0001752724-23-125957.txt : 20230530
0001752724-23-125957.hdr.sgml : 20230530
20230530135530
ACCESSION NUMBER: 0001752724-23-125957
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230331
FILED AS OF DATE: 20230530
DATE AS OF CHANGE: 20230530
PERIOD START: 20230930
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: 23974797
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
2023-09-30
2023-03-31
N
5778063565.09
42480785.52
5735582779.57
0.00000000
32412032.79000000
16487854.78000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
12949162.27000000
AUD
CAD
CZK
EUR
GBP
HUF
NOK
NZD
SGD
USD
N
Portfolio (ExDerivative)
N/A
Lehman XS Trust
N/A
Lehman XS Trust Series
52522GAC8
3859215.26830000
PA
USD
3589906.11000000
0.062590084529
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.20500000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
5-Year Interest Rate Swap
N/A
-10800000.00000000
NC
-432765.39000000
-0.00754527319
N/A
DIR
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Euro Interbank Offered Rate
N/A
0.00000000
OU
Notional Amount
0.00000000
0.00000000
DIR
Euro Interbank Offered Rate
EUR006M
2032-03-24
0.00000000
EUR
0.00000000
EUR
0.00000000
EUR
-10800000.00000000
2.81800000
EUR
2027-03-22
XXXX
15780.18000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Foreign Exchange USD/JPY
N/A
-9300000.00000000
NC
USD
-194407.20000000
-0.00338949340
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Foreign Exchange USD/JPY
-9300000
135.77000000
USD
2023-04-05
XXXX
-59407.20000000
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings, Inc.
50212YAD6
14788000.00000000
PA
USD
13309200.00000000
0.232046167085
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.00000000
N
N
N
N
N
N
RIBEYE PARENT LLC
N/A
Weber-Stephen Products LLC
N/A
419687.50000000
PA
USD
360230.37000000
0.006280623675
Long
LON
CORP
US
N
2
2027-10-29
Variable
9.16000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-670000.00000000
NC
2472.28000000
0.000043104251
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
670000.00000000
GBP
829086.07000000
USD
2023-04-06
2472.28000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-24.00000000
NC
USD
-98880.00000000
-0.00172397476
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-2400
2005.00000000
USD
2023-05-25
XXXX
35174.32000000
N
N
N
WILTON RE LTD
5493004VQ9VSL29MT373
Wilton RE Ltd.
97263CAA9
31350000.00000000
PA
USD
27879241.50000000
0.486075130835
Long
DBT
CORP
CA
N
3
N/A
Variable
6.00000000
N
N
N
N
N
N
PARTNERRE FINANCE B LLC
549300O0FAGHK2F79881
PartnerRe Finance B LLC
70213BAC5
6460000.00000000
PA
USD
5361800.00000000
0.093483089793
Long
DBT
CORP
US
N
2
2050-10-01
Variable
4.50000000
N
N
N
N
N
N
REINSURANCE GRP OF AMER
LORM1GNEU1DKEW527V90
Reinsurance Group of America, Inc.
759351885
300400.00000000
NS
USD
7900520.00000000
0.137745723558
Long
EP
CORP
US
N
2
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Silver Futures Contracts
N/A
-9.00000000
NC
USD
-1665.00000000
-0.00002902930
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Silver Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Silver
2023-04-27
0.00000000
USD
-45000
21.50000000
USD
2023-04-25
XXXX
15819.12000000
N
N
N
THUNDERBIRD 2022-1
N/A
Lightning A
N/A
19121803.90900000
PA
USD
0.19000000
0.000000003312
Long
ABS-O
CORP
US
N
2
2037-03-01
Fixed
0.35000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
20-Year Interest Rate Swap
N/A
18750000.00000000
NC
863710.49000000
0.015058809596
N/A
DIR
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Sterling Overnight Interbank Average Rate
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
18750000.00000000
1.58300000
GBP
2027-04-12
XXXX
-2060292.30000000
N
N
N
Castlelake Aircraft Securitiza
N/A
Castlelake Aircraft Structured Trust
14856GAB6
2538516.03360000
PA
USD
2068945.91000000
0.036072113148
Long
ABS-O
CORP
US
N
2
2046-01-15
Fixed
6.65600000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
680000000.00000000
NC
-18142.39000000
-0.00031631293
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
5187978.39000000
USD
680000000.00000000
JPY
2023-06-05
-18142.39000000
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding Ltd.
69701CAG5
3400000.00000000
PA
USD
3184579.74000000
0.055523211195
Long
ABS-O
CORP
KY
N
2
2030-04-15
Floating
7.23200000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-19400000.00000000
NC
104122.38000000
0.001815375769
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
19400000.00000000
EUR
21167619.36000000
USD
2023-04-17
104122.38000000
N
N
N
IXIS Real Estate Capital Trust
N/A
IXIS Real Estate Capital Trust
45073DAC2
24051953.04130000
PA
USD
6007105.15000000
0.104733997936
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.00500000
N
N
N
N
N
N
SBKSCP
N/A
TPG Pace Beneficial II Corp.
