0001752724-22-274981.txt : 20221129 0001752724-22-274981.hdr.sgml : 20221129 20221129152158 ACCESSION NUMBER: 0001752724-22-274981 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20220930 FILED AS OF DATE: 20221129 DATE AS OF CHANGE: 20221129 PERIOD START: 20220930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GUGGENHEIM FUNDS TRUST CENTRAL INDEX KEY: 0000088525 IRS NUMBER: 000000000 FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-01136 FILM NUMBER: 221432306 BUSINESS ADDRESS: STREET 1: 702 KING FARM BOULEVARD STREET 2: SUITE 200 CITY: ROCKVILLE STATE: MD ZIP: 20850 BUSINESS PHONE: 301-296-5100 MAIL ADDRESS: STREET 1: 702 KING FARM BOULEVARD STREET 2: SUITE 200 CITY: ROCKVILLE STATE: MD ZIP: 20850 FORMER COMPANY: FORMER CONFORMED NAME: SECURITY EQUITY FUND DATE OF NAME CHANGE: 19920703 0000088525 S000043989 Guggenheim Macro Opportunities Fund C000136521 A-Class GIOAX C000136522 C-Class GIOCX C000136523 Institutional Class GIOIX C000152104 R6 C000155969 P GIOPX NPORT-P 1 primary_doc.xml NPORT-P false 0000088525 XXXXXXXX S000043989 C000136521 C000136522 C000136523 C000155969 C000152104 Guggenheim Funds Trust 811-01136 0000088525 54930033G24U3UGWK691 702 King Farm Blvd., Suite 200 Rockville 20850 301-296-5100 Guggenheim Macro Opportunities Fund S000043989 5493008Z4PZUFJR0MW94 2022-09-30 2022-09-30 N 7669008469.51 1512876947.77 6156131521.74 0.00000000 32349140.94000000 22982035.99000000 0.00000000 0.00000000 0.00000000 649071565.92000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 AUD CAD CZK EUR GBP HUF ILS JPY NOK PLN USD N Portfolio (ExDerivative) N/A Lehman XS Trust N/A 52522GAC8 4086771.61450000 PA USD 3907728.52000000 0.063477014846 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.44400000 N N N N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAD6 24100000.00000000 PA USD 20670088.00000000 0.335764236469 Long DBT CORP US N 2 2029-03-15 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 900000.00000000 NC -37776.31000000 -0.00061363714 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 541314.00000000 USD 900000.00000000 NZD 2022-10-11 -37776.31000000 N N N WEBER INC N/A N/A 422875.00000000 PA USD 338300.00000000 0.005495334185 Long LON CORP US N 3 2027-10-30 Variable 7.38000000 N N N N N N BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 N/A -1982040.16000000 PA USD -1982040.16000000 -0.03219619582 Short RA CORP US N 2 Reverse repurchase N 3.00000000 2022-10-03 2100000.00000000 USD 1977360.00000000 USD UST N N N WILTON RE LTD 5493004VQ9VSL29MT373 97263CAA9 31350000.00000000 PA USD 27291115.50000000 0.443315991603 Long DBT CORP CA N 2 N/A Variable 6.00000000 N N N N N N PARTNERRE FINANCE B LLC 549300O0FAGHK2F79881 70213BAC5 6460000.00000000 PA USD 5418922.36000000 0.088024798379 Long DBT CORP US N 2 2050-10-01 Variable 4.50000000 N N N N N N REINSURANCE GRP OF AMER LORM1GNEU1DKEW527V90 759351885 300400.00000000 NS USD 7555060.00000000 0.122724148652 Long EP CORP US N 2 N N N THUNDERBIRD 2022-1 N/A N/A 23707215.67900000 PA USD 0.24000000 0.000000003898 Long ABS-O CORP US N 2 2037-03-01 Fixed 0.35000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 18750000.00000000 NC 1337648.25000000 0.021728714620 N/A DIR GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 0.00000000 OU Notional Amount 0.00000000 0.00000000 DIR Sterling Overnight Interbank Average Rate SONIA 2047-04-12 0.00000000 GBP 0.00000000 GBP 0.00000000 GBP 18750000 1.58300000 GBP 2027-04-12 XXXX -1586354.54000000 N N N Castlelake Aircraft Securitiza N/A 14856GAB6 2538516.03360000 PA USD 2043378.48000000 0.033192573498 Long ABS-O CORP US N 2 2046-01-15 Fixed 6.65600000 N N N N N N Palmer Square Loan Funding Ltd N/A 69701CAG5 3400000.00000000 PA USD 3153729.16000000 0.051229073791 Long ABS-O CORP KY N 2 2030-04-15 Floating 4.92800000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -2480000.00000000 NC -4171.82000000 -0.00006776690 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2480000.00000000 EUR 2426833.76000000 USD 2022-10-06 -4171.82000000 N N N IXIS Real Estate Capital Trust N/A 45073DAC2 24315209.60600000 PA USD 6258144.09000000 0.101657088837 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.24400000 N N N N N N AI CONVOY & CY SCA N/A N/A 8324708.16000000 PA 7547147.95000000 0.122595625570 Long LON CORP LU N 2 2027-01-18 Variable 3.50000000 N N N N N N SBKSCP N/A SBKSCP682 807638.00000000 NS USD 7898618.88000000 0.128304907913 Long EC CORP US N 1 N N N AI CONVOY & CY SCA N/A N/A 8169469.09490000 PA USD 7893749.51000000 0.128225810025 Long LON CORP LU N 2 2027-01-18 Variable 5.05000000 N N N N N N GSAA Home Equity Trust N/A 362334BS2 10707407.49470000 PA USD 6062180.78000000 0.098473867210 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.68400000 N N N N N N FLAMINGO LUX I SARL N/A N/A 10000000.00000000 PA 8740468.49000000 0.141979885568 Long LON CORP FR N 2 2028-03-24 Variable 4.62000000 N N N N N N WOMENS CARE HOLDINGS INC N/A N/A 31501250.00000000 PA USD 29348769.59000000 0.476740457645 Long LON CORP US N 2 2028-01-17 Variable 7.87000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 11500000.00000000 NC 22626.59000000 0.000367545591 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Purchased N/A Foreign Exchange EUR/SEK 11500000 10.72250000 EUR 2022-10-20 XXXX -10866.33000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1400000.00000000 NC -55716.79000000 -0.00090506172 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1400000.00000000 EUR 14338693.60000000 NOK 2022-10-11 -55716.79000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -22032000.00000000 NC USD -1207087.67000000 -0.01960789280 N/A DIR US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2030-04-23 0.00000000 USD 0.00000000 USD 0.00000000 USD -22032000 2.70000000 USD 2025-04-17 XXXX -433764.47000000 N N N Firstkey Homes Trust N/A 33767JBC5 13550000.00000000 PA USD 12143574.09000000 0.197259822132 Long ABS-O CORP US N 2 2037-10-19 Fixed 4.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DK8 2850000.00000000 PA USD 2380138.83000000 0.038662897658 Long DBT CORP US N 2 2044-07-15 Fixed 4.50000000 N N N N N N AASET 2018-2 Trust N/A 04546KAA6 13791308.72040000 PA USD 11412739.63000000 0.185388170959 Long ABS-O CORP US N 2 2038-11-18 Fixed 4.45400000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251MAD6 10056044.53990000 PA USD 3242419.72000000 0.052669760360 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.40400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 970000.00000000 NC -25104.26000000 -0.00040779278 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 567805.99000000 USD 970000.00000000 NZD 2022-10-11 -25104.26000000 N N N IMAGEFIRST HOLDINGS LLC N/A N/A 8843097.22170000 PA USD 8356726.87000000 0.135746399187 Long LON CORP US N 2 2028-04-27 Variable 8.17000000 N N N N N N ARCONIC CORP 549300B4YFWH3U74B152 03966VAB3 2275000.00000000 PA USD 2189836.92000000 0.035571639628 Long DBT CORP US N 2 2025-05-15 Fixed 6.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 1070000.00000000 NC 16429.64000000 0.000266882537 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 1018338.26000000 CHF 1070000.00000000 EUR 2022-10-06 16429.64000000 N N N RASPRO TRUST N/A N/A 15020379.68000000 PA USD 13927920.43000000 0.226244685982 Long ABS-O CORP US N 2 2024-03-23 Floating 3.63500000 N N N N N N VIRGIN MEDIA VEND FIN IV 635400ZZNJSEA4CAJR23 92770QAA5 3650000.00000000 PA USD 2951937.50000000 0.047951176637 Long DBT CORP US N 2 2028-07-15 Fixed 5.00000000 N N N N N N Fortress Credit Opportunities 2549008RD44HDM6DNP14 34961JBG8 35000000.00000000 PA USD 31651322.50000000 0.514143052146 Long ABS-O CORP KY N 2 2033-10-15 Floating 5.31200000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BF3 2975000.00000000 PA USD 2097375.00000000 0.034069691211 Long DBT CORP US N 2 2031-02-15 Fixed 3.37500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 060505GB4 13850000.00000000 NS USD 11114625.00000000 0.180545606615 Long EP CORP US N 2 N N N Blue Whale Acquisition Corp. I N/A SBP818Y98 119424.00000000 NS USD 17818.06000000 0.000289435986 N/A DE US N 1 Blue Whale Acquisition Corp. N/A Call Purchased N/A Blue Whale Acquisition Corp. 119424 1.00000000 USD 2023-07-09 XXXX -508487.92000000 N N N Neuberger Berman CLO Ltd 5493007YBEOXQIHH3C54 64132DAQ1 11500000.00000000 PA USD 10190966.50000000 0.165541728015 Long ABS-O CORP KY N 2 2032-01-20 Floating 5.43800000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2240000.00000000 NC 100396.88000000 0.001630843649 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2401145.60000000 USD 2240000.00000000 GBP 2022-10-05 100396.88000000 N N N Sprite Limited N/A 85208UAA2 18484800.00000000 PA USD 15605175.01000000 0.253489954769 Long ABS-O CORP US N 2 2046-11-15 Fixed 3.75000000 N N N N N N Acres PLC N/A 00500JAJ2 8350000.00000000 PA USD 7925093.55000000 0.128734961590 Long ABS-O CORP KY N 2 2037-01-15 Floating 6.03900000 N N N N N N Home Equity Loan Trust N/A 43710XAA6 7301267.15440000 PA USD 6797795.87000000 0.110423174781 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.27400000 N N N N N N CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A -2778246.93000000 PA USD -2778246.93000000 -0.04512975267 Short RA CORP US N 2 Reverse repurchase N -1.25000000 N/A 3758000.00000000 USD 2931240.00000000 USD CDS N N N PECF USS INTERMEDIATE HOLDING II CORPORATION N/A N/A 7940000.00000000 PA USD 6755590.20000000 0.109737587251 Long LON CORP US N 2 2028-12-15 Variable 7.37000000 N N N N N N CONFLUENT HEALTH LLC N/A N/A 4544860.62440000 PA USD 3976753.05000000 0.064598247064 Long LON CORP US N 3 2028-11-30 Variable 7.12000000 N N N N N N Firstkey Homes Trust N/A 33767JBE1 13250000.00000000 PA USD 12021143.59000000 0.195271065076 Long ABS-O CORP US N 2 2037-10-19 Fixed 4.50000000 N N N N N N API GROUP DE INC 549300XP4G7B4QYA0G83 00185PAA9 3800000.00000000 PA USD 3148877.22000000 0.051150259036 Long DBT CORP US N 2 2029-10-15 Fixed 4.75000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -2400000.00000000 NC -586.26000000 -0.00000952318 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written N/A Foreign Exchange GBP/CAD -2400000 1.49050000 GBP 2022-10-03 XXXX 10772.80000000 N N N SAVERGLASS SAS N/A N/A 3700000.00000000 PA 3173086.35000000 0.051543511356 Long LON CORP FR N 2 2029-02-19 Variable 5.09000000 N N N N N N EG GROUP LTD 2138003OUK4UQHRJLT65 N/A 955000.00000000 PA 918505.09000000 0.014920166776 Long LON CORP GB N 2 2025-02-07 Variable 7.06000000 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 29452E408 616000.00000000 NS USD 10318000.00000000 0.167605256053 Long EP CORP US N 2 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1090000.00000000 NC 37274.00000000 0.000605477642 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 11230164.27000000 NOK 1090000.00000000 EUR 2022-10-11 37274.00000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 490000.00000000 NC -2082.34000000 -0.00003382546 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 276230.64000000 USD 490000.00000000 NZD 2022-10-11 -2082.34000000 N N N DHANANI GROUP INC N/A N/A 14700000.00000000 PA USD 14553000.00000000 0.236398458164 Long LON CORP US N 3 2027-06-10 Variable 8.85000000 N N N N N N FS Rialto Issuer Ltd N/A 30327MAG9 6950000.00000000 PA USD 6816123.54000000 0.110720888855 Long ABS-O CORP US N 2 2037-06-19 Floating 6.84400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -4220000.00000000 NC USD -6182.38000000 -0.00010042637 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 4220000.00000000 USD 609329598.00000000 JPY 2022-10-13 -6182.38000000 N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDG2 975000.00000000 PA USD 852117.31000000 0.013841765839 Long DBT CORP US N 2 2028-06-15 Fixed 4.62500000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -1960000.00000000 NC USD -4006.72000000 -0.00006508502 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 1960000.00000000 USD 2700809.44000000 CAD 2022-10-12 -4006.72000000 N N N WATERLOGIC GROUP HOLDINGS LIMITED N/A N/A 1980000.00000000 PA USD 1940400.00000000 0.031519794421 Long LON CORP US N 2 2028-08-17 Variable 7.87000000 N N N N N N BREITLING HOLDINGS SARL N/A N/A 13900000.00000000 PA 12312187.59000000 0.199998774336 Long LON CORP LU N 2 2028-10-25 Variable 4.62000000 N N N N N N FIRSTDIGITAL COMMUNICATIONS LLC N/A N/A 10550000.00000000 PA USD 10328560.78000000 0.167776805019 Long LON CORP US N 3 2026-12-17 Variable 7.31000000 N N N N N N WAMU Asset-Backed Certificates N/A 92926SAE6 24259884.77900000 PA USD 9643597.74000000 0.156650287700 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.44400000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 11300000.00000000 NC 2.44000000 0.000000039635 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Purchased N/A Foreign Exchange EUR/NOK 11300000 9.74450000 EUR 2022-10-07 XXXX -54723.72000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -3950000.00000000 NC USD -26611.40000000 -0.00043227471 N/A DFE JP N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 3950000.00000000 USD 562804690.00000000 JPY 2022-12-19 -26611.40000000 N N N QORVO INC 254900YAUJV2EUEVBR11 74736KAH4 11220000.00000000 PA USD 9611388.60000000 0.156127083478 Long DBT CORP US N 2 2029-10-15 Fixed 4.37500000 N N N N N N Babson CLO Ltd 549300SCEOLR3BTPYX35 05618HAE5 11900000.00000000 PA USD 742560.00000000 0.012062120462 Long ABS-O CORP KY N 2 2025-07-20 None 0.00000000 N N N N N N HIGGINBOTHAM INSURANCE AGENCY INC N/A N/A 845425.46820000 PA USD 824458.92000000 0.013392483852 Long LON CORP US N 3 2026-11-25 Variable 8.37000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 730000.00000000 NC -10523.38000000 -0.00017094144 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 477525.85000000 USD 730000.00000000 AUD 2022-10-11 -10523.38000000 N N N Long Beach Mortgage Loan Trust N/A 542514RL0 3797012.92730000 PA USD 3259057.45000000 0.052940023105 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.46400000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -6.00000000 NC USD -17940.00000000 -0.00029141677 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -600 1670.00000000 USD 2022-10-26 XXXX -7153.92000000 N N N TGP HOLDINGS III LLC N/A N/A 6552.89000000 PA USD 5131.76000000 0.000083360142 Long LON CORP US N 2 2028-06-29 Variable 6.37000000 N N N N N N ONEX CORPORATION N/A N/A 538794.37380000 PA USD 371768.12000000 0.006038989236 Long LON CORP US N 2 2024-10-01 Variable 14.42000000 N N Y N N N ARMOR PARENT CORP 549300MC6XO5P96H8E79 N/A 6980057.78210000 PA USD 5970881.03000000 0.096990797043 Long LON CORP US N 2 2023-11-17 Variable 8.92000000 N N N N N N Morgan Stanley Capital Inc N/A 61750SAF9 19748433.30000000 PA USD 9624813.69000000 0.156345160203 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.30400000 N N N N N N SERVICE LOGIC ACQUISITION INC N/A N/A 11979524.03130000 PA USD 11215829.37000000 0.182189567107 Long LON CORP US N 2 2027-10-29 Variable 6.81000000 N N N N N N PARTNERRE LTD 7LLHQS68KCIGNZBR7918 EP0597732 208352.00000000 NS USD 3925351.68000000 0.063763284883 Long EP CORP BM N 2 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 769.00000000 NC USD 19467235.00000000 0.316225131501 N/A DE US N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased S&P 500 INDEX US78378X1072 76900 3800.00000000 USD 2022-11-18 XXXX 9023479.84000000 N N N ATLAS CC ACQUISITION CORP N/A N/A 2662329.06310000 PA USD 2328206.77000000 0.037819314967 Long LON CORP US N 2 2028-05-25 Variable 7.32000000 N N N N N N LCPR SR SECURED FIN DAC 549300LE5FM8IKMXSP90 50201DAA1 5400000.00000000 PA USD 4482000.00000000 0.072805462069 Long DBT CORP US N 2 2027-10-15 Fixed 6.75000000 N N N N N N ARGOS HOLDINGS INC N/A N/A 7425000.00000000 PA USD 7010462.25000000 0.113877720533 Long LON CORP US N 2 2028-02-11 Variable 6.87000000 N N N N N N SPORTRADAR MANAGEMENT LTD N/A N/A 5552380.95000000 PA 5108593.18000000 0.082983821283 Long LON CORP LU N 2 2027-11-22 Variable 4.21000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCK7 3310000.00000000 PA USD 2538902.10000000 0.041241843047 Long DBT CORP US N 2 2031-02-01 Fixed 4.25000000 N N N N N N HARBOURVEST STRUCTURED SOLUTIONS IV HOLDINGS LP N/A N/A 12900000.00000000 PA 12640343.98000000 0.205329336050 Long ABS-O CORP US N 3 2026-09-15 Variable 2.58200000 N N N N N N LOIRE FINCO LUXEMBOURG SARL N/A N/A 10639009.12730000 PA USD 9965240.68000000 0.161875045144 Long LON CORP LU N 2 2027-04-21 Variable 6.87000000 N N N N N N KKR SIGMA AGGREGATOR LP N/A N/A 12019549.44000000 PA 9401471.75000000 0.152717201001 Long LON CORP NL N 2 2025-07-02 Variable 3.74000000 N N N N N N Morgan Stanley ReRemic Trust N/A 61759HBA4 568087.16280000 PA USD 509072.51000000 0.008269357277 Long ABS-MBS CORP US N 2 2036-06-26 Variable 2.39700000 N N N N N N BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A -17017335.91000000 PA USD -17017335.91000000 -0.27642905045 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 18763000.00000000 USD 16742224.90000000 USD CDS N N N COMPASS MINERALS INTERNA 2549008X9G8XP7YJGC47 20451NAG6 2634000.00000000 PA USD 2475367.35000000 0.040209786637 Long DBT CORP US N 2 2027-12-01 Fixed 6.75000000 N N N N N N WABASH NATIONAL CORP 5299004ZAWHQZI5XO485 929566AL1 9100000.00000000 PA USD 7054365.50000000 0.114590883497 Long DBT CORP US N 2 2028-10-15 Fixed 4.50000000 N N N N N N MIDCAP FUNDING XLVI TRUST N/A N/A 43400000.00000000 PA USD 43277258.29000000 0.702994374586 Long DBT CORP US N 3 2023-11-22 Variable 6.15600000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1870000.00000000 NC -9332.40000000 -0.00015159520 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1205626.40000000 USD 1870000.00000000 AUD 2022-10-11 -9332.40000000 N N N GSAA Home Equity Trust N/A 36249BAD2 498724.44250000 PA USD 480291.79000000 0.007801844198 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.62400000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 3800000.00000000 NC 109572.25000000 0.001779888061 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased N/A Foreign Exchange EUR/AUD 3800000 1.48100000 EUR 2022-10-11 XXXX 64709.45000000 N N N Guggenheim Partners Investment Management LLC N/A N/A 749178.41700000 NS USD 17957806.66000000 0.291706026691 Long EC RF US N 1 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2100000.00000000 NC 1713.24000000 0.000027829814 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2100000.00000000 EUR 22860427.80000000 SEK 2022-10-06 1713.24000000 N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZX9 14155000.00000000 PA USD 14246328.48000000 0.231416895979 Long DBT CORP US N 2 2025-05-01 Fixed 7.00000000 N N N N N N Onslow Bay Financial LLC N/A 67117YAC8 4900000.00000000 PA USD 4783580.12000000 0.077704319719 Long ABS-MBS CORP US N 2 2062-09-25 Variable 6.10000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 500000.00000000 NC 34252.69000000 0.000556399581 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 4964700.00000000 NOK 500000.00000000 EUR 2022-10-11 34252.69000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06055HAB9 5800000.00000000 NS USD 5481000.00000000 0.089033185542 Long EP CORP US N 2 N N N CARRIAGE SERVICES INC N/A 143905AP2 4575000.00000000 PA USD 3618021.26000000 0.058771019547 Long DBT CORP US N 2 2029-05-15 Fixed 4.25000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CB3 6950000.00000000 PA USD 4303227.96000000 0.069901494872 Long DBT CORP US N 2 2051-07-15 Fixed 3.50000000 N N N N N N GREAT LAKES DREDGE&DOCK 549300H65E3MZ1CX0P05 390607AF6 15785000.00000000 PA USD 12163857.86000000 0.197589311031 Long DBT CORP US N 2 2029-06-01 Fixed 5.25000000 N N N N N N Sapphire Aviation Finance I Li N/A 80307AAB5 9117554.96950000 PA USD 5628646.88000000 0.091431556654 Long ABS-O CORP US N 2 2040-03-15 Fixed 4.33500000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A -22063683.87000000 PA USD -22063683.87000000 -0.35840176240 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 25120000.00000000 USD 23580144.00000000 USD AMBS N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AG2 11025000.00000000 PA USD 8434125.00000000 0.137003651891 Long DBT CORP US N 2 2030-07-15 Fixed 4.37500000 N N N N N N Guggenheim Partners Investment Management LLC N/A N/A 726829.61200000 NS USD 17458447.28000000 0.283594449182 Long EC RF US N 1 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -218000000.00000000 NC 22300.67000000 0.000362251357 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 218000000.00000000 HUF 523350.56000000 USD 2022-11-02 22300.67000000 N N N CEAMER FINANCE II LLC N/A N/A 11050000.00000000 PA USD 10595134.60000000 0.172107021472 Long DBT CORP US N 3 2038-05-15 Fixed 6.92000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 420000.00000000 NC -6863.26000000 -0.00011148657 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 241847.51000000 USD 420000.00000000 NZD 2022-10-11 -6863.26000000 N N N ACI WORLDWIDE INC 5493003BPVMZUJ6F5C02 004498AB7 400000.00000000 PA USD 377880.00000000 0.006138270416 Long DBT CORP US N 2 2026-08-15 Fixed 5.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -780000.00000000 NC -14703.14000000 -0.00023883732 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 780000.00000000 EUR 749887.32000000 USD 2022-10-06 -14703.14000000 N N N BMO Capital Markets Corp., New York Branch RUC0QBLBRPRCU4W1NE59 N/A -10079773.68000000 PA USD -10079773.68000000 -0.16373551546 Short RA CORP US N 2 Reverse repurchase N 3.30000000 N/A 11760000.00000000 USD 9805488.00000000 USD CDS N N N Dryden Senior Loan Fund 5493008NBEE3C4AF3K95 262430AA9 7895000.00000000 PA USD 3436693.50000000 0.055825537317 Long ABS-O CORP KY N 2 2030-07-15 None 0.00000000 N N N N N N TK ELEVATOR US NEWCO INC 549300C2AFWPAYWS5574 92537RAA7 3000000.00000000 PA USD 2550630.00000000 0.041432350673 Long DBT CORP US N 2 2027-07-15 Fixed 5.25000000 N N N N N N FIRST BRANDS GROUP LLC N/A N/A 7411876.26260000 PA USD 7107989.34000000 0.115461947408 Long LON CORP US N 2 2027-03-30 Variable 8.37000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XG2D0 3370368.86350000 PA USD 3152257.67000000 0.051205170956 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2240000.00000000 NC -70.36000000 -0.00000114292 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 24364959.36000000 SEK 2240000.00000000 EUR 2022-10-06 -70.36000000 N N N EP PURCHASER LLC N/A N/A 1492500.00000000 PA USD 1452202.50000000 0.023589530127 Long LON CORP US N 2 2028-11-06 Variable 7.17000000 N N N N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAB4 64805825.30690000 PA USD 4673938.69000000 0.075923307900 Long ABS-MBS USGSE US N 2 2055-11-25 Variable 0.70000000 N N N N N N Blackstone Strategic Credit Fu 549300YESIF051NRED20 09257R101 1225934.00000000 NS USD 13031678.42000000 0.211686159952 Long EC RF US N 1 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2070000.00000000 NC 11847.11000000 0.000192444069 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2070000.00000000 EUR 22646567.97000000 SEK 2022-10-06 11847.11000000 N N N Firstkey Homes Trust N/A 33767JBA9 8550000.00000000 PA USD 7547996.86000000 0.122609415236 Long ABS-O CORP US N 2 2037-10-19 Fixed 3.36600000 N N N N N N MIRABELA NICKEL LTD N/A N/A 1885418.00000000 PA USD 94270.90000000 0.001531333430 Long DBT CORP AU Y 2 2019-06-24 Variable 9.50000000 Y N N N N N TARGA RESOURCES PARTNERS N/A 87612BBS0 5000000.00000000 PA USD 4300000.00000000 0.069849059995 Long DBT CORP US N 2 2031-02-01 Fixed 4.87500000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -8878583.00000000 NC 212437.71000000 0.003450831244 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 8878583.00000000 CAD 6642528.05000000 USD 2022-10-12 212437.71000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2120000.00000000 NC -2233.77000000 -0.00003628528 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 23083740.84000000 SEK 2120000.00000000 EUR 2022-10-06 -2233.77000000 N N N Security Investors LLC N/A N/A 1010530.67200000 NS USD 24848949.22000000 0.403645522066 Long EC RF US N 1 N N N HAH GROUP HOLDING CO LLC N/A N/A 1366749.95050000 PA USD 1298412.45000000 0.021091369562 Long LON CORP US N 2 2027-10-29 Variable 8.71000000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 57763RAA5 6550000.00000000 PA USD 6222500.00000000 0.101078087399 Long DBT CORP US N 2 2024-04-15 Fixed 8.50000000 N N N N N N PARADOCS HOLDING SARL N/A N/A 10342500.00000000 PA USD 9954656.25000000 0.161703112008 Long LON CORP LU N 2 2028-02-17 Variable 6.75000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 800000.00000000 NC 8262.55000000 0.000134216593 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 775932.80000000 USD 800000.00000000 EUR 2022-10-06 8262.55000000 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -19250000.00000000 NC -343540.71000000 -0.00558046410 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written N/A Foreign Exchange EUR/CHF -19250000 0.98150000 EUR 2022-10-04 XXXX -145159.19000000 N N N DERMATOLOGY INTERMEDIATE HOLDINGS III INC N/A N/A -888409.44860000 PA USD -44420.47000000 -0.00072156466 Short LON CORP US N 3 2029-04-02 Variable 4.00000000 N N N N N N TCP Waterman CLO LLC 549300YFKQJL35BDIM44 87233GAG5 4981633.35020000 PA USD 4984153.06000000 0.080962420026 Long ABS-O CORP US N 2 2028-12-15 Floating 6.29300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KPGG7 8259665.94600000 PA USD 7683988.37000000 0.124818456897 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KPMJ4 23126229.89480000 PA USD 21563029.73000000 0.350269152857 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06055H400 736000.00000000 NS USD 13454080.00000000 0.218547637464 Long EP CORP US N 2 N N N PENN ENTERTAINMENT INC N/A 707569AV1 6975000.00000000 PA USD 5339049.60000000 0.086727347866 Long DBT CORP US N 2 2029-07-01 Fixed 4.12500000 N N N N N N MB2 DENTAL SOLUTIONS LLC N/A N/A 7686321.65710000 PA USD 7540008.22000000 0.122479648028 Long LON CORP US N 3 2027-01-29 Variable 9.70000000 N N N N N N CENGAGE LEARNING INC 549300BYGM0FWUSVXJ88 15137NAA1 5039000.00000000 PA USD 4724062.50000000 0.076737517437 Long DBT CORP US N 2 2024-06-15 Fixed 9.50000000 N N N N N N New York Mortgage Trust N/A 62956BAA7 14204925.01260000 PA USD 13608247.14000000 0.221051923467 Long ABS-MBS CORP US N 2 2062-07-25 Variable 5.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CED9 22052000.00000000 PA USD 20765058.95000000 0.337306941488 Long DBT UST US N 2 2025-03-15 Fixed 1.75000000 N N N N N N CP ATLAS BUYER INC N/A N/A 20543462.45580000 PA USD 17811181.95000000 0.289324259676 Long LON CORP US N 2 2027-11-23 Variable 6.62000000 N N N N N N BASIC ENERGY SERVICES INC N/A N/A 1438000.00000000 PA USD 39545.00000000 0.000642367692 Long DBT CORP US N 3 2023-10-15 Fixed 10.75000000 Y N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAM8 5725000.00000000 PA USD 4974339.66000000 0.080803011476 Long DBT CORP US N 2 2045-07-15 Fixed 5.20000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 3900000.00000000 NC 89998.23000000 0.001461928317 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Purchased N/A Foreign Exchange EUR/AUD 3900000 1.49500000 EUR 2022-10-19 XXXX 43784.70000000 N N N ASSURANT INC H3F39CAXWQRVWURFXL38 04621X306 258000.00000000 NS USD 5490240.00000000 0.089183279801 Long EP CORP US N 2 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1330000.00000000 NC 15076.45000000 0.000244901362 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1330000.00000000 NZD 759193.26000000 USD 2022-10-11 15076.45000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 2380000.00000000 NC -5223.12000000 -0.00008484419 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 1527779.12000000 USD 2380000.00000000 AUD 2022-10-11 -5223.12000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1030000.00000000 NC -40004.16000000 -0.00064982627 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1030000.00000000 EUR 10559931.83000000 NOK 2022-10-11 -40004.16000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 3720000.00000000 NC 67399.65000000 0.001094837720 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 3579108.72000000 USD 3720000.00000000 EUR 2022-10-06 67399.65000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1410000.00000000 NC -14027.64000000 -0.00022786452 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 802903.35000000 USD 1410000.00000000 NZD 2022-10-11 -14027.64000000 N N N Bank of Montreal, Chicago Branch NQQ6HPCNCCU6TUTQYE16 N/A -20999995.83000000 PA USD -20999995.83000000 -0.34112324851 Short RA CORP US N 2 Reverse repurchase N -0.35000000 2022-10-03 21320000.00000000 USD 20936240.00000000 USD UST N N N BOYNE USA INC N/A 103557AC8 11310000.00000000 PA USD 9474775.61000000 0.153907946517 Long DBT CORP US N 2 2029-05-15 Fixed 4.75000000 N N N N N N PLANVIEW PARENT INC N/A N/A 23088749.79460000 PA USD 21818868.56000000 0.354424990482 Long LON CORP US N 2 2027-12-17 Variable 7.67000000 N N N N N N Voya CLO Ltd N/A 44986TAB8 28970307.00000000 PA USD 5536225.67000000 0.089930269528 Long ABS-O CORP KY N 2 2030-10-15 None 0.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 800000.00000000 NC 34364.67000000 0.000558218580 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 1186880.00000000 CAD 800000.00000000 GBP 2022-10-27 34364.67000000 N N N PFP III N/A 69290LAL1 1789910.67860000 PA USD 1694147.95000000 0.027519684139 Long ABS-O CORP KY N 2 2038-04-14 Floating 5.93900000 N N N N N N Commodity Exchange, Inc. N/A N/A -84.00000000 NC USD 429980.92000000 0.006984596064 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Short N/A Gold 100 oz. 2022-12-28 -14456300.92000000 USD 429980.92000000 N N N Alliance Bancorp Trust N/A 01852TAA1 2096075.61840000 PA USD 1763145.45000000 0.028640477283 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.56400000 N N N N N N Residential Accredit Loans, In N/A 75114NAA2 30690871.00880000 PA USD 7277539.03000000 0.118216107051 Long ABS-MBS CORP US N 2 2046-06-25 Floating 3.44400000 N N N N N N EISNER ADVISORY GROUP N/A N/A 10950000.00000000 PA USD 10621500.00000000 0.172535300171 Long LON CORP US N 2 2028-07-28 Variable 10.50000000 N N N N N N THUNDERBIRD 2022-1 N/A N/A 11456705.88000000 PA USD 11456705.88000000 0.186102357292 Long ABS-O CORP US N 3 2037-03-01 Fixed 5.50000000 N N N N N N BEACON ROOFING SUPPLY IN 549300HDXQWWCBOYXP31 073685AH2 4589000.00000000 PA USD 3716676.99000000 0.060373580013 Long DBT CORP US N 2 2029-05-15 Fixed 4.12500000 N N N N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 008911BJ7 3550000.00000000 PA 2166107.80000000 0.035186184576 Long DBT CORP CA N 3 2029-08-15 Fixed 4.62500000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -19000000.00000000 NC -136708.75000000 -0.00222069248 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange EUR/JPY -19000000 143.15000000 EUR 2022-10-18 XXXX 162606.32000000 N N N HSI Asset Securitization Corpo N/A 40430FAD4 6098205.15690000 PA USD 4481325.82000000 0.072794510711 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.27400000 N N N N N N MCGRAW-HILL EDUCATION N/A 57767XAB6 26800000.00000000 PA USD 22002130.00000000 0.357401883346 Long DBT CORP US N 2 2029-08-01 Fixed 8.00000000 N N N N N N STRIP PRINC 254900HROIFWPRGM1V77 912803GA5 164620000.00000000 PA USD 56778211.71000000 0.922303422360 Long DBT UST US N 2 2051-08-15 None 0.00000000 N N N N N N Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A -7991759.37000000 PA USD -7991759.37000000 -0.12981787900 Short RA CORP US N 2 Reverse repurchase N 3.30000000 N/A 9407000.00000000 USD 8055214.10000000 USD CDS N N N GALLS N/A N/A 452301.17080000 PA USD 436470.63000000 0.007090014702 Long LON CORP US N 3 2024-01-31 Variable 9.60000000 N N N N N N KDAC Aviation Finance Limited N/A 48244XAA0 40778018.29220000 PA USD 31212208.82000000 0.507010103825 Long ABS-O CORP KY N 2 2042-12-15 Fixed 4.21200000 N N N N N N COGENT COMMUNICATIONS GR 549300KFWFYF8Q1U0Y26 19240CAE3 3750000.00000000 PA USD 3526710.75000000 0.057287774595 Long DBT CORP US N 2 2027-06-15 Fixed 7.