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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 457756500 50875176.47700000 NS USD 50875176.48000000 1.300726164493 Long EC RF US N 1 N N N N/A N/A 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 45174J145 1.00000000 OU Warrants USD 7.02000000 0.000000179480 Long CORP US N 1 N N N N/A N/A 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 76964R104 84462.00000000 NS USD 233115.12000000 0.005960056689 Long EC CORP US N 1 N N N N/A N/A 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 03212B103 5288.00000000 NS USD 6980.16000000 0.000178461823 Long EC CORP US N 1 N N N GINNIE MAE N/A 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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