SBKSCP682
807638.00000000
NS
USD
8052231.62000000
0.140390818674
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1700000.00000000
NC
4766.68000000
0.000083107160
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2092611.60000000
USD
1700000.00000000
GBP
2023-04-06
4766.68000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
41217000000.00000000
NC
6159763.25000000
0.107395594950
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
306935367.60000000
USD
41217000000.00000000
JPY
2023-05-30
6159763.25000000
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust
362334BS2
10371219.47230000
PA
USD
5476016.33000000
0.095474453781
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
5.44500000
N
N
N
N
N
N
FLAMINGO LUX I SARL
N/A
Flamingo
N/A
4045312.00000000
PA
3990932.68000000
0.069581990765
Long
LON
CORP
FR
N
2
2028-03-27
Variable
6.53000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
5-Year Interest Rate Swap
N/A
107500000.00000000
NC
3814611.32000000
0.066507824341
N/A
DIR
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Euro Interbank Offered Rate
N/A
0.00000000
OU
Notional Amount
0.00000000
0.00000000
DIR
Euro Interbank Offered Rate
EUR006M
2032-11-02
0.00000000
EUR
0.00000000
EUR
0.00000000
EUR
107500000.00000000
3.10000000
EUR
2027-10-29
XXXX
-1231090.26000000
N
N
N
WOMENS CARE HOLDINGS INC
N/A
Women's Care Holdings, Inc.
N/A
30911711.87850000
PA
USD
28747892.05000000
0.501220070476
Long
LON
CORP
US
N
2
2028-01-17
Variable
9.33000000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
5-Year Interest Rate Swap
N/A
-22032000.00000000
NC
USD
-761521.98000000
-0.01327715088
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
U.S. Secured Overnight Financing Rate
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
-22032000.00000000
2.70000000
USD
2025-04-17
XXXX
11801.22000000
N
N
N
Chicago Mercantile Exchange
N/A
3-Month SOFR Futures Contracts
N/A
-1.00000000
NC
USD
1001.68000000
0.000017464310
N/A
DIR
US
N
1
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Short
N/A
3-Month SOFR Futures Contracts
2023-09-19
-238814.18000000
USD
1001.68000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
ITRAXX.EUR.38.V1
N/A
-253900000.00000000
OU
Notional Amount
-2567177.75000000
-0.04475879520
N/A
DCR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Intercontinental Exchange
5493000F4ZO33MV32P92
Markit iTraxx Europe Index
N/A
Y
ITRAXX.EUR.38.V1 1% 12/20/2027 - Tenor Quarterly
2027-12-20
0.00000000
EUR
1522433.83000000
EUR
-253900000.00000000
EUR
-1013080.48000000
N
N
N
Firstkey Homes Trust
N/A
FirstKey Homes Trust
33767JBC5
13550000.00000000
PA
USD
12360140.63000000
0.215499298066
Long
ABS-O
CORP
US
N
2
2037-10-19
Fixed
4.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DK8
2850000.00000000
PA
USD
2280000.00000000
0.039751845411
Long
DBT
CORP
US
N
2
2044-07-15
Fixed
4.50000000
N
N
N
N
N
N
AASET 2018-2 Trust
N/A
AASET US Ltd.
04546KAA6
12437367.77130000
PA
USD
10759671.33000000
0.187595083943
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
Long Beach Mortgage Loan Trust
54251MAD6
10007420.55560000
PA
USD
3024937.01000000
0.052739837018
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.16500000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
10Y-2Y SOFR CMS CAP
N/A
164200000.00000000
NC
USD
561045.13000000
0.009781833016
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
10Y-2Y SOFR CMS CAP
164200000
0.10000000
USD
2024-06-20
XXXX
-165539.87000000
N
N
N
IMAGEFIRST HOLDINGS LLC
N/A
ImageFIRST Holdings LLC
N/A
2100938.98570000
PA
USD
2016901.43000000
0.035164716603
Long
LON
CORP
US
N
2
2028-04-27
Variable
9.66000000
N
N
N
N
N
N
RASPRO TRUST
N/A
Raspro Trust
N/A
15020379.70290000
PA
USD
14837146.09000000
0.258685937597
Long
ABS-O
CORP
US
N
2
2024-03-23
Floating
5.16800000
N
N
N
N
N
N
VIRGIN MEDIA VEND FIN IV
635400ZZNJSEA4CAJR23
Virgin Media Vendor Financing Notes IV DAC
92770QAA5
3650000.00000000
PA
USD
3243937.50000000
0.056558114923
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-3330000.00000000
NC
USD
77799.72000000
0.001356439667
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3330000.00000000
USD
35364816.45000000
SEK
2023-04-03
77799.72000000
N
N
N
Fortress Credit Opportunities
2549008RD44HDM6DNP14
Fortress Credit Opportunities IX CLO Ltd.
34961JBG8
35000000.00000000
PA
USD
32375087.50000000
0.564460295391
Long
ABS-O
CORP
KY
N
2
2033-10-15
Floating
7.59200000
N
N
N
N
N
N
ACCIDENT FUND INS CO AM
2549009NUX96RJZ6DQ30
Accident Fund Insurance Company of America
00452AAA8
3000000.00000000
PA
USD
3142401.54000000
0.054787833438
Long
DBT
CORP
US
N
2
2032-08-01
Fixed
8.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
060505GB4
13850000.00000000
NS
USD
11774408.81000000
0.205287052118
Long
EP
CORP
US
N
2
N
N
N
Blue Whale Acquisition Corp.