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1250000.00000000 NC USD 3986.32000000 0.000064753652 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 180177000.00000000 JPY 1250000.00000000 USD 2022-10-13 3986.32000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2580000.00000000 NC -64807.67000000 -0.00105273368 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2580000.00000000 EUR 26836437.60000000 NOK 2022-10-11 -64807.67000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 8835875.00000000 NC -60628.85000000 -0.00098485306 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 9018788.66000000 USD 8835875.00000000 CHF 2022-10-06 -60628.85000000 N N N AMERICAN ROCK SALT COMPANY LLC N/A N/A 2718609.88660000 PA USD 2503377.54000000 0.040664783251 Long LON CORP US N 2 2028-06-09 Variable 7.12000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -3740000.00000000 NC -71952.47000000 -0.00116879357 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3740000.00000000 EUR 39141863.86000000 NOK 2022-10-11 -71952.47000000 N N N CARPENTER TECHNOLOGY DX6I6ZD3X5WNNCDJKP85 144285AL7 8315000.00000000 PA USD 7711331.00000000 0.125262609688 Long DBT CORP US N 2 2028-07-15 Fixed 6.37500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 620000.00000000 NC -16052.22000000 -0.00026075173 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 362933.74000000 USD 620000.00000000 NZD 2022-10-11 -16052.22000000 N N N TREASURY BILL 254900HROIFWPRGM1V77 912796XR5 3600000.00000000 PA USD 3567442.64000000 0.057949422090 Long DBT UST US N 2 2023-01-12 None 0.00000000 N N N N N N KKR CORE HOLDING COMPANY LLC N/A N/A 19096299.56000000 PA USD 16341416.97000000 0.265449445196 Long ABS-O CORP US N 3 2031-08-12 Fixed 4.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A -19900000.00000000 NC -259496.55000000 -0.00421525350 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Written N/A Foreign Exchange EUR/GBP -19900000 0.87680000 EUR 2022-10-20 XXXX -70142.87000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 970000.00000000 NC 28224.23000000 0.000458473473 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 10047662.55000000 NOK 970000.00000000 EUR 2022-10-11 28224.23000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 3160000.00000000 NC 35341.03000000 0.000574078540 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 3020429.12000000 CHF 3160000.00000000 EUR 2022-10-06 35341.03000000 N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BJ3 18700000.00000000 NS USD 13736704.34000000 0.223138578041 Long EP CORP US N 2 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 215092817.00000000 NC -123122.23000000 -0.00199999349 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 19507703.53000000 USD 215092817.00000000 SEK 2022-10-06 -123122.23000000 N N N SOVOS BRANDS HOLDINGS INC N/A N/A 3775696.91520000 PA USD 3592575.61000000 0.058357681237 Long LON CORP US N 2 2028-08-11 Variable 7.62000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -5230589.21000000 PA USD -5230589.21000000 -0.08496552082 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 14620000.00000000 USD 5042438.00000000 USD UST N N N SLAM 2021-1 LLC N/A 78449AAC6 3318840.00000000 PA USD 2632266.59000000 0.042758452783 Long ABS-O CORP US N 2 2046-06-15 Fixed 3.42200000 N N N N N N CAMELIA BIDCO LIMITED N/A N/A 12975000.00000000 PA 13489815.40000000 0.219128122139 Long LON CORP GB N 2 2024-10-14 Variable 6.96000000 N N N N N N SHO HOLDING I CORP N/A N/A 60373.18000000 PA USD 51317.20000000 0.000833594925 Long LON CORP US N 2 2024-04-29 Variable 8.04000000 N N N N N N BCC Middle Market CLO N/A 05550GAL1 9000000.00000000 PA USD 8645161.50000000 0.140431721925 Long ABS-O CORP KY N 2 2033-10-15 Floating 4.01200000 N N N N N N THUNDERBIRD 2022-1 N/A N/A 11092784.32100000 PA USD 11092784.32000000 0.180190827321 Long ABS-O CORP US N 3 2037-03-01 Fixed 5.50000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 5120000.00000000 NC 46787.50000000 0.000760014626 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 4972062.72000000 USD 5120000.00000000 EUR 2022-10-06 46787.50000000 N N N ARTERA SERVICES LLC 549300J2G34D0WX8Z443 73939VAA2 14385000.00000000 PA USD 11579925.00000000 0.188103924666 Long DBT CORP US N 2 2025-12-04 Fixed 9.03300000 N N N N N N ONEX CORPORATION N/A N/A 53562.48480000 PA USD 45349.75000000 0.000736659862 Long LON CORP US N 2 2024-04-01 Variable 1.00000000 N N N N N N PELICAN TOPCO LLC N/A N/A 6484500.00000000 PA USD 6144063.75000000 0.099803971508 Long LON CORP US N 2 2026-07-31 Variable 6.81000000 N N N N N N GoldenTree Loan Management US 549300H67V5FL4RU1Z53 38137YAW1 2000000.00000000 PA USD 1752085.00000000 0.028460811693 Long ABS-O CORP KY N 2 2031-04-24 Floating 5.93300000 N N N N N N Aequi Acquisition Corp N/A 00775W102 999157.00000000 NS USD 9981578.43000000 0.162140435024 Long EC CORP US N 1 N N N ALLIANT HOLD / CO-ISSUER N/A 01883LAB9 10000000.00000000 PA USD 8541777.90000000 0.138752362093 Long DBT CORP US N 2 2027-10-15 Fixed 4.25000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -210000.00000000 NC 6050.05000000 0.000098276815 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 210000.00000000 NZD 123542.18000000 USD 2022-10-11 6050.05000000 N N N Madison Avenue Secured Funding N/A 55662QAA3 20750000.00000000 PA USD 20750000.00000000 0.337062324395 Long ABS-O CORP US N 3 2023-01-17 Floating 4.58400000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 1030000.00000000 NC -14181.74000000 -0.00023036772 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 590452.65000000 USD 1030000.00000000 NZD 2022-10-11 -14181.74000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -2090000.00000000 NC -32366.12000000 -0.00052575419 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2090000.00000000 EUR 2016344.22000000 USD 2022-10-06 -32366.12000000 N N N UPC BROADBAND FINCO BV 213800MNFBDEQRS6HZ22 90320BAA7 20200000.00000000 PA USD 15675806.00000000 0.254637282271 Long DBT CORP NL N 2 2031-07-15 Fixed 4.87500000 N N N N N N TRUCK ACQUISITION INC N/A N/A 15619321.15580000 PA USD 13575845.37000000 0.220525590170 Long LON CORP US N 2 2028-01-31 Variable 6.62000000 N N N N N N PS HOLDINGS INDEPENDENT VOTING COMPANY LTD U7LC4KOKCTZ0YWGI2G56 N/A 33500000.00000000 PA USD 25079105.00000000 0.407384165062 Long DBT CORP GG N 2 2031-10-01 Fixed 3.25000000 N N N N N N Cengage Learning Holdings II I 5493003VGPEJMW28UG24 15136X102 21660.00000000 NS USD 259920.00000000 0.004222132017 Long EC CORP US N 2 N N N ATLAS CC ACQUISITION CORP N/A N/A 13089784.63020000 PA USD 11447016.66000000 0.185944965918 Long LON CORP US N 2 2028-05-25 Variable 7.32000000 N N N N N N CHS INC N/A N/A 4084819.47690000 PA USD 3889074.93000000 0.063174006537 Long LON CORP US N 2 2024-12-11 Variable 7.37000000 N N N N N N GRANITE GENERATION LLC N/A N/A 698387.69420000 PA USD 666960.25000000 0.010834080585 Long LON CORP US N 2 2026-11-09 Variable 6.87000000 N N N N N N KKR ACQUISITION HOLDINGS I-A N/A 48253T117 1265578.00000000 NS USD 151869.36000000 0.002466960939 N/A DE US N 1 KKR Acquisition Holdings I Corp. N/A Call Purchased N/A KKR Acquisition Holdings I Corp. 1265578 11.50000000 USD 2027-12-31 XXXX -1178000.80000000 N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBX7 16875000.00000000 PA USD 11413912.50000000 0.185407223021 Long DBT CORP GB N 2 2081-06-04 Variable 5.12500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 3200000.00000000 NC -24590.68000000 -0.00039945020 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2071724.80000000 USD 3200000.00000000 AUD 2022-10-11 -24590.68000000 N N N NIC ACQUISITION CORP N/A N/A 10886229.89470000 PA USD 8445863.74000000 0.137194335601 Long LON CORP US N 2 2027-12-29 Variable 7.42000000 N N N N N N American Home Mortgage Assets N/A 008684AD4 7783882.28630000 PA USD 6412155.18000000 0.104158839968 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.29400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2000000000.00000000 NC 256027.92000000 0.004158909196 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2000000000.00000000 JPY 14075053.96000000 USD 2022-10-03 256027.92000000 N N N KREF FUNDING V LLC N/A N/A 73636363.00000000 PA USD 2945.45000000 0.000047845793 Long ABS-O CORP US N 3 2026-06-25 Fixed 0.15000000 N N N N N N GRIFOLS ESCROW ISSUER 959800HLB3PGTGSLVV62 39843UAA0 6750000.00000000 PA USD 5212821.22000000 0.084676898172 Long DBT CORP ES N 2 2028-10-15 Fixed 4.75000000 N N N N N N ROCKETMTGE CO-ISSUER INC N/A 77313LAA1 8750000.00000000 PA USD 7175000.00000000 0.116550466387 Long DBT CORP US N 2 2026-10-15 Fixed 2.87500000 N N N N N N Treman Park CLO Ltd 549300E4DX3Q8L455K94 89473MAD4 6518010.29230000 PA USD 810384.22000000 0.013163854884 Long ABS-O CORP KY N 2 2028-10-20 None 0.00000000 N N N N N N AASET 2021-1 Trust N/A 00038PAA8 19889956.38380000 PA USD 15861681.31000000 0.257656634754 Long ABS-O CORP US N 2 2041-11-16 Fixed 2.95000000 N N N N N N TRANSMONTAIGE PARTNERS N/A 89376VAA8 700000.00000000 PA USD 584500.00000000 0.009494598969 Long DBT CORP US N 2 2026-02-15 Fixed 6.12500000 N N N N N N SYNEOS HEALTH INC 549300F1ZGKDS8P6GU13 87166BAA0 1600000.00000000 PA USD 1274048.00000000 0.020695594229 Long DBT CORP US N 2 2029-01-15 Fixed 3.62500000 N N N N N N Jol Air 549300TS4MUGCDXPW498 46651NAA2 10905400.21090000 PA USD 9066917.68000000 0.147282715581 Long ABS-O CORP KY N 2 2044-04-15 Fixed 3.96700000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 660000.00000000 NC -8411.23000000 -0.00013663174 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 430632.64000000 USD 660000.00000000 AUD 2022-10-11 -8411.23000000 N N N PROJECT BOOST PURCHASER LLC N/A N/A 6912500.00000000 PA USD 6532312.50000000 0.106110671562 Long LON CORP US N 2 2026-05-29 Variable 6.62000000 N N N N N N ANTA INTERNATIONAL GROUP HOLDINGS LTD N/A N/A 5075000.00000000 PA 4398930.22000000 0.071456079267 Long LON CORP FI N 2 2026-03-30 Variable 5.13000000 N N N N N N CELTIC INTERMEDIATE CORP N/A N/A 479282.58000000 PA USD 339691.53000000 0.005517938153 Long LON CORP US N 2 2028-03-02 Variable 7.42000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 92814000.00000000 NC USD 5369141.40000000 0.087216158086 N/A DIR DE N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2032-04-21 0.00000000 USD 0.00000000 USD 0.00000000 USD 92814000 2.69000000 USD 2027-04-19 XXXX 1577689.50000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1000000000.00000000 NC 9712.48000000 0.000157769208 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1000000000.00000000 JPY 6927870.48000000 USD 2022-10-17 9712.48000000 N N N UNITED AIRLINES HOLDINGS INC N/A N/A 14487500.00000000 PA USD 14521111.00000000 0.235880454287 Long LON CORP US N 2 2027-06-21 Variable 8.78000000 N N N N N N SILVERMORE CLO LTD 254900XWIIO2JU37JD03 828428AE2 2738610.90190000 PA USD 2733848.73000000 0.044408549758 Long ABS-O CORP KY N 2 2026-05-15 Floating 5.90500000 N N N N N N THUNDERBIRD 2022-1 N/A N/A 4695490.20000000 PA USD 0.05000000 0.000000000812 Long ABS-O CORP US N 2 2037-03-01 Fixed 0.35000000 N N N N N N TEAMSYSTEM SPA N/A N/A 11750000.00000000 PA 10450970.30000000 0.169765221277 Long DBT CORP IT N 2 2028-02-15 Variable 3.75000000 N N N N N N BOXER PARENT CO INC 5493006T045HLTF7YX04 N/A 1811257.56600000 PA USD 1712507.80000000 0.027817920945 Long LON CORP US N 2 2025-10-02 Variable 6.87000000 N N N N N N PING IDENTITY CORP N/A N/A 2736250.00000000 PA USD 2715728.13000000 0.044114199321 Long LON CORP US N 3 2028-11-22 Variable 6.88000000 N N N N N N ARDIAN SAS N/A N/A 12889842.30310000 PA USD 11794205.71000000 0.191584693542 Long LON CORP US N 3 2028-10-18 Variable 8.12000000 N N N N N N CONGRUEX GROUP LLC N/A N/A 6134625.00000000 PA USD 5950586.25000000 0.096661129298 Long LON CORP US N 3 2029-05-03 Variable 8.48000000 N N N N N N SP PF PARENT CORP N/A N/A 15268483.84380000 PA USD 12504888.27000000 0.203128997907 Long LON CORP US N 2 2025-12-22 Variable 7.62000000 N N N N N N DATIX BIDCO LIMITED N/A N/A 4225000.00000000 PA 4621469.73000000 0.075071003822 Long LON CORP GB N 3 2026-04-27 Variable 8.44000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -4318000.00000000 NC -46975.84000000 -0.00076307401 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 4318000.00000000 EUR 4216289.08000000 USD 2022-12-30 -46975.84000000 N N N CD&R FIREFLY 4 LTD N/A N/A 6000000.00000000 PA 5413878.27000000 0.087942862345 Long LON CORP GB N 2 2025-06-23 Variable 3.49000000 N N N N N N TTF HOLDINGS INTERMEDIATE LLC N/A N/A 1565284.53670000 PA USD 1518326.00000000 0.024663638108 Long LON CORP US N 2 2028-03-31 Variable 7.13000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -400000.00000000 NC 11593.85000000 0.000188330121 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 400000.00000000 CAD 301283.09000000 USD 2022-10-13 11593.85000000 N N N ALBERTA T-BILL LQPXMHHNJKIPJYE53543 01306BX41 730000.00000000 PA 528461.72000000 0.008584314973 Long DBT NUSS CA N 2 2022-10-04 None 0.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -41.00000000 NC USD 0.00000000 0.000000 N/A DE US N 1 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Figs Inc. N/A -4100 50.00000000 USD 2022-12-16 XXXX 44300.44000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 220000.00000000 NC -8234.97000000 -0.00013376858 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 131321.96000000 USD 220000.00000000 NZD 2022-10-11 -8234.97000000 N N N CTEC JV SARL N/A N/A 6800000.00000000 PA 5853011.86000000 0.095076134084 Long LON CORP DE N 2 2029-03-16 Variable 4.33000000 N N N N N N FENDER MUSICAL INSTRUMENTS CORP 549300G8G1R16J8L5Q60 N/A 3525039.06250000 PA USD 2987470.61000000 0.048528375318 Long LON CORP US N 2 2028-12-01 Variable 6.75000000 N N N N N N BCP V MODULAR SERVICES FINANCE PLC N/A N/A 8200000.00000000 PA 7044300.70000000 0.114427391213 Long LON CORP GB N 2 2028-12-15 Variable 5.69000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -13874113.00000000 NC 205802.86000000 0.003343054957 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 13874113.00000000 AUD 9081481.03000000 USD 2022-10-11 205802.86000000 N N N BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A -11740216.29000000 PA USD -11740216.29000000 -0.19070769116 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 14730000.00000000 USD 11565996.00000000 USD CDS N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 78410GAG9 3100000.00000000 PA USD 2493237.00000000 0.040500060650 Long DBT CORP US N 2 2029-02-01 Fixed 3.12500000 N N N N N N FIRST REPUBLIC BANK YWC0TIKBQM2JV8L4IV08 33616C696 725600.00000000 NS USD 13445368.00000000 0.218406120020 Long EP CORP US N 2 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 11300000.00000000 NC 199.13000000 0.000003234661 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased N/A Foreign Exchange EUR/SEK 11300000 10.56200000 EUR 2022-10-07 XXXX -33185.04000000 N N N BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A -18761694.70000000 PA USD -18761694.70000000 -0.30476435783 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 19700000.00000000 USD 19282360.00000000 USD CDS N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 3380000.00000000 NC -116720.46000000 -0.00189600335 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2007784.22000000 USD 3380000.00000000 NZD 2022-10-11 -116720.46000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 28300000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 3-Month Canadian Bankers Acceptances Rate N/A Y 2029-07-27 115.36000000 CAD 0.00000000 CAD 28300000.00000000 CAD -107.78000000 N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 682691AA8 11750000.00000000 PA USD 8245092.50000000 0.133933014115 Long DBT CORP US N 2 2030-09-15 Fixed 4.00000000 N N N N N N WW INTERNATIONAL INC SGT8R1MU6ESIC7UJC518 98262PAA9 7050000.00000000 PA USD 3684232.71000000 0.059846556185 Long DBT CORP US N 2 2029-04-15 Fixed 4.50000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -2700000.00000000 NC -1188.47000000 -0.00001930546 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written N/A Foreign Exchange EUR/JPY -2700000 139.46 EUR 2022-10-11 XXXX 15011.53000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2280000.00000000 NC USD 26480.08000000 0.000430141557 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 323264328.00000000 JPY 2280000.00000000 USD 2022-12-19 26480.08000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 111000000.00000000 NC 0.31000000 0.000000005035 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Purchased N/A Foreign Exchange NOK/SEK 111000000 1.09400000 NOK 2022-10-04 XXXX -47137.94000000 N N N Starwood Commercial Mortgage T N/A 78485KAL9 11900000.00000000 PA USD 11053205.52000000 0.179547910582 Long ABS-O CORP KY N 2 2038-11-15 Floating 5.03500000 N N N N N N NEXT LIMITED PARTNERSHIP INC 5493001ZMCICV4N02J21 N/A 433125.00000000 PA USD 391978.13000000 0.006367279981 Long LON CORP FR N 2 2026-08-14 Variable 6.91000000 N N N N N N OCULUS INTERMEDIATE INC N/A N/A 11768889.16870000 PA USD 11190919.02000000 0.181784924192 Long LON CORP US N 2 2027-11-08 Variable 6.25000000 N N N N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 913229AA8 7150000.00000000 PA USD 5434000.00000000 0.088269719072 Long DBT CORP US N 2 2029-04-15 Fixed 5.50000000 N N N N N N QUEBEC T-BILL 549300WN65YFEQH74Y36 09852UX73 2245000.00000000 PA 1625054.43000000 0.026397331250 Long DBT NUSS CA N 2 2022-10-07 None 0.00000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BT9 7600000.00000000 PA USD 5567000.00000000 0.090430166742 Long DBT CORP US N 2 2029-07-15 Fixed 3.75000000 N N N N N N West CLO Ltd 254900Y23DE747A9HN36 95168RAC2 5300000.00000000 PA USD 6943.00000000 0.000112781865 Long ABS-O CORP KY N 2 2025-11-07 None 0.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06055H608 1078000.00000000 NS USD 18563160.00000000 0.301539366637 Long EP CORP US N 2 N N N IP Lending LLC N/A N/A 15347531.16220000 PA USD 13945990.63000000 0.226538217722 Long DBT CORP US N 3 2025-09-08 Fixed 4.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 410000.00000000 NC -16879.98000000 -0.00027419784 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 246269.37000000 USD 410000.00000000 NZD 2022-10-11 -16879.98000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -305000.00000000 NC 4063.92000000 0.000066014184 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 305000.00000000 CAD 224956.76000000 USD 2022-10-04 4063.92000000 N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 91153LAA5 12600000.00000000 PA USD 10990728.00000000 0.178533027781 Long DBT CORP US N 2 2025-11-15 Fixed 5.50000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 3950000.00000000 NC 245995.96000000 0.003995950364 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Purchased N/A Foreign Exchange EUR/NOK 3950000 10.00250000 EUR 2022-10-07 XXXX 200871.92000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -1131400.00000000 NC 52579.76000000 0.000854103909 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 1131400.00000000 NZD 685582.58000000 USD 2022-10-11 52579.76000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 720000.00000000 NC -18191.29000000 -0.00029549872 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 421021.44000000 USD 720000.00000000 NZD 2022-10-11 -18191.29000000 N N N FRONT RANGE TOPCO INC N/A N/A 6146447.37000000 PA USD 5117716.47000000 0.083132019709 Long LON CORP US N 2 2027-03-09 Variable 6.12000000 N N N N N N PAPA JOHN'S INTERNATIONA HZYLD3DK5XOX0WBVNB56 698813AA0 7025000.00000000 PA USD 5615318.82000000 0.091215056081 Long DBT CORP US N 2 2029-09-15 Fixed 3.87500000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -7590000.00000000 NC -368585.84000000 -0.00598729638 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 7590000.00000000 GBP 8107622.82000000 USD 2022-10-05 -368585.84000000 N N N JAPAN (GOVERNMENT OF) N/A N/A 2000000000.00000000 PA 13819026.04000000 0.224475809056 Long DBT NUSS JP N 2 2022-10-03 None 0.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1960000.00000000 NC -32344.30000000 -0.00052539975 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1960000.00000000 EUR 20571236.84000000 NOK 2022-10-11 -32344.30000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 11150000.00000000 NC 140704.73000000 0.002285603052 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased N/A Foreign Exchange EUR/AUD 11150000 1.50920000 EUR 2022-10-07 XXXX 92648.23000000 N N N PAINT INTERMEDIATE III LLC N/A N/A 3854753.11000000 PA 2750527.26000000 0.044679475256 Long LON CORP US N 3 2024-06-14 Fixed 5.25000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAE6 6500000.00000000 PA USD 4356690.00000000 0.070769930509 Long DBT CORP US N 2 2052-02-02 Fixed 4.37500000 N N N N N N Merit N/A 55293DAJ0 8744926.82870000 PA USD 8132013.27000000 0.132096158785 Long ABS-MBS CORP US N 2 2027-01-15 Floating 5.45600000 N N N N N N AESF VI VERDI N/A N/A 4244414.13900000 PA 4157940.62000000 0.067541452051 Long ABS-O CORP US N 3 2024-11-25 Variable 2.15000000 N N N N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CF9 5275000.00000000 PA USD 4125524.75000000 0.067014889714 Long DBT CORP US N 2 2030-08-15 Fixed 3.37500000 N N N N N N HOLLY NRG PRTNR/FIN CORP N/A 435765AJ1 4050000.00000000 PA USD 3867750.00000000 0.062827605068 Long DBT CORP US N 2 2027-04-15 Fixed 6.37500000 N N N N N N SILVER LAKE (OFFSHORE) AIV GP V LTD N/A N/A 20850000.00000000 PA 19092766.93000000 0.310142284364 Long LON CORP GB N 2 2025-07-23 Variable 6.47000000 N N N N N N JANE STREET GRP/JSG FIN N/A 47077WAA6 9650000.00000000 PA USD 8299000.00000000 0.134808685790 Long DBT CORP US N 2 2029-11-15 Fixed 4.50000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 1725000.00000000 PA USD 1416656.25000000 0.023012117999 Long DBT CORP US N 2 2030-04-15 Fixed 4.62500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 700000.00000000 NC -27873.08000000 -0.00045276940 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 419513.50000000 USD 700000.00000000 NZD 2022-10-11 -27873.08000000 N N N MI WINDOWS AND DOORS LLC N/A N/A 2453460.00000000 PA USD 2381892.57000000 0.038691385354 Long LON CORP US N 2 2027-12-18 Variable 6.63000000 N N N N N N BSPRT Issuer, Ltd. N/A 05602CAJ3 1600000.00000000 PA USD 1468204.96000000 0.023849473566 Long ABS-O CORP KY N 2 2038-12-15 Floating 5.56800000 N N N N N N RECESS HOLDINGS INC N/A N/A 1054618.76200000 PA USD 1016831.77000000 0.016517382164 Long LON CORP US N 2 2024-09-30 Variable 6.55000000 N N N N N N ICEBOX HOLDCO III INC N/A N/A 10676349.97020000 PA USD 9982387.22000000 0.162153572982 Long LON CORP US N 2 2028-12-22 Variable 7.42000000 N N N N N N Argent Securities Inc. N/A 03076MAE4 32415053.25510000 PA USD 11073604.56000000 0.179879271924 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.32400000 N N N N N N Hull Street CDO Ltd 549300W5TZ4WI4ZLP434 444838AG1 5785000.00000000 PA USD 5685975.84000000 0.092362806413 Long ABS-O CORP KY N 2 2026-10-18 Floating 6.34000000 N N N N N N ATLAS MARA LTD N/A N/A 4642498.96000000 PA USD 1624874.64000000 0.026394410747 Long DBT CORP VG Y 3 2021-12-31 Fixed 8.00000000 Y N N N N Atlas Mara Ltd USD XXXX N N N VT TOPCO INC N/A N/A 153191.48880000 PA USD 145531.91000000 0.002364015607 Long LON CORP US N 2 2025-08-01 Variable 6.87000000 N N N N N N Cascade Funding Mortgage Trust N/A 12530GAB4 8650000.00000000 PA USD 7345246.72000000 0.119315948563 Long ABS-MBS CORP US N 2 2037-09-25 Variable 3.25000000 N N N N N N BROWNE VII TOPCO SARL N/A N/A 3400000.00000000 PA 3064831.91000000 0.049785029757 Long LON CORP GB N 2 2026-02-13 Variable 4.39000000 N N N N N N Federated Hermes U.S. Treasury 25490003NTA1P9CI5X97 60934N682 15052679.66000000 NS USD 15052679.66000000 0.244515238292 Long STIV RF US N 1 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 11190000.00000000 NC USD 50264.73000000 0.000816498637 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1610836308.00000000 JPY 11190000.00000000 USD 2022-10-13 50264.73000000 N N N VERTICAL TOPCO SARL N/A N/A 4162348.01900000 PA USD 3981993.48000000 0.064683372438 Long LON CORP DE N 2 2027-07-30 Variable 6.87000000 N N N N N N COBANK ACB P0J8I7M2E0A77CKF1705 19075QAD4 20000000.00000000 NS USD 16790617.00000000 0.272746235857 Long EP CORP US N 2 N N N GLP CAPITAL LP / FIN II N/A 361841AL3 6950000.00000000 PA USD 6334624.41000000 0.102899432665 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N CHCP 2021-FL1 Ltd. N/A 12546JAJ3 5500000.00000000 PA USD 5107198.25000000 0.082961162086 Long ABS-O CORP KY N 2 2038-02-15 Floating 5.96000000 N N N N N N Residential Accredit Loans, In N/A 75116AAA8 13125162.30610000 PA USD 5202568.90000000 0.084510359819 Long ABS-MBS CORP US N 2 2047-02-25 Floating 3.23400000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 4491000.00000000 OU Notional Amount -796224.95000000 -0.01293385216 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Sterling Overnight Interbank Average Rate N/A Y 2026-12-03 0.00000000 GBP 50121.69000000 GBP 4491000.00000000 GBP -753653.22000000 N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HCC7 9760000.00000000 PA USD 8357488.00000000 0.135758762958 Long DBT CORP US N 2 2030-07-15 Fixed 3.95000000 N N N N N N PROJECT ALPHA INTERMEDIATE HOLDING INC N/A N/A 43738.21000000 NS USD 4.37000000 0.000000070986 Long EC CORP US N 3 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MU2 13100000.00000000 NS USD 11036750.00000000 0.179280607651 Long EP CORP US N 2 N N N EVERARC ESCROW SARL N/A 29977LAA9 11525000.00000000 PA USD 9303498.63000000 0.151125728830 Long DBT CORP LU N 2 2029-10-30 Fixed 5.00000000 N N N N N N CAPSTONE ACQUISITION HOLDINGS INC N/A N/A 1444322.88000000 PA USD 1408214.81000000 0.022874995523 Long LON CORP US N 3 2027-11-12 Variable 7.87000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A -6536355.66000000 PA USD -6536355.66000000 -0.10617634852 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 7448000.00000000 USD 6954197.60000000 USD AMBS N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 112000000.00000000 NC 232616.60000000 0.003778616476 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased N/A Foreign Exchange NOK/SEK 112000000 1.03720000 NOK 2022-10-17 XXXX 186988.22000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1370000.00000000 NC 66057.34000000 0.001073033280 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 1463903.91000000 USD 1370000.00000000 GBP 2022-10-05 66057.34000000 N N N WRENCH GROUP LLC N/A N/A 15342084.83480000 PA USD 14824289.47000000 0.240805275482 Long LON CORP US N 2 2026-04-30 Variable 7.67000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAM1 22200000.00000000 PA USD 17484276.00000000 0.284014010068 Long DBT CORP CA N 2 2030-10-15 Fixed 4.00000000 N N N N N N Western Asset High Income Oppo 549300S7N70O2ERKYG47 95766K109 882357.00000000 NS USD 3247073.76000000 0.052745360435 Long EC RF US N 1 N N N STRIP PRINC 254900HROIFWPRGM1V77 912803EH2 23270000.00000000 PA USD 9567950.57000000 0.155421477533 Long DBT UST US N 2 2044-05-15 None 0.00000000 N N N N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAT5 157092012.36570000 PA USD 9342277.68000000 0.151755654456 Long ABS-MBS USGSE US N 2 2052-11-25 Variable 0.70000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1800000.00000000 NC 2932.69000000 0.000047638520 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1800000.00000000 EUR 19610899.20000000 SEK 2022-10-06 2932.69000000 N N N QUIRCH FOODS HOLDINGS LLC N/A N/A 19559050.68620000 PA USD 18263263.58000000 0.296667858955 Long LON CORP US N 3 2027-10-27 Variable 7.93000000 N N N N N N TEAM BLUE FINCO SARL N/A N/A 14000000.00000000 PA 12486523.57000000 0.202830682318 Long LON CORP LU N 2 2028-03-30 Variable 4.89000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1500000.00000000 NC 25411.18000000 0.000412778380 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1500000.00000000 CAD 1111764.17000000 USD 2022-10-06 25411.18000000 N N N UNITED AIRLINES HOLDINGS INC K1OQBWM7XEOO08LDNP29 N/A 25181250.00000000 PA USD 23988666.00000000 0.389671109450 Long LON CORP US N 2 2028-04-21 Variable 6.53000000 N N N N N N KKR Acquisition Holdings I Cor N/A 48253T109 5062315.00000000 NS USD 49813179.60000000 0.809163667541 Long EC CORP US N 1 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -47.00000000 NC USD -322420.00000000 -0.00523737998 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -4700 1730.00000000 USD 2022-10-26 XXXX -119079.04000000 N N N Magnetite CLO Ltd 549300XSCWZTP19VRZ67 55955KAG9 8800000.00000000 PA USD 7953323.84000000 0.129193533502 Long ABS-O CORP KY N 2 2034-01-15 Floating 5.11200000 N N N N N N OMNITRACS HOLDINGS LLC N/A N/A -2682802.59940000 PA USD -246645.95000000 -0.00400650878 Short LON CORP US N 3 2026-06-04 Variable 1.19293000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -620000.00000000 NC 5961.04000000 0.000096830939 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 620000.00000000 AUD 402593.28000000 USD 2022-10-11 5961.04000000 N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AN1 4150000.00000000 PA USD 3178479.69000000 0.051631120595 Long DBT CORP US N 2 2032-02-15 Fixed 3.62500000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630BAE6 21891674.39640000 PA USD 12025978.98000000 0.195349610994 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.23400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -5870000.00000000 NC -289584.91000000 -0.00470400784 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5870000.00000000 GBP 6265796.49000000 USD 2022-10-05 -289584.91000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHWE3 24834251.21600000 PA USD 23312456.73000000 0.378686788085 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.00000000 N N N N N N Diamond CLO 2018-1, LLC N/A 25256LAG6 5000000.00000000 PA USD 4894958.00000000 0.079513538375 Long ABS-O CORP KY N 2 2030-07-22 Floating 6.45900000 N N N N N N MEDLINE BORROWER LP 254900QT3R363TVK6F09 62482BAA0 38500000.00000000 PA USD 30865065.00000000 0.501371110916 Long DBT CORP US N 2 2029-04-01 Fixed 3.87500000 N N N N N N FS Rialto Issuer Ltd N/A 30323CAJ9 36500000.00000000 PA USD 33736460.90000000 0.548013972425 Long ABS-O CORP KY N 2 2036-11-16 Floating 5.43900000 N N N N N N AMC NETWORKS INC 549300VGG9K75226LR46 00164VAF0 10200000.00000000 PA USD 7541476.59000000 0.122503500182 Long DBT CORP US N 2 2029-02-15 Fixed 4.25000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2750000.00000000 NC -21345.75000000 -0.00034673966 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange EUR/GBP -2750000 0.86800000 EUR 2022-10-25 XXXX -9750.81000000 N N N ADEVINTA ASA N/A N/A 3433000.00000000 PA 2879608.34000000 0.046776264117 Long DBT CORP NO N 2 2027-11-15 Fixed 3.00000000 N N N N N N NFM & J LLC N/A N/A -2644784.48110000 PA USD -65642.23000000 -0.00106629024 Short LON CORP US N 3 2027-11-30 Variable 1.00000000 N N N N N N PAINT INTERMEDIATE III LLC N/A N/A 2300772.67440000 PA USD 2266790.03000000 0.036821663442 Long LON CORP US N 3 2024-06-14 Variable 7.37000000 N N N N N N Whitehorse Ltd 549300UT33WDDDZEYN84 96525XAA9 