ARGENTINA 5.00% 12/20/2021 CDS
000000000
13500000.00000000
NC
USD
-9972745.05000000
-0.25497327608
N/A
DCR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-20
0.00000000
USD
7417500.00000000
USD
13500000.00000000
USD
-4387960.93000000
N
N
N
FANNIE MAE 6.00% 12/01/2035 FNMA 30
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 6.00% 12/01/2035 FNMA 30
31407YH51
77607.77000000
PA
USD
87795.09000000
0.002244657976
Long
ABS-MBS
USGA
US
N
2
2035-12-01
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
16583182.58000000
PA
USD
16980207.19000000
0.434133133262
Long
ABS-CBDO
CORP
US
N
2
2066-04-25
Variable
3.50000000
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
53.08000000
PA
USD
57.92000000
0.000001480841
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% 04/01/2030 FHLMC G30
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP 5.00% 04/01/2030 FHLMC G30
3128P7NM1
41375.75000000
PA
USD
45371.09000000
0.001160003128
Long
ABS-MBS
USGA
US
N
2
2030-04-01
Fixed
5.00000000
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
31403MMN6
20566.22000000
PA
USD
23396.26000000
0.000598172421
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
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
15697825.88000000
PA
USD
12642766.81000000
0.323237750100
Long
ABS-CBDO
CORP
US
N
2
2024-01-25
Floating
4.88725000
N
N
N
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL TRS RCV MARKIT IBOXX US PAY US0003M 09/20/20
000000000
23600000.00000000
NC
USD
-2459765.17000000
-0.06288884160
N/A
DCR
CORP
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2020-09-20
0.00000000
USD
251567.24000000
USD
23600000.00000000
USD
-2459765.17000000
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
15165750.00000000
0.387742887475
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.87500000
N
N
N
N
N
N
Millennium LENDER Claim Trust ESRW USD NPV REF SM 574953
N/A
Millennium LENDER Claim Trust ESRW USD NPV REF SM 574953
000000000
8736450.48000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
2020-05-30
Robert Kubilis
Robert Kubilis
Robert Kubilis
Chief Financial Officer, Chief Accounting Officer and Treasurer