N/A
Blue Whale Acquisition Corp. I
SBP818Y98
119424.00000000
NS
USD
9995.79000000
0.000174276797
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
-516310.19000000
N
N
N
Neuberger Berman CLO Ltd
5493007YBEOXQIHH3C54
Neuberger Berman Loan Advisers CLO 32 Ltd.
64132DAQ1
11500000.00000000
PA
USD
10675620.20000000
0.186129650818
Long
ABS-O
CORP
KY
N
2
2032-01-20
Floating
7.49800000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1930000.00000000
NC
36197.01000000
0.000631095590
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2344944.21000000
USD
1930000.00000000
GBP
2023-04-06
36197.01000000
N
N
N
Sprite Limited
N/A
Sprite Ltd.
85208UAA2
16934572.26600000
PA
USD
15166479.30000000
0.264427868673
Long
ABS-O
CORP
US
N
2
2046-11-15
Fixed
3.75000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2023-NQM2 Trust
670843AC5
6933054.89320000
PA
USD
6910595.26000000
0.120486365999
Long
ABS-MBS
CORP
US
N
2
2062-01-25
Variable
6.80000000
N
N
N
N
N
N
Acres PLC
N/A
ACRES Commercial Realty Ltd.
00500JAJ2
8350000.00000000
PA
USD
7839125.29000000
0.136675305566
Long
ABS-O
CORP
KY
N
2
2037-01-15
Floating
7.80900000
N
N
N
N
N
N
Home Equity Loan Trust
N/A
Home Equity Loan Trust
43710XAA6
6894398.91840000
PA
USD
6406391.99000000
0.111695571944
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.03500000
N
N
N
N
N
N
CONFLUENT HEALTH LLC
N/A
Confluent Health LLC
N/A
4533036.98750000
PA
USD
3660427.37000000
0.063819624102
Long
LON
CORP
US
N
2
2028-11-30
Variable
8.84000000
N
N
N
N
N
N
SCHUR FLEXIBLES GMBH
N/A
Schur Flexibles GmbH
N/A
787500.00000000
PA
640799.61000000
0.011172353963
Long
LON
CORP
DE
N
2
2027-09-28
Variable
8.78000000
N
N
N
N
N
N
Firstkey Homes Trust
N/A
FirstKey Homes Trust
33767JBE1
13250000.00000000
PA
USD
12153392.90000000
0.211894647276
Long
ABS-O
CORP
US
N
2
2037-10-19
Fixed
4.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-440000.00000000
NC
-10837.48000000
-0.00018895167
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
440000.00000000
GBP
532013.37000000
USD
2023-04-06
-10837.48000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
390000.00000000
NC
USD
4711.44000000
0.000082144050
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3998374.38000000
SEK
390000.00000000
USD
2023-04-03
4711.44000000
N
N
N
SAVERGLASS SAS
N/A
Saverglass
N/A
3700000.00000000
PA
3880524.03000000
0.067657013753
Long
LON
CORP
FR
N
2
2029-02-19
Variable
7.20000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange EUR/CHF
N/A
11000000.00000000
NC
32226.53000000
0.000561870192
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
N/A
Foreign Exchange EUR/CHF
11000000
0.99890000
EUR
2023-04-19
XXXX
-7784.14000000
N
N
N
EG GROUP LTD
2138003OUK4UQHRJLT65
EG Finco Ltd.
N/A
949999.99000000
PA
1093642.12000000
0.019067672144
Long
LON
CORP
GB
N
2
2025-02-07
Variable
8.45000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
10Y-2Y SOFR CMS CAP
N/A
66950000.00000000
NC
USD
197605.60000000
0.003445257571
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Purchased
N/A
10Y-2Y SOFR CMS CAP
66950000
0.20000000
USD
2023-12-19
XXXX
-74378.78000000
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
Equitable Holdings, Inc.
29452E408
600875.00000000
NS
USD
11176275.00000000
0.194858577227
Long
EP
CORP
US
N
2
N
N
N
DHANANI GROUP INC
N/A
Dhanani Group, Inc.
N/A
14566363.64000000
PA
USD
14420700.00000000
0.251425191723
Long
LON
CORP
US
N
3
2027-06-10
Variable
10.84000000
N
N
N
N
N
N
FS Rialto Issuer Ltd
N/A
FS Rialto Issuer LLC
30327MAG9
6950000.00000000
PA
USD
6825450.44000000
0.119001864366
Long
ABS-O
CORP
US
N
2
2037-06-19
Floating
8.61300000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
-1360000.00000000
NC
USD
-21477.67000000
-0.00037446360
N/A
DFE
JP
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1360000.00000000
USD
177533992.00000000
JPY
2023-04-10
-21477.67000000
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
-1220000.00000000
NC
USD
13789.59000000
0.000240421776
N/A
DFE
CA
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
1220000.00000000
USD
1666846.96000000
CAD
2023-04-10
13789.59000000
N
N
N
FIRSTDIGITAL COMMUNICATIONS LLC
N/A
FirstDigital Communications LLC
N/A
10550000.00000000
PA
USD
10324890.43000000
0.180014670292
Long
LON
CORP
US
N
3
2026-12-17
Variable
9.13000000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series
92926SAE6
23880227.00050000
PA
USD
9064628.50000000
0.158041978441
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.20500000
N
N
N
N
N
N
FIRST BRANDS GROUP LLC
N/A
First Brands Group LLC
N/A
6950000.00000000
PA
USD
6654625.00000000
0.116023519418
Long
LON
CORP
US
N
2
2027-03-30
Variable
10.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
4770000.00000000
NC
USD
-15965.88000000
-0.00027836543
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
50085324.36000000
NOK
4770000.00000000
USD
2023-04-03
-15965.88000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
-6700000.00000000
NC
USD
-123529.73000000
-0.00215374330
N/A
DFE
JP
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
6700000.00000000
USD
872265630.00000000
JPY
2023-04-10
-123529.73000000
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo, Inc.