5004113.90200000 PA USD 4623703.16000000 0.075107283586 Long ABS-O CORP KY N 2 2027-04-17 Floating 8.04000000 N Y N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A -13185441.73000000 PA USD -13185441.73000000 -0.21418388615 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 15170000.00000000 USD 14144508.00000000 USD AMBS N N N NFM & J LLC N/A N/A 5846069.62840000 PA USD 5700973.10000000 0.092606421416 Long LON CORP US N 3 2027-11-30 Variable 8.86000000 N N N N N N WEBER INC N/A N/A 7232384.65980000 PA USD 5842392.65000000 0.094903635982 Long LON CORP US N 2 2027-10-29 Variable 6.37000000 N N N N N N BP CAPITAL MARKETS PLC 549300CRVT18MXX0AG93 05565QDV7 39360000.00000000 PA USD 33849600.00000000 0.549851800281 Long DBT CORP US N 2 N/A Variable 4.87500000 N N N N N N SYNDIGO LLC N/A N/A 27136750.00000000 PA USD 24423075.00000000 0.396727635102 Long LON CORP US N 3 2027-12-15 Variable 7.32000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1390000.00000000 NC 54172.74000000 0.000879980224 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 14248751.00000000 NOK 1390000.00000000 EUR 2022-10-11 54172.74000000 N N N ATD New Holdings Inc 5493001F45YR8KICVO87 04683P100 42478.00000000 NS USD 2973460.00000000 0.048300787426 Long EC CORP US N 2 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -25500000.00000000 NC -3529.44000000 -0.00005733210 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written N/A Foreign Exchange CAD/JPY -25500000 109.18000000 CAD 2022-10-07 XXXX 296280.34000000 N N N ASTON FINCO SARL N/A N/A 12837987.50030000 PA 13189664.09000000 0.214252474032 Long LON CORP LU N 3 2026-10-09 Variable 6.96000000 N N N N N N ADT SEC CORP 5493009JEEDYLVRA0J13 74166NAA2 5150000.00000000 PA USD 4153281.88000000 0.067465775630 Long DBT CORP US N 2 2032-07-15 Fixed 4.87500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1195000.00000000 NC 59580.91000000 0.000967830362 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1275349.41000000 USD 1195000.00000000 GBP 2022-10-17 59580.91000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 600000.00000000 NC 7304.85000000 0.000118659745 N/A DFE JP N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 84006000.00000000 JPY 600000.00000000 EUR 2022-10-27 7304.85000000 N N N VECTOR PHOENIX HOLDINGS (CAYMAN) LP N/A N/A 37538.87590000 NS USD 8969.91000000 0.000145706925 Long EC CORP KY N 3 N N N SHERWOOD FINANCING PLC N/A N/A 15600000.00000000 PA 11611182.59000000 0.188611671940 Long DBT CORP GB N 2 2026-11-15 Fixed 4.50000000 N N N N N N SOLRR Aircraft 2021-1 Limited N/A 83438LAB7 5451889.15320000 PA USD 4374708.71000000 0.071062625847 Long ABS-O CORP IE N 2 2046-10-15 Fixed 3.43200000 N N N N N N PROJECT RUBY ULTIMATE PARENT CORP N/A N/A 17336000.00000000 PA USD 16135482.00000000 0.262104244248 Long LON CORP US N 2 2028-03-10 Variable 6.37000000 N N N N N N COBHAM GROUP HOLDINGS LTD N/A N/A 500000.00000000 PA USD 477500.00000000 0.007756494452 Long LON CORP LU N 2 2029-08-03 Variable 7.06000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 17000000.00000000 NC 101641.14000000 0.001651055368 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Purchased N/A Foreign Exchange AUD/NZD 17000000 1.12950000 AUD 2022-10-07 XXXX 70446.47000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 16120000.00000000 NC 2601.13000000 0.000042252671 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 175306209.00000000 SEK 16120000.00000000 EUR 2022-10-06 2601.13000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -80400000.00000000 NC 2857857.96000000 0.046422951652 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 80400000.00000000 GBP 92672416.80000000 USD 2022-10-17 2857857.96000000 N N N LTI HOLDINGS INC N/A N/A 2335336.78760000 PA USD 2155515.85000000 0.035014129285 Long LON CORP US N 2 2025-09-08 Variable 6.37000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 3800000.00000000 NC 1260.07000000 0.000020468536 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A Foreign Exchange EUR/NOK 3800000 10.16200000 EUR 2022-10-17 XXXX -41877.02000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -2210000.00000000 NC 14094.67000000 0.000228953360 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 2210000.00000000 NZD 1250559.44000000 USD 2022-10-11 14094.67000000 N N N SUPERIOR PLUS/GEN PRTNR N/A 86828LAC6 4800000.00000000 PA USD 3964128.00000000 0.064393166162 Long DBT CORP CA N 2 2029-03-15 Fixed 4.50000000 N N N N N N BRITISH TELECOMMUNICATIO 549300OWFMSO9NYV4H90 11102AAF8 5250000.00000000 PA USD 4428998.23000000 0.071944503043 Long DBT CORP GB N 2 2081-11-23 Variable 4.25000000 N N N N N N USI INC N/A N/A 3145838.44220000 PA USD 3022615.95000000 0.049099275077 Long LON CORP US N 2 2026-12-02 Variable 6.92000000 N N N N N N ORION ADVISOR SOLUTIONS INC N/A N/A 21296806.09530000 PA USD 20018997.73000000 0.325187947322 Long LON CORP US N 2 2027-09-24 Variable 6.56000000 N N N N N N Great Lakes CLO Ltd 254900GKX01S4T3NFH46 39055RAE2 1500000.00000000 PA USD 629250.00000000 0.010221516512 Long ABS-O CORP KY N 2 2029-10-15 None 0.00000000 N N N N N N NFM & J LLC N/A N/A 8363095.90450000 PA USD 8155528.05000000 0.132478132106 Long LON CORP US N 3 2027-11-30 Variable 8.87000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1930000.00000000 NC USD 49241.01000000 0.000799869363 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2596926.94000000 CAD 1930000.00000000 USD 2022-10-12 49241.01000000 N N N DISPATCH TERRA ACQUISITION LLC N/A N/A 10267213.98960000 PA USD 9137820.45000000 0.148434457869 Long LON CORP US N 3 2028-03-27 Variable 7.92000000 N N N N N N BUILDERS FIRSTSOURCE INC 549300W0SKP6L3H7DP63 12008RAR8 800000.00000000 PA USD 710595.34000000 0.011542887566 Long DBT CORP US N 2 2032-06-15 Fixed 6.37500000 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAJ9 1770000.00000000 PA USD 1597425.00000000 0.025948519689 Long DBT CORP US N 2 2028-06-15 Fixed 4.37500000 N N N N N N Golub Capital Partners CLO Ltd 254900NUVOJAHAT10W61 38178GAG5 18100000.00000000 PA USD 16009902.50000000 0.260064334939 Long ABS-O CORP KY N 2 2033-08-26 Floating 6.56000000 N N N N N N GLOBAL ATLANTIC N/A 37959GAC1 22350000.00000000 PA USD 16813300.43000000 0.273114704756 Long DBT CORP US N 2 2051-10-15 Variable 4.70000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A -3000000.00000000 NC USD -4093.77000000 -0.00006649906 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Put Written N/A Foreign Exchange USD/CAD -3000000 1.3793 USD 2022-10-18 XXXX 6365.23000000 N N N CONAIR HOLDINGS LLC N/A N/A 397994.98390000 PA USD 333320.80000000 0.005414452222 Long LON CORP US N 2 2028-05-17 Variable 7.42000000 N N N N N N FARMER MAC 549300MS654K78GYF580 313148850 378000.00000000 NS USD 8807400.00000000 0.143067118837 Long EP CORP US N 2 N N N DATIX BIDCO LIMITED N/A N/A 1000000.00000000 PA 1088702.02000000 0.017684840165 Long LON CORP GB N 3 2025-04-28 Variable 6.19000000 N N N N N N Residential Accredit Loans, In N/A 75114NAB0 7985346.12860000 PA USD 1948700.75000000 0.031654631534 Long ABS-MBS CORP US N 2 2046-06-25 Floating 3.54400000 N N N N N N INGEVITY CORP 5493009UTFC4B5IMGF87 45688CAB3 1000000.00000000 PA USD 826785.00000000 0.013430268620 Long DBT CORP US N 2 2028-11-01 Fixed 3.87500000 N N N N N N ILPEA PARENT INC N/A N/A 3636186.60510000 PA USD 3490739.14000000 0.056703452934 Long LON CORP US N 3 2028-06-22 Variable 7.62000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -3290000.00000000 NC -160483.02000000 -0.00260688095 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 3290000.00000000 GBP 3513657.49000000 USD 2022-10-05 -160483.02000000 N N N ALLISON TRANSMISSION INC MWKQ3I0U1GXP2YDSZW75 019736AG2 2925000.00000000 PA USD 2242275.75000000 0.036423454276 Long DBT CORP US N 2 2031-01-30 Fixed 3.75000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AP9 1300000.00000000 PA USD 1123852.86000000 0.018255829266 Long DBT CORP US N 2 2029-12-15 Fixed 5.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A -20410184.50000000 PA USD -20410184.50000000 -0.33154237247 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 23480000.00000000 USD 21892752.00000000 USD AMBS N N N Cerberus N/A 15674UAC0 9000000.00000000 PA USD 8877447.90000000 0.144204974644 Long ABS-O CORP KY N 2 2033-11-22 Floating 4.26200000 N N N N N N CLEARWAY ENERGY OP LLC 549300Z3NFMM54NWBB87 18539UAD7 13450000.00000000 PA USD 10683032.38000000 0.173534830148 Long DBT CORP US N 2 2031-02-15 Fixed 3.75000000 N N N N N N MB2 DENTAL SOLUTIONS LLC N/A N/A 7333616.70360000 PA USD 7194017.20000000 0.116859381164 Long LON CORP US N 3 2027-01-29 Variable 9.70000000 N N N N N N BOXER PARENT CO INC 5493006T045HLTF7YX04 103186AB8 375000.00000000 PA USD 367528.13000000 0.005970114977 Long DBT CORP US N 2 2025-10-02 Fixed 7.12500000 N N N N N N GS Mortgage Securities Trust N/A 36258PAL1 8256000.00000000 PA USD 7125212.83000000 0.115741725218 Long ABS-MBS CORP US N 2 2037-02-10 Variable 3.35400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1030000.00000000 NC -40516.02000000 -0.00065814090 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1030000.00000000 EUR 10554359.53000000 NOK 2022-10-11 -40516.02000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -3046000.00000000 OU Notional Amount USD 89087.82000000 0.001447139647 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 U.S. Secured Overnight Financing Rate N/A Y 2037-04-12 86098.04000000 USD 0.00000000 USD -3046000.00000000 USD 2989.78000000 N N N OMNITRACS HOLDINGS LLC N/A N/A 3803734.23070000 PA USD 3501565.58000000 0.056879317273 Long LON CORP US N 2 2028-06-02 Variable 7.67000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 860000.00000000 NC 6339.82000000 0.000102983829 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 836670.18000000 USD 860000.00000000 EUR 2022-10-06 6339.82000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -3610000.00000000 NC -12166.44000000 -0.00019763125 N/A DFE CH N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 3610000.00000000 EUR 3478375.79000000 CHF 2022-10-06 -12166.44000000 N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 29452EAA9 24550000.00000000 NS USD 23015625.00000000 0.373865063128 Long EP CORP US N 2 N N N Capmark Military Housing Trust N/A 14070AAA1 5536981.29660000 PA USD 5199273.55000000 0.084456830261 Long ABS-MBS CORP US N 3 2052-10-10 Fixed 6.06300000 N N N N N N Madison Park Funding Ltd N/A 55821UAG9 7500000.00000000 PA USD 6725183.25000000 0.109243657745 Long ABS-O CORP KY N 2 2033-04-19 Floating 5.73800000 N N N N N N OMNITRACS HOLDINGS LLC N/A N/A 15947771.00060000 PA USD 14481597.84000000 0.235238603802 Long LON CORP US N 3 2026-06-04 Variable 6.25000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -22300000.00000000 NC USD -338517.12000000 -0.00549886107 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Written N/A Foreign Exchange USD/JPY -22300000 143.20000000 USD 2022-10-14 XXXX -25536.62000000 N N N NFP CORP VO2L9FZNXDJNQNEYH039 65342RAF7 4150000.00000000 PA USD 3937946.41000000 0.063967873267 Long DBT CORP US N 2 2030-10-01 Fixed 7.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 11150000.00000000 NC 57083.56000000 0.000927263490 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased N/A Foreign Exchange EUR/SEK 11150000 10.92450000 EUR 2022-10-18 XXXX 24665.06000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 320000.00000000 NC 671.81000000 0.000010912859 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3474688.00000000 SEK 320000.00000000 EUR 2022-10-24 671.81000000 N N N NUSTAR LOGISTICS LP N62BF2PKP51FIIOIUN20 67059TAH8 19025000.00000000 PA USD 16279046.41000000 0.264436299850 Long DBT CORP US N 2 2030-10-01 Fixed 6.37500000 N N N N N N Venture CDO Ltd 5493002O60L75PP6F022 92328GBC9 8000000.00000000 PA USD 7551597.60000000 0.122667905539 Long ABS-O CORP KY N 2 2029-08-28 Floating 5.29300000 N N N N N N Morgan Stanley IXIS Real Estat N/A 617463AC8 16831230.10560000 PA USD 6099363.44000000 0.099077861128 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.23400000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CF0 1700000.00000000 PA USD 1406988.53000000 0.022855075870 Long DBT CORP US N 2 2045-06-15 Fixed 4.62500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 11150000.00000000 NC 600.94000000 0.000009761649 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased N/A Foreign Exchange EUR/AUD 11150000 1.45290000 EUR 2022-10-07 XXXX -50689.06000000 N N N MSD Acquisition Corp N/A N/A 833026.00000000 NS USD 8246957.40000000 0.133963307490 Long EC CORP US N 1 N N N BMO Capital Markets Corp., New York Branch RUC0QBLBRPRCU4W1NE59 N/A -14353697.97000000 PA USD -14353697.97000000 -0.23316100247 Short RA CORP US N 2 Reverse repurchase N 3.27000000 N/A 14155000.00000000 USD 14247007.50000000 USD CDS N N N CARPENTER TECHNOLOGY DX6I6ZD3X5WNNCDJKP85 144285AM5 6250000.00000000 PA USD 6017500.00000000 0.097748074074 Long DBT CORP US N 2 2030-03-15 Fixed 7.62500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 39000000.00000000 NC 67.74000000 0.000001100366 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased N/A Foreign Exchange NOK/SEK 39000000 1.07700000 NOK 2022-10-07 XXXX -41968.01000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -12000000.00000000 NC 208475.98000000 0.003386477031 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 12000000.00000000 CAD 8899027.19000000 USD 2022-10-19 208475.98000000 N N N AB Private Credit Investors LL N/A 00085KAW3 7950000.00000000 PA USD 7301825.37000000 0.118610613568 Long ABS-O CORP US N 2 2031-10-20 Floating 5.31900000 N N N N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460W552 855064.00000000 NS USD 17229539.60000000 0.279876080281 Long EP CORP US N 2 N N N SIPCO HOLDINGS LTD 5493005G2MHUFTGARL57 N/A 5910000.00000000 PA 5365223.46000000 0.087152515196 Long LON CORP US N 2 2028-02-04 Variable 4.44000000 N N N N N N DATIX BIDCO LIMITED N/A N/A -912001.29000000 PA USD -18696.03000000 -0.00030369770 Short LON CORP US N 3 2026-04-27 Variable 0.50000000 N N N N N N CROSS FINANCIAL CORP N/A N/A 4688156.25000000 PA USD 4539682.34000000 0.073742452122 Long LON CORP US N 2 2027-09-15 Variable 7.13000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 200000.00000000 NC -10111.14000000 -0.00016424502 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 122008.40000000 USD 200000.00000000 NZD 2022-10-11 -10111.14000000 N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAF1 6350000.00000000 PA USD 5265506.87000000 0.085532722155 Long DBT CORP US N 2 2031-05-15 Fixed 4.37500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -3740000.00000000 NC -126703.55000000 -0.00205816834 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3740000.00000000 EUR 38545820.06000000 NOK 2022-10-11 -126703.55000000 N N N CONFLUENT HEALTH LLC N/A N/A 265221.23840000 PA USD 232068.58000000 0.003769714457 Long LON CORP US N 3 2028-11-30 Variable 7.12000000 N N N N N N Acres PLC N/A 00500JAG8 5250000.00000000 PA USD 5073723.38000000 0.082417397387 Long ABS-O CORP KY N 2 2037-01-15 Floating 5.58900000 N N N N N N CAPSTONE ACQUISITION HOLDINGS INC N/A N/A 24621000.86400000 PA USD 24005475.84000000 0.389944167944 Long LON CORP US N 3 2027-11-12 Variable 7.87000000 N N N N N N SCIL IV LLC / SCIL USA H N/A 78397UAA8 10675000.00000000 PA USD 8246437.50000000 0.133954862252 Long DBT CORP US N 2 2026-11-01 Fixed 5.37500000 N N N N N N BRE/EVERBRIGHT M6 BORROWER LLC N/A N/A 14288689.80000000 PA USD 13836166.99000000 0.224754246090 Long LON CORP US N 2 2026-09-09 Variable 8.05000000 N N N N N N Diamond CLO 2019-1 LLC N/A 25257AAS3 1322000.00000000 PA USD 1311959.54000000 0.021311428051 Long ABS-O CORP KY N 2 2029-04-25 Floating 5.18300000 N N N N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 913229AC4 4550000.00000000 PA USD 3605432.10000000 0.058566521642 Long DBT CORP US N 2 2027-06-15 Fixed 5.75000000 N N N N N N SPECTRUM BRANDS INC 549300VU3EH2E73C1Q04 84762LAW5 5600000.00000000 PA USD 4378820.21000000 0.071129412920 Long DBT CORP US N 2 2030-07-15 Fixed 5.50000000 N N N N N N American Home Mortgage Assets N/A 02660WAB2 6801707.15680000 PA USD 5933014.20000000 0.096375689490 Long ABS-MBS CORP US N 2 2046-05-25 Floating 3.27400000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -22516402.81000000 PA USD -22516402.81000000 -0.36575571412 Short RA CORP US N 2 Reverse repurchase N 3.26000000 N/A 24550000.00000000 USD 23015625.00000000 USD CDS N N N CHG HEALTHCARE SERVICES INC N/A N/A 9131000.00000000 PA USD 8752428.74000000 0.142174167479 Long LON CORP US N 2 2028-09-29 Variable 6.37000000 N N N N N N HOWMET AEROSPACE INC 549300HO5WFZUT5N2T22 443201AA6 53000.00000000 PA USD 53386.37000000 0.000867206456 Long DBT CORP US N 2 2025-05-01 Fixed 6.87500000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -4094000.00000000 OU Notional Amount USD -98295.38000000 -0.00159670695 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2030-04-22 67075.92000000 USD 0.00000000 USD -4094000.00000000 USD -165371.30000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHLP0 15888362.37600000 PA USD 14834828.74000000 0.240976475041 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -8210534.86000000 PA USD -8210534.86000000 -0.13337166093 Short RA CORP US N 2 Reverse repurchase N 3.23000000 N/A 9800000.00000000 USD 7816480.00000000 USD CDS N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 111000000.00000000 NC 362964.90000000 0.005895990017 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Purchased N/A Foreign Exchange NOK/SEK 111000000 1.05450000 NOK 2022-10-04 XXXX 315826.65000000 N N N VT TOPCO INC N/A N/A 4157459.00500000 PA USD 3949586.05000000 0.064156947200 Long LON CORP US N 2 2025-08-01 Variable 6.87000000 N N N N N N Ace Securities Corp. N/A 00442JAE4 10843154.13860000 PA USD 5267982.71000000 0.085572939619 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.84400000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 3820000.00000000 NC USD 89914.35000000 0.001460565773 N/A DFE CA N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 5150452.52000000 CAD 3820000.00000000 USD 2022-10-12 89914.35000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -55668002.00000000 NC 207965.40000000 0.003378183186 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 55668002.00000000 EUR 54776200.61000000 USD 2022-10-06 207965.40000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1780000.00000000 NC -96311.67000000 -0.00156448363 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1092197.32000000 USD 1780000.00000000 NZD 2022-10-11 -96311.67000000 N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AH4 525000.00000000 PA USD 490875.00000000 0.007973757517 Long DBT CORP US N 2 2028-05-01 Fixed 5.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 570000.00000000 NC -14140.38000000 -0.00022969587 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 333047.58000000 USD 570000.00000000 NZD 2022-10-11 -14140.38000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 6071000.00000000 OU Notional Amount USD -892168.84000000 -0.01449236158 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 U.S. Secured Overnight Financing Rate N/A Y 2028-12-06 0.00000000 USD 104342.17000000 USD 6071000.00000000 USD -787826.67000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1430000.00000000 NC 6253.70000000 0.000101584899 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1430000.00000000 EUR 15623309.13000000 SEK 2022-10-06 6253.70000000 N N N ARETEC GROUP INC N/A N/A 6460051.06500000 PA USD 6325488.20000000 0.102751024367 Long LON CORP US N 2 2025-10-01 Variable 7.38000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 4024000.00000000 OU Notional Amount USD 83008.08000000 0.001348380548 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2032-04-21 0.00000000 USD 126891.98000000 USD 4024000.00000000 USD 209900.06000000 N N N CAST & CREW LLC N/A N/A 3213290.89520000 PA USD 3124925.40000000 0.050761186452 Long LON CORP US N 2 2026-02-09 Variable 6.62000000 N N N N N N ARDAGH METAL PACKAGING N/A 03969YAB4 950000.00000000 PA USD 695735.35000000 0.011301502372 Long DBT CORP US N 2 2029-09-01 Fixed 4.00000000 N N N N N N DXP ENTERPRISES INC N/A N/A 12904400.71390000 PA USD 12262406.78000000 0.199190136479 Long LON CORP US N 2 2027-12-23 Variable 7.87000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -2240000.00000000 NC -30641.04000000 -0.00049773205 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2240000.00000000 GBP 2470901.44000000 USD 2022-10-05 -30641.04000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 880000.00000000 NC -947.45000000 -0.00001539034 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 9582154.56000000 SEK 880000.00000000 EUR 2022-10-06 -947.45000000 N N N VT TOPCO INC N/A N/A -124468.08470000 PA USD -6223.40000000 -0.00010109270 Short LON CORP US N 3 2025-08-01 Variable 3.75000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -2960000.00000000 NC -43988.36000000 -0.00071454548 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 2960000.00000000 GBP 3261621.34000000 USD 2022-10-05 -43988.36000000 N N N ICEBOX HOLDCO III INC N/A N/A -2220000.03000000 PA USD -144300.00000000 -0.00234400450 Short LON CORP US N 3 2028-12-22 Variable 3.75000000 N N N N N N BlackRock Corporate High Yield 97ZR60BLU36N5VJMH054 09255P107 1674130.00000000 NS USD 14313811.50000000 0.232513087958 Long EC RF US N 1 N N N CML - CBS STUDIOS N/A N/A 22000000.00000000 PA USD 22220000.00000000 0.360940956533 Long DBT CORP US N 3 2024-01-09 Variable 5.28500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 3000000.00000000 NC 58353.10000000 0.000947885856 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3291927.00000000 USD 3000000.00000000 GBP 2022-10-05 58353.10000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -2270000.00000000 NC 20140.98000000 0.000327169423 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2270000.00000000 NZD 1290174.93000000 USD 2022-10-11 20140.98000000 N N N LoanCore 2019-CRE2 Issuer, Ltd N/A 53946JAC8 11343072.14000000 PA USD 11245592.05000000 0.182673031111 Long ABS-O CORP KY N 2 2036-05-15 Floating 4.31800000 N N N N N N BRAVO Residential Funding Trus N/A 10568PAA5 25589790.81700000 PA USD 22606138.92000000 0.367213384577 Long ABS-MBS CORP US N 2 2070-01-29 Variable 3.12500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1345612.50000000 NC 47127.56000000 0.000765538550 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1345612.50000000 ILS 427002.35000000 USD 2022-11-30 47127.56000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A -11311133.05000000 PA USD -11311133.05000000 -0.18373767698 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 13040000.00000000 USD 12151976.00000000 USD AMBS N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 1820000.00000000 NC USD 16234.46000000 0.000263712039 N/A DFE CA N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 2490615.40000000 CAD 1820000.00000000 USD 2022-10-12 16234.46000000 N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 064058AL4 20550000.00000000 NS USD 15874875.00000000 0.257870952625 Long EP CORP US N 2 N N N RENT-A-CENTER INC 529900QUHE15UQNCCJ63 76009NAL4 5450000.00000000 PA USD 4251000.00000000 0.069053105590 Long DBT CORP US N 2 2029-02-15 Fixed 6.37500000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 92769XAR6 7950000.00000000 PA USD 6204580.36000000 0.100787001351 Long DBT CORP US N 2 2030-08-15 Fixed 4.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AQ2 22640000.00000000 PA USD 18506297.33000000 0.300615691276 Long DBT CORP US N 2 2031-01-15 Fixed 4.00000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 72235000.00000000 NC USD 5296718.78000000 0.086039727405 N/A DIR DE N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2037-04-12 0.00000000 USD 0.00000000 USD 0.00000000 USD 72235000 2.39000000 USD 2032-04-08 XXXX 1807768.28000000 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 6000000.00000000 NC 75535.98000000 0.001227003999 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Purchased N/A Foreign Exchange AUD/NZD 6000000 1.11500000 AUD 2022-10-07 XXXX 49218.13000000 N N N IQVIA INC 549300PLWY28YB00C717 449934AD0 1350000.00000000 PA USD 1286357.63000000 0.020895551458 Long DBT CORP US N 2 2026-10-15 Fixed 5.00000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92556HAC1 10340000.00000000 PA USD 7348127.20000000 0.119362738987 Long DBT CORP US N 2 2050-05-19 Fixed 4.95000000 N N N N N N CABLE ONE INC 549300648QS85T0XSH18 12685JAC9 12575000.00000000 PA USD 9788505.75000000 0.159004168696 Long DBT CORP US N 2 2030-11-15 Fixed 4.00000000 N N N N N N PACKERS HOLDINGS LLC N/A N/A 22783434.13640000 PA USD 20861195.80000000 0.338868585349 Long LON CORP US N 2 2028-03-09 Variable 6.01000000 N N N N N N EISNER ADVISORY GROUP N/A N/A 6098044.53550000 PA USD 5762652.09000000 0.093608332922 Long LON CORP US N 3 2028-07-28 Variable 8.40000000 N N N N N N SCIENTIFIC GAMES US PARENT LP N/A N/A 5500000.00000000 PA USD 5081780.00000000 0.082548268860 Long LON CORP US N 2 2029-04-04 Variable 5.62000000 N N N N N N First NLC Trust N/A 32115BAD2 6726603.75630000 PA USD 3748247.92000000 0.060886417172 Long ABS-MBS CORP US N 2 2037-08-25 Floating 3.36400000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251RAC7 2529192.99140000 PA USD 1043209.91000000 0.016945867811 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.28400000 N N N N N N FIRST AMERICAN FINANCIAL 549300B6VEZK3N0A1P55 31847RAG7 11760000.00000000 PA USD 9805215.05000000 0.159275594021 Long DBT CORP US N 2 2030-05-15 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 45494503.00000000 NC -3718.80000000 -0.00006040806 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 318335.94000000 USD 45494503.00000000 JPY 2022-10-13 -3718.80000000 N N N BIB MERCHANT VOUCHER RECEIVABLES LTD N/A N/A 13738236.71000000 PA USD 13358697.04000000 0.216998239768 Long ABS-O CORP US N 3 2028-04-07 Fixed 4.18000000 N N N N N N BMO Capital Markets Corp., New York Branch RUC0QBLBRPRCU4W1NE59 N/A -5272791.27000000 PA USD -5272791.27000000 -0.08565104971 Short RA CORP US N 2 Reverse repurchase N 3.27000000 N/A 6460000.00000000 USD 5418648.00000000 USD CDS N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 4750000.00000000 NC 58847.11000000 0.000955910538 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange EUR/USD 4750000 0.98350000 EUR 2022-10-14 XXXX 9798.98000000 N N N PRUDENTIAL FINANCIAL INC 5PRBRS5FEH7NREC8OR45 744320BJ0 2750000.00000000 PA USD 2384085.00000000 0.038726999115 Long DBT CORP US N 2 2052-03-01 Variable 5.12500000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251UAD8 16784677.28540000 PA USD 5163221.86000000 0.083871207783 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.40400000 N N N N N N STRIP PRINC 254900HROIFWPRGM1V77 912803ER0 23450000.00000000 PA USD 9055468.18000000 0.147096730276 Long DBT UST US N 2 2046-02-15 None 0.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 324.00000000 NC USD 14968800.00000000 0.243152699826 N/A DE US N 1 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Purchased S&P 500 INDEX US78378X1072 32400 4000.00000000 USD 2023-04-21 XXXX 7256699.56000000 N N N Cerberus 54930000UKAI7FBHXD27 15674PAE7 5900000.00000000 PA USD 5362087.56000000 0.087101575738 Long ABS-O CORP KY N 2 2033-07-23 Floating 5.31200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 260000.00000000 NC -1867.24000000 -0.00003033138 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 147333.68000000 USD 260000.00000000 NZD 2022-10-11 -1867.24000000 N N N ARCLINE FM HOLDINGS LLC N/A N/A 20988000.00000000 PA USD 19413900.00000000 0.315358759497 Long LON CORP US N 3 2028-06-23 Variable 7.00000000 N N N N N N Cerberus N/A 15674RAG8 5150000.00000000 PA USD 4608359.57000000 0.074858042810 Long ABS-O CORP KY N 2 2033-09-22 Floating 5.11200000 N N N N N N ONEX CORPORATION N/A N/A 411446.30750000 PA USD 348359.25000000 0.005658736314 Long LON CORP US N 2 2024-04-01 Variable 10.67000000 N N Y N N N American Money Management Corp 5493004OOK6VXHQ8DQ60 001747AE4 5650000.00000000 PA USD 1891055.00000000 0.030718235848 Long ABS-O CORP KY N 2 2031-04-30 None 0.00000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 3750000.00000000 NC 60687.00000000 0.000985797652 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Purchased N/A Foreign Exchange EUR/CAD 3750000 1.33150000 EUR 2022-10-18 XXXX 23705.12000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1000000.00000000 NC -39710.76000000 -0.00064506029 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1000000.00000000 EUR 10242870.60000000 NOK 2022-10-11 -39710.76000000 N N N CERTARA HOLDCO INC N/A N/A 1600028.95440000 PA USD 1540027.87000000 0.025016162578 Long LON CORP US N 3 2026-08-17 Variable 6.62000000 N N N N N N MADISON INDUSTRIES US HOLDINGS CORP 549300ZA0D9WN5ECE978 N/A 3540618.83000000 PA 3299545.82000000 0.053597714869 Long LON CORP US N 2 2025-03-31 Variable 4.19000000 N N N N N N ENDO INTERNATIONAL PLC N/A N/A 7653125.00000000 PA USD 6443931.25000000 0.104675009415 Long LON CORP LU N 2 2028-03-27 Variable 12.25000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1560000.00000000 NC -38810.02000000 -0.00063042870 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1560000.00000000 EUR 16230776.64000000 NOK 2022-10-11 -38810.02000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -3108000.00000000 NC USD -42927.92000000 -0.00069731973 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3108000.00000000 USD 439680368.00000000 JPY 2022-12-19 -42927.92000000 N N N GALLS N/A N/A 3475129.83250000 PA USD 3353500.29000000 0.054474149523 Long LON CORP US N 3 2025-01-31 Variable 9.58000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CY9 32030000.00000000 PA USD 29629279.75000000 0.481297055551 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHBC0 8406478.50600000 PA USD 7833854.58000000 0.127252878732 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N CONFLUENT MEDICAL TECHNOLOGIES INC N/A N/A 5273500.00000000 PA USD 4930722.50000000 0.080094495749 Long LON CORP US N 3 2029-02-16 Variable 7.30000000 N N N N N N FIRST REPUBLIC BANK YWC0TIKBQM2JV8L4IV08 33616C761 369600.00000000 NS USD 6357120.00000000 0.103264850296 Long EP CORP US N 2 N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313385J23 700000.00000000 PA USD 699944.00000000 0.011369867546 Long DBT USGSE US N 2 2022-10-03 None 0.00000000 N N N N N N BLOCK INC 549300OHIIUWSTIZME52 852234AN3 11031000.00000000 PA USD 9480721.35000000 0.154004528924 Long DBT CORP US N 2 2026-06-01 Fixed 2.75000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 2780000.00000000 NC 33032.06000000 0.000536571707 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 3071560.84000000 USD 2780000.00000000 GBP 2022-10-05 33032.06000000 N N N MSCI INC 549300HTIN2PD78UB763 55354GAL4 883000.00000000 PA USD 743454.21000000 0.012076645980 Long DBT CORP US N 2 2031-02-15 Fixed 3.87500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1460000.00000000 NC 55626.99000000 0.000903603014 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1460000.00000000 NZD 872477.02000000 USD 2022-10-11 55626.99000000 N N N PROJECT ALPHA INTERMEDIATE HOLDING INC N/A N/A 176.81000000 NS USD 266674.12000000 0.004331845722 Long EC CORP US N 3 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 510000.00000000 NC 3266.28000000 0.000053057345 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 496658.25000000 USD 510000.00000000 EUR 2022-10-06 3266.28000000 N N N CNO FINANCIAL GROUP INC 11XPYHB76MPM4Y4P2897 12621E301 324000.00000000 NS USD 6356880.00000000 0.103260951744 Long EP CORP US N 2 N N N AMER AIRLINE 19-1AA PTT N/A 02377LAA2 1037314.96910000 PA USD 865050.25000000 0.014051848095 Long DBT CORP US N 2 2032-02-15 Fixed 3.15000000 N N N N N N Diamond CLO 2019-1 LLC N/A 25257AAU8 5500000.00000000 PA USD 5306632.10000000 0.086200759052 Long ABS-O CORP KY N 2 2029-04-25 Floating 6.18300000 N N N N N N MANITOBA T-BILL 5493003QILFOB3JRKE30 56347PD62 12000000.00000000 PA 8675656.88000000 0.140927087885 Long DBT NUSS CA N 2 2022-10-19 None 0.00000000 N N N N N N CAMIN CARGO CONTROL INC N/A N/A 6579851.69000000 PA USD 6445468.75000000 0.104699984515 Long LON CORP US N 3 2026-06-04 Variable 9.62000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1380000.00000000 NC -13036.29000000 -0.00021176107 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 895862.88000000 USD 1380000.00000000 AUD 2022-10-11 -13036.29000000 N N N KAISER ALUMINUM CORP N/A 483007AL4 13250000.00000000 PA USD 9695555.00000000 0.157494279739 Long DBT CORP US N 2 2031-06-01 Fixed 4.50000000 N N N N N N GSAA Home Equity Trust N/A 362382AG8 7677936.13920000 PA USD 2544855.00000000 0.041338541761 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.56400000 N N N N N N ZIGGO BV 213800TQASLF9JXH5J59 98955DAA8 5275000.00000000 PA USD 4167250.00000000 0.067692673317 Long DBT CORP NL N 2 2030-01-15 Fixed 4.87500000 N N N N N N Residential Accredit Loans, In N/A 75115FAD2 3916760.69380000 PA USD 3750071.58000000 0.060916040645 Long ABS-MBS CORP US N 2 2046-10-25 Floating 3.48400000 N N N N N N VZ SECURED FINANCING BV 549300MG611MYCOWY949 91845AAA3 16950000.00000000 PA USD 12663276.35000000 0.205701848722 Long DBT CORP NL N 2 2032-01-15 Fixed 5.00000000 N N N N N N Residential Accredit Loans, In N/A 761118WA2 3182638.28820000 PA USD 745345.88000000 0.012107374206 Long ABS-MBS CORP US N 2 2046-02-25 Floating 3.76400000 N N N N N N NFP CORP VO2L9FZNXDJNQNEYH039 65342RAD2 28700000.00000000 PA USD 22386000.00000000 0.363637455128 Long DBT CORP US N 2 2028-08-15 Fixed 6.87500000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -2400000.00000000 NC -4696.82000000 -0.00007629499 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Written N/A Foreign Exchange GBP/CAD -2400000 1.55060000 GBP 2022-10-03 XXXX 6839.51000000 N N N Castlelake Aircraft Structured N/A 14856CAA7 12067985.22240000 PA USD 10559015.21000000 0.171520299277 Long ABS-O CORP US N 2 2043-06-15 Fixed 4.12500000 N N N N N N BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A -22364868.80000000 PA USD -22364868.80000000 -0.36329420060 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 24150000.00000000 USD 22493310.00000000 USD CDS N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -550000.00000000 NC 1035.29000000 0.000016817217 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 550000.00000000 EUR 5993763.60000000 SEK 2022-10-06 1035.29000000 N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 064058AH3 4500000.00000000 NS USD 4308750.00000000 0.069991194710 Long EP CORP US N 2 N N N CHECKERS HOLDINGS INC N/A N/A 3270299.81540000 PA USD 2747051.84000000 0.044623020646 Long LON CORP US N 2 2024-04-25 Variable 7.32000000 N N N N N N DEUCE FINCO PLC N/A N/A 7350000.00000000 PA 6114945.22000000 0.099330971055 Long DBT CORP GB N 2 2027-06-15 Fixed 5.50000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -500000.00000000 NC 4993.97000000 0.000081121886 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 500000.00000000 CAD 367098.52000000 USD 2022-10-21 4993.97000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -450000.00000000 NC 4493.72000000 0.000072995841 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 450000.00000000 CAD 330389.39000000 USD 2022-10-19 4493.72000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2210000.00000000 NC USD 4828.65000000 0.000078436433 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 316328792.00000000 JPY 2210000.00000000 USD 2022-12-19 4828.65000000 N N N ARCELORMITTAL 2EULGUTUI56JI9SAL165 03938LBA1 2450000.00000000 PA USD 2344977.96000000 0.038091745631 Long DBT CORP LU N 2 2026-03-11 Fixed 4.55000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BQ5 2600000.00000000 PA USD 2048439.25000000 0.033274780481 Long DBT CORP US N 2 2029-11-15 Fixed 3.87500000 N N N N N N TRADER INTERACTIVE LLC N/A N/A 2062704.29680000 PA USD 1990509.65000000 0.032333773945 Long LON CORP US N 2 2028-07-28 Variable 6.27386000 N N N N N N RBC Capital Markets, LLC 549300LCO2FLSSVFFR64 N/A -8877189.96000000 PA USD -8877189.96000000 -0.14420078467 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 11550000.00000000 USD 8483475.00000000 USD CDS N N N SITECORE HOLDING III A/S N/A N/A 3129183.19790000 PA USD 3096891.06000000 0.050305797546 Long LON CORP DK N 3 2026-03-12 Variable 10.27000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -2010000.00000000 NC -15449.23000000 -0.00025095678 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2010000.00000000 EUR 1954841.58000000 USD 2022-10-06 -15449.23000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1040000.00000000 NC -1454.32000000 -0.00002362392 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 11328077.28000000 SEK 1040000.00000000 EUR 2022-10-06 -1454.32000000 N N N CIFC Funding Ltd 2549005S1LQJ8MBPXW05 12550YAU8 8100000.00000000 PA USD 7238733.48000000 0.117585750961 Long ABS-O CORP KY N 2 2030-04-20 Floating 5.81000000 N N N N N N LMRK Issuer Co. LLC N/A 50209LAB3 6561370.56470000 PA USD 6470333.52000000 0.105103887029 Long ABS-O CORP US Y 2 2048-06-15 Fixed 4.70000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1100000.00000000 NC 22942.35000000 0.000372674786 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1100000.00000000 NZD 638377.30000000 USD 2022-10-11 22942.35000000 N N N HIGGINBOTHAM INSURANCE AGENCY INC N/A N/A 12796968.70660000 PA USD 12479603.88000000 0.202718279099 Long LON CORP US N 3 2026-11-25 Variable 8.37000000 N N N N N N Falcon Aerospace Ltd N/A 30610GAA1 5889751.94830000 PA USD 4679715.96000000 0.076017153686 Long ABS-O CORP KY N 2 2039-09-15 Fixed 3.59700000 N N N N N N OCTAGON LOAN FUNDING LTD 549300HJJWTCMWFILG24 67590TAC5 19435737.00000000 PA USD 6058119.22000000 0.098407891361 Long ABS-O CORP KY N 2 2031-11-18 None 0.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 770000.00000000 NC 27181.91000000 0.000441542061 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 7923973.75000000 NOK 770000.00000000 EUR 2022-10-11 27181.91000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BE2 10900000.00000000 PA USD 9850114.62000000 0.160004941174 Long DBT CORP US N 2 2030-06-15 Fixed 4.62500000 N N N N N N LCPR SR SECURED FIN DAC 549300LE5FM8IKMXSP90 50201DAD5 16250000.00000000 PA USD 12237337.61000000 0.198782913698 Long DBT CORP IE N 2 2029-07-15 Fixed 5.12500000 N N N N N N TSG SOLUTIONS HOLDING SA N/A N/A 4400000.00000000 PA 4059100.26000000 0.065935892462 Long LON CORP FR N 2 2029-03-30 Variable 4.49000000 N N N N N N NCR CORP 549300YKTY8JX1DV2R67 62886EAZ1 11425000.00000000 PA USD 8621961.25000000 0.140054857820 Long DBT CORP US N 2 2030-10-01 Fixed 5.25000000 N N N N N N CAB SELAS N/A N/A 4100000.00000000 PA 3061236.89000000 0.049726632369 Long DBT CORP FR N 2 2028-02-01 Fixed 3.37500000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 1000000000.00000000 PA 6909801.08000000 0.112242583765 Long DBT NUSS JP N 2 2022-10-17 None 0.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1500000.00000000 NC -22897.76000000 -0.00037195046 N/A DFE CH N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 1472880.00000000 CHF 1500000.00000000 EUR 2022-10-06 -22897.76000000 N N N AFTERNEXT HEALTHTECH ACQUI-A N/A N/A 298533.00000000 NS USD 47765.28000000 0.000775897653 N/A DE US N 1 AfterNext HealthTech Acquisition Corp. N/A Call Purchased N/A AfterNext HealthTech Acquisition Corp. 298533 11.50000000 USD 2023-07-09 XXXX -223538.02000000 N N N WAMU Asset-Backed Certificates N/A 92926SAC0 18485817.52540000 PA USD 7342256.16000000 0.119267370004 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.27400000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 11300000.00000000 NC 67004.69000000 0.001088422002 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Purchased N/A Foreign Exchange EUR/SEK 11300000 10.84000000 EUR 2022-10-07 XXXX 33687.86000000 N N N BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A -16857133.37000000 PA USD -16857133.37000000 -0.27382672560 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 21150000.00000000 USD 15733485.00000000 USD CDS N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -4640000.00000000 NC 11716.40000000 0.000190320820 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 4640000.00000000 EUR 50598661.76000000 SEK 2022-10-06 11716.40000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -4050000.00000000 NC -86749.36000000 -0.00140915377 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 4050000.00000000 EUR 3830230.80000000 CHF 2022-10-06 -86749.36000000 N N N Residential Accredit Loans, In N/A 761118VY1 213333.14260000 PA USD 46744.02000000 0.000759308338 Long ABS-MBS CORP US N 2 2046-02-25 Floating 3.52400000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BK2 225000.00000000 PA USD 228197.25000000 0.003706828699 Long DBT CORP US N 2 2025-12-15 Fixed 8.00000000 N N N N N N Acropolis Infrastructure Acqui N/A 005029103 578278.00000000 NS USD 5612187.99000000 0.091164198980 Long EC CORP US N 1 N N N KENNEDY-WILSON INC 5EA4464UK7FM5QNNKL62 489399AN5 250000.00000000 PA USD 185425.00000000 0.003012037662 Long DBT CORP US N 2 2030-02-01 Fixed 4.75000000 N N N N N N PGT INNOVATIONS INC 549300LRW9WM59C1S579 69336VAB7 6100000.00000000 PA USD 5003836.47000000 0.081282156697 Long DBT CORP US N 2 2029-10-01 Fixed 4.37500000 N N N N N N Blue Whale Acquisition Corp. I N/A SBP818W74 477700.00000000 NS USD 4628913.00000000 0.075191912057 Long EC CORP US N 1 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 880000.00000000 NC USD 9039.28000000 0.000146833770 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 125943312.00000000 JPY 880000.00000000 USD 2022-10-13 9039.28000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1370000.00000000 NC 65612.97000000 0.001065814948 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1370000.00000000 NZD 832109.23000000 USD 2022-10-11 65612.97000000 N N N Figs Inc N/A 30260D103 55695.00000000 NS USD 459483.75000000 0.007463839074 Long EC CORP US N 1 N N N BMO Capital Markets Corp., New York Branch RUC0QBLBRPRCU4W1NE59 N/A -6335645.01000000 PA USD -6335645.01000000 -0.10291601125 Short RA CORP US N 2 Reverse repurchase N 3.27000000 N/A 7843000.00000000 USD 5574020.10000000 USD CDS N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 39000000.00000000 NC 207512.77000000 0.003370830679 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased N/A Foreign Exchange NOK/SEK 39000000 1.07700000 NOK 2022-10-07 XXXX 166488.05000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 2400000.00000000 NC USD 4145.08000000 0.000067332544 N/A DFE JP N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 346447200.00000000 JPY 2400000.00000000 USD 2022-10-13 4145.08000000 N N N MERLIN BUYER INC N/A N/A 11940000.00000000 PA USD 11283300.00000000 0.183285557823 Long LON CORP US N 2 2028-12-14 Variable 7.03000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 24141000.00000000 NC USD 3929248.31000000 0.063826581614 N/A DIR US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, N.A. E57ODZWZ7FF32TWEFA76 Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2049-04-16 0.00000000 USD 0.00000000 USD 0.00000000 USD 24141000 2.37500000 USD 2029-04-12 XXXX 893517.56000000 N N N American Home Mortgage Assets N/A 02660UAE0 5213992.17660000 PA USD 3719304.34000000 0.060416258601 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.04400000 N N N N N N HIGGINBOTHAM INSURANCE AGENCY INC N/A N/A -5230898.96760000 PA USD -129726.29000000 -0.00210726963 Short LON CORP US N 3 2026-11-25 Variable 1.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -425000.00000000 NC 4285.44000000 0.000069612547 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 425000.00000000 CAD 312086.94000000 USD 2022-10-04 4285.44000000 N N N Commodity Exchange, Inc. N/A N/A 389.00000000 NC USD -2997231.93000000 -0.04868693788 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Long N/A Gold 100 oz. 2022-12-28 67952451.93000000 USD -2997231.93000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -180000000.00000000 OU Notional Amount USD 29085480.00000000 0.472463590118 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE LIBOR USD 3 Month N/A Y 2031-03-17 1429.07000000 USD 0.00000000 USD -180000000.00000000 USD 29084050.93000000 N N N Palmer Square Loan Funding Ltd N/A 69702BAG6 8300000.00000000 PA USD 7593150.42000000 0.123342888195 Long ABS-O CORP KY N 2 2029-07-20 Floating 5.21000000 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBL7 36940000.00000000 PA USD 23188785.05000000 0.376677869342 Long DBT CORP US N 2 2061-02-01 Fixed 4.30000000 N N N N N N Ladder Capital Commercial Mort N/A 50202KAJ5 5750000.00000000 PA USD 5251844.15000000 0.085310785376 Long ABS-O CORP US N 2 2038-12-13 Floating 5.71800000 N N N N N N SERVICE LOGIC ACQUISITION INC N/A N/A -161014.92060000 PA USD -10264.70000000 -0.00016673945 Short LON CORP US N 3 2027-10-29 Variable 4.00000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 3900000.00000000 NC 14587.60000000 0.000236960499 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Purchased N/A Foreign Exchange EUR/AUD 3900000 1.49500000 EUR 2022-10-19 XXXX -31625.93000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -769.00000000 NC USD -5894385.00000000 -0.09574819802 N/A DE US N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written S&P 500 INDEX US78378X1072 -76900 3400.00000000 USD 2022-11-18 XXXX -2892873.42000000 N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCL5 14265000.00000000 PA USD 10538554.05000000 0.171187928860 Long DBT CORP US N 2 2033-06-01 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1310000.00000000 NC -313.38000000 -0.00000509053 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1310000.00000000 EUR 14245216.41000000 SEK 2022-10-06 -313.38000000 N N N LUMMUS TECHNOLOGY HOLDINGS V LLC N/A N/A 11927339.46860000 PA USD 10779333.04000000 0.175099134934 Long LON CORP US N 2 2027-06-30 Variable 6.62000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 2420000.00000000 NC -26177.06000000 -0.00042521931 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2728736.34000000 USD 2420000.00000000 GBP 2022-10-05 -26177.06000000 N N N ZAYO GROUP HOLDINGS INC 529900Z6OTS7RT0V0I47 98919VAA3 700000.00000000 PA USD 561715.00000000 0.009124480170 Long DBT CORP US N 2 2027-03-01 Fixed 4.00000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BB2 21250000.00000000 PA USD 15878000.00000000 0.257921715023 Long DBT CORP US N 2 2030-12-01 Fixed 4.12500000 N N N N N N MAMBA PURCHASER INC N/A N/A 1990000.00000000 PA USD 1883037.50000000 0.030587999839 Long LON CORP US N 2 2028-10-16 Variable 6.55000000 N N N N N N DYAL CAPITAL PARTNERS IV LP N/A N/A 3832500.00000000 PA USD 2871229.40000000 0.046640156888 Long DBT CORP US N 3 2041-02-22 Fixed 3.65000000 N N N N N N RBC Capital Markets, LLC 549300LCO2FLSSVFFR64 N/A -8446192.42000000 PA USD -8446192.42000000 -0.13719967466 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 10270000.00000000 USD 8445021.00000000 USD CDS N N N Marathon CLO LTD 635400LRBGQZIPTCBI09 56576UAC3 5500000.00000000 PA USD 295350.00000000 0.004797655783 Long ABS-O CORP KY N 2 2027-11-21 None 0.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -710000.00000000 NC 409.23000000 0.000006647518 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 710000.00000000 EUR 7727115.31000000 SEK 2022-10-06 409.23000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -100000000.00000000 OU Notional Amount 476295.33000000 0.007736925832 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 6-Month Poland Warsaw Interbank Offer Rate N/A Y 2026-08-01 83.58000000 PLN 0.00000000 PLN -100000000.00000000 PLN 476217.17000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1600000.00000000 NC 20097.09000000 0.000326456475 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1600000.00000000 NZD 915275.20000000 USD 2022-10-11 20097.09000000 N N N BCPE EMPIRE HOLDINGS INC N/A N/A 16773249.99570000 PA USD 16032375.54000000 0.260429386269 Long LON CORP US N 2 2026-06-11 Variable 7.12000000 N N N N N N FT 1 INC 5493002GPK5LQJ7QPJ51 N/A 12773.00000000 NS USD 32124.48000000 0.000521829007 Long EC CORP US N 3 N N N BERKLEY (WR) CORPORATION SQOAGCLKBDWNVYV1OV80 084423870 878365.00000000 NS USD 15371387.50000000 0.249692318068 Long EP CORP US N 2 N N N Cerberus N/A 15674JAC5 14500000.00000000 PA USD 14039506.10000000 0.228057279972 Long ABS-O CORP KY N 2 2033-01-15 Floating 6.16200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -1000000.00000000 NC 13649.68000000 0.000221724957 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1000000.00000000 NZD 573136.00000000 USD 2022-10-11 13649.68000000 N N N COGITAL MIDCO LIMITED N/A N/A 1000000.00000000 PA 950700.77000000 0.015443152353 Long LON CORP NO N 3 2023-11-27 Variable 4.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -650000.00000000 NC -17225.81000000 -0.00027981549 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 650000.00000000 EUR 6751338.75000000 NOK 2022-10-11 -17225.81000000 N N N UNIFORM MBS N/A N/A 420152000.00000000 PA USD 389035122.73000000 6.319473866926 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 4.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -2700000.00000000 NC -10801.40000000 -0.00017545758 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Written N/A Foreign Exchange EUR/JPY -2700000 147.37 EUR 2022-10-11 XXXX 5398.60000000 N N N TRITON WATER HOLDINGS INC N/A N/A 619358.34420000 PA USD 554412.43000000 0.009005857461 Long LON CORP US N 2 2028-03-31 Variable 7.17000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -850000.00000000 NC 6530.96000000 0.000106088701 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 850000.00000000 EUR 9317803.70000000 SEK 2022-10-06 6530.96000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A -7497866.25000000 PA USD -7497866.25000000 -0.12179509523 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 8560000.00000000 USD 8020720.00000000 USD AMBS N N N PERFORMANCE FOOD GROUP I 549300OMUOGBYK0FFO76 71376LAD2 304000.00000000 PA USD 302100.00000000 0.004907302563 Long DBT CORP US N 2 2025-05-01 Fixed 6.87500000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 11600000.00000000 NC 84970.82000000 0.001380263233 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased N/A Foreign Exchange EUR/USD 11600000 0.96350000 EUR 2022-10-24 XXXX 31943.55000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 664200000.00000000 OU Notional Amount USD -30064362.08000000 -0.48836451875 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 U.S. Secured Overnight Financing Rate N/A Y 2027-07-18 3100.77000000 USD 0.00000000 USD 664200000.00000000 USD -30067462.85000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -9030000.00000000 NC USD -137035.89000000 -0.00222600653 N/A DFE JP N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 9030000.00000000 USD 1275683451.00000000 JPY 2022-12-19 -137035.89000000 N N N MATTERHORN BUYER LLC N/A N/A 5001175.65460000 PA USD 3946777.79000000 0.064111329916 Long LON CORP US N 2 2025-05-23 Variable 7.12000000 N N N N N N LoanCore 2022-CRE7 Issuer Ltd. N/A 53946PAJ9 6400000.00000000 PA USD 6107068.80000000 0.099203026745 Long ABS-O CORP KY N 2 2037-01-17 Floating 5.38400000 N N N N N N LEGENDS HOSPITALITY HOLD N/A 52473NAA6 2775000.00000000 PA USD 2376315.75000000 0.038600795671 Long DBT CORP US N 2 2026-02-01 Fixed 5.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2860000.00000000 NC 31048.69000000 0.000504353909 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2772449.68000000 USD 2860000.00000000 EUR 2022-10-06 31048.69000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1750000.00000000 NC 50178.94000000 0.000815105067 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1750000.00000000 NZD 1029280.00000000 USD 2022-10-11 50178.94000000 N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBG2 8900000.00000000 PA USD 7234276.00000000 0.117513343801 Long DBT CORP US N 2 2030-07-01 Fixed 4.12500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -8800000.00000000 NC -48024.05000000 -0.00078010110 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written N/A Foreign Exchange GBP/CAD -8800000 1.48280000 GBP 2022-10-25 XXXX 70560.16000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -23700000.00000000 OU Notional Amount USD 3396620.25000000 0.055174588749 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 U.S. Secured Overnight Financing Rate N/A Y 2032-03-11 414.94000000 USD 0.00000000 USD -23700000.00000000 USD 3396205.31000000 N N N DERMATOLOGY INTERMEDIATE HOLDINGS III INC N/A N/A 5630769.68530000 PA USD 5349231.20000000 0.086892737445 Long LON CORP US N 3 2029-04-02 Variable 6.85000000 N N N N N N DURAN GROUP HOLDING GMBH N/A N/A 81857.90800000 PA 76662.18000000 0.001245297955 Long LON CORP DE N 3 2024-12-20 Variable 4.04000000 N N N N N N XPLORNET COMMUNICATIONS INC N/A N/A 25174478.66200000 PA USD 22084311.41000000 0.358736835494 Long LON CORP CA N 2 2028-10-02 Variable 7.12000000 N N N N N N SITECORE HOLDING III A/S N/A N/A 3851115.60060000 PA 3735541.86000000 0.060680020347 Long LON CORP DK N 3 2026-03-12 Variable 7.00000000 N N Y N N N DENALI CAPITAL CLO XI LTD 254900ENG873HFQYVK56 24823DAW6 2500000.00000000 PA USD 2422641.50000000 0.039353309646 Long ABS-O CORP KY N 2 2028-10-20 Floating 4.86000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 11600000.00000000 NC 55314.48000000 0.000898526612 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Purchased N/A Foreign Exchange EUR/USD 11600000 1.00500000 EUR 2022-10-24 XXXX 996.93000000 N N N BRITISH TELECOMMUNICATIO 549300OWFMSO9NYV4H90 11102AAG6 28200000.00000000 PA USD 22925523.61000000 0.372401459082 Long DBT CORP GB N 2 2081-11-23 Variable 4.87500000 N N N N N N Palmer Square Loan Funding Ltd N/A 69701CAE0 26200000.00000000 PA USD 24191804.06000000 0.392970877483 Long ABS-O CORP KY N 2 2030-04-15 Floating 4.32800000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 6975000.00000000 OU Notional Amount USD -1207470.50000000 -0.01961411148 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2031-12-03 0.00000000 USD 178979.88000000 USD 6975000.00000000 USD -1028490.62000000 N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAN0 11680000.00000000 PA USD 9725118.40000000 0.157974506646 Long DBT CORP IE N 2 2026-08-15 Fixed 4.12500000 N N N N N N Anchorage Credit Funding Ltd. 549300VR9XUOV1E0U888 03329TAJ3 6700000.00000000 PA USD 5691397.41000000 0.092450874220 Long ABS-O CORP KY N 2 2039-04-27 Fixed 3.12300000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -19250000.00000000 NC -4720.52000000 -0.00007667997 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Written N/A Foreign Exchange EUR/CHF -19250000 0.98150000 EUR 2022-10-04 XXXX 201841.48000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 800000.00000000 NC -36740.78000000 -0.00059681603 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 484329.84000000 USD 800000.00000000 NZD 2022-10-11 -36740.78000000 N N N NEW ENTERPRISE STONE & L 549300O5DQ5Y61B8VF38 644274AG7 10350000.00000000 PA USD 8730375.90000000 0.141815941864 Long DBT CORP US N 2 2028-07-15 Fixed 9.75000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYU2 20500000.00000000 NS USD 16297500.00000000 0.264736059365 Long EP CORP US N 2 N N N Morgan Stanley Capital Inc N/A 61750FAD2 4390162.18050000 PA USD 1692827.22000000 0.027498230244 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.28400000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 18750000.00000000 NC 6583088.84000000 0.106935480776 N/A DIR GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 0.00000000 OU Notional Amount 0.00000000 0.00000000 DIR Sterling Overnight Interbank Average Rate SONIA 2047-04-12 0.00000000 GBP 0.00000000 GBP 0.00000000 GBP 18750000 1.58300000 GBP 2027-04-12 XXXX 3659086.05000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -400000.00000000 NC 5376.59000000 0.000087337152 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 400000.00000000 AUD 261268.36000000 USD 2022-10-11 5376.59000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A -2982471.06000000 PA USD -2982471.06000000 -0.04844716279 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 3450000.00000000 USD 3226785.00000000 USD AMBS N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -100000.00000000 NC 4288.53000000 0.000069662741 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 100000.00000000 CAD 76712.41000000 USD 2022-10-04 4288.53000000 N N N ALCOA NEDERLAND HOLDING 5493000UL1QLQLT1VQ42 013822AG6 4900000.00000000 PA USD 4109457.23000000 0.066753889443 Long DBT CORP NL N 2 2029-03-31 Fixed 4.12500000 N N N N N N BLUE RIBBON LLC (USA) N/A N/A 16914871.79480000 PA USD 14398784.62000000 0.233893388553 Long LON CORP US N 2 2028-05-08 Variable 8.56000000 N N N N N N THUNDERBIRD 2022-1 N/A N/A 23343294.12000000 PA USD 0.23000000 0.000000003736 Long ABS-O CORP US N 2 2037-03-01 Fixed 0.35000000 N N N N N N NEWFOUNDLAND T-BILL 549300CLWWW48GTPOJ49 65134AX46 900000.00000000 PA 651515.11000000 0.010583190233 Long DBT NUSS CA N 2 2022-10-04 None 0.00000000 N N N N N N AMER AIRLINE 17-1 AA PTT N/A 023761AA7 1087417.50000000 PA USD 959782.74000000 0.015590679578 Long DBT CORP US N 2 2029-02-15 Fixed 3.65000000 N N N N N N GIBSON BRANDS INC 549300KU4ACNZQGB7J14 N/A 8237750.00000000 PA USD 6425445.00000000 0.104374719372 Long LON CORP US N 3 2028-08-11 Variable 7.94000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPFZ5 14940084.70100000 PA USD 13930205.94000000 0.226281811732 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N MARKEL CORP 549300SCNO12JLWIK605 570535AW4 32370000.00000000 NS USD 31417752.61000000 0.510348950457 Long EP CORP US N 2 N N N NEW ENTERPRISE STONE & L 549300O5DQ5Y61B8VF38 644274AH5 11300000.00000000 PA USD 9339732.50000000 0.151714310635 Long DBT CORP US N 2 2028-07-15 Fixed 5.25000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAZ9 2025000.00000000 PA USD 1668974.91000000 0.027110774097 Long DBT CORP US N 2 2049-10-01 Fixed 4.87500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -12701792.00000000 NC 136837.24000000 0.002222779671 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 12701792.00000000 GBP 14321690.91000000 USD 2022-10-05 136837.24000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 2000000.00000000 NC USD 1934.21000000 0.000031419244 N/A DFE JP N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 288925800.00000000 JPY 2000000.00000000 USD 2022-10-13 1934.21000000 N N N BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A -17515487.71000000 PA USD -17515487.71000000 -0.28452101206 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 21000000.00000000 USD 17295600.00000000 USD CDS N N N UNITED AIR 2019-1 AA PTT N/A 90931CAA6 1005169.66020000 PA USD 903198.31000000 0.014671523940 Long DBT CORP US N 2 2031-08-25 Fixed 4.15000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1420000.00000000 NC -17114.10000000 -0.00027800088 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1420000.00000000 EUR 1374832.64000000 USD 2022-10-06 -17114.10000000 N N N AMER AIRLINE 16-1 AA PTT N/A 02376UAA3 2326733.55260000 PA USD 2077310.97000000 0.033743771760 Long DBT CORP US N 2 2028-01-15 Fixed 3.57500000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 6017000.00000000 OU Notional Amount -426831.17000000 -0.00693343162 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 1D Euro Short Term Rate N/A Y 2027-04-12 1040.61000000 EUR 0.00000000 EUR 6017000.00000000 EUR -427763.67000000 N N N GreenPoint Mortgage Funding Tr N/A 39539KAA1 0.60420000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2047-02-25 Floating 3.16400000 N N N N N N MAPS LTD N/A 56564RAA8 4966169.85420000 PA USD 4423835.30000000 0.071860636576 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.21200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 3800000.00000000 NC 3560.34000000 0.000057834047 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A Foreign Exchange EUR/AUD 3800000 1.48100000 EUR 2022-10-11 XXXX -39052.86000000 N N N THUNDERBIRD 2022-1 N/A N/A 2304509.80000000 PA USD 2304509.80000000 0.037434382158 Long ABS-O CORP US N 3 2037-03-01 Fixed 7.50000000 N N N N N N CD&R SMOKEY BUYER INC N/A 12510CAA9 950000.00000000 PA USD 861099.29000000 0.013987668829 Long DBT CORP US N 2 2025-07-15 Fixed 6.75000000 N N N N N N SHARP MIDCO LLC N/A N/A 3283500.00000000 PA USD 3086490.00000000 0.050136843066 Long LON CORP US N 3 2028-12-31 Variable 7.67000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -34485750.00000000 NC 353910.86000000 0.005748916486 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 34485750.00000000 ILS 10089452.90000000 USD 2022-11-30 353910.86000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -320000.00000000 NC 1968.39000000 0.000031974463 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 320000.00000000 EUR 3502438.40000000 SEK 2022-10-06 1968.39000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 11500000.00000000 NC 18954.21000000 0.000307891570 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Purchased N/A Foreign Exchange EUR/CAD 11500000 1.355 EUR 2022-10-19 XXXX -25120.48000000 N N N ATKORE INC 52990002TI38AM4RPV48 047649AA6 7625000.00000000 PA USD 6097712.50000000 0.099051043312 Long DBT CORP US N 2 2031-06-01 Fixed 4.25000000 N N N N N N HARSCO CORP KAO98FK89NPNNPQGUZ43 415864AM9 4075000.00000000 PA USD 2546015.66000000 0.041357395484 Long DBT CORP US N 2 2027-07-31 Fixed 5.75000000 N N N N N N MAVIS TIRE EXPRESS SERVICES CORP N/A N/A 17182500.00030000 PA USD 16076462.48000000 0.261145533087 Long LON CORP US N 2 2028-05-04 Variable 7.25000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -4510000.00000000 NC 20266.62000000 0.000329210315 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 4510000.00000000 EUR 49279543.28000000 SEK 2022-10-06 20266.62000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 5030000.00000000 NC -9969.96000000 -0.00016195170 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 54821260.77000000 SEK 5030000.00000000 EUR 2022-10-06 -9969.96000000 N N N CHARTER NEXT GENERATION INC N/A N/A 12919875.00000000 PA USD 12233571.24000000 0.198721732906 Long LON CORP US N 2 2027-12-01 Variable 6.56000000 N N N N N N Countrywide Alternative Loan T 549300QTQ6MX6ER06N64 126680AA5 6638885.60760000 PA USD 5636512.80000000 0.091559330402 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.44400000 N N N N N N DERMATOLOGY INTERMEDIATE HOLDINGS III INC N/A N/A 166708.66140000 PA USD 158373.23000000 0.002572609591 Long LON CORP US N 2 2029-04-02 Variable 7.12000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -47.00000000 NC USD -50290.00000000 -0.00081690912 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -4700 1730.00000000 USD 2022-10-26 XXXX 120680.96000000 N N N Copper River CLO Ltd 5493005HHHXVM8NBWY47 217563AC9 8150000.00000000 PA USD 3423.00000000 0.000055603100 Long ABS-O CORP KY Y 3 2021-01-20 None 0.00000000 N N N N N N HOME POINT CAPITAL INC 549300DQF6YN0E43PM71 43734LAA4 33010000.00000000 