74736KAH4
7833000.00000000
PA
USD
7217717.85000000
0.125841054473
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.37500000
N
N
N
N
N
N
Babson CLO Ltd
549300SCEOLR3BTPYX35
Babson CLO Ltd.
05618HAE5
11900000.00000000
PA
USD
739358.90000000
0.012890737147
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
Higginbotham Insurance Agency, Inc.
N/A
3887810.50030000
PA
USD
3841156.77000000
0.066970644791
Long
LON
CORP
US
N
3
2026-11-25
Variable
10.09000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec AUD / Deliver USD
N/A
500000.00000000
NC
-1480.08000000
-0.00002580522
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
336000.00000000
USD
500000.00000000
AUD
2023-04-21
-1480.08000000
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust
542514RL0
3734614.19550000
PA
USD
3009481.71000000
0.052470373555
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.22500000
N
N
N
N
N
N
ARMOR PARENT CORP
549300MC6XO5P96H8E79
Accuride Corp.
N/A
6943028.29980000
PA
USD
5421324.79000000
0.094520905692
Long
LON
CORP
US
N
2
2023-11-17
Variable
10.09000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Incorporated Trust
61750SAF9
19333071.94200000
PA
USD
8465242.68000000
0.147591674731
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.06500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
2468878.50000000
NC
USD
-47386.03000000
-0.00082617637
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
26112811.90000000
SEK
2468878.50000000
USD
2023-04-03
-47386.03000000
N
N
N
PARTNERRE LTD
7LLHQS68KCIGNZBR7918
PartnerRe Ltd.
EP0597732
208352.00000000
NS
USD
4256631.36000000
0.074214452542
Long
EP
CORP
BM
N
2
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia
0641598S8
4650000.00000000
PA
USD
4736728.41000000
0.082584954171
Long
DBT
CORP
CA
N
2
2082-10-27
Variable
8.62500000
N
N
N
N
N
N
ATLAS CC ACQUISITION CORP
N/A
Atlas CC Acquisition Corp.
N/A
518742.25830000
PA
USD
444266.43000000
0.007745794055
Long
LON
CORP
US
N
2
2028-05-25
Variable
9.40000000
N
N
N
N
N
N
HARBOURVEST STRUCTURED SOLUTIONS IV HOLDINGS LP
N/A
HarbourVest Structured Solutions IV Holdings, LP
N/A
12900000.00000000
PA
14004240.56000000
0.244164213092
Long
ABS-O
CORP
US
N
3
2026-09-15
Variable
2.58200000
N
N
N
N
N
N
KKR SIGMA AGGREGATOR LP
N/A
Sigma Holding BV (Flora Food)
N/A
12019549.44000000
PA
12175254.57000000
0.212275805928
Long
LON
CORP
NL
N
2
2025-07-02
Variable
6.24000000
N
N
N
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Re-REMIC Trust
61759HBA4
529576.91800000
PA
USD
456245.93000000
0.007954656876
Long
ABS-MBS
CORP
US
N
2
2036-06-26
Variable
3.21900000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
10Y-2Y SOFR CMS CAP
N/A
82100000.00000000
NC
USD
280522.56000000
0.004890916420
N/A
DIR
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
10Y-2Y SOFR CMS CAP
82100000
0.10000000
USD
2024-06-20
XXXX
-105347.44000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Foreign Exchange USD/JPY
N/A
-3000000.00000000
NC
USD
-2285.25000000
-0.00003984337
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
N/A
Foreign Exchange USD/JPY
-3000000
136.97000000
USD
2023-04-13
XXXX
16014.75000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Foreign Exchange GBP/USD
N/A
9750000.00000000
NC
79293.79000000
0.001382488807
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
N/A
Foreign Exchange GBP/USD
9750000
1.24040000
GBP
2023-04-19
XXXX
22336.62000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Foreign Exchange EUR/GBP
N/A
4000000.00000000
NC
12893.00000000
0.000224789711
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Purchased
N/A
Foreign Exchange EUR/GBP
4000000
0.88150000
EUR
2023-04-13
XXXX
-22215.39000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec AUD / Deliver USD
N/A
500000.00000000
NC
146.71000000
0.000002557891
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
334191.50000000
USD
500000.00000000
AUD
2023-04-06
146.71000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1630000.00000000
NC
-1350.34000000
-0.00002354320
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1630000.00000000
GBP
2009665.31000000
USD
2023-04-06
-1350.34000000
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust
36249BAD2
464742.80610000
PA
USD
436615.92000000
0.007612407261
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.38500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-150000.00000000
NC
USD
1923.54000000
0.000033536958
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
150000.00000000
USD
1576603.20000000
SEK
2023-04-03
1923.54000000
N
N
N
Guggenheim Partners Investment Management LLC
N/A
Guggenheim Strategy Fund II
N/A
766521.64000000
NS
USD
18557488.90000000
0.323550188589
Long
EC
RF
US
N
1
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines, Inc.