PA USD 20672512.50000000 0.335803619968 Long DBT CORP US N 2 2026-02-01 Fixed 5.00000000 N N N N N N CATALOG INTERMEDIATE INC 4Q9DLX2VIFGJMOYJ4Y35 N/A 10101380.62280000 PA USD 9656313.79000000 0.156856846802 Long LON CORP US N 2 2026-12-04 Variable 6.63000000 N N N N N N MATCH GROUP HLD II LLC 5493003RFFE030RC9167 57665RAN6 7700000.00000000 PA USD 6727875.00000000 0.109287382445 Long DBT CORP US N 2 2028-06-01 Fixed 4.62500000 N N N N N N GLOVES BUYER INC N/A N/A 3238349.25010000 PA USD 3044048.30000000 0.049447421473 Long LON CORP US N 3 2027-12-29 Variable 7.12000000 N N N N N N PAR PHARMACEUTICAL INC 549300KK5WR4MGN4YT97 69888XAA7 1825000.00000000 PA USD 1441784.47000000 0.023420299987 Long DBT CORP US N 2 2027-04-01 Fixed 7.50000000 Y N N N N N NOVA SCOTIA T-BILL 5493002W033HJBDP3481 66980KX62 1500000.00000000 PA 1085695.56000000 0.017636003327 Long DBT NUSS CA N 2 2022-10-06 None 0.00000000 N N N N N N PPP INTERMEDIATE HOLDINGS LLC N/A N/A 573522.00000000 NS USD 470288.04000000 0.007639343609 Long EC CORP US N 3 N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAF8 13250000.00000000 PA USD 9899207.50000000 0.160802404319 Long DBT CORP FR N 2 2029-07-15 Fixed 5.12500000 N N N N N N SLM CORP N/A 78442PGE0 10000000.00000000 PA USD 8277700.00000000 0.134462689284 Long DBT CORP US N 2 2026-11-02 Fixed 3.12500000 N N N N N N QORVO INC 254900YAUJV2EUEVBR11 74736KAJ0 9225000.00000000 PA USD 6910908.75000000 0.112260576720 Long DBT CORP US N 2 2031-04-01 Fixed 3.37500000 N N N N N N TREEHOUSE FOODS INC 5493007M7EVHE470Q576 89469AAD6 7575000.00000000 PA USD 6040229.25000000 0.098117287271 Long DBT CORP US N 2 2028-09-01 Fixed 4.00000000 N N N N N N ADEVINTA ASA N/A N/A 2340000.00020000 PA 2155836.52000000 0.035019338238 Long LON CORP NO N 2 2028-06-26 Variable 4.44000000 N N N N N N Atlas Senior Loan Fund LTD N/A 04941WAC7 9600000.00000000 PA USD 566256.00000000 0.009198244027 Long ABS-O CORP KY N 2 2028-04-20 None 0.00000000 N N N N N N KINETIK HOLDINGS LP 549300RD6AJIMYC0HY12 49461MAA8 6100000.00000000 PA USD 5585519.90000000 0.090731003395 Long DBT CORP US N 2 2030-06-15 Fixed 5.87500000 N N N N N N WR GRACE HOLDING LLC N/A 92943GAD3 13750000.00000000 PA USD 11819912.50000000 0.192002273802 Long DBT CORP US N 2 2027-06-15 Fixed 4.87500000 N N N N N N LAMAR MEDIA CORP N/A 513075BT7 2400000.00000000 PA USD 2010912.00000000 0.032665189054 Long DBT CORP US N 2 2030-02-15 Fixed 4.00000000 N N N N N N BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A -33769688.23000000 PA USD -33769688.23000000 -0.54855371609 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 39360000.00000000 USD 33849600.00000000 USD CDS N N N ENERSYS 7ZS3DE5PN30BYUJFWP05 29275YAB8 1900000.00000000 PA USD 1873875.00000000 0.030439164487 Long DBT CORP US N 2 2023-04-30 Fixed 5.00000000 N N N N N N API HEAT TRANSFER THERMASYS CORP N/A N/A 1287525.51950000 PA USD 643762.76000000 0.010457261312 Long LON CORP US N 3 2024-01-01 Variable 6.00000000 N N Y N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -8200000.00000000 NC -178443.91000000 -0.00289863706 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange EUR/JPY -8200000 139.94000000 EUR 2022-10-25 XXXX -49176.27000000 N N N FERTITTA ENTERTAINMENT N/A 31556TAA7 15975000.00000000 PA USD 13219312.50000000 0.214734081838 Long DBT CORP US N 2 2029-01-15 Fixed 4.62500000 N N N N N N WASTE PRO USA INC 549300BY1QXU5BI3UF28 94107JAA1 600000.00000000 PA USD 527118.00000000 0.008562487629 Long DBT CORP US N 2 2026-02-15 Fixed 5.50000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 450000.00000000 NC 7782.83000000 0.000126424037 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 433327.05000000 USD 450000.00000000 EUR 2022-10-06 7782.83000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 8380000.00000000 NC USD 11384.41000000 0.000184927985 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1210124794.00000000 JPY 8380000.00000000 USD 2022-10-13 11384.41000000 N N N BACH FINANCE LTD N/A N/A 12545689.89000000 PA 11399449.36000000 0.185172284246 Long LON CORP NL N 2 2024-08-30 Variable 3.74000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 11500000.00000000 NC 81702.30000000 0.001327169501 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Purchased N/A Foreign Exchange EUR/CAD 11500000 1.3102 EUR 2022-10-19 XXXX 36797.54000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 4750000.00000000 NC -140512.98000000 -0.00228248827 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2798073.00000000 USD 4750000.00000000 NZD 2022-10-11 -140512.98000000 N N N ABPCI Direct Lending Fund CLO N/A 00086ABC7 5550000.00000000 PA USD 5053740.09000000 0.082092789475 Long ABS-O CORP KY N 2 2033-07-20 Floating 5.71000000 N N N N N N MCGRAW-HILL EDUCATION N/A 57767XAA8 4550000.00000000 PA USD 3799322.71000000 0.061716074398 Long DBT CORP US N 2 2028-08-01 Fixed 5.75000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -2750000.00000000 NC USD -14689.79000000 -0.00023862047 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Written N/A Foreign Exchange USD/JPY -2750000 138.65 USD 2022-10-19 XXXX 2027.46000000 N N N ARCOSA INC 549300WFHLTCZV7D6V29 039653AA8 9400000.00000000 PA USD 7990000.00000000 0.129789299851 Long DBT CORP US N 2 2029-04-15 Fixed 4.37500000 N N N N N N Hotwire Funding LLC 254900ZCO90MCT7Y9348 44148JAC3 11750000.00000000 PA USD 9584301.10000000 0.155687075010 Long ABS-O CORP US N 2 2051-11-20 Fixed 4.45900000 N N N N N N ONEAMERICA FINL PARTNERS 5493009S1SVD6UNUDB08 682441AB6 11550000.00000000 PA USD 8483893.69000000 0.137812092870 Long DBT CORP US N 2 2050-10-15 Fixed 4.25000000 N N N N N N SUBURBAN PROPANE PARTNRS N/A 864486AK1 660000.00000000 PA USD 622644.63000000 0.010114219096 Long DBT CORP US N 2 2027-03-01 Fixed 5.87500000 N N N N N N Western Asset Institutional U.S. Treasury Reserves - Institutional Shares N/A N/A 18145780.21000000 NS USD 18145780.21000000 0.294759462917 Long STIV RF US N 1 N N N HAWAIIAN BRAND INTELLECT N/A 41984LAA5 6495000.00000000 PA USD 5728525.05000000 0.093053974395 Long DBT CORP KY N 2 2026-01-20 Fixed 5.75000000 N N N N N N ABPCI Direct Lending Fund CLO N/A 000806AN9 11550000.00000000 PA USD 10608890.99000000 0.172330479823 Long ABS-O CORP KY N 2 2031-11-18 Floating 5.26900000 N N N N N N APRO LLC N/A N/A 3258750.00040000 PA USD 3095812.50000000 0.050288277452 Long LON CORP US N 2 2026-11-16 Variable 6.89000000 N N N N N N EAGLE PARENT CORP N/A N/A 3184000.00000000 PA USD 3091122.72000000 0.050212096818 Long LON CORP US N 2 2029-04-02 Variable 7.80000000 N N N N N N EQT VII NO1 LP N/A N/A 4000437.17470000 PA USD 3959153.98000000 0.064312368343 Long LON CORP US N 3 2026-03-12 Variable 10.27000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 950000.00000000 NC -5929.89000000 -0.00009632494 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 10398820.65000000 SEK 950000.00000000 EUR 2022-10-06 -5929.89000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -2730000.00000000 NC -43519.43000000 -0.00070692820 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2730000.00000000 EUR 2632547.19000000 USD 2022-10-06 -43519.43000000 N N N Bank of Montreal, Chicago Branch NQQ6HPCNCCU6TUTQYE16 N/A -37689941.16000000 PA USD -37689941.16000000 -0.61223417704 Short RA CORP US N 2 Reverse repurchase N 3.11000000 N/A 93934000.00000000 USD 37212759.44 USD UST N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -2691225.00000000 NC 90679.39000000 0.001472993058 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2691225.00000000 ILS 850428.97000000 USD 2022-11-30 90679.39000000 N N N HARBOURVEST STRUCTURED SOLUTIONS IV HOLDINGS LP N/A N/A 23234291.80180000 PA USD 23233623.82000000 0.377406228862 Long ABS-O CORP US N 3 2026-09-15 Variable 4.60400000 N N N N N N NIELSEN FINANCE LLC/CO N/A 65409QBH4 2550000.00000000 PA USD 2538716.38000000 0.041238826217 Long DBT CORP US N 2 2029-07-15 Fixed 4.50000000 N N N N N N SCHUR FLEXIBLES GMBH N/A N/A -286339.67000000 PA 0.00000000 0.000000 Short LON CORP DE N 2 2026-09-30 Variable 10.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -940000.00000000 NC 12106.81000000 0.000196662627 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 940000.00000000 AUD 613452.46000000 USD 2022-10-11 12106.81000000 N N N AVALARA INC N/A N/A 15999999.94000000 PA USD 15804470.82000000 0.256727309418 Long LON CORP US N 3 2028-08-12 Variable 7.25000000 N N N N N N CLEARWATER PAPER CORP 549300HCVV19GXN4P292 18538RAJ2 5539000.00000000 PA USD 4850081.50000000 0.078784565970 Long DBT CORP US N 2 2028-08-15 Fixed 4.75000000 N N N N N N PERSHING SQUARE TONTINE HOLDINGS LTD N/A N/A 6864930.00000000 NS USD 686.49000000 0.000011151321 Long EC CORP US N 3 N N N PACTIV EVERGREEN GROUP N/A 76174LAA1 11150000.00000000 PA USD 9348132.13000000 0.151850753951 Long DBT CORP US N 2 2027-10-15 Fixed 4.00000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2400000.00000000 NC -2750.22000000 -0.00004467448 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange GBP/USD -2400000 1.17850000 GBP 2022-10-11 XXXX 12805.34000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A -24747822.12000000 PA USD -24747822.12000000 -0.40200281674 Short RA CORP US N 2 Reverse repurchase N 3.20000000 N/A 39200000.00000000 USD 30411360.00000000 USD CDS N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1020000.00000000 NC USD 8158.43000000 0.000132525271 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 1397137.35000000 CAD 1020000.00000000 USD 2022-10-12 8158.43000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DH5 12735000.00000000 PA USD 14271481.19000000 0.231825475781 Long DBT CORP US N 2 2039-06-15 Fixed 7.95000000 N N N N N N PARKLAND CORP 549300XHQS1JYWBNK868 70137WAL2 20000000.00000000 PA USD 16213500.00000000 0.263371566100 Long DBT CORP CA N 2 2030-05-01 Fixed 4.62500000 N N N N N N NIDDA MIDCO SARL N/A N/A 11387239.10000000 PA 9914364.51000000 0.161048614295 Long LON CORP DE N 2 2026-08-21 Variable 3.50000000 N N N N N N TRANSCENDIA HOLDINGS INC N/A N/A 559067.17320000 PA USD 408119.04000000 0.006629472397 Long LON CORP US N 2 2024-05-30 Variable 6.62000000 N N N N N N VB-S1 Issuer LLC N/A 91823ABA8 39650000.00000000 PA USD 34601984.04000000 0.562073502130 Long ABS-O CORP US N 2 2052-02-15 Fixed 5.26800000 N N N N N N BIFM CA BUYER INC N/A N/A 17854317.45050000 PA USD 17274052.13000000 0.280599140369 Long LON CORP CA N 2 2026-06-01 Variable 6.62000000 N N N N N N Commodity Exchange, Inc. N/A N/A 571.00000000 NC USD -33713.27000000 -0.00054763726 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Long N/A Silver 2022-12-28 54307263.27000000 USD -33713.27000000 N N N ADVENT INTERNATIONAL CORP N/A N/A 3998758.62000000 PA USD 3798820.69000000 0.061707919601 Long LON CORP US N 2 2028-06-08 Variable 6.62000000 N N N N N N TSG ENTERTAINMENT FINANCE LLC TSGE_17-1 N/A N/A 42367052.18000000 PA USD 40124263.73000000 0.651777233613 Long ABS-O CORP US N 3 2031-09-25 Fixed 6.25000000 N N N N N N TRANSMONTAIGNE PARTNERS LLC N/A N/A 6540550.12520000 PA USD 6184940.41000000 0.100467970642 Long LON CORP US N 2 2028-11-17 Variable 6.52000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 6900000.00000000 NC -749.03000000 -0.00001216721 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 75058683.00000000 SEK 6900000.00000000 EUR 2022-10-06 -749.03000000 N N N Taco Bell Funding, LLC N/A 87342RAC8 2676687.50000000 PA USD 2576673.07000000 0.041855393454 Long ABS-O CORP US N 2 2046-05-25 Fixed 4.97000000 N N N N N N BCP V MODULAR SERVICES FINANCE PLC N/A N/A 9000000.00000000 PA 7056748.02000000 0.114629585074 Long DBT CORP GB N 2 2028-10-30 Fixed 4.75000000 N N N N N N ISRAEL (STATE OF) N/A N/A 42365000.00000000 PA 11882728.93000000 0.193022661845 Long DBT NUSS IL N 2 2022-11-30 Fixed 1.25000000 N N N N N N Nassau 2019 CFO LLC N/A 63172DAA9 13480304.91760000 PA USD 12830182.16000000 0.208413061265 Long ABS-O CORP US N 2 2034-08-15 Fixed 3.98000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -4980000.00000000 NC -38117.84000000 -0.00061918495 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 4980000.00000000 EUR 4843498.20000000 USD 2022-10-06 -38117.84000000 N N N ROMULUS INTERMEDIATE HOLDINGS 2 INC N/A N/A 6384810.13280000 PA USD 5882006.33000000 0.095547119310 Long LON CORP US N 2 2025-02-14 Variable 6.62000000 N N N N N N BRUNDAGE-BONE CONCRETE N/A 66981QAA4 525000.00000000 PA USD 473812.50000000 0.007696594823 Long DBT CORP US N 2 2026-02-01 Fixed 6.00000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -7252000.00000000 NC USD -105382.38000000 -0.00171182794 N/A DFE JP N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 7252000.00000000 USD 1025172453.00000000 JPY 2022-12-19 -105382.38000000 N N N HGI CRE CLO Ltd N/A 40390JAJ1 1200000.00000000 PA USD 1079492.76000000 0.017535245245 Long ABS-O CORP KY N 2 2036-09-17 Floating 5.38900000 N N N N N N TGP HOLDINGS III LLC N/A N/A -19658.67000000 PA USD -4263.38000000 -0.00006925420 Short LON CORP US N 3 2028-06-29 Variable 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPQL4 7391397.80650000 PA USD 6901273.70000000 0.112104065282 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.00000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2800000.00000000 NC USD -692.16000000 -0.00001124342 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange USD/JPY -2800000 138.75000000 USD 2022-10-06 XXXX 16023.84000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1000000.00000000 NC 3301.59000000 0.000053630920 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1000000.00000000 AUD 643031.00000000 USD 2022-10-11 3301.59000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMTE5 12841919.66440000 PA USD 11967199.24000000 0.194394794811 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N Castlelake Aircraft Securitiza N/A 14855JAB1 3569593.75880000 PA USD 3206176.63000000 0.052081028786 Long ABS-O CORP US N 2 2041-08-15 Fixed 4.45000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A -7260480.31000000 PA USD -7260480.31000000 -0.11793900575 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 8350000.00000000 USD 7768005.00000000 USD AMBS N N N SCHUR FLEXIBLES GMBH N/A N/A 400912.60000000 PA 389006.64000000 0.006319011194 Long LON CORP DE N 2 2026-09-30 Fixed 15.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 260000.00000000 NC -13317.90000000 -0.00021633553 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 158784.34000000 USD 260000.00000000 NZD 2022-10-11 -13317.90000000 N N N Avalara, Inc. N/A N/A -1600000.06000000 PA USD -19552.91000000 -0.00031761683 Short LON CORP US N 3 2028-08-12 Variable 7.25000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -20300000.00000000 NC USD -179750.82000000 -0.00291986646 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Written N/A Foreign Exchange USD/JPY -20300000 143.90000000 USD 2022-10-06 XXXX 159969.68000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 350000.00000000 NC -15334.44000000 -0.00024909214 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 211154.65000000 USD 350000.00000000 NZD 2022-10-11 -15334.44000000 N N N DATIX BIDCO LIMITED N/A N/A 3400533.42000000 PA USD 3315180.03000000 0.053851676467 Long LON CORP US N 3 2025-04-27 Variable 7.01000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 6000000.00000000 NC 2353.87000000 0.000038236187 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased N/A Foreign Exchange AUD/NZD 6000000 1.11500000 AUD 2022-10-07 XXXX -24300.19000000 N N N FINASTRA GROUP HOLDINGS LTD N/A N/A 2372176.72060000 PA USD 2049560.69000000 0.033292997116 Long LON CORP US N 2 2024-06-13 Variable 6.87000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BF9 8150000.00000000 PA USD 6554411.50000000 0.106469646999 Long DBT CORP US N 2 2032-10-15 Fixed 3.50000000 N N N N N N GREENWAY HEALTH LLC (DELAWARE) N/A N/A 3436775.81930000 PA USD 3035807.18000000 0.049313552988 Long LON CORP US N 2 2024-02-16 Variable 6.87000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -6.00000000 NC USD -1620.00000000 -0.00002631522 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -600 1800.00000000 USD 2022-10-26 XXXX 7006.08000000 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 17000000.00000000 NC 1377.90000000 0.000022382562 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased N/A Foreign Exchange AUD/NZD 17000000 1.10300000 AUD 2022-10-07 XXXX -30587.72000000 N N N BMO Capital Markets Corp., New York Branch RUC0QBLBRPRCU4W1NE59 N/A -14959925.89000000 PA USD -14959925.89000000 -0.24300854907 Short RA CORP US N 2 Reverse repurchase N 3.27000000 N/A 16010000.00000000 USD 13912690.00000000 USD CDS N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AH0 6552000.00000000 PA USD 4608021.60000000 0.074852552836 Long DBT CORP US N 2 2031-01-15 Fixed 3.37500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 250000.00000000 NC 6469.57000000 0.000105091484 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2598364.25000000 NOK 250000.00000000 EUR 2022-10-11 6469.57000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -780000.00000000 NC 7791.80000000 0.000126569745 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 780000.00000000 CAD 572665.36000000 USD 2022-10-28 7791.80000000 N N N Long Beach Mortgage Loan Trust N/A 54251RAD5 4369123.45060000 PA USD 1805933.05000000 0.029335517664 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.38400000 N N N N N N JP Morgan Mortgage Acquisition N/A 46629VAD7 5390310.02370000 PA USD 4619297.33000000 0.075035715427 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.40400000 N N N N N N NCR CORP 549300YKTY8JX1DV2R67 62886EAV0 25000.00000000 PA USD 21525.39000000 0.000349657734 Long DBT CORP US N 2 2029-09-01 Fixed 6.12500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -55647000.00000000 NC 2033880.52000000 0.033038288945 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 55647000.00000000 CAD 42334333.74000000 USD 2022-10-17 2033880.52000000 N N N WILTON RE FINANCE LLC 54930013IJH3HK0K5051 97263BAA1 11815000.00000000 PA USD 11598921.61000000 0.188412504980 Long DBT CORP US N 2 2033-03-30 Variable 5.87500000 N N N N N N BLOCK INC 549300OHIIUWSTIZME52 852234AJ2 12240000.00000000 PA USD 9553320.00000000 0.155183819030 Long DBT CORP US N 2 2026-05-01 None 0.00000000 N N N N Y Square Inc USD XXXX N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -6.00000000 NC USD -16560.00000000 -0.00026900010 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -600 1665.00000000 USD 2022-10-26 XXXX -6493.92000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -920000000.00000000 OU Notional Amount 36073.18000000 0.000585971561 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 3-Month Prague Interbank Offering Rate N/A Y 2024-07-27 0.00000000 CZK 14116.78000000 CZK -920000000.00000000 CZK 49579.94000000 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -13551945.74000000 PA USD -13551945.74000000 -0.22013736535 Short RA CORP US N 2 Reverse repurchase N 3.26000000 N/A 18700000.00000000 USD 13737020.00000000 USD CDS N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 280000.00000000 NC -4710.63000000 -0.00007651932 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 161366.80000000 USD 280000.00000000 NZD 2022-10-11 -4710.63000000 N N N AMERICAN EQUITY INVESTME 549300RK5RZQ740FPL83 025676AM9 4813000.00000000 PA USD 4566133.34000000 0.074172121304 Long DBT CORP US N 2 2027-06-15 Fixed 5.00000000 N N N N N N TENEO HOLDINGS LLC N/A N/A 10742658.26450000 PA USD 10116039.01000000 0.164324608307 Long LON CORP US N 2 2025-07-11 Variable 8.38000000 N N N N N N VALCOUR PACKAGING LLC N/A N/A 6284250.00000000 PA USD 5757944.06000000 0.093531855836 Long LON CORP US N 2 2028-10-04 Variable 5.22000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 940000.00000000 NC -3761.72000000 -0.00006110525 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 10265993.80000000 SEK 940000.00000000 EUR 2022-10-06 -3761.72000000 N N N MIDWEST CONNECTOR CAPIT N/A 59833CAC6 18763000.00000000 PA USD 16741349.98000000 0.271945943988 Long DBT CORP US N 2 2029-04-01 Fixed 4.62500000 N N N N N N MidOcean Credit CLO 5493004MLF21SFT7F415 59801WAT3 21000000.00000000 PA USD 19542249.30000000 0.317443661347 Long ABS-O CORP KY N 2 2029-07-15 Floating 4.71200000 N N N N N N GINKGO BIOWORKS HOLDINGS INC N/A 37611X118 128004.00000000 NS USD 92162.88000000 0.001497090821 N/A DE US N 1 Ginkgo Bioworks Holding, Inc. N/A Call Purchased N/A Ginkgo Bioworks Holding, Inc. 128004 11.50000000 USD 2026-08-01 XXXX -204239.90000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2245000.00000000 NC 81219.98000000 0.001319334710 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2245000.00000000 CAD 1707124.37000000 USD 2022-10-07 81219.98000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2400000.00000000 NC -43207.69000000 -0.00070186430 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange GBP/USD -2400000 1.12000000 GBP 2022-10-11 XXXX -27652.13000000 N N N Guggenheim Partners Investment Management LLC N/A 40169J523 4757963.59010000 NS USD 45628870.83000000 0.741193892119 Long EC RF US N 1 N N N SUBURBAN PROPANE PARTNRS N/A 864486AL9 11350000.00000000 PA USD 9316080.00000000 0.151330100195 Long DBT CORP US N 2 2031-06-01 Fixed 5.00000000 N N N N N N BRAVE PARENT HOLDINGS INC N/A N/A 1202099.96340000 PA USD 1169042.21000000 0.018989883596 Long LON CORP US N 2 2025-04-18 Variable 7.12000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 1850000.00000000 NC USD 7886.61000000 0.000128109836 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 266374655.00000000 JPY 1850000.00000000 USD 2022-10-13 7886.61000000 N N N PERSHING SQUARE HOLDINGS U7LC4KOKCTZ0YWGI2G56 71531QAD3 13500000.00000000 PA USD 10421460.00000000 0.169285856924 Long DBT CORP GG N 2 2030-11-15 Fixed 3.25000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -19300000.00000000 NC -137294.64000000 -0.00223020966 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange EUR/CHF -19300000 0.96000000 EUR 2022-10-18 XXXX 68207.46000000 N N N Anchorage Credit Funding Ltd. 549300VR9XUOV1E0U888 03329TAL8 4250000.00000000 PA USD 3322305.33000000 0.053967419608 Long ABS-O CORP KY N 2 2039-04-27 Fixed 3.52300000 N N N N N N Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A -9989714.52000000 PA USD -9989714.52000000 -0.16227259740 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 10900000.00000000 USD 9850330.00000000 USD CDS N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2700000.00000000 NC -10675.30000000 -0.00017340922 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2657334.60000000 USD 2700000.00000000 EUR 2022-10-06 -10675.30000000 N N N API HEAT TRANSFER PARENT LLC N/A N/A 218.34000000 NS USD 0.02000000 0.000000000324 Long EP CORP US N 3 N N N BCPE EMPIRE HOLDINGS INC N/A N/A 221015.12380000 PA USD 209595.27000000 0.003404658741 Long LON CORP US N 2 2026-06-11 Variable 7.12000000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAH4 11760000.00000000 PA USD 8848034.55000000 0.143727185144 Long DBT CORP FR N 2 2029-10-15 Fixed 5.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -42302000.00000000 NC 17069.68000000 0.000277279326 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 42302000.00000000 SEK 3829407.86000000 USD 2022-10-06 17069.68000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1330000.00000000 NC 54133.23000000 0.000879338425 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1330000.00000000 NZD 798250.04000000 USD 2022-10-11 54133.23000000 N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AL5 15900000.00000000 PA USD 12852447.00000000 0.208774730601 Long DBT CORP US N 2 2031-05-01 Fixed 4.00000000 N N N N N N WSOF I NEW FINCO BV N/A N/A 7000000.00000000 PA 6224669.21000000 0.101113323976 Long LON CORP BE N 2 2028-04-24 Variable 3.00000000 N N N N N N JONES DESLAURIERS INSURANCE MANAGEMENT INC N/A N/A 5268190.00000000 PA 3491116.38000000 0.056709580808 Long LON CORP CA N 3 2028-03-27 Variable 7.75000000 N N N N N N QUEBEC T-BILL 549300WN65YFEQH74Y36 09852UXV0 780000.00000000 PA 563527.91000000 0.009153929021 Long DBT NUSS CA N 2 2022-10-28 None 0.00000000 N N N N N N AfterNext HealthTech Acquisiti N/A N/A 895600.00000000 NS USD 8750012.00000000 0.142134910034 Long EC CORP US N 1 N N N SCHUR FLEXIBLES GMBH N/A N/A 229071.73000000 PA 224514.09000000 0.003646999567 Long LON CORP DE N 2 2026-09-30 Fixed 9.50000000 N N N N N N SMITHFIELD FOODS INC CVTIPZRZJC0JQEZLL598 832248BC1 7000000.00000000 PA USD 5404982.87000000 0.087798365757 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N TCB HOLDINGS I CORP N/A N/A 10817597.14100000 PA USD 10138792.92000000 0.164694222080 Long LON CORP US N 2 2028-03-03 Variable 6.37000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 3490000.00000000 NC -12239.30000000 -0.00019881479 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 38096068.71000000 SEK 3490000.00000000 EUR 2022-10-06 -12239.30000000 N N N ONTARIO T-BILL C7PVKCRGLG18EBQGZV36 6832Z5HZ6 450000.00000000 PA 325405.57000000 0.005285877484 Long DBT NUSS CA N 2 2022-10-19 None 0.00000000 N N N N N N NEXUS BUYER LLC N/A N/A 1307260.00880000 PA USD 1252525.03000000 0.020345975806 Long LON CORP US N 2 2026-11-09 Variable 6.87000000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 12429TAD6 800000.00000000 PA USD 760000.00000000 0.012345415254 Long DBT CORP US N 2 2024-04-15 Fixed 5.50000000 N N N N N N Argent Securities Inc. N/A 04012XAA3 9313085.92340000 PA USD 6265085.19000000 0.101769839839 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.38400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2840000.00000000 NC USD 77413.09000000 0.001257495713 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3814543.16000000 CAD 2840000.00000000 USD 2022-10-12 77413.09000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 3530000.00000000 NC -32372.17000000 -0.00052585247 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2290617.00000000 USD 3530000.00000000 AUD 2022-10-11 -32372.17000000 N N N Citigroup Mortgage Loan Trust N/A 17330VAA4 5085728.56000000 PA USD 4982143.97000000 0.080929784433 Long ABS-MBS CORP US N 2 2062-09-25 Variable 6.17000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -47.00000000 NC USD -55930.00000000 -0.00090852509 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -4700 1725.00000000 USD 2022-10-26 XXXX 125030.96000000 N N N FLIGHT BIDCO INC N/A N/A 1000000.00000000 PA USD 902500.00000000 0.014660180615 Long LON CORP US N 2 2026-07-23 Variable 10.62000000 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 90290MAC5 11950000.00000000 PA USD 11738485.36000000 0.190679573991 Long DBT CORP US N 2 2025-04-15 Fixed 6.25000000 N N N N N N ALCOA NEDERLAND HOLDING 5493000UL1QLQLT1VQ42 013822AE1 15125000.00000000 PA USD 14106331.25000000 0.229142785533 Long DBT CORP NL N 2 2027-12-15 Fixed 5.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A -19900000.00000000 NC -223879.58000000 -0.00363669260 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Put Written N/A Foreign Exchange EUR/GBP -19900000 0.87680000 EUR 2022-10-20 XXXX -34525.90000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BD4 8440000.00000000 PA USD 8523275.20000000 0.138451804837 Long DBT CORP US N 2 2025-05-01 Fixed 5.75000000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAT5 6050000.00000000 PA USD 4310625.00000000 0.070021652149 Long DBT CORP US N 2 2031-02-15 Fixed 3.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2300000.00000000 NC -10954.48000000 -0.00017794421 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2265516.10000000 USD 2300000.00000000 EUR 2022-10-06 -10954.48000000 N N N YAK HOLDING III LLC N/A N/A 12220199.00000000 PA USD 3666059.70000000 0.059551354402 Long LON CORP US N 3 2026-07-10 Variable 13.64000000 N N N N N N FLOWSERVE CORPORATION 6Y0GK87T6V7NJKZJVM41 34354PAF2 10270000.00000000 PA USD 8444803.99000000 0.137177121056 Long DBT CORP US N 2 2030-10-01 Fixed 3.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1680750.00000000 NC 56791.47000000 0.000922518789 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1680750.00000000 ILS 531277.66000000 USD 2022-11-30 56791.47000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 700000.00000000 NC -2932.08000000 -0.00004762861 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 394572.50000000 USD 700000.00000000 NZD 2022-10-11 -2932.08000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -40.00000000 NC USD 0.00000000 0.000000 N/A DE US N 1 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Figs Inc. N/A -4000 55.00000000 USD 2022-12-16 XXXX 41228.49000000 N N N OPTION CARE HEALTH INC 549300DI3Q5ACSYJRI17 68404LAA0 8725000.00000000 PA USD 7372625.00000000 0.119760680452 Long DBT CORP US N 2 2029-10-31 Fixed 4.37500000 N N N N N N VERTICAL TOPCO SARL N/A N/A 2997404.35000000 PA 2720795.28000000 0.044196509941 Long LON CORP DE N 3 2027-01-29 Variable 3.69000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 16010000.00000000 PA USD 13912559.04000000 0.225995156063 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N BP HOLDCO LLC N/A N/A 37539.00000000 NS USD 22763.27000000 0.000369765816 Long EC CORP US N 3 N N N ASCEND PERFORMANCE MATERIALS HOLDINGS INC N/A N/A 1485474.60300000 PA USD 1451680.06000000 0.023581043628 Long LON CORP US N 2 2026-08-27 Variable 8.42000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 11150000.00000000 NC 7801.50000000 0.000126727311 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A Foreign Exchange EUR/SEK 11150000 10.64050000 EUR 2022-10-18 XXXX -27039.46000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 500000.00000000 NC -19966.84000000 -0.00032434069 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 299710.00000000 USD 500000.00000000 NZD 2022-10-11 -19966.84000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1280000.00000000 NC 8176.69000000 0.000132821886 N/A DFE CH N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1229184.00000000 CHF 1280000.00000000 EUR 2022-10-20 8176.69000000 N N N Asset Backed Securities Corp H N/A 04544PAD1 195008.94300000 PA USD 192533.93000000 0.003127514890 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.36400000 N N N N N N OHA Credit Partners Ltd 549300WS1N2FZ02EYH25 67105VAQ7 4219178.08220000 PA USD 4641.10000000 0.000075389877 Long ABS-O CORP KY N 2 2025-10-20 None 0.00000000 N N N N N N HAH GROUP HOLDING CO LLC N/A N/A 7960000.00000000 PA USD 7562000.00000000 0.122836881786 Long LON CORP US N 3 2027-10-29 Variable 8.71000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 3950000.00000000 NC 18.27000000 0.000000296777 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Purchased N/A Foreign Exchange EUR/NOK 3950000 10.00250000 EUR 2022-10-07 XXXX -45105.77000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -25500000.00000000 NC -690047.26000000 -0.01120910522 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written N/A Foreign Exchange CAD/JPY -25500000 109.18000000 CAD 2022-10-07 XXXX -404458.48000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 4870000.00000000 NC 51048.77000000 0.000829234557 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 4658271.88000000 CHF 4870000.00000000 EUR 2022-10-06 51048.77000000 N N N LoanCore 2021-CRE6 Issuer, Ltd N/A 53948HAJ5 11300000.00000000 PA USD 10614506.97000000 0.172421705620 Long ABS-O CORP KY N 2 2038-11-15 Floating 5.66800000 N N N N N N IRON MOUNTAIN INC SQL3F6CKNNBM3SQGHX24 46284VAL5 25025000.00000000 PA USD 20020000.00000000 0.325204228163 Long DBT CORP US N 2 2032-07-15 Fixed 5.62500000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBK8 1670000.00000000 PA USD 1115682.18000000 0.018123105006 Long DBT CORP US N 2 2050-05-06 Fixed 4.45000000 N N N N N N ONEX CORPORATION N/A N/A 22703.20000000 NS USD 9467.23000000 0.000153785375 Long EC CORP US N 2 N N N PLATINUM SECURITIES KY N/A 727665AA9 1900000.00000000 PA USD 1565393.74000000 0.025428204944 Long DBT CORP KY N 3 2040-10-20 Variable 1.60000000 N N N N N N Medical Solutions Parent Holdings, Inc. N/A N/A -1242000.00000000 PA USD -62100.00000000 -0.00100875037 Short LON CORP US N 3 2028-11-01 Variable 3.50000000 N N N N N N PACIFIC BELLS LLC N/A N/A 19851546.39780000 PA USD 18461938.15000000 0.299895122201 Long LON CORP US N 2 2028-11-10 Variable 8.31000000 N N N N N N KENNEDY-WILSON INC 5EA4464UK7FM5QNNKL62 489399AM7 16825000.00000000 PA USD 12199134.50000000 0.198162343623 Long DBT CORP US N 2 2031-03-01 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -650000.00000000 NC 4647.18000000 0.000075488640 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 650000.00000000 EUR 7121528.05000000 SEK 2022-10-06 4647.18000000 N N N SOUTHERN VETERINARY COMPANY LLC N/A N/A 15696690.48910000 PA USD 14813751.65000000 0.240634099477 Long LON CORP US N 2 2027-10-05 Variable 7.12000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 4760000.00000000 NC 194360.48000000 0.003157185308 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 5121417.28000000 USD 4760000.00000000 GBP 2022-10-05 194360.48000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 3800000.00000000 NC 183981.01000000 0.002988581536 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased N/A Foreign Exchange EUR/NOK 3800000 10.16200000 EUR 2022-10-17 XXXX 139863.62000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 70000000.00000000 OU Notional Amount USD 176465.80000000 0.002866504709 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 CDX IG33 1% 12/20/2024 N/A Y CDX IG33 V1 1% 12/20/2024 - Tenor Quarterly 2024-12-20 1100723.91000000 USD 0.00000000 USD 70000000.00000000 USD -924258.11000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2750000.00000000 NC -14711.58000000 -0.00023897442 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange EUR/GBP -2750000 0.90350000 EUR 2022-10-25 XXXX -3116.64000000 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 92814000.00000000 NC USD 2883983.43000000 0.046847332936 N/A DIR DE N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2032-04-21 0.00000000 USD 0.00000000 USD 0.00000000 USD 92814000 2.69000000 USD 2027-04-19 XXXX -907468.47000000 N N N CELTIC INTERMEDIATE CORP N/A N/A 20929784.74210000 PA USD 14833984.94000000 0.240962768381 Long LON CORP US N 2 2028-03-02 Variable 7.18000000 N N N N N N ITT HOLDINGS LLC 549300TH2PHOLK31LB42 45074JAA2 39200000.00000000 PA USD 30410176.16000000 0.493981911409 Long DBT CORP US N 2 2029-08-01 Fixed 6.50000000 N N N N N N Voya CLO Ltd N/A 92915UAQ7 16500000.00000000 PA USD 14824868.85000000 0.240814686912 Long ABS-O CORP KY N 2 2030-06-07 Floating 6.11200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 470000.00000000 NC -24027.19000000 -0.00039029689 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 286985.76000000 USD 470000.00000000 NZD 2022-10-11 -24027.19000000 N N N TOPBUILD CORP 5493007YSKHOL4RWII46 89055FAB9 5550000.00000000 PA USD 4381669.50000000 0.071175696694 Long DBT CORP US N 2 2029-03-15 Fixed 3.62500000 N N N N N N HOCKEY PARENT HOLDINGS LP 549300JQT6ATTUNS5E06 N/A 5093313.77300000 PA USD 4890650.82000000 0.079443572684 Long LON CORP US N 2 2025-04-25 Variable 5.77000000 N N N N N N Dryden Senior Loan Fund 5493000CMI5L15ZSNM78 26244LAA2 11700000.00000000 PA USD 3304080.00000000 0.053671367941 Long ABS-O CORP KY N 2 2031-04-15 None 0.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1080000.00000000 NC 36549.11000000 0.000593702552 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 11131304.04000000 NOK 1080000.00000000 EUR 2022-10-11 36549.11000000 N N N KKR CORE HOLDING COMPANY LLC N/A N/A 4879999.99000000 PA USD 0.05000000 0.000000000812 Long ABS-O CORP US N 3 2031-07-15 None 0.00000000 N N N N N N INTEGRATED POWER SERVICES HOLDINGS INC N/A N/A 3485498.47580000 PA USD 3363506.03000000 0.054636682438 Long LON CORP US N 3 2028-11-22 Variable 7.47000000 N N N N N N MONROE CAPITAL CLO LTD 549300P18F17MYF55L44 610333AY2 2193917.16140000 PA USD 2176590.48000000 0.035356464888 Long ABS-O CORP KY N 2 2026-10-22 Floating 6.35900000 N N N N N N RECORDED BOOKS INC N/A N/A 4143341.19990000 PA USD 3977607.55000000 0.064612127534 Long LON CORP US N 2 2025-08-29 Variable 7.08000000 N N N N N N CENTRAL GARDEN & PET CO 5493004DVZLD37DJ0H83 153527AP1 5300000.00000000 PA USD 4167125.00000000 0.067690642821 Long DBT CORP US N 2 2031-04-30 Fixed 4.12500000 N N N N N N BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A -14969574.71000000 PA USD -14969574.71000000 -0.24316528419 Short RA CORP US N 2 Reverse repurchase N 3.24000000 N/A 16010000.00000000 USD 13984735.00000000 USD CDS N N N JP Morgan Mortgage Acquisition N/A 46630BAD8 7535307.18300000 PA USD 4131541.11000000 0.067112619270 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.20400000 N N N N N N BX Trust N/A 05609VAN5 19750000.00000000 PA USD 18210469.73000000 0.295810277374 Long ABS-MBS CORP US N 2 2036-09-15 Floating 4.81800000 N N N N N N RADIATE HOLDCO / FINANCE N/A 75026JAC4 9300000.00000000 PA USD 7628139.00000000 0.123911241549 Long DBT CORP US N 2 2026-09-15 Fixed 4.50000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BR3 22035000.00000000 PA USD 17187520.35000000 0.279193520952 Long DBT CORP US N 2 2028-07-01 Fixed 4.25000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -25186562.00000000 NC 77986.91000000 0.001266816826 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 25186562.00000000 NOK 2391560.72000000 USD 2022-10-11 77986.91000000 N N N IXIS Real Estate Capital Trust N/A 45073DAD0 17226984.19860000 PA USD 4434005.23000000 0.072025836588 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.31400000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746TD3 25750000.00000000 NS USD 21774843.75000000 0.353709852901 Long EP CORP US N 2 N N N Neuberger Berman CLO Ltd 549300Y2YE54ON4DJE28 64134JAG8 4050000.00000000 PA USD 3576152.03000000 0.058090897138 Long ABS-O CORP KY N 2 2033-04-16 Floating 5.49000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 3070000.00000000 NC -4642.74000000 -0.00007541651 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 33443493.22000000 SEK 3070000.00000000 EUR 2022-10-06 -4642.74000000 N N N LoanCore 2018-CRE1 Issuer, Ltd N/A 53946CAG4 20500000.00000000 PA USD 19405960.10000000 0.315229784020 Long ABS-O CORP US N 2 2035-07-15 Floating 4.90000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBN1 12632000.00000000 PA USD 12406916.58000000 0.201537548965 Long DBT CORP US N 2 2029-01-15 Fixed 6.87500000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 4000000.00000000 NC USD 113519.00000000 0.001843998939 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Purchased N/A Foreign Exchange USD/SEK 4000000 10.85550000 USD 2022-10-20 XXXX 50979.00000000 N N N PLATINUM EQUITIES LLC 5493008CRWH2WFODTF44 N/A 6752358.08280000 PA USD 6144645.86000000 0.099813427284 Long LON CORP US N 2 2028-12-29 Variable 8.16000000 N N N N N N QBE INSURANCE GROUP LTD 549300D2FBW76FPUSG65 74728GAE0 7550000.00000000 PA USD 6998548.00000000 0.113684185844 Long DBT CORP AU N 2 N/A Variable 5.87500000 N N N N N N TLWND 2019-1 N/A 87404LAA0 7112786.43510000 PA USD 5758040.32000000 0.093533419480 Long ABS-O CORP US N 2 2044-12-15 Variable 3.96700000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -10000000.00000000 NC 38378.56000000 0.000623420079 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 10000000.00000000 CAD 7280749.33000000 USD 2022-10-05 38378.56000000 N N N BRITISH AIR 20-1 A PPT N/A 11044MAA4 7974323.50900000 PA USD 7174392.80000000 0.116540603050 Long DBT CORP US N 2 2032-11-15 Fixed 4.25000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -310000.00000000 NC -4470.87000000 -0.00007262466 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 310000.00000000 EUR 3260633.63000000 NOK 2022-10-11 -4470.87000000 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -12297378.68000000 PA USD -12297378.68000000 -0.19975821888 Short RA CORP US N 2 Reverse repurchase N 3.27000000 N/A 12632000.00000000 USD 12407150.40000000 USD CDS N N N CARLYLE GLOBAL MARKET STRATEGIES CGMS_13-3A N/A N/A 4938326.00000000 PA USD 748650.22000000 0.012161049798 Long ABS-O CORP US N 2 2030-10-15 None 0.00000000 N N N N N N DT MIDSTREAM INC N/A 23345MAA5 5250000.00000000 PA USD 4436250.00000000 0.072062300558 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 3750000.00000000 NC 16799.22000000 0.000272885982 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Purchased N/A Foreign Exchange EUR/CAD 3750000 1.33150000 EUR 2022-10-18 XXXX -20182.66000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2880000.00000000 NC -21538.33000000 -0.00034986793 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1863959.04000000 USD 2880000.00000000 AUD 2022-10-11 -21538.33000000 N N N Morgan Stanley IXIS Real Estat N/A 617463AD6 22062898.33960000 PA USD 7995623.04000000 0.129880640330 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.30400000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -2190000.00000000 NC -33795.76000000 -0.00054897722 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 2190000.00000000 EUR 2084095.98000000 CHF 2022-10-06 -33795.76000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1920000.00000000 NC 2955.17000000 0.000048003685 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1920000.00000000 EUR 20916372.48000000 SEK 2022-10-06 2955.17000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 610000.00000000 NC -2887.78000000 -0.00004690900 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 6666930.95000000 SEK 610000.00000000 EUR 2022-10-06 -2887.78000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFG1 23020000.00000000 PA USD 22604560.82000000 0.367187749972 Long DBT UST US N 2 2024-08-31 Fixed 3.25000000 N N N N N N HUB INTERNATIONAL LTD 549300JQT6ATTUNS5E06 44332PAD3 750000.00000000 PA USD 711311.25000000 0.011554516785 Long DBT CORP US N 2 2026-05-01 Fixed 7.00000000 N N N N N N Anchorage Capital CLO LTD 54930064GO7DB3TVDY21 03328QBG5 17350000.00000000 PA USD 15947760.86000000 0.259054908162 Long ABS-O CORP KY N 2 2030-07-15 Floating 5.96200000 N N N N N N SCHUR FLEXIBLES GMBH N/A N/A 3150000.00000000 PA 1173184.36000000 0.019057168545 Long LON CORP DE N 2 2027-09-12 Variable 4.25000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -660000.00000000 NC 36010.91000000 0.000584960049 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 660000.00000000 NZD 405271.88000000 USD 2022-10-11 36010.91000000 N N N TEMPUR SEALY INTL INC 549300HFEKVR3US71V91 88023UAJ0 375000.00000000 PA USD 274687.50000000 0.004462014806 Long DBT CORP US N 2 2031-10-15 Fixed 3.87500000 N N N N N N WAMU Asset-Backed Certificates N/A 93363XAE3 2071156.72610000 PA USD 1333735.25000000 0.021665151975 Long ABS-MBS CORP US N 2 2047-07-25 Floating 3.33400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2040000.00000000 NC -69294.07000000 -0.00112561061 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1210646.16000000 USD 2040000.00000000 NZD 2022-10-11 -69294.07000000 N N N NIELSEN FINANCE LLC/CO N/A 65409QBK7 6625000.00000000 PA USD 6495017.63000000 0.105504854908 Long DBT CORP US N 2 2031-07-15 Fixed 4.75000000 N N N N N N WYNDHAM HOTELS & RESORTS 549300FE3MQ4RVXXC673 98311AAB1 700000.00000000 PA USD 615317.50000000 0.009995197435 Long DBT CORP US N 2 2028-08-15 Fixed 4.37500000 N N N N N N Finance of America HECM Buyout N/A 317380AD5 3850000.00000000 PA USD 3685798.27000000 0.059871987090 Long ABS-MBS CORP US N 2 2026-04-25 Variable 6.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -750000.00000000 NC 5169.77000000 0.000083977575 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 750000.00000000 EUR 8215013.25000000 SEK 2022-10-06 5169.77000000 N N N TREASURY BILL 254900HROIFWPRGM1V77 912796X61 11750000.00000000 PA USD 11686425.10000000 0.189833908822 Long DBT UST US N 2 2022-12-08 None 0.00000000 N N N N N N TERRAFORM GLOBAL OPERATI 549300LC7QMVR79H5O86 88104UAC7 8285000.00000000 PA USD 7767187.50000000 0.126169940856 Long DBT CORP US N 2 2026-03-01 Fixed 6.12500000 N N N N N N CD&R FIREFLY 4 LTD N/A N/A 3350000.00000000 PA 3273420.66000000 0.053173338620 Long LON CORP GB N 2 2025-06-23 Variable 5.55000000 N N N N N N PETIQ INC N/A N/A 15602500.00000000 PA USD 14354300.00000000 0.233170781834 Long LON CORP US N 3 2028-04-13 Variable 7.07000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -6.00000000 NC USD -1740.00000000 -0.00002826450 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -600 1795.00000000 USD 2022-10-26 XXXX 7426.08000000 N N N MICHAELS COS INC/THE 549300H9LWMBP7HYLR98 55916AAA2 3114000.00000000 PA USD 2185965.72000000 0.035508755982 Long DBT CORP US N 2 2028-05-01 Fixed 5.25000000 N N N N N N MEDICAL SOLUTIONS PARENT HOLDINGS INC N/A N/A 7719752.25000000 PA USD 7333764.64000000 0.119129434030 Long LON CORP US N 2 2028-11-01 Variable 6.38000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -4800000.00000000 NC -76243.34000000 -0.00123849433 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 4800000.00000000 EUR 4565740.80000000 CHF 2022-10-06 -76243.34000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 76645000.00000000 NC 1487731.80000000 0.024166666919 N/A DIR US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, N.A. E57ODZWZ7FF32TWEFA76 Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 0.00000000 OU Notional Amount 0.00000000 0.00000000 DIR Euro Interbank Offered Rate EUR006M 2032-04-12 0.00000000 EUR 0.00000000 EUR 0.00000000 EUR 76645000 1.59800000 EUR 2027-04-08 XXXX -1785023.04000000 N N N GALLS N/A N/A 104498.74610000 PA USD 100841.29000000 0.001638062631 Long LON CORP US N 3 2025-01-31 Variable 9.56000000 N N N N N N Carlyle Global Market Strategi N/A 14309WAC2 6400000.00000000 PA USD 2085760.00000000 0.033881017529 Long ABS-O CORP KY N 2 2032-01-14 None 0.00000000 N N N N N N SAPPHIRE AVIATION FINANCE I LI N/A 80306AAA8 16955496.92360000 PA USD 12486416.22000000 0.202828938529 Long ABS-O CORP KY N 2 2040-03-15 Fixed 4.25000000 N N N N N N 24-7 INTOUCH INC N/A N/A 2221265.84550000 PA USD 2110202.55000000 0.034278061515 Long LON CORP CA N 2 2025-08-25 Variable 7.87000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17312EAD8 10293040.54060000 PA USD 8997040.72000000 0.146147636518 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.33400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1500000.00000000 NC -54591.58000000 -0.00088678384 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1500000.00000000 EUR 15418461.00000000 NOK 2022-10-11 -54591.58000000 N N N FRANCHISE GROUP INC N/A N/A 12625840.72000000 PA USD 11763117.02000000 0.191079689874 Long LON CORP US N 2 2026-03-10 Variable 7.56000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 52886552.00000000 NC -83180.56000000 -0.00135118230 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 4849419.07000000 USD 52886552.00000000 SEK 2022-10-06 -83180.56000000 N N N RXR ACQUISITION CORP- CL A N/A 74981W115 217453.00000000 NS USD 5458.07000000 0.000088660711 N/A DE US N 1 RXR Acquisition Corp. N/A Call Purchased N/A RXR Acquisition Corp. 217453 11.50000000 USD 2026-03-08 XXXX -186384.44000000 N N N PERATON HOLDING CORP N/A N/A 17225859.13950000 PA USD 16295662.75000000 0.264706215136 Long LON CORP US N 2 2028-02-01 Variable 6.87000000 N N N N N N BWX TECHNOLOGIES INC 549300NP85N265KWMS58 05605HAB6 6700000.00000000 PA USD 5851646.00000000 0.095053947098 Long DBT CORP US N 2 2028-06-30 Fixed 4.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNST1 8461792.66900000 PA USD 7928725.71000000 0.128793962279 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.00000000 N N N N N N Eaton Vance Ltd Duration Incom NZ7KR43H6Z5W1GY0QX46 27828H105 791358.00000000 NS USD 7288407.18000000 0.118392648926 Long EC RF US N 1 N N N AMWINS GROUP INC 549300SJE7MUB8NMRG61 031921AB5 6025000.00000000 PA USD 5001126.50000000 0.081238136032 Long DBT CORP US N 2 2029-06-30 Fixed 4.87500000 N N N N N N Security Investors LLC N/A N/A 2237383.90200000 NS USD 66853030.99000000 1.085958458715 Long EC RF US N 1 N N N IQVIA INC 549300PLWY28YB00C717 46266TAA6 6650000.00000000 PA USD 6201125.00000000 0.100730872595 Long DBT CORP US N 2 2027-05-15 Fixed 5.00000000 N N N N N N GRAFTECH INTERNATIONAL LTD. N/A N/A 3379916.96340000 PA USD 3151772.57000000 0.051197291007 Long LON CORP US N 2 2025-02-12 Variable 6.12000000 N N N N N N HUSKY INJECTION MOLDING SYSTEMS LTD N/A N/A 3132829.67800000 PA USD 2798650.74000000 0.045461191498 Long LON CORP CA N 2 2025-03-28 Variable 5.88000000 N N N N N N Residential Accredit Loans, In N/A 761118VZ8 5947913.35210000 PA USD 1339481.39000000 0.021758492086 Long ABS-MBS CORP US N 2 2046-02-25 Floating 3.62400000 N N N N N N KRONOS ACQ / KIK CUSTOM N/A 50106GAF9 2991000.00000000 PA USD 2288115.00000000 0.037168065560 Long DBT CORP US N 2 2027-12-31 Fixed 7.00000000 N N N N N N Golub Capital Partners CLO Ltd N/A 38178EAG0 9300000.00000000 PA USD 8500213.02000000 0.138077183536 Long ABS-O CORP KY N 2 2033-07-25 Floating 5.68300000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 129162290.00000000 NC -562075.33000000 -0.00913033335 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 12426596.25000000 USD 129162290.00000000 NOK 2022-10-11 -562075.33000000 N N N WMG ACQUISITION CORP 549300NAS11NXI33CP80 92933BAR5 1275000.00000000 PA USD 967928.01000000 0.015722991079 Long DBT CORP US N 2 2031-02-15 Fixed 3.00000000 N N N N N N VERTICAL TOPCO SARL N/A N/A -10252595.65000000 PA -742152.17000000 -0.01205549568 Short LON CORP DE N 3 2027-01-29 Variable 0.90000000 N N N N N N Dryden Senior Loan Fund 254900I0IPNA482LDS44 26249YAG6 9500000.00000000 PA USD 7251394.65000000 0.117791418594 Long ABS-O CORP KY N 2 2031-01-15 None 0.00000000 N N N N N N RBC Capital Markets, LLC 549300LCO2FLSSVFFR64 N/A -2870761.04000000 PA USD -2870761.04000000 -0.04663254886 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 2497000.00000000 USD 1774617.90000000 USD CDS N N N HV EIGHT LLC N/A N/A 28000000.00000000 PA 27428144.94000000 0.445541893365 Long ABS-O CORP US N 3 2025-12-28 Variable 3.36000000 N N N N N N NUSTAR LOGISTICS LP N62BF2PKP51FIIOIUN20 67059TAE5 450000.00000000 PA USD 392368.64000000 0.006373623412 Long DBT CORP US N 2 2027-04-28 Fixed 5.62500000 N N N N N N BXMT Ltd N/A 12434LAG9 15640000.00000000 PA USD 14890479.59000000 0.241880465636 Long ABS-O CORP US N 2 2038-02-15 Floating 4.59000000 N N N N N N HAH GROUP HOLDING CO LLC N/A N/A 10828865.01570000 PA USD 10287421.76000000 0.167108544118 Long LON CORP US N 2 2027-10-29 Variable 8.71000000 N N N N N N PRO MACH GROUP INC N/A N/A 2134475.55480000 PA USD 2031188.28000000 0.032994556286 Long LON CORP US N 2 2028-08-31 Variable 7.12000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1270000.00000000 NC 15704.30000000 0.000255100137 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1270000.00000000 AUD 828160.65000000 USD 2022-10-11 15704.30000000 N N N GMAC Commercial Mortgage Asset N/A 38011SAC9 9000000.00000000 PA USD 8843989.95000000 0.143661484793 Long ABS-MBS CORP US N 3 2044-09-10 Fixed 6.35600000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -120000.00000000 NC -2427.15000000 -0.00003942654 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 120000.00000000 EUR 115202.15000000 USD 2022-10-06 -2427.15000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1720000.00000000 NC 12023.81000000 0.000195314378 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1720000.00000000 AUD 1112358.40000000 USD 2022-10-11 12023.81000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -862938546.00000000 NC 73508.38000000 0.001194067731 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 862938546.00000000 JPY 6041158.17000000 USD 2022-10-13 73508.38000000 N N N JP Morgan Mortgage Acquisition N/A 46630BAC0 3186191.76620000 PA USD 1741896.14000000 0.028295304183 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.16400000 N N N N N N BXMT Ltd N/A 12434LAJ3 8000000.00000000 PA USD 7466058.40000000 0.121278409560 Long ABS-O CORP US N 2 2038-02-15 Floating 4.89000000 N N N N N N RESONETICS LLC N/A N/A 8662500.00000000 PA USD 8207718.75000000 0.133325916137 Long LON CORP US N 2 2028-04-28 Variable 6.81000000 N N N N N N AIR CANADA 2020-2A PTT N/A 00909DAA1 3030747.59520000 PA USD 2848529.96000000 0.046271427924 Long DBT CORP CA N 2 2029-04-01 Fixed 5.25000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 24150000.00000000 PA USD 22492238.95000000 0.365363197172 Long DBT CORP US N 2 2028-10-20 Fixed 4.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -4580000.00000000 NC 18062.68000000 0.000293409585 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 4580000.00000000 EUR 4507581.04000000 USD 2022-10-06 18062.68000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 2240000.00000000 NC USD 29349.42000000 0.000476751022 N/A DFE JP N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 319666144.00000000 JPY 2240000.00000000 USD 2022-10-13 29349.42000000 N N N NA RAIL HOLD CO LLC N/A N/A 13704887.21030000 PA USD 13208085.05000000 0.214551703506 Long LON CORP US N 2 2026-10-19 Variable 7.67000000 N N N N N N DP HOLDCO LP N/A N/A 12902999.92420000 PA USD 12150367.94000000 0.197370181210 Long LON CORP US N 2 2027-04-09 Variable 6.78000000 N N N N N N STRIPES 2013 AIRCRAFT 1 LIMITED N/A N/A 762829.77200000 PA USD 729623.69000000 0.011851983464 Long ABS-O CORP US N 3 2023-03-20 Variable 6.49300000 N N N N N N NM Z PARENT INC NU75S1Y8UH3706J5CS61 N/A 3672375.64300000 PA USD 3167423.99000000 0.051451532164 Long LON CORP US N 2 2024-08-12 Variable 7.67000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AC1 3290000.00000000 PA USD 2911353.90000000 0.047291937960 Long DBT CORP US N 2 2027-02-15 Fixed 5.00000000 N N N N N N PPP INTERMEDIATE HOLDINGS LLC N/A N/A 1132126.94200000 PA USD 1129296.62000000 0.018344257526 Long LON CORP US N 3 2025-11-24 Variable 5.56000000 N N Y N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460W537 265621.00000000 NS USD 4847583.25000000 0.078743984479 Long EP CORP US N 2 N N N HIGHTOWER HOLDING LLC N/A N/A 18708625.00000000 PA USD 17293878.78000000 0.280921203826 Long LON CORP US N 2 2028-04-21 Variable 6.73000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46654EAN1 15000000.00000000 PA USD 13934457.00000000 0.226350865812 Long ABS-MBS CORP US N 2 2038-06-15 Floating 5.45800000 N N N N N N PATRIOT CONTAINER CORP N/A N/A 4668358.04530000 PA USD 3979775.23000000 0.064647339257 Long LON CORP US N 2 2025-03-20 Variable 6.87000000 N N N N N N AASET 2017-1 Trust 549300UGVCXV1Y1NM635 000366AA2 22018705.68110000 PA USD 17460833.61000000 0.283633212648 Long ABS-O CORP US N 2 2042-05-16 Fixed 3.96700000 N N N N N N BlackRock Corporate High Yield 97ZR60BLU36N5VJMH054 09255L114 1674130.00000000 NS USD 3683.09000000 0.000059827994 Long CORP US N 1 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2700000.00000000 NC -10812.63000000 -0.00017564000 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1521425.70000000 USD 2700000.00000000 NZD 2022-10-11 -10812.63000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2300000.00000000 NC 3467.09000000 0.000056319297 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2300000.00000000 EUR 25055261.60000000 SEK 2022-10-06 3467.09000000 N N N MASTR Asset Backed Securities N/A 55291KAD9 10255705.95920000 PA USD 3915713.66000000 0.063606725200 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.24400000 N N N N N N TWILIO INC 5493004W8TRGD63APX93 90138FAD4 15100000.00000000 PA USD 11853077.20000000 0.192541000109 Long DBT CORP US N 2 2031-03-15 Fixed 3.87500000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -46.00000000 NC USD -298080.00000000 -0.00484200181 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -4600 1725.00000000 USD 2022-10-26 XXXX -112806.72000000 N N N PAI HOLDCO INC N/A N/A 13980814.39560000 PA USD 13223473.68000000 0.214801675911 Long LON CORP US N 2 2027-10-28 Variable 6.56000000 N N N N N N WAMU Asset-Backed Certificates N/A 93363XAD5 2900779.72340000 PA USD 1867782.77000000 0.030340202502 Long ABS-MBS CORP US N 2 2047-07-25 Floating 3.25400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 3690000.00000000 NC 63157.47000000 0.001025927886 N/A DFE CH N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3505429.89000000 CHF 3690000.00000000 EUR 2022-10-06 63157.47000000 N N N MINERVA PARENT LIMITED N/A N/A 11000000.00000000 PA 11193842.34000000 0.181832410507 Long LON CORP GB N 2 2025-07-30 Variable 5.81000000 N N N N N N LTI HOLDINGS INC N/A N/A 1935375.00000000 PA USD 1814414.06000000 0.029473282914 Long LON CORP US N 2 2026-07-24 Variable 7.62000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -4403334.15000000 PA USD -4403334.15000000 -0.07152761656 Short RA CORP US N 2 Reverse repurchase N 3.25000000 N/A 5000000.00000000 USD 4300000.00000000 USD CDS N N N MIDWEST VETERINARY PARTNERS LLC N/A N/A 21235499.99980000 PA USD 19934825.62000000 0.323820658307 Long LON CORP US N 2 2028-04-27 Variable 7.25000000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 1000000000.00000000 PA 6909880.88000000 0.112243880034 Long DBT NUSS JP N 2 2022-10-20 None 0.00000000 N N N N N N TOPBUILD CORP 5493007YSKHOL4RWII46 89055FAC7 8850000.00000000 PA USD 6739201.99000000 0.109471377702 Long DBT CORP US N 2 2032-02-15 Fixed 4.12500000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A -7404382.80000000 PA USD -7404382.80000000 -0.12027655312 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 8600000.00000000 USD 8014340.00000000 USD AMBS N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -8200000.00000000 NC -77427.91000000 -0.00125773644 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange EUR/JPY -8200000 139.94000000 EUR 2022-10-25 XXXX 47803.90000000 N N N Pershing Square Tontine Holdings, Ltd. 549300ZDVEYEVCF35B08 N/A 762770.00000000 NS USD 76.28000000 0.000001239089 N/A DE US N 3 Pershing Square Tontine Holdings, Ltd. 549300ZDVEYEVCF35B08 Call Purchased N/A Pershing Square Tontine Holdings, Ltd. 762770 1.00000000 USD 2025-07-24 XXXX 76.28000000 N N N CARE BIDCO SAS N/A N/A -7307597.67000000 PA -569575.13000000 -0.00925215986 Short LON CORP FR N 3 2028-05-04 Variable 0.50000000 N N N N N N SERVICE LOGIC ACQUISITION INC N/A N/A 122149.25850000 PA USD 114362.24000000 0.001857696503 Long LON CORP US N 2 2027-10-29 Variable 5.75000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MV0 30600000.00000000 NS USD 25233678.00000000 0.409895043841 Long EP CORP US N 2 N N N CDW LLC/CDW FINANCE N/A 12513GBJ7 14000000.00000000 PA USD 10900016.12000000 0.177059506956 Long DBT CORP US N 2 2031-12-01 Fixed 3.56900000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251RAE3 14031127.89880000 PA USD 5815721.51000000 0.094470390852 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.58400000 N N N N N N BERKLEY (WR) CORPORATION SQOAGCLKBDWNVYV1OV80 084423888 115042.00000000 NS USD 1954563.58000000 0.031749867154 Long EP CORP US N 2 N N N PRIME SECSRVC BRW/FINANC N/A 74166MAF3 7300000.00000000 PA USD 6133241.00000000 0.099628167110 Long DBT CORP US N 2 2027-08-31 Fixed 3.37500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -600000.00000000 NC -16084.61000000 -0.00026127788 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 600000.00000000 EUR 6230003.40000000 NOK 2022-10-11 -16084.61000000 N N N ACRE COMMERCIAL MORTGAGE TRUST N/A 00489TAJ5 7350000.00000000 PA USD 7108656.87000000 0.115472790743 Long ABS-O CORP KY N 2 2037-12-18 Floating 5.59300000 N N N N N N BILLIKEN BUYER INC N/A N/A 8084375.00000000 PA USD 7538679.69000000 0.122458067430 Long LON CORP US N 2 2028-11-15 Variable 7.42000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 2820000.00000000 NC USD 89183.09000000 0.001448687210 N/A DFE CA N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 3770675.58000000 CAD 2820000.00000000 USD 2022-10-12 89183.09000000 N N N CONCORDE LUX N/A N/A 3300000.00000000 PA 2967509.56000000 0.048204128672 Long LON CORP LU N 2 2028-03-01 Variable 4.00000000 N N N N N N RED FIBER PARENT LLC N/A N/A 992500.00000000 PA USD 949901.90000000 0.015430175535 Long LON CORP US N 2 2028-11-22 Variable 6.38000000 N N N N N N FERTITTA ENTERTAINMENT LLC N/A N/A 5522250.00000000 PA USD 5113824.39000000 0.083068796888 Long LON CORP US N 2 2029-01-27 Variable 7.03000000 N N N N N N RINCHEM COMPANY LLC N/A N/A 3541125.00000000 PA USD 3377347.97000000 0.054861530460 Long LON CORP US N 3 2029-03-02 Variable 8.15000000 N N N N N N ACROPOLIS INFRASTRUCTURE - A N/A 005029111 192759.00000000 NS USD 19295.18000000 0.000313430275 N/A DE US N 1 Acropolis Infrastructure Acquisition Corp. N/A Call Purchased N/A Acropolis Infrastructure Acquisition Corp. 192759 11.50000000 USD 2026-03-31 XXXX -139837.61000000 N N N GALLS N/A N/A 362231.14100000 PA USD 349553.05000000 0.005678128363 Long LON CORP US N 3 2025-01-31 Variable 9.56000000 N N N N N N DRYDEN SENIOR LOAN FUND DRSLF_15-37A N/A N/A 1897598.00000000 PA USD 563017.33000000 0.009145635177 Long ABS-O CORP KY N 2 2031-01-15 None 0.00000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 2020000.00000000 NC USD 1361.25000000 0.000022112100 N/A DFE JP N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 291900706.00000000 JPY 2020000.00000000 USD 2022-10-13 1361.25000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2420000.00000000 NC 48664.23000000 0.000790500167 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2323526.70000000 USD 2420000.00000000 EUR 2022-10-06 48664.23000000 N N N Washington Mutual Mortgage Pas N/A 939346AB8 3953847.46470000 PA USD 3203064.42000000 0.052030474149 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.94400000 N N N N N N IP Lending LLC N/A 44988WAA1 7450000.00000000 PA USD 6648513.65000000 0.107998239259 Long DBT CORP US N 3 2025-07-15 Fixed 3.65000000 N N N N N N TWIN PALMS PACIFIC TRUST 549300U9K7TD84Q24R17 N/A 11650000.00000000 PA USD 11135419.50000000 0.180883391796 Long LON CORP US N 2 2029-05-16 Variable 7.37000000 N N N N N N SWITCH LTD 5493002D70VTFFLT8L43 87105NAA8 8652000.00000000 PA USD 8597925.00000000 0.139664413757 Long DBT CORP US N 2 2028-09-15 Fixed 3.75000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CJ2 900000.00000000 PA USD 739705.35000000 0.012015749621 Long DBT CORP US N 2 2046-04-15 Fixed 4.40000000 N N N N N N TRIPADVISOR INC 549300XVG45PT5BART17 896945AA0 1800000.00000000 PA USD 1749976.27000000 0.028426557551 Long DBT CORP US N 2 2025-07-15 Fixed 7.