247361ZX9
10536000.00000000
PA
USD
10800694.98000000
0.188310332098
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX Trust
67117YAC8
4662322.21540000
PA
USD
4547587.59000000
0.079287280208
Long
ABS-MBS
CORP
US
N
2
2062-09-25
Variable
6.10000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06055HAB9
5800000.00000000
NS
USD
5705750.00000000
0.099479864894
Long
EP
CORP
US
N
2
N
N
N
CARRIAGE SERVICES INC
N/A
Carriage Services, Inc.
143905AP2
4575000.00000000
PA
USD
3768175.88000000
0.065698221520
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.25000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec CHF / Deliver USD
N/A
-580000.00000000
NC
USD
2551.15000000
0.000044479351
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
580000.00000000
USD
531887.84000000
CHF
2023-04-20
2551.15000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
2270000.00000000
NC
USD
-51575.11000000
-0.00089921307
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
24295376.43000000
NOK
2270000.00000000
USD
2023-04-03
-51575.11000000
N
N
N
GREAT LAKES DREDGE&DOCK
549300H65E3MZ1CX0P05
Great Lakes Dredge & Dock Corp.
390607AF6
15785000.00000000
PA
USD
11929671.60000000
0.207994061954
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
Sapphire Aviation Finance II Ltd.
80307AAB5
9117554.96950000
PA
USD
6405401.48000000
0.111678302383
Long
ABS-O
CORP
US
N
2
2040-03-15
Fixed
4.33500000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AG2
6200000.00000000
PA
USD
5394000.00000000
0.094044497434
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.37500000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Foreign Exchange EUR/GBP
N/A
11100000.00000000
NC
22511.79000000
0.000392493507
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Call
Purchased
N/A
Foreign Exchange EUR/GBP
11100000
0.88820000
EUR
2023-04-20
XXXX
-14682.61000000
N
N
N
Guggenheim Partners Investment Management LLC
N/A
Guggenheim Strategy Fund III
N/A
1329176.25000000
NS
USD
32232524.06000000
0.561974698975
Long
EC
RF
US
N
1
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver HUF
N/A
-915000000.00000000
NC
-3109.38000000
-0.00005421210
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
915000000.00000000
HUF
2608361.01000000
USD
2023-04-06
-3109.38000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
670000.00000000
NC
USD
-7808.59000000
-0.00013614292
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
7034033.19000000
SEK
670000.00000000
USD
2023-04-03
-7808.59000000
N
N
N
CEAMER FINANCE II LLC
N/A
Ceamer Finance LLC
N/A
11050000.00000000
PA
USD
10867163.50000000
0.189469212068
Long
DBT
CORP
US
N
3
2037-11-15
Fixed
6.92000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Foreign Exchange GBP/USD
N/A
9750000.00000000
NC
6374.18000000
0.000111133955
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
N/A
Foreign Exchange GBP/USD
9750000
1.19090000
GBP
2023-04-19
XXXX
-46566.78000000
N
N
N
ACI WORLDWIDE INC
5493003BPVMZUJ6F5C02
ACI Worldwide, Inc.
004498AB7
400000.00000000
PA
USD
396000.00000000
0.006904267887
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.75000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Foreign Exchange USD/CAD
N/A
13250000.00000000
NC
USD
983.95000000
0.000017155187
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Call
Purchased
N/A
Foreign Exchange USD/CAD
13250000
1.37900000
USD
2023-04-05
XXXX
-41936.05000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-380000.00000000
NC
-3040.10000000
-0.00005300420
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
380000.00000000
EUR
409543.86000000
USD
2023-04-17
-3040.10000000
N
N
N
Guggenheim Partners Investment Management LLC
N/A
Guggenheim Limited Duration Fund - R6-Class
N/A
5081155.76700000
NS
USD
120626637.91000000
2.103127834536
Long
EC
RF
US
N
1
N
N
N
Dryden Senior Loan Fund
5493008NBEE3C4AF3K95
Dryden 50 Senior Loan Fund
262430AA9
7895000.00000000
PA
USD
3211054.40000000
0.055984797420
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
TK Elevator US Newco, Inc.
92537RAA7
3000000.00000000
PA
USD
2832300.00000000
0.049381206912
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.25000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
924922AC1
4845387.69980000
PA
USD
4734118.70000000
0.082539453826
Long
ABS-MBS
CORP
US
N
2
2067-09-25
Variable
6.12700000
N
N
N
N
N
N
FIRST BRANDS GROUP LLC
N/A
First Brands Group LLC
N/A
7374252.52390000
PA
USD
7072350.63000000
0.123306574097
Long
LON
CORP
US
N
2
2027-03-30
Variable
10.25000000
N
N
N
N
N
N
Freddie Mac Military Housing B
549300ZG8WH0M4JSUM77
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
35563CAB4
64309914.04380000
PA
USD
4153314.32000000
0.072413117892
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
0.70000000
N
N
N
N
N
N
Firstkey Homes Trust
N/A
FirstKey Homes Trust
33767JBA9
8550000.00000000
PA
USD
7728963.17000000
0.134754626810
Long
ABS-O
CORP
US
N
2
2037-10-19
Fixed
3.36600000
N
N
N
N
N
N
MIRABELA NICKEL LTD
N/A
Mirabela Nickel Ltd.
N/A
1885418.00000000
PA
USD
89557.36000000
0.001561434355
Long
DBT
CORP
AU
Y
3
2019-06-24
Variable
9.50000000
Y
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp.
87612BBS0
5000000.00000000
PA
USD
4678423.25000000
0.081568402546
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
Security Investors LLC
N/A
Guggenheim Alpha Opportunity Fund - Institutional Class
N/A
1017007.86200000
NS
USD
27550742.98000000
0.480347752596
Long
EC
RF
US
N
1
N
N
N
HAH GROUP HOLDING CO LLC
N/A
HAH Group Holding Co. LLC
N/A
316822.54050000
PA
USD
307317.86000000
0.005358093010
Long
LON
CORP
US
N
2
2027-10-29
Variable
9.91000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGN5
21000000.00000000
PA
USD
21204257.76000000
0.369696656380
Long
DBT
UST
US
N
2
2025-02-28
Fixed
4.62500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
1020000.00000000
NC
USD
-6769.49000000
-0.00011802619
N/A
DFE
CA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1387163.28000000
CAD
1020000.00000000
USD
2023-04-10
-6769.49000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver CHF
N/A
550000.00000000
NC
USD
-2629.98000000
-0.00004585375
N/A
DFE
CH
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
504568.85000000
CHF
550000.00000000
USD
2023-04-20
-2629.98000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
1410000.00000000
NC
12316.73000000
0.000214742432
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1518586.92000000
USD
1410000.00000000
EUR
2023-04-17
12316.73000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-4.00000000
NC
USD
-4400.00000000
-0.00007671408
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-400
2145.00000000
USD
2023-05-25
XXXX
4870.72000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
200000.00000000
NC
1306.19000000
0.000022773448
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
245444.20000000
USD
200000.00000000
GBP
2023-04-06
1306.19000000
N
N
N
PENN ENTERTAINMENT INC
N/A
Penn Entertainment, Inc.
707569AV1
6975000.00000000
PA
USD
5816243.25000000
0.101406316908
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.12500000
N
N
N
N
N
N
MB2 DENTAL SOLUTIONS LLC
N/A
MB2 Dental Solutions LLC
N/A
7647750.03540000
PA
USD
7518950.68000000
0.131093054864
Long
LON
CORP
US
N
3
2027-01-29
Variable
10.91000000
N
N
N
N
N
N
CENGAGE LEARNING INC
549300BYGM0FWUSVXJ88
Cengage Learning, Inc.
15137NAA1
4139000.00000000
PA
USD
4001792.15000000
0.069771325840
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
9.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
200000.00000000
NC
USD
-1425.95000000
-0.00002486146
N/A
DFE
SE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2090320.00000000
SEK
200000.00000000
USD
2023-04-03
-1425.95000000
N
N
N
New York Mortgage Trust
N/A
NYMT Loan Trust
62956BAA7
13786198.56200000
PA
USD
13574781.69000000
0.236676589140
Long
ABS-MBS
CORP
US
N
2
2062-07-25
Variable
5.25000000
N
N
N
N
N
N
CP ATLAS BUYER INC
N/A
American Bath Group LLC
N/A
5294319.65070000
PA
USD
4679807.97000000
0.081592545166
Long
LON
CORP
US
N
2
2027-11-23
Variable
8.41000000
N
N
N
N
N
N
BASIC ENERGY SERVICES INC
N/A
Basic Energy Services, Inc.
N/A
1438000.00000000
PA
USD
14380.00000000
0.000250715586
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
10.75000000
Y
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-41217000000.00000000
NC
-3294201.05000000
-0.05743446091
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
41217000000.00000000
JPY
309800929.80000000
USD
2023-05-30
-3294201.05000000
N
N
N
ASSURANT INC
H3F39CAXWQRVWURFXL38
Assurant, Inc.
04621X306
258000.00000000
NS
USD
5036160.00000000
0.087805549907
Long
EP
CORP
US
N
2
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec AUD / Deliver USD
N/A
4890000.00000000
NC
14334.69000000
0.000249925605
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3255493.05000000
USD
4890000.00000000
AUD
2023-04-06
14334.69000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec NOK / Deliver EUR
N/A
-800000.00000000
NC
-3893.46000000
-0.00006788255
N/A
DFE
NO
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
800000.00000000
EUR
9043360.00000000
NOK
2023-04-17
-3893.46000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
410000.00000000
NC
2296.11000000
0.000040032723
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
442860.27000000
USD
410000.00000000
EUR
2023-04-17
2296.11000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-530000.00000000
NC
USD
2196.69000000
0.000038299333
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
530000.00000000
USD
5522929.66000000
SEK
2023-04-03
2196.69000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange EUR/NOK
N/A
-19300000.00000000
NC
-242739.43000000
-0.00423216679
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
N/A
Foreign Exchange EUR/NOK
-19300000
11.29870000
EUR
2023-04-13
XXXX
20122.01000000
N
N
N
BOYNE USA INC
N/A
Boyne USA, Inc.