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -500000.00000000 NC 4997.91000000 0.000081185887 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 500000.00000000 CAD 367097.22000000 USD 2022-10-27 4997.91000000 N N N PARK RIVER HOLDINGS INC N/A N/A 6720424.72770000 PA USD 5675936.32000000 0.092199724777 Long LON CORP US N 2 2027-12-28 Variable 5.53000000 N N N N N N HGI CRE CLO Ltd N/A 40390JAG7 1600000.00000000 PA USD 1456013.76000000 0.023651440110 Long ABS-O CORP KY N 2 2036-09-17 Floating 5.08900000 N N N N N N NFP CORP VO2L9FZNXDJNQNEYH039 65342RAE0 3950000.00000000 PA USD 3370594.25000000 0.054751823252 Long DBT CORP US N 2 2028-08-15 Fixed 4.87500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1670000.00000000 NC 2336.05000000 0.000037946720 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1670000.00000000 EUR 18190286.29000000 SEK 2022-10-06 2336.05000000 N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAK3 4750000.00000000 PA USD 3754960.07000000 0.060995449118 Long DBT CORP US N 2 2032-02-15 Fixed 3.25000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 4964968148.00000000 NC -723898.00000000 -0.01175897554 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 35059125.30000000 USD 4964968148.00000000 JPY 2022-10-13 -723898.00000000 N N N Ares Dynamic Credit Allocation 549300BZI16VZUT2N044 04014F102 479990.00000000 NS USD 5639882.50000000 0.091614067699 Long EC RF US N 1 N N N Colicity Inc N/A 194170106 217843.00000000 NS USD 2143575.12000000 0.034820164456 Long EC CORP US N 1 N N N PRIME SECSRVC BRW/FINANC N/A 74166MAB2 1900000.00000000 PA USD 1833500.00000000 0.029783314302 Long DBT CORP US N 2 2024-04-15 Fixed 5.25000000 N N N N N N ATHENAHEALTH GROUP INC 254900AA3KZN4Q7A5Z33 60337JAA4 26650000.00000000 PA USD 21068690.50000000 0.342239122500 Long DBT CORP US N 2 2030-02-15 Fixed 6.50000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -47.00000000 NC USD -341220.00000000 -0.00554276657 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -4700 1735.00000000 USD 2022-10-26 XXXX -127479.04000000 N N N AMER AIRLINE 17-2 AA PTT N/A 02376AAA7 1253617.64850000 PA USD 1093278.82000000 0.017759185555 Long DBT CORP US N 2 2029-10-15 Fixed 3.35000000 N N N N N N HOCKEY PARENT HOLDINGS LP 549300JQT6ATTUNS5E06 N/A 2597989.18150000 PA USD 2498953.83000000 0.040592924650 Long LON CORP US N 2 2025-04-25 Variable 5.98000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -620000.00000000 NC 3133.84000000 0.000050905994 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 620000.00000000 AUD 399766.08000000 USD 2022-10-11 3133.84000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 670000.00000000 NC -23164.97000000 -0.00037629101 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 398020.80000000 USD 670000.00000000 NZD 2022-10-11 -23164.97000000 N N N DATIX BIDCO LIMITED N/A N/A -1058318.70530000 PA -29664.65000000 -0.00048187160 Short LON CORP US N 3 2024-10-28 Variable 1.57500000 N N N N N N VAIL RESORTS INC 529900PSZHRNU9HKH870 91879QAL3 1525000.00000000 PA USD 1504290.50000000 0.024435645903 Long DBT CORP US N 2 2025-05-15 Fixed 6.25000000 N N N N N N AVS GROUP GMBH N/A N/A 3750000.00000000 PA 3350742.43000000 0.054429350935 Long LON CORP DE N 2 2026-09-10 Variable 4.13000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -350000.00000000 NC 2539.81000000 0.000041256590 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 350000.00000000 NZD 198360.02000000 USD 2022-10-11 2539.81000000 N N N COLICITY INC-A N/A 194170114 43567.00000000 NS USD 2091.22000000 0.000033969709 N/A DE US N 1 Colicity Inc. N/A Call Purchased N/A Colicity Inc. 43567 11.50000000 USD 2027-12-31 XXXX -46018.51000000 N N N SILVER LAKE (OFFSHORE) AIV GP V LTD N/A N/A 1540416.65000000 PA 1404139.83000000 0.022808801680 Long LON CORP GB N 2 2026-07-23 Variable 9.22000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 11500000.00000000 NC 39015.13000000 0.000633760501 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Purchased N/A Foreign Exchange EUR/SEK 11500000 11.00650000 EUR 2022-10-20 XXXX 5522.21000000 N N N CHENIERE ENERGY INC 549300I7CIEWU1BBLQ53 N/A 21800000.00000000 PA USD 17074828.64000000 0.277362960484 Long DBT CORP US N 3 2039-12-31 Fixed 3.52000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 6400000.00000000 PA USD 4377255.23000000 0.071103991435 Long DBT CORP US N 2 2036-11-15 Fixed 3.18700000 N N N N N N FAGE INTL / FAGE USA N/A 30257WAA4 5232000.00000000 PA USD 4645388.16000000 0.075459534020 Long DBT CORP LU N 2 2026-08-15 Fixed 5.62500000 N N N N N N MEDLINE BORROWER LP 254900QT3R363TVK6F09 62482BAB8 7200000.00000000 PA USD 5436000.00000000 0.088302207007 Long DBT CORP US N 2 2029-10-01 Fixed 5.25000000 N N N N N N Wave USA N/A 94354KAA8 7443431.34950000 PA USD 5888260.35000000 0.095648709407 Long ABS-O CORP US N 2 2044-09-15 Fixed 3.59700000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 112000000.00000000 NC 2898.43000000 0.000047082002 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Purchased N/A Foreign Exchange NOK/SEK 112000000 1.07440000 NOK 2022-10-17 XXXX -42807.00000000 N N N MASTR Asset Backed Securities N/A 57645JAB5 9603787.19730000 PA USD 3032917.29000000 0.049266609709 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.28400000 N N N N N N H.B. FULLER CO JSMX3Z5FOYM8V0Q52357 40410KAA3 5250000.00000000 PA USD 4417350.00000000 0.071755289574 Long DBT CORP US N 2 2028-10-15 Fixed 4.25000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -7400000.00000000 NC -107623.63000000 -0.00174823474 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 7400000.00000000 EUR 7048633.20000000 CHF 2022-10-06 -107623.63000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -800000.00000000 NC 13408.79000000 0.000217811948 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 800000.00000000 CAD 592799.85000000 USD 2022-10-04 13408.79000000 N N N Long Beach Mortgage Loan Trust N/A 54251UAC0 4548332.07140000 PA USD 1398177.29000000 0.022711946375 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.26400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1040000.00000000 NC -1268.46000000 -0.00002060482 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 11326014.96000000 SEK 1040000.00000000 EUR 2022-10-06 -1268.46000000 N N N Diamond CLO 2018-1, LLC N/A 25256LAE1 10624292.99400000 PA USD 10590686.23000000 0.172034762295 Long ABS-O CORP KY N 2 2030-07-22 Floating 5.35900000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -940000.00000000 NC 1374.29000000 0.000022323922 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 940000.00000000 EUR 10239502.72000000 SEK 2022-10-06 1374.29000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 5890000.00000000 NC -300264.42000000 -0.00487748546 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3595638.85000000 USD 5890000.00000000 NZD 2022-10-11 -300264.42000000 N N N LIBERTY GLOBAL PLC N/A N/A 7000000.00000000 PA USD 6070890.00000000 0.098615339496 Long DBT CORP LU N 2 2028-03-01 Fixed 5.50000000 N N N N N N Sapphire Aviation Finance I Li N/A 80307AAA7 572182.70760000 PA USD 473703.88000000 0.007694830403 Long ABS-O CORP US N 2 2040-03-15 Fixed 3.22800000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 24141000.00000000 NC USD 2077464.14000000 0.033746259849 N/A DIR US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, N.A. E57ODZWZ7FF32TWEFA76 Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2049-04-16 0.00000000 USD 0.00000000 USD 0.00000000 USD 24141000 2.37500000 USD 2029-04-12 XXXX -958266.61000000 N N N CONVERGINT TECHNOLOGIES GROUP HOLDINGS INC N/A N/A 10418470.69550000 PA USD 9689177.75000000 0.157390687898 Long LON CORP US N 2 2028-03-31 Variable 6.87000000 N N N N N N Falcon Aerospace Ltd N/A 30605YAD3 3838675.49000000 PA USD 3312349.32000000 0.053805694506 Long ABS-O CORP US N 2 2042-02-15 Fixed 6.30000000 N N N N N N HOWMET AEROSPACE INC 549300HO5WFZUT5N2T22 013817AK7 2925000.00000000 PA USD 2643424.88000000 0.042939707682 Long DBT CORP US N 2 2037-02-01 Fixed 5.95000000 N N N N N N First NLC Trust N/A 32115BAA8 5100999.00240000 PA USD 2841824.19000000 0.046162499614 Long ABS-MBS CORP US N 2 2037-08-25 Floating 3.15400000 N N N N N N Venture CDO Ltd 549300ZVVNSDW7WU0O73 92329PAC9 13790000.00000000 PA USD 1553770.32000000 0.025239394488 Long ABS-O CORP KY N 2 2029-09-10 None 0.00000000 N N N N N N FS Rialto Issuer Ltd N/A 30319YAJ7 8850000.00000000 PA USD 8175247.68000000 0.132798457133 Long ABS-O CORP US N 2 2038-05-16 Floating 5.73900000 N N N N N N VERISURE CAYMAN 2 N/A N/A 1770000.00000000 PA 1552631.58000000 0.025220896832 Long LON CORP SE N 2 2028-03-27 Variable 3.47000000 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AL1 21000000.00000000 PA USD 17296581.33000000 0.280965103960 Long DBT CORP US N 2 2027-07-15 Fixed 3.25000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 2900816.00000000 NC -29062.62000000 -0.00047209225 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2970024.70000000 USD 2900816.00000000 CHF 2022-10-06 -29062.62000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -450000.00000000 NC 1550.56000000 0.000025187246 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 450000.00000000 NZD 253319.40000000 USD 2022-10-11 1550.56000000 N N N KENNEDY-WILSON INC 5EA4464UK7FM5QNNKL62 489399AL9 25000.00000000 PA USD 19080.00000000 0.000309934898 Long DBT CORP US N 2 2029-03-01 Fixed 4.75000000 N N N N N N MB2 DENTAL SOLUTIONS LLC N/A N/A 20561838.07480000 PA USD 20170431.97000000 0.327647840186 Long LON CORP US N 3 2027-01-29 Variable 9.70000000 N N N N N N 3G SPECIAL SITUATIONS FUND V LP N/A N/A 21000000.00000000 PA USD 17188500.00000000 0.279209434354 Long LON CORP US N 2 2029-02-26 Variable 6.34000000 N N N N N N QUEBEC T-BILL 549300WN65YFEQH74Y36 09852UXN8 500000.00000000 PA 361463.98000000 0.005871609122 Long DBT NUSS CA N 2 2022-10-21 None 0.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CV5 16010000.00000000 PA USD 13984135.91000000 0.227157848408 Long DBT CORP US N 2 2040-05-01 Fixed 5.70500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 300000.00000000 NC -4566.80000000 -0.00007418295 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 172412.70000000 USD 300000.00000000 NZD 2022-10-11 -4566.80000000 N N N IMPRIVATA INTERMEDIATE HOLDINGS INC N/A N/A 4850000.00000000 PA USD 4678746.50000000 0.076001405809 Long LON CORP US N 2 2027-12-01 Variable 7.28000000 N N N N N N ASBURY AUTOMOTIVE GROUP 549300JH4DTA7U42GL91 043436AW4 4472000.00000000 PA USD 3574782.64000000 0.058068652811 Long DBT CORP US N 2 2029-11-15 Fixed 4.62500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 900000.00000000 NC USD 4553.92000000 0.000073973728 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1236420.00000000 CAD 900000.00000000 USD 2022-10-12 4553.92000000 N N N JB POINDEXTER & CO INC 549300W6P81HOZZGPQ16 730481AJ7 11725000.00000000 PA USD 10845625.00000000 0.176175979374 Long DBT CORP US N 2 2026-04-15 Fixed 7.12500000 N N N N N N Telos CLO Ltd 549300S94NIRW4K03T89 87970UBA3 5092865.04200000 PA USD 5076273.00000000 0.082458813332 Long ABS-O CORP KY N 2 2027-01-17 Floating 5.34000000 N N N N N N BSPRT Issuer, Ltd. N/A 05601HAJ3 18425000.00000000 PA USD 17022866.71000000 0.276518892585 Long ABS-O CORP KY N 2 2036-03-15 Floating 5.81800000 N N N N N N SHO HOLDING I CORP N/A N/A 3604428.89370000 PA USD 3063764.56000000 0.049767691758 Long LON CORP US N 2 2024-04-26 Variable 8.06000000 N N N N N N Residential Accredit Loans, In N/A 75114NAC8 5038073.26140000 PA USD 1248692.00000000 0.020283712191 Long ABS-MBS CORP US N 2 2046-06-25 Floating 3.60400000 N N N N N N VERISURE CAYMAN 2 N/A N/A 7651052.63000000 PA 6767690.88000000 0.109934150303 Long LON CORP SE N 2 2026-07-20 Variable 3.75000000 N N N N N N GLOBAL PART/GLP FINANCE N/A 37954FAJ3 7750000.00000000 PA USD 6975000.00000000 0.113301672899 Long DBT CORP US N 2 2029-01-15 Fixed 6.87500000 N N N N N N DYAL CAPITAL PARTNERS IV LP N/A N/A 7117500.00000000 PA USD 5332310.93000000 0.086617885130 Long DBT CORP US N 3 2041-02-22 Fixed 3.65000000 N N N N N N Golub Capital Partners CLO Ltd N/A 38175BAE4 20000000.00000000 PA USD 18444330.00000000 0.299609095986 Long ABS-O CORP KY N 2 2031-02-05 Floating 4.93200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -975000.00000000 NC 16339.01000000 0.000265410346 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 975000.00000000 CAD 722458.23000000 USD 2022-10-12 16339.01000000 N N N GRAFTECH FINANCE INC 1Z010BU876CF2HDBIN43 384311AA4 10000000.00000000 PA USD 7475000.00000000 0.121423656619 Long DBT CORP US N 2 2028-12-15 Fixed 4.62500000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BG7 14730000.00000000 PA USD 11565437.14000000 0.187868584339 Long DBT CORP US N 2 2031-04-15 Fixed 2.85000000 N N N N N N AP VIII DUKE HOLDINGS GP LLC N/A N/A 2476708.34570000 PA USD 2064955.58000000 0.033543071208 Long LON CORP US N 2 2025-03-08 Variable 6.37000000 N N N N N N DATIX BIDCO LIMITED N/A N/A 7441681.29470000 PA 8101773.47000000 0.131604944458 Long LON CORP US N 3 2024-10-28 Variable 5.69000000 N N N N N N MCGRAW HILL LLC N/A N/A 4331871.85920000 PA USD 3985322.11000000 0.064737442595 Long LON CORP US N 2 2028-07-28 Variable 8.32000000 N N N N N N Dreyfus Treasury Obligations C 549300MKKM9KT7BF6329 N/A 8322253.39000000 NS USD 8322253.39000000 0.135186413100 Long STIV RF US N 1 N N N CPI CG INC N/A 12598FAA7 7077000.00000000 PA USD 6578496.12000000 0.106860876782 Long DBT CORP US N 2 2026-03-15 Fixed 8.62500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 500000.00000000 NC -3128.34000000 -0.00005081665 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5473145.00000000 SEK 500000.00000000 EUR 2022-10-06 -3128.34000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 76645000.00000000 NC 6864868.72000000 0.111512703972 N/A DIR US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, N.A. E57ODZWZ7FF32TWEFA76 Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 0.00000000 OU Notional Amount 0.00000000 0.00000000 DIR Euro Interbank Offered Rate EUR006M 2032-04-12 0.00000000 EUR 0.00000000 EUR 0.00000000 EUR 76645000 1.59800000 EUR 2027-04-08 XXXX 3592113.88000000 N N N AEQUI ACQUISITION CORP-CL A N/A 00775W110 333052.33000000 NS USD 13322.09000000 0.000216403596 N/A DE US N 1 Aequi Acquisition Corp. N/A Call Purchased N/A Aequi Acquisition Corp. 333052.33 11.50000000 USD 2027-11-30 XXXX -1507661.84000000 N N N CHEPLAPHARM ARZNEIMITTEL 529900ONXKBELT7EW052 16412EAA5 8085000.00000000 PA USD 6670125.00000000 0.108349293325 Long DBT CORP DE N 2 2028-01-15 Fixed 5.50000000 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 90290MAD3 6550000.00000000 PA USD 5606800.00000000 0.091076676646 Long DBT CORP US N 2 2029-02-15 Fixed 4.75000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -410000.00000000 NC 15602.42000000 0.000253445202 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 410000.00000000 NZD 244991.81000000 USD 2022-10-11 15602.42000000 N N N HAMILTON PROJECTS ACQUIROR LLC N/A N/A 12575205.98010000 PA USD 12323701.86000000 0.200185811763 Long LON CORP US N 2 2027-06-17 Variable 8.17000000 N N N N N N NEWFOUNDLAND T-BILL 549300CLWWW48GTPOJ49 65134AXU8 500000.00000000 PA 361152.55000000 0.005866550263 Long DBT NUSS CA N 2 2022-10-27 None 0.00000000 N N N N N N THUNDERBIRD 2022-1 N/A N/A 4768692.82000000 PA USD 0.05000000 0.000000000812 Long ABS-O CORP US N 2 2037-03-01 Fixed 0.35000000 N N N N N N CUSHMAN & WAKEFIELD US N/A 23166MAA1 5303000.00000000 PA USD 4918797.65000000 0.079900788874 Long DBT CORP US N 2 2028-05-15 Fixed 6.75000000 N N N N N N JONES DESLAURIERS INSURANCE MANAGEMENT INC N/A N/A 1062000.00000000 PA 696073.18000000 0.011306990072 Long LON CORP CA N 3 2029-03-26 Variable 11.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1900000.00000000 NC -102943.29000000 -0.00167220745 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1165967.30000000 USD 1900000.00000000 NZD 2022-10-11 -102943.29000000 N N N HINDALCO INDUSTRIES LTD N/A N/A 4500000.00000000 PA 3463319.61000000 0.056258050981 Long DBT CORP DE N 2 2029-04-15 Fixed 3.37500000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAS7 9649000.00000000 PA USD 7465913.75000000 0.121276059870 Long DBT CORP US N 2 2030-06-01 Fixed 4.62500000 N N N N N N SCP EYE CARE SERVICES LLC N/A N/A 2176416.55000000 PA USD 2154652.38000000 0.035000103106 Long LON CORP US N 3 2028-03-16 Variable 7.32000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 9020000.00000000 NC USD 25731.77000000 0.000417986034 N/A DFE JP N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 1290215388.00000000 JPY 9020000.00000000 USD 2022-12-19 25731.77000000 N N N KAISER ALUMINUM CORP N/A 483007AJ9 650000.00000000 PA USD 530347.30000000 0.008614944273 Long DBT CORP US N 2 2028-03-01 Fixed 4.62500000 N N N N N N Argent Securities Inc. N/A 03076MAA2 20099587.14460000 PA USD 11672179.99000000 0.189602511719 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.25900000 N N N N N N AMERICAN FINANCIAL GROUP 549300AFOM7IVKIU1G39 025932864 270159.00000000 NS USD 5346446.61000000 0.086847504656 Long EP CORP US N 2 N N N ROCKETMTGE CO-ISSUER INC N/A 74841CAB7 21650000.00000000 PA USD 15693088.02000000 0.254918010841 Long DBT CORP US N 2 2031-03-01 Fixed 3.87500000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -19300000.00000000 NC -214329.31000000 -0.00348155833 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange EUR/CHF -19300000 0.96000000 EUR 2022-10-18 XXXX -8827.21000000 N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109CD1 9800000.00000000 PA USD 7816197.56000000 0.126966058674 Long DBT CORP CA N 2 2052-03-15 Fixed 4.55000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -852.00000000 NC USD -5307960.00000000 -0.08622232941 N/A DE US N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written S&P 500 INDEX US78378X1072 -85200 3200.00000000 USD 2022-12-16 XXXX -366360.00000000 N N N ATLANTICA SUSTAIN INFRA 549300ITBBGKJ651R879 04916WAA2 1550000.00000000 PA USD 1304983.24000000 0.021198105261 Long DBT CORP GB N 2 2028-06-15 Fixed 4.12500000 N N N N N N BARENTZ MIDCO BV N/A N/A 2400000.00000000 PA 2177500.74000000 0.035371251122 Long LON CORP NL N 2 2027-11-30 Variable 4.94000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2700000.00000000 NC -45647.54000000 -0.00074149715 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange GBP/USD -2700000 1.11400000 GBP 2022-10-14 XXXX -30053.63000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 3094000.00000000 OU Notional Amount -690943.47000000 -0.01122366323 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 Sterling Overnight Interbank Average Rate N/A Y 2047-04-12 0.00000000 GBP 767837.59000000 GBP 3094000.00000000 GBP 104634.85000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1930000.00000000 NC 56887.19000000 0.000924073662 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 19983797.07000000 NOK 1930000.00000000 EUR 2022-10-11 56887.19000000 N N N IRON MOUNTAIN INFO MGMT N/A 46285MAA8 3350000.00000000 PA USD 2593211.22000000 0.042124038624 Long DBT CORP US N 2 2032-07-15 Fixed 5.00000000 N N N N N N Morgan Stanley Capital Inc N/A 61753VAD4 3860151.57320000 PA USD 1290338.27000000 0.020960212845 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.31400000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 2000000.00000000 NC USD 27229.58000000 0.000442316410 N/A DFE JP N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 282991200.00000000 JPY 2000000.00000000 USD 2022-12-19 27229.58000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1110000.00000000 NC USD -14405.43000000 -0.00023400133 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1110000.00000000 USD 1512782.37000000 CAD 2022-10-12 -14405.43000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A -14050415.53000000 PA USD -14050415.53000000 -0.22823449239 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 16050000.00000000 USD 14985885.00000000 USD AMBS N N N PRUDENTIAL FINANCIAL INC 5PRBRS5FEH7NREC8OR45 744320888 648948.00000000 NS USD 12953002.08000000 0.210408144047 Long EP CORP US N 2 N N N CHARLES RIVER LABORATORI 549300BSQ0R4UZ5KX287 159864AJ6 2500000.00000000 PA USD 2016058.88000000 0.032748794805 Long DBT CORP US N 2 2031-03-15 Fixed 4.00000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAC0 3400000.00000000 PA USD 2721836.00000000 0.044213415363 Long DBT CORP US N 2 2031-12-01 Fixed 3.75000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -280777000.00000000 NC 5748686.54000000 0.093381476982 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 280777000.00000000 EUR 281195357.70000000 USD 2022-10-17 5748686.54000000 N N N CARE BIDCO SAS N/A N/A 1966132.29000000 PA 1773767.91000000 0.028813028177 Long LON CORP FR N 3 2028-05-04 Variable 4.19000000 N N N N N N Castlelake Aircraft Securitiza 549300MHTIBONNXM3R82 14855MAA6 5837932.70690000 PA USD 5035749.96000000 0.081800558389 Long ABS-O CORP US N 2 2039-04-15 Fixed 3.96700000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CA0 3500000.00000000 PA USD 2166891.16000000 0.035198909450 Long DBT CORP US N 2 2052-06-01 Fixed 3.90000000 N N N N N N IRON MOUNTAIN INC SQL3F6CKNNBM3SQGHX24 46284VAN1 925000.00000000 PA USD 715191.50000000 0.011617547439 Long DBT CORP US N 2 2031-02-15 Fixed 4.50000000 N N N N N N BMO Capital Markets Corp., New York Branch RUC0QBLBRPRCU4W1NE59 N/A -29700871.73000000 PA USD -29700871.73000000 -0.48245999334 Short RA CORP US N 2 Reverse repurchase N 3.27000000 N/A 32030000.00000000 USD 34463529.61 USD CDS N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 7583000.00000000 OU Notional Amount USD -294766.23000000 -0.00478817304 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2027-04-19 255.48000000 USD 0.00000000 USD 7583000.00000000 USD -295021.71000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 852.00000000 NC USD 14812020.00000000 0.240605970611 N/A DE US N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased S&P 500 INDEX US78378X1072 85200 3600.00000000 USD 2022-12-16 XXXX 1180020.00000000 N N N Lehman XS Trust N/A 525229AE0 2602157.52060000 PA USD 2507895.67000000 0.040738175608 Long ABS-MBS CORP US N 2 2046-07-25 Floating 3.50400000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -18000000000.00000000 OU Notional Amount 410462.40000000 0.006667537861 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 6-Month Budapest Interbank Offering Rate N/A Y 2025-07-26 13527.23000000 HUF 0.00000000 HUF -18000000000.00000000 HUF 398300.74000000 N N N MILEAGE PLUS HLDINGS LLC N/A 599191AA1 18715000.00000000 PA USD 18317867.70000000 0.297554846502 Long DBT CORP US N 2 2027-06-20 Fixed 6.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2350000.00000000 NC 15271.41000000 0.000248068286 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2350000.00000000 EUR 25730086.55000000 SEK 2022-10-06 15271.41000000 N N N HUB INTERNATIONAL LTD 549300JQT6ATTUNS5E06 44332PAG6 8500000.00000000 PA USD 7097500.00000000 0.115291558910 Long DBT CORP US N 2 2029-12-01 Fixed 5.62500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -130000.00000000 NC 4865.99000000 0.000079042983 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 130000.00000000 NZD 77599.21000000 USD 2022-10-11 4865.99000000 N N N BOE HOLDING LLC 549300DNGHXL0OMHW304 N/A 4774538.19750000 PA USD 4437360.31000000 0.072080336398 Long LON CORP US N 2 2024-04-03 Variable 5.81000000 N N N N N N DATIX BIDCO LIMITED N/A N/A 461709.17000000 PA USD 452244.13000000 0.007346238922 Long LON CORP GB N 3 2026-04-27 Variable 9.26000000 N N N N N N WAVERLY CAPITAL ACQUISITION CORP 1 N/A N/A 786700.00000000 NS USD 7686059.00000000 0.124852092143 Long EC CORP US N 2 N N N Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A -6609810.58000000 PA USD -6609810.58000000 -0.10736954785 Short RA CORP US N 2 Reverse repurchase N 3.40000000 N/A 14593000.00000000 USD 13129322.10000000 USD CDS N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 3800000.00000000 NC 512.03000000 0.000008317398 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Purchased N/A Foreign Exchange EUR/SEK 3800000 10.72670000 EUR 2022-10-04 XXXX -28615.76000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 850000.00000000 NC 22471.64000000 0.000365028588 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 8829266.20000000 NOK 850000.00000000 EUR 2022-10-11 22471.64000000 N N N Atlas Senior Loan Fund LTD N/A 04941VAG0 10250000.00000000 PA USD 9870771.53000000 0.160340491348 Long ABS-O CORP KY N 2 2028-04-20 Floating 4.51000000 N N N N N N TITAN PARENT NEW ZEALAND LTD N/A N/A 6517250.00000000 PA USD 6147917.44000000 0.099866570723 Long LON CORP NZ N 2 2028-10-18 Variable 4.00000000 N N N N N N DURAN GROUP HOLDING GMBH N/A N/A 416089.63430000 PA 389679.38000000 0.006329939161 Long LON CORP DE N 3 2024-03-29 Variable 3.75000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 570000.00000000 NC -2344.23000000 -0.00003807959 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 321251.43000000 USD 570000.00000000 NZD 2022-10-11 -2344.23000000 N N N HEALTHCHANNELS INTERMEDIATE HOLDCO LLC N/A N/A 4716293.70120000 PA USD 3938105.24000000 0.063970453296 Long LON CORP US N 2 2025-04-03 Variable 7.62000000 N N N N N N MASTR Asset Backed Securities N/A 57645JAC3 8074491.50530000 PA USD 2549884.04000000 0.041420233323 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.38400000 N N N N N N FIRST REPUBLIC BANK YWC0TIKBQM2JV8L4IV08 33616C746 1168000.00000000 NS USD 20825440.00000000 0.338287769298 Long EP CORP US N 2 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -9980000.00000000 NC -60630.34000000 -0.00098487726 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 9980000.00000000 EUR 9722206.62000000 USD 2022-10-06 -60630.34000000 N N N COMPAGNIE BENELUX PARTICIPATIONS SA N/A N/A 7078500.00000000 PA USD 6547612.50000000 0.106359204264 Long LON CORP FR N 2 2028-06-30 Variable 7.67000000 N N N N N N Treman Park CLO Ltd 549300E4DX3Q8L455K94 89473MAB8 12400000.00000000 PA USD 1541692.00000000 0.025043194651 Long ABS-O CORP KY N 2 2028-10-20 None 0.00000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -17000000.00000000 NC -35410.92000000 -0.00057521383 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange GBP/USD -17000000 1.15350000 GBP 2022-10-07 XXXX 260811.58000000 N N N CAB N/A N/A 6500000.00000000 PA 5650024.50000000 0.091778814017 Long LON CORP FR N 2 2028-02-09 Variable 3.28000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BD8 2715000.00000000 PA USD 1846200.00000000 0.029989612689 Long DBT CORP US N 2 2030-12-01 Fixed 4.62500000 N N N N N N THL Credit Lake Shore MM CLO I N/A 510800AG0 9900000.00000000 PA USD 9147560.40000000 0.148592673299 Long ABS-O CORP KY N 2 2033-04-15 Floating 5.51200000 N N N N N N BXMT Ltd N/A 05608XAJ1 7350000.00000000 PA USD 7081537.58000000 0.115032265879 Long ABS-O CORP KY N 2 2037-11-15 Floating 5.20000000 N N N N N N JP Morgan Mortgage Acquisition N/A 46629KAE9 8786536.88960000 PA USD 6316487.61000000 0.102604819076 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.38400000 N N N N N N Cerberus 549300U8RSYT04O8Z019 15673YAS8 4000000.00000000 PA USD 3783416.80000000 0.061457699313 Long ABS-O CORP KY N 2 2031-04-15 Floating 5.41200000 N N N N N N GLOBAL PART/GLP FINANCE N/A 37954FAG9 2200000.00000000 PA USD 2003166.00000000 0.032539363282 Long DBT CORP US N 2 2027-08-01 Fixed 7.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -7930000.00000000 NC 44361.19000000 0.000720601725 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 7930000.00000000 EUR 86745778.34000000 SEK 2022-10-06 44361.19000000 N N N JEFFERIES FIN LLC / JFIN N/A 47232MAF9 23000000.00000000 PA USD 16962500.00000000 0.275538297713 Long DBT CORP US N 2 2028-08-15 Fixed 5.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 1300000.00000000 NC -40676.76000000 -0.00066075196 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 142038000.00000000 JPY 1300000.00000000 CAD 2022-10-12 -40676.76000000 N N N HEALTHEQUITY INC 529900LRJU1RAFQHM467 42226AAA5 6900000.00000000 PA USD 5828706.00000000 0.094681310485 Long DBT CORP US N 2 2029-10-01 Fixed 4.50000000 N N N N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 638671AN7 21150000.00000000 PA USD 15734358.71000000 0.255588410586 Long DBT CORP US N 2 2050-04-30 Fixed 4.35000000 N N N N N N BNPP IP CLO LTD 54930038CI4SMKCMEM78 05580HAE9 5894651.47670000 PA USD 3492581.00000000 0.056733372048 Long ABS-O CORP KY N 2 2025-10-30 Floating 8.03200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1500000.00000000 NC 59393.52000000 0.000964786405 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1500000.00000000 NZD 898623.00000000 USD 2022-10-11 59393.52000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1120000.00000000 NC USD 11259.78000000 0.000182903499 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 160326880.00000000 JPY 1120000.00000000 USD 2022-10-13 11259.78000000 N N N KDC HOLDCO INC N/A N/A 818637.53220000 PA USD 770886.40000000 0.012522253582 Long LON CORP US N 2 2025-12-22 Variable 6.87000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2510000.00000000 NC 21409.26000000 0.000347771322 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2510000.00000000 AUD 1627130.09000000 USD 2022-10-11 21409.26000000 N N N Waverley Capital Acquisition Corp. N/A N/A 262232.00000000 NS USD 11721.77000000 0.000190408050 N/A DE US N 1 Waverley Capital Acquisition Corp. N/A Call Purchased N/A Waverley Capital Acquisition Corp. 262232 11.50000000 USD 2027-04-30 XXXX -150237.64000000 N N N LoanCore 2021-CRE5 Issuer, Ltd N/A 53947XAL6 8250000.00000000 PA USD 7820258.33000000 0.127032021690 Long ABS-O CORP KY N 2 2036-07-15 Floating 5.81800000 N N N N N N TGP HOLDINGS III LLC N/A N/A 198788.44000000 PA USD 155677.19000000 0.002528815205 Long LON CORP US N 2 2028-06-29 Variable 6.37000000 N N N N N N UK TOPCO N/A N/A 4800000.00000000 PA 3722443.99000000 0.060467258973 Long DBT CORP FR N 2 2028-05-31 Fixed 3.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -17000000.00000000 NC -664873.01000000 -0.01080017552 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written N/A Foreign Exchange GBP/USD -17000000 1.15350000 GBP 2022-10-07 XXXX -381963.88000000 N N N RBC Capital Markets, LLC 549300LCO2FLSSVFFR64 N/A -19465311.94000000 PA USD -19465311.94000000 -0.31619389337 Short RA CORP US N 2 Reverse repurchase N 3.30000000 N/A 24000000.00000000 USD 21656191.30 USD CDS N N N ONTARIO T-BILL C7PVKCRGLG18EBQGZV36 6832Z5HX1 10000000.00000000 PA 7239129.18000000 0.117592178699 Long DBT NUSS CA N 3 2022-10-05 None 0.00000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 11300000.00000000 NC 558317.35000000 0.009069288854 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Purchased N/A Foreign Exchange EUR/NOK 11300000 10.14300000 EUR 2022-10-07 XXXX 509634.57000000 N N N BlackRock Credit Allocation In WU48CSUCFTU86AQUYZ93 092508100 1124760.00000000 NS USD 10730210.40000000 0.174301188369 Long EC RF US N 1 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDK9 16800000.00000000 PA USD 15886828.10000000 0.258065118392 Long DBT CORP US N 2 2033-09-14 Variable 5.71700000 N N N N N N JELD-WEN INC 549300XWE6NM0N1HFW16 475795AE0 100000.00000000 PA USD 94000.00000000 0.001526932939 Long DBT CORP US N 2 2025-05-15 Fixed 6.25000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -11150000.00000000 NC -127679.03000000 -0.00207401400 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 11150000.00000000 GBP 12324195.35000000 USD 2022-10-05 -127679.03000000 N N N STARWOOD PROPERTY TRUST BUGSFQZERKRBFWIG5267 85571BAY1 21000000.00000000 PA USD 17902185.00000000 0.290802510257 Long DBT CORP US N 2 2027-01-15 Fixed 4.37500000 N N N N N N HAMPTON ROADS PPV LLC N/A 409322AD6 16800000.00000000 PA USD 14012594.40000000 0.227620127193 Long DBT CORP US N 2 2053-06-15 Fixed 6.62100000 N N N N N N Applebees/IHOP Funding LLC N/A 03789XAD0 2079000.00000000 PA USD 1969827.55000000 0.031997814586 Long ABS-O CORP US N 2 2049-06-05 Fixed 4.19400000 N N N N N N GS Mortgage Securities Trust N/A 36258BAQ1 2750000.00000000 PA USD 2655085.40000000 0.043129120789 Long ABS-MBS CORP US N 2 2036-12-15 Floating 4.71800000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -5870000.00000000 NC USD -75163.83000000 -0.00122095880 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5870000.00000000 USD 831261266.00000000 JPY 2022-12-19 -75163.83000000 N N N MINERALS TECHNOLOGIES IN 549300D3I1QU67GP6403 603158AA4 11230000.00000000 PA USD 9773777.83000000 0.158764928843 Long DBT CORP US N 2 2028-07-01 Fixed 5.00000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 23925000.00000000 OU Notional Amount -1511077.73000000 -0.02454589744 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 6-Month EURIBOR N/A Y 2032-04-12 0.00000000 EUR 1180633.85000000 EUR 23925000.00000000 EUR -335544.95000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 3070000.00000000 NC USD 28280.28000000 0.000459383947 N/A DFE JP N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 436330504.00000000 JPY 3070000.00000000 USD 2022-12-19 28280.28000000 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -22300000.00000000 NC USD -128964.02000000 -0.00209488734 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written N/A Foreign Exchange USD/JPY -22300000 143.20000000 USD 2022-10-14 XXXX 169053.18000000 N N N METLIFE INC C4BXATY60WC6XEOZDX54 59156RCA4 12200000.00000000 NS USD 10914057.66000000 0.177287597275 Long EP CORP US N 2 N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AH5 7350000.00000000 PA USD 7267726.01000000 0.118056704674 Long DBT CORP US N 2 2025-04-23 Fixed 5.62500000 N N N N N N Falcon Aerospace Ltd N/A 30605YAB7 13873075.74140000 PA USD 12579196.40000000 0.204336056752 Long ABS-O CORP US N 2 2042-02-15 Fixed 4.58100000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -16448250.25000000 PA USD -16448250.25000000 -0.26718484151 Short RA CORP US N 2 Reverse repurchase N 3.30000000 N/A 20000000.00000000 USD 16790000.00000000 USD CDS N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1870000.00000000 NC 70566.38000000 0.001146277979 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2017774.88000000 USD 1870000.00000000 GBP 2022-10-05 70566.38000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 4480000.00000000 NC 137007.51000000 0.002225545531 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 4866077.44000000 USD 4480000.00000000 GBP 2022-10-05 137007.51000000 N N N SCP EYE CARE SERVICES LLC N/A N/A 12430679.38830000 PA USD 12368525.99000000 0.200913933471 Long LON CORP US N 3 2028-03-16 Variable 7.62000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 8730000.00000000 NC 32503.40000000 0.000527984171 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 8525028.33000000 USD 8730000.00000000 EUR 2022-10-06 32503.40000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -850000.00000000 NC -20410.05000000 -0.00033154018 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 850000.00000000 EUR 8851709.60000000 NOK 2022-10-11 -20410.05000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -5210000.00000000 NC -134454.65000000 -0.00218407695 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5210000.00000000 GBP 5683865.13000000 USD 2022-10-05 -134454.65000000 N N N STRIP PRINC 254900HROIFWPRGM1V77 912803EK5 23280000.00000000 PA USD 9354535.12000000 0.151954763912 Long DBT UST US N 2 2044-11-15 None 0.00000000 N N N N N N SIX FLAGS THEME PARKS 5493003MX0ZXTM8EVY68 83001WAC8 2757000.00000000 PA USD 2755838.92000000 0.044765757688 Long DBT CORP US N 2 2025-07-01 Fixed 7.00000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -560000.00000000 NC -2837.96000000 -0.00004609972 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 560000.00000000 EUR 546098.78000000 USD 2022-10-06 -2837.96000000 N N N SOTHEBY'S/BIDFAIR HLD N/A 83600GAA2 9400000.00000000 PA USD 7765528.00000000 0.126142983992 Long DBT CORP US N 2 2029-06-01 Fixed 5.87500000 N N N N N N CITRIX SYSTEMS INC HCTKJGUQOPZ5NBK7NP58 177376AG5 12450000.00000000 PA USD 12450000.00000000 0.202237394637 Long DBT CORP US N 2 2026-03-01 Fixed 1.25000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -10060000.00000000 NC -310686.09000000 -0.00504677473 N/A DFE NO N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 10060000.00000000 EUR 104010038.20000000 NOK 2022-10-11 -310686.09000000 N N N ABPCI Direct Lending Fund CLO N/A 000807AS6 9200000.00000000 PA USD 8524112.80000000 0.138465410784 Long ABS-O CORP KY N 2 2031-04-20 Floating 5.61000000 N N N N N N JONES DESLAURIERS INSURANCE MANAGEMENT INC N/A N/A 34422033.38040000 PA 22810742.30000000 0.370536955220 Long LON CORP CA N 3 2028-03-27 Variable 7.75000000 N N N N N N LTI HOLDINGS INC N/A N/A 1950000.00000000 PA USD 1828125.00000000 0.029696002977 Long LON CORP US N 2 2026-07-24 Variable 7.62000000 N N N N N N Argent Securities Inc. N/A 03076MAC8 13475535.60150000 PA USD 4603711.91000000 0.074782546372 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.18400000 N N N N N N PS HOLDINGS INDEPENDENT VOTING COMPANY LTD U7LC4KOKCTZ0YWGI2G56 N/A 1600000.00000000 PA USD 1235136.00000000 0.020063508968 Long DBT CORP GG N 2 2030-11-15 Fixed 3.25000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -19000000.00000000 NC -321056.98000000 -0.00521523912 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange EUR/JPY -19000000 143.15000000 EUR 2022-10-18 XXXX -21741.91000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 1500000.00000000 NC -56057.60000000 -0.00091059782 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1731450.00000000 USD 1500000.00000000 GBP 2022-10-11 -56057.60000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2420000.00000000 NC -1086.23000000 -0.00001764468 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 26334067.32000000 SEK 2420000.00000000 EUR 2022-10-06 -1086.23000000 N N N PETSMART INC/PETSMART FI N/A 71677KAA6 2800000.00000000 PA USD 2396209.79000000 0.038923953809 Long DBT CORP US N 2 2028-02-15 Fixed 4.75000000 N N N N N N COREBRIDGE FINANCIAL INC 549300XY1661QCIA7J65 21871XAN9 10750000.00000000 PA USD 9830420.49000000 0.159685030368 Long DBT CORP US N 2 2052-12-15 Variable 6.87500000 N N N N N N DCG ACQUISITION CORP N/A N/A 1722288.35710000 PA USD 1603157.67000000 0.026041640993 Long LON CORP US N 2 2026-09-30 Variable 7.62000000 N N N N N N SITECORE HOLDING III A/S N/A N/A 3927692.55890000 PA USD 3887160.07000000 0.063142901613 Long LON CORP DK N 3 2026-03-12 Variable 10.27000000 N N N N N N SCOTTS MIRACLE-GRO CO 2TH9E0JTOUXOEGI2R879 810186AX4 9900000.00000000 PA USD 6969600.00000000 0.113213955474 Long DBT CORP US N 2 2031-04-01 Fixed 4.00000000 N N N N N N KUVARE US HOLDINGS INC 254900MGBERNLZXF7O58 50149XAA2 19150000.00000000 NS USD 19293625.00000000 0.313405016313 Long EP CORP US N 2 N N N Apollo Aviation Securitization N/A 00255UAB1 4322981.55600000 PA USD 1733204.35000000 0.028154115029 Long ABS-O CORP US N 2 2040-01-16 Fixed 4.33500000 N N N N N N GALLS N/A N/A -71506.68770000 PA USD -2502.73000000 -0.00004065426 Short LON CORP US N 3 2024-01-31 Variable 1.50656000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -280000.00000000 NC 262.32000000 0.000004261117 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 280000.00000000 EUR 3048433.08000000 SEK 2022-10-06 262.32000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 40000.00000000 NC 339.44000000 0.000005513852 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 39153.52000000 USD 40000.00000000 EUR 2022-12-30 339.44000000 N N N SANDY BIDCO BV N/A N/A 4700000.00000000 PA 4261001.67000000 0.069215572392 Long LON CORP NL N 2 2029-08-17 Variable 4.68000000 N N N N N N Wells Fargo Commercial Mortgag 5493002S7XBI8CVRR075 94989HAF7 96395.27820000 PA USD 96241.79000000 0.001563348503 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 2.63200000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 3800000.00000000 NC 50357.46000000 0.000818004940 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Purchased N/A Foreign Exchange EUR/SEK 3800000 10.72670000 EUR 2022-10-04 XXXX 20530.03000000 N N N PLAYTIKA HOLDING CORP 254900E35Z4TKA4UFG64 72815LAA5 8750000.00000000 PA USD 6997725.00000000 0.113670817059 Long DBT CORP US N 2 2029-03-15 Fixed 4.25000000 N N N N N N FIRST KEY REVOLVING TRUST 2021-1 N/A N/A 33850000.00000000 PA USD 32195688.22000000 0.522985711177 Long ABS-MBS CORP US Y 3 2058-11-30 Fixed 2.21100000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -15874819.56000000 PA USD -15874819.56000000 -0.25787005206 Short RA CORP US N 2 Reverse repurchase N 3.30000000 N/A 20550000.00000000 USD 15874875.00000000 USD CDS N N N ONTARIO T-BILL C7PVKCRGLG18EBQGZV36 6832Z5HY9 975000.00000000 PA 705440.84000000 0.011459158036 Long DBT NUSS CA N 2 2022-10-12 None 0.00000000 N N N N N N SMRT N/A 78457JAL6 10000000.00000000 PA USD 9374176.00000000 0.152273809727 Long ABS-MBS CORP US N 2 2039-01-15 Floating 4.79600000 N N N N N N Bank of Montreal, Chicago Branch NQQ6HPCNCCU6TUTQYE16 N/A -14916440.29000000 PA USD -14916440.29000000 -0.24230217040 Short RA CORP US N 2 Reverse repurchase N 3.11000000 N/A 42000000.00000000 USD 14485800.00000000 USD UST N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -2476000.00000000 OU Notional Amount USD 136430.07000000 0.002216165615 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 U.S. Secured Overnight Financing Rate N/A Y 2049-04-16 52097.18000000 USD 0.00000000 USD -2476000.00000000 USD 84332.89000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2700000.00000000 NC -7398.30000000 -0.00012017774 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange GBP/USD -2700000 1.16700000 GBP 2022-10-14 XXXX 8195.61000000 N N N KVK CLO Ltd 5493007VGL59COTLZY21 48274GAB8 11900000.00000000 PA USD 2093721.70000000 0.034010347124 Long ABS-O CORP KY N 2 2028-01-14 None 0.00000000 N N N N N N FS Rialto Issuer Ltd N/A 30328DAG8 6150000.00000000 PA USD 6056547.68000000 0.098382363317 Long ABS-O CORP US N 2 2037-08-17 Floating 7.24800000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2800000.00000000 NC USD -3999.10000000 -0.00006496125 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange USD/JPY -2800000 146.42000000 USD 2022-10-06 XXXX 12464.90000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 3160000.00000000 NC 52674.64000000 0.000855645137 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3047335.26000000 USD 3160000.00000000 EUR 2022-10-17 52674.64000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1550000.00000000 NC -10264.84000000 -0.00016674172 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 16973040.95000000 SEK 1550000.00000000 EUR 2022-10-06 -10264.84000000 N N N RXR Acquisition Corp N/A 74981W107 1087275.00000000 NS USD 10698786.00000000 0.173790731439 Long EC CORP US N 1 N N N APTTUS CORP N/A N/A 17127000.00000000 PA USD 15671205.00000000 0.254562543777 Long LON CORP US N 3 2028-05-08 Variable 7.12000000 N N N N N N RENT-A-CENTER INC/TX N/A N/A 10448184.14650000 PA USD 9455606.65000000 0.153596566554 Long LON CORP US N 2 2028-02-17 Variable 6.06000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A -3000000.00000000 NC USD -27942.33000000 -0.00045389429 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Written N/A Foreign Exchange USD/CAD -3000000 1.3347 USD 2022-10-18 XXXX -16561.33000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1310000.00000000 NC 1698.47000000 0.000027589891 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1310000.00000000 EUR 14267540.12000000 SEK 2022-10-06 1698.47000000 N N N CITADEL ENTERPRISE AMERICAS LLC N/A N/A 5946356.62000000 PA USD 5406239.65000000 0.087818780851 Long ABS-O CORP US N 3 2031-03-22 Fixed 3.69000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDA5 550000.00000000 PA USD 493508.13000000 0.008016529995 Long DBT CORP US N 2 2027-11-01 Fixed 5.12500000 N N N N N N FR REFUEL LLC N/A N/A 23495766.66330000 PA USD 22438457.16000000 0.364489567527 Long LON CORP US N 3 2028-11-08 Variable 8.42000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 3720000.00000000 NC USD 36620.05000000 0.000594854899 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 528375780.00000000 JPY 3720000.00000000 USD 2022-12-19 36620.05000000 N N N API HEAT TRANSFER THERMASYS CORP N/A N/A 1763707.00000000 NS USD 176.37000000 0.000002864948 Long EC CORP US N 3 N N N VanEck Gold Miners ETF/USA 54930031TORTKAM9TJ98 92189F106 1430590.00000000 NS USD 34505830.80000000 0.560511592030 Long EC RF US N 1 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 980000.00000000 NC -8517.76000000 -0.00013836221 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 635452.58000000 USD 980000.00000000 AUD 2022-10-11 -8517.76000000 N N N Fortress Credit Opportunities 2549008RD44HDM6DNP14 34961JBJ2 7750000.00000000 PA USD 6894422.48000000 0.111992774287 Long ABS-O CORP KY N 2 2033-10-15 Floating 6.46200000 N N N N N N SITECORE HOLDING III A/S N/A N/A 4813894.49280000 PA 4669427.32000000 0.075850025352 Long LON CORP DK N 3 2026-03-12 Variable 7.00000000 N N Y N N N Morgan Stanley Mortgage Loan T N/A 61748JAB3 8489365.48520000 PA USD 2637364.01000000 0.042841255107 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.38400000 N N N N N N First Franklin Mtg Loan Asset N/A 320275AE0 7648139.54960000 PA USD 3568059.78000000 0.057959446892 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.50400000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -47.00000000 NC USD -45590.00000000 -0.00074056247 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -4700 1735.00000000 USD 2022-10-26 XXXX 116450.96000000 N N N STATION CASINOS LLC 5493004E7Q60TX54WL62 857691AH2 3800000.00000000 PA USD 2870083.38000000 0.046621540976 Long DBT CORP US N 2 2031-12-01 Fixed 4.62500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 300000.00000000 NC 10196.19000000 0.000165626578 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 443910.00000000 AUD 300000.00000000 EUR 2022-10-11 10196.19000000 N N N Conyers Park III Acquisition C N/A 21289P102 832100.00000000 NS USD 8088012.00000000 0.131381403588 Long EC CORP US N 1 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -8800000.00000000 NC -379895.02000000 -0.00617100233 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written N/A Foreign Exchange GBP/CAD -8800000 1.48280000 GBP 2022-10-25 XXXX -256146.66000000 N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AN7 15600000.00000000 PA USD 10057320.00000000 0.163370778621 Long DBT CORP CA N 2 2028-06-01 Fixed 4.87500000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -6.00000000 NC USD -15240.00000000 -0.00024755806 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -600 1660.00000000 USD 2022-10-26 XXXX -5473.92000000 N N N SC GAMES HOLDIN/US FINCO N/A 80874DAA4 3500000.00000000 PA USD 2805600.00000000 0.045574075051 Long DBT CORP US N 2 2030-03-01 Fixed 6.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BBSY6 6213087.40000000 PA USD 5779899.83000000 0.093888504649 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N TRANSDIGM GROUP INC 88Q84GB3X55CF5OC7582 N/A 14007130.57100000 PA USD 13419391.37000000 0.217984156488 Long LON CORP US N 2 2025-05-30 Variable 5.92000000 N N N N N N LASERAWAY INTERMEDIATE HOLDINGS II LLC N/A N/A 13299500.00000000 PA USD 13016885.63000000 0.211445866353 Long LON CORP US N 2 2027-10-14 Variable 8.23000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1090000.00000000 NC 1212.54000000 0.000019696460 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1090000.00000000 EUR 11869237.81000000 SEK 2022-10-06 1212.54000000 N N N RADIATE HOLDINGS LP N/A N/A 7665166.66080000 PA USD 7074029.01000000 0.114910296913 Long LON CORP US N 2 2026-09-25 Variable 6.37000000 N N N N N N DATIX BIDCO LIMITED N/A N/A 9112505.10000000 PA USD 8883781.22000000 0.144307852888 Long LON CORP GB N 3 2025-04-28 Variable 6.01000000 N N N N N N BILLIKEN BUYER INC N/A N/A 2150538.11640000 PA USD 1946237.00000000 0.031614610459 Long LON CORP US N 2 2027-02-18 Variable 7.42000000 N N N N N N NCR CORP 549300YKTY8JX1DV2R67 62886EBA5 6350000.00000000 PA USD 4762627.00000000 0.077363957920 Long DBT CORP US N 2 2029-04-15 Fixed 5.12500000 N N N N N N Navigator Aircraft ABS LLC N/A 63943BAB9 6023995.44500000 PA USD 4439953.92000000 0.072122466914 Long ABS-O CORP US N 2 2046-11-15 Variable 3.57100000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1000000000.00000000 NC 12528.96000000 0.000203520018 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1000000000.00000000 JPY 6932682.96000000 USD 2022-10-20 12528.96000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 4750000.00000000 NC 45010.38000000 0.000731147147 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange EUR/USD 4750000 0.98350000 EUR 2022-10-14 XXXX -4808.50000000 N N N CONFLUENT HEALTH LLC N/A N/A -717079.64160000 PA USD -89634.96000000 -0.00145602737 Short LON CORP US N 3 2028-11-30 Variable 4.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 4640000.00000000 NC 83886.72000000 0.001362653148 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 5097879.84000000 USD 4640000.00000000 GBP 2022-10-05 83886.72000000 N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAZ9 24000000.00000000 PA USD 19139418.48000000 0.310900090623 Long DBT CORP US N 2 2030-09-15 Fixed 3.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1020000.00000000 NC -22965.87000000 -0.00037305684 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 1020000.00000000 EUR 963548.10000000 CHF 2022-10-06 -22965.87000000 N N N CABLE ONE INC 549300648QS85T0XSH18 12685JAE5 5750000.00000000 PA USD 4367125.00000000 0.070939436309 Long DBT CORP US N 2 2026-03-15 None 0.00000000 N N N N Y Cable One Inc USD XXXX N N N CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A -158725.10000000 PA USD -158725.10000000 -0.00257832535 Short RA CORP US N 2 Reverse repurchase N -1.25000000 N/A 232000.00000000 USD 180960.00000000 USD CDS N N N OSMOSIS HOLDINGS AUSTRALIA II PTY LTD N/A N/A 6533625.01000000 PA USD 6055886.35000000 0.098371620694 Long LON CORP AU N 2 2028-07-30 Variable 6.35000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 550000.00000000 NC -19384.02000000 -0.00031487338 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 327101.50000000 USD 550000.00000000 NZD 2022-10-11 -19384.02000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 980000.00000000 NC 943.29000000 0.000015322772 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 10648861.30000000 SEK 980000.00000000 EUR 2022-10-06 943.29000000 N N N KRONOS ACQUISITION HOLDINGS INC N/A N/A 13225010.12940000 PA USD 12218454.61000000 0.198476178860 Long LON CORP US N 2 2026-12-22 Variable 6.82000000 N N N N N N ENDO LUX FIN CO I SARL N/A 29280BAA3 4400000.00000000 PA USD 3473364.84000000 0.056421225370 Long DBT CORP LU N 2 2029-04-01 Fixed 6.12500000 Y N N N N N AUXEY HOLDCO LTD N/A N/A 3000000.00000000 PA 3182686.19000000 0.051699450844 Long LON CORP GB N 2 2025-06-16 Variable 7.31000000 N N N N N N BMO Capital Markets Corp., New York Branch RUC0QBLBRPRCU4W1NE59 N/A -6749596.87000000 PA USD -6749596.87000000 -0.10964023179 Short RA CORP US N 2 Reverse repurchase N 3.27000000 N/A 8150000.00000000 USD 6554230.00000000 USD CDS N N N NEWFOUNDLAND T-BILL 549300CLWWW48GTPOJ49 65134AXE4 400000.00000000 PA 289434.80000000 0.004701569467 Long DBT NUSS CA N 2 2022-10-13 None 0.00000000 N N N N N N WENDYS FUNDING LLC 5493009DRVSTWJOXUL48 95058XAE8 381000.00000000 PA USD 338629.75000000 0.005500690633 Long ABS-O CORP US N 2 2048-03-15 Fixed 3.88400000 N N N N N N GSAMP Trust N/A 3622MGAA6 18747584.62090000 PA USD 10404279.55000000 0.169006778254 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.21400000 N N N N N N KREF FUNDING V LLC N/A N/A 15952956.69600000 PA USD 15881139.04000000 0.257972705487 Long ABS-O CORP US N 3 2026-06-25 Variable 1.83400000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94988U128 982000.00000000 NS USD 18196460.00000000 0.295582703776 Long EP CORP US N 2 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 4380000.00000000 NC -52571.33000000 -0.00085396697 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2854586.16000000 USD 4380000.00000000 AUD 2022-10-11 -52571.33000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 1840000.00000000 NC USD 19607.04000000 0.000318496119 N/A DFE CA N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 2513574.32000000 CAD 1840000.00000000 USD 2022-10-12 19607.04000000 N N N BDS Ltd N/A 05493NAJ1 2700000.00000000 PA USD 2510114.13000000 0.040774212200 Long ABS-O CORP KY N 2 2038-11-16 Floating 5.59300000 N N N N N N Marathon CLO LTD 635400LRBGQZIPTCBI09 56576QAQ1 7920233.00000000 PA USD 7844978.91000000 0.127433581987 Long ABS-O CORP KY N 2 2027-11-21 Floating 4.43400000 N N N N N N VERSCEND HOLDING CORP N/A N/A 2369796.89650000 PA USD 2292778.50000000 0.037243819302 Long LON CORP US N 2 2025-08-27 Variable 7.12000000 N N N N N N PACKAGING COORDINATORS MIDCO INC N/A N/A 2524371.85440000 PA USD 2393937.56000000 0.038887043779 Long LON CORP US N 2 2027-11-30 Variable 7.42000000 N N N N N N THUNDERBIRD 2022-1 N/A N/A 2231307.18000000 PA USD 2231307.18000000 0.036245281182 Long ABS-O CORP US N 3 2037-03-01 Fixed 7.50000000 N N N N N N AVERY POINT CLO LTD AVERY_13-3A N/A N/A 6270000.00000000 PA USD 159571.50000000 0.002592074250 Long ABS-O CORP KY N 2 2025-01-18 None 0.00000000 N N N N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CG7 1650000.00000000 PA USD 1326913.50000000 0.021554339690 Long DBT CORP US N 2 2031-05-15 Fixed 4.00000000 N N N N N N WAMU Asset-Backed Certificates N/A 933631AE3 7590128.49010000 PA USD 3793038.44000000 0.061613992920 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.31400000 N N N N N N INGENOVIS HEALTH INC N/A N/A 1871500.00000000 PA USD 1798979.38000000 0.029222562475 Long LON CORP US N 2 2028-03-06 Variable 6.87000000 N N N N N N BOOZ ALLEN HAMILTON INC 549300D7XCH2480XU542 09951LAA1 11800000.00000000 PA USD 10151105.17000000 0.164894221868 Long DBT CORP US N 2 2028-09-01 Fixed 3.87500000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -22032000.00000000 NC USD -505627.79000000 -0.00821340135 N/A DIR US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2030-04-23 0.00000000 USD 0.00000000 USD 0.00000000 USD -22032000 2.70000000 USD 2025-04-17 XXXX 267695.41000000 N N N Capital Automotive Reit N/A 12510HAJ9 21105000.00000000 PA USD 17736791.85000000 0.288115869314 Long ABS-O CORP US N 2 2050-02-15 Fixed 4.95000000 N N N N N N BX Commercial Mortgage Trust 2 N/A 056054AK5 1989000.00010000 PA USD 1904364.47000000 0.030934434445 Long ABS-MBS CORP US N 2 2036-10-15 Floating 5.11800000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -2750000.00000000 NC USD -5912.14000000 -0.00009603660 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Written N/A Foreign Exchange USD/JPY -2750000 146.48 USD 2022-10-19 XXXX 10464.11000000 N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 038522AR9 5100000.00000000 PA USD 4998000.00000000 0.081187349268 Long DBT CORP US N 2 2025-05-01 Fixed 6.37500000 N N N N N N JONES DESLAURIERS INSURANCE MANAGEMENT INC N/A N/A 10612000.00000000 PA 6955488.28000000 0.112984725154 Long LON CORP CA N 3 2029-03-26 Variable 11.00000000 N N N N N N Vacasa Inc N/A 91854V107 503817.00000000 NS USD 1546718.19000000 0.025124839918 Long EC CORP US N 1 N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AJ1 6530000.00000000 PA USD 6329820.24000000 0.102821393884 Long DBT CORP US N 2 2030-04-23 Fixed 5.75000000 N N N N N N BOXER PARENT CO INC 5493006T045HLTF7YX04 N/A 8500000.00000000 PA 7789375.67000000 0.126530364767 Long DBT CORP US N 2 2025-10-02 Fixed 6.50000000 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAH0 1700000.00000000 PA USD 1406648.00000000 0.022849544312 Long DBT CORP US N 2 2029-04-15 Fixed 4.62500000 N N N N N N TEXGEN POWER LLC N/A N/A 180169.00000000 NS USD 4684394.00000000 0.076093143615 Long EC CORP US N 2 N N N ALCOA NEDERLAND HOLDING 5493000UL1QLQLT1VQ42 013822AC5 7450000.00000000 PA USD 7038884.71000000 0.114339414048 Long DBT CORP NL N 2 2028-05-15 Fixed 6.12500000 N N N N N N KRONOS ACQ / KIK CUSTOM N/A 50106GAE2 5500000.00000000 PA USD 4826525.00000000 0.078401914951 Long DBT CORP US N 2 2026-12-31 Fixed 5.00000000 N N N N N N MATTERHORN BUYER LLC 549300B7GQ818BSKC852 N/A 6688680.47190000 PA USD 5190416.05000000 0.084312949320 Long LON CORP US N 2 2025-05-23 Variable 6.80000000 N N N N N N SABRE GLBL INC F2TJC7HPPHLHU1AQMP98 78573NAC6 1308000.00000000 PA USD 1252292.28000000 0.020342195022 Long DBT CORP US N 2 2025-04-15 Fixed 9.25000000 N N N N N N Ladder Capital Commercial Mort N/A 50190FAG6 28865000.00000000 PA USD 26995956.61000000 0.438521440204 Long ABS-O CORP US N 2 2038-11-15 Floating 5.41800000 N N N N N N SELECTIVE INSURANCE GROU 549300R3WGJWLE40R258 816300503 246000.00000000 NS USD 4297620.00000000 0.069810399352 Long EP CORP US N 2 N N N VENTURE GLOBAL LNG INC N/A N/A 5471684.65810000 PA USD 5458005.45000000 0.088659662821 Long LON CORP US N 3 2026-08-19 Variable 5.74000000 N N N N N N Acres PLC N/A 00103CAJ8 7250000.00000000 PA USD 6701407.00000000 0.108857437115 Long ABS-O CORP KY N 2 2036-06-15 Floating 5.58900000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 2390000.00000000 NC 21261.52000000 0.000345371438 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 2647794.96000000 USD 2390000.00000000 GBP 2022-10-05 21261.52000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 1930000.00000000 NC -15825.38000000 -0.00025706695 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 1095633.98000000 USD 1930000.00000000 NZD 2022-10-11 -15825.38000000 N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 N/A 6203670.00000000 PA USD 5887965.23000000 0.095643915488 Long LON CORP CA N 2 2028-08-11 Variable 6.42000000 N N N N N N SABRE GLBL INC F2TJC7HPPHLHU1AQMP98 78573NAF9 8222000.00000000 PA USD 7363876.60000000 0.119618571727 Long DBT CORP US N 2 2025-09-01 Fixed 7.37500000 N N N N N N HUNT COS INC 549300ODPWDNCH5TKM49 445587AE8 13700000.00000000 PA USD 10490501.00000000 0.170407356680 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 90290MAE1 2675000.00000000 PA USD 2213575.88000000 0.035957254522 Long DBT CORP US N 2 2030-06-01 Fixed 4.62500000 N N N N N N AASET 2021-2 Trust N/A 00258BAB0 3824537.76100000 PA USD 2878965.93000000 0.046765828829 Long ABS-O CORP US N 2 2047-01-15 Fixed 3.53800000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 4200000.00000000 NC -21431.56000000 -0.00034813356 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 45920641.20000000 SEK 4200000.00000000 EUR 2022-10-06 -21431.56000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 310000.00000000 NC -14215.88000000 -0.00023092229 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 187656.64000000 USD 310000.00000000 NZD 2022-10-11 -14215.88000000 N N N GoldenTree Loan Management US N/A 38138JAJ2 9950000.00000000 PA USD 8547919.63000000 0.138852128155 Long ABS-O CORP KY N 2 2033-01-20 Floating 5.61000000 N N N N N N GS Mortgage Securities Trust N/A 36258BAS7 7340000.00000000 PA USD 6914814.35000000 0.112324019160 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.31800000 N N N N N N BlackRock Debt Strategies Fund Y02PFSGMGNYKWM70AJ95 09255R202 488322.00000000 NS USD 4355832.24000000 0.070755997083 Long EC RF US N 1 N N N MSD ACQUISITION CORP-A N/A N/A 166604.00000000 NS USD 14227.98000000 0.000231118843 N/A DE US N 1 MSD Acquisition Corp. N/A Call Purchased N/A MSD Acquisition Corp. 166604 11.50000000 USD 2023-05-13 XXXX -172386.25000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -2691225.00000000 NC 96387.78000000 0.001565719960 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2691225.00000000 ILS 856137.36000000 USD 2022-11-30 96387.78000000 N N N Nomura Resecuritization Trust N/A 65540WCC1 1941133.50100000 PA USD 1725770.56000000 0.028033360786 Long ABS-MBS CORP US N 2 2036-03-26 Floating 2.19500000 N N N N N N WAMU Asset-Backed Certificates N/A 93363XAA1 6892376.15020000 PA USD 5110287.51000000 0.083011343925 Long ABS-MBS CORP US N 2 2047-07-25 Floating 3.25400000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 995000000.00000000 OU Notional Amount -2054.10000000 -0.00003336673 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Overnight Tokyo Average Rate N/A Y 2032-07-29 0.00000000 JPY 1427.32000000 JPY 995000000.00000000 JPY -730.51000000 N N N Starwood Commercial Mortgage T N/A 78486BAJ3 3750000.00000000 PA USD 3553272.75000000 0.057719246859 Long ABS-O CORP KY N 2 2038-04-18 Floating 5.73900000 N N N N N N API HEAT TRANSFER THERMASYS CORP N/A N/A 229708.27920000 PA USD 195252.04000000 0.003171667780 Long LON CORP US N 3 2023-10-02 Variable 6.00000000 N N Y N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -20300000.00000000 NC USD -74134.38000000 -0.00120423645 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written N/A Foreign Exchange USD/JPY -20300000 143.90000000 USD 2022-10-06 XXXX 245204.92000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -6.00000000 NC USD -1920.00000000 -0.00003118841 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Short N/A Gold 100 oz. 2022-10-28 0.00000000 USD -600 1790.00000000 USD 2022-10-26 XXXX 8086.08000000 N N N BSPDF 2021-FL1 Issuer Ltd N/A 055731AJ2 19975000.00000000 PA USD 18507698.42000000 0.300638450537 Long ABS-O CORP KY N 2 2036-10-15 Floating 5.56800000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAB2 6320000.00000000 PA USD 4913155.61000000 0.079809139760 Long DBT CORP US N 2 2046-06-01 Fixed 4.37500000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 4000000.00000000 NC USD 29832.48000000 0.000484597833 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Purchased N/A Foreign Exchange USD/SEK 4000000 10.85550000 USD 2022-10-20 XXXX -32707.52000000 N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAE6 2490000.00000000 PA USD 2162906.63000000 0.035134184875 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -1000000.00000000 NC 41319.68000000 0.000671195536 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 1000000.00000000 NZD 600806.00000000 USD 2022-10-11 41319.68000000 N N N CONYERS PARK III ACQUISITI-A N/A 21289P110 277366.00000000 NS USD 39607.86000000 0.000643388788 N/A DE US N 1 Conyers Park III Acquisition Corp. N/A Call Purchased N/A Conyers Park III Acquisition Corp. 277366 11.50000000 USD 2028-08-12 XXXX -238589.89000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2300000.00000000 NC -10627.88000000 -0.00017263893 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2265189.50000000 USD 2300000.00000000 EUR 2022-10-06 -10627.88000000 N N N VIRGIN MEDIA FINANCE PLC 2138001LVYC87DDHT482 92769VAJ8 21400000.00000000 PA USD 15737453.00000000 0.255638674132 Long DBT CORP US N 2 2030-07-15 Fixed 5.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A -25542943.32000000 PA USD -25542943.32000000 -0.41491873963 Short RA CORP US N 2 Reverse repurchase N 3.40000000 N/A 38500000.00000000 USD 30865450.00000000 USD CDS N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 72235000.00000000 NC USD 2184542.43000000 0.035485636105 N/A DIR DE N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2037-04-12 0.00000000 USD 0.00000000 USD 0.00000000 USD 72235000 2.39000000 USD 2032-04-08 XXXX -1304408.07000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -27302735.01000000 PA USD -27302735.01000000 -0.44350473854 Short RA CORP US N 2 Reverse repurchase N 3.09000000 N/A 73450000.00000000 USD 26939463.70 USD UST N N N FONTAINEBLEAU LAS VEGAS N/A N/A 26500000.00000000 PA USD 0.27000000 0.000000004385 Long DBT CORP US N 2 2025-09-30 None 0.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 3380000.00000000 NC 98496.70000000 0.001599977187 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3676152.22000000 USD 3380000.00000000 GBP 2022-10-05 98496.70000000 N N N 2022-10-31 Guggenheim Funds Trust Jim Howley Jim Howley CFO