103557AC8
5484000.00000000
PA
USD
4895975.36000000
0.085361427916
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-4500000.00000000
NC
USD
-66933.72000000
-0.00116699074
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4500000.00000000
USD
46392215.99000000
NOK
2023-04-03
-66933.72000000
N
N
N
Voya CLO Ltd
N/A
Voya CLO Ltd.
44986TAB8
28970307.00000000
PA
USD
4220973.73000000
0.073592761053
Long
ABS-O
CORP
KY
N
2
2030-10-15
None
0.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange USD/SEK
N/A
11000000.00000000
NC
USD
1157.09000000
0.000020173887
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
N/A
Foreign Exchange USD/SEK
11000000
10.75880000
USD
2023-04-05
XXXX
-59232.91000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
150000.00000000
NC
USD
-2583.80000000
-0.00004504860
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1596795.60000000
NOK
150000.00000000
USD
2023-04-03
-2583.80000000
N
N
N
PFP III
N/A
PFP Ltd.
69290LAL1
1789910.67860000
PA
USD
1662461.88000000
0.028985055989
Long
ABS-O
CORP
KY
N
2
2038-04-14
Floating
7.72800000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
6-Month Australian Bank Bill Rate
N/A
28500000.00000000
OU
Notional Amount
-63103.80000000
-0.00110021600
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
London Clearing House
F226TOH6YD6XJB17KS62
6M Australian Bank Bill Rate
N/A
Y
2028-01-27
3127.09000000
AUD
0.00000000
AUD
28500000.00000000
AUD
-66065.86000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
39369000000.00000000
NC
-3161291.01000000
-0.05511717172
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
303143937.40000000
USD
39369000000.00000000
JPY
2023-06-20
-3161291.01000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-1320000.00000000
NC
USD
-10443.88000000
-0.00018208925
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1320000.00000000
USD
13590062.64000000
SEK
2023-04-03
-10443.88000000
N
N
N
Alliance Bancorp Trust
N/A
Alliance Bancorp Trust
01852TAA1
1973178.08270000
PA
USD
1637728.93000000
0.028553836513
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.32500000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1270000.00000000
NC
-26837.55000000
-0.00046791321
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1270000.00000000
GBP
1540027.40000000
USD
2023-04-06
-26837.55000000
N
N
N
Residential Accredit Loans, In
N/A
RALI Series Trust
75114NAA2
30674403.89430000
PA
USD
6850299.90000000
0.119435115197
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
5.20500000
N
N
N
N
N
N
EISNER ADVISORY GROUP
N/A
Eisner Advisory Group
N/A
10978983.12000000
PA
USD
10951535.66000000
0.190940242358
Long
LON
CORP
US
N
3
2028-07-28
Variable
10.17000000
N
N
N
N
N
N
THUNDERBIRD 2022-1
N/A
Thunderbird A
N/A
15605411.76000000
PA
USD
14513032.94000000
0.253035018371
Long
ABS-O
CORP
US
N
3
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec CHF / Deliver USD
N/A
-930000.00000000
NC
USD
4135.67000000
0.000072105488
N/A
DFE
CH
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
930000.00000000
USD
852895.75000000
CHF
2023-04-20
4135.67000000
N
N
N
Avalara, Inc.
N/A
Avalara, Inc.
N/A
-1600000.08000000
PA
USD
-0.02000000
-0.00000000034
Short
LON
CORP
US
N
3
2028-10-19
Variable
0.50000000
N
N
N
N
N
N
BEACON ROOFING SUPPLY IN
549300HDXQWWCBOYXP31
Beacon Roofing Supply, Inc.
073685AH2
4117000.00000000
PA
USD
3632717.29000000
0.063336498305
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.12500000
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada
008911BJ7
3550000.00000000
PA
2331861.71000000
0.040656055358
Long
DBT
CORP
CA
N
2
2029-08-15
Fixed
4.62500000
N
N
N
N
N
N
HSI Asset Securitization Corpo
N/A
HSI Asset Securitization Corporation Trust
40430FAD4
5815477.02530000
PA
USD
4075902.11000000
0.071063434469
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.03500000
N
N
N
N
N
N
MCGRAW-HILL EDUCATION
254900U6YJ9QZ4IQOR26
McGraw-Hill Education, Inc.
57767XAB6
22634000.00000000
PA
USD
18559880.00000000
0.323591877465
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
8.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-6760000.00000000
NC
USD
39966.21000000
0.000696811667
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
6760000.00000000
USD
71161918.36000000
NOK
2023-04-03
39966.21000000
N
N
N
GALLS
N/A
Galls LLC
N/A
422933.88930000
PA
USD
412360.54000000
0.007189514228
Long
LON
CORP
US
N
3
2024-01-31
Variable
11.55000000
N
N
N
N
N
N
KDAC Aviation Finance Limited
N/A
KDAC Aviation Finance Ltd.
48244XAA0
34236228.95030000
PA
USD
27902868.96000000
0.486487076071
Long
ABS-O
CORP
KY
N
2
2042-12-15
Fixed
4.21200000
N
N
N
N
N
N
COGENT COMMUNICATIONS GR
549300KFWFYF8Q1U0Y26
Cogent Communications Group, Inc.
19240CAE3
3750000.00000000
PA
USD
3718125.00000000
0.064825583430
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
7.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
1600000.00000000
NC
USD
3677.52000000
0.000064117634
N/A
DFE
JP
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
210752000.00000000
JPY
1600000.00000000
USD
2023-05-09
3677.52000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec CHF / Deliver USD
N/A
4703093.00000000
NC
-8261.37000000
-0.00014403715
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
5159332.80000000
USD
4703093.00000000
CHF
2023-04-20
-8261.37000000
N
N
N
GCAT
N/A
GCAT Trust
36168WAC5
9570854.96500000
PA
USD
9275415.11000000
0.161717047185
Long
ABS-MBS
CORP
US
N
2
2067-08-25
Variable
5.71000000
N
N
N
N
N
N
CARPENTER TECHNOLOGY
DX6I6ZD3X5WNNCDJKP85
Carpenter Technology Corp.
144285AL7
8315000.00000000
PA
USD
8110509.87000000
0.141406901124
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
6.37500000
N
N
N
N
N
N
KKR CORE HOLDING COMPANY LLC
N/A
KKR Core Holding Company LLC
N/A
23809039.39000000
PA
USD
21424642.43000000
0.373539067491
Long
ABS-O
CORP
US
N
3
2031-08-12
Fixed
4.00000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp.
808513BJ3
18700000.00000000
NS
USD
14726250.00000000
0.256752462059
Long
EP
CORP
US
N
2
N
N
N
SLAM 2021-1 LLC
N/A
Slam Ltd.
78449AAC6
3206160.00000000
PA
USD
2673841.26000000
0.046618475624
Long
ABS-O
CORP
US
N
2
2046-06-15
Fixed
3.42200000
N
N
N
N
N
N
CAMELIA BIDCO LIMITED
N/A
Camelia Bidco Banc Civica
N/A
12975000.00000000
PA
14966782.63000000
0.260946153254
Long
LON
CORP
GB
N
2
2024-10-14
Variable
8.95000000
N
N
N
N
N
N
SHO HOLDING I CORP
N/A
SHO Holding I Corp.
N/A
60373.18000000
PA
USD
41808.43000000
0.000728930809
Long
LON
CORP
US
N
2
2024-04-29
Variable
10.06000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
6-Month Compounded Singapore Overnight Rate Average
N/A
25900000.00000000
OU
Notional Amount
-83127.36000000
-0.00144932717
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
London Clearing House
F226TOH6YD6XJB17KS62
6-Month Compounded Singapore Overnight Rate Average
N/A
Y
2030-01-31
103.80000000
SGD
0.00000000
SGD
25900000.00000000
SGD
-83230.03000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange USD/NOK
N/A
-10000000.00000000
NC
USD
-246451.70000000
-0.00429689029
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
N/A
Foreign Exchange USD/NOK
-10000000
10.65570000
USD
2023-04-19
XXXX
-74051.70000000
N
N
N
BCC Middle Market CLO
N/A
BCC Middle Market CLO LLC
05550GAL1
9000000.00000000
PA
USD
8760600.00000000
0.152741235488
Long
ABS-O
CORP
KY
N
2
2033-10-15
Floating
6.29200000
N
N
N
N
N
N
THUNDERBIRD 2022-1
N/A
Lightning A
N/A
15678196.09100000
PA
USD
14580722.36000000
0.254215184757
Long
ABS-O
CORP
US
N
3
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
520000.00000000
NC
4661.94000000
0.000081281016
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
559926.64000000
USD
520000.00000000
EUR
2023-04-17
4661.94000000
N
N
N
ARTERA SERVICES LLC
549300J2G34D0WX8Z443
Artera Services LLC
73939VAA2
14385000.00000000
PA
USD
12373329.68000000
0.215729249416
Long
DBT
CORP
US
N
2
2025-12-04
Fixed
9.03300000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1150000.00000000
NC
12035.93000000
0.000209846679
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1406778.79000000
USD
1150000.00000000
GBP
2023-04-06
12035.93000000
N
N
N
GoldenTree Loan Management US
549300H67V5FL4RU1Z53
Goldentree Loan Management US CLO 4 Ltd.
38137YAW1
2000000.00000000
PA
USD
1867069.60000000
0.032552395663
Long
ABS-O
CORP
KY
N
2
2031-04-24
Floating
7.96600000
N
N
N
N
N
N
Aequi Acquisition Corp
N/A
Aequi Acquisition Corp.
00775W102
999157.00000000
NS
USD
9901645.87000000
0.172635392959
Long
EC
CORP
US
N
1
N
N
N
DATIX BIDCO LIMITED
N/A
RLDatix
N/A
3400533.42000000
PA
USD
3326741.84000000
0.058001810240
Long
LON
CORP
US
N
3
2025-04-28
Variable
8.95000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-1380000.00000000
NC
-7881.55000000
-0.00013741498
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1380000.00000000
EUR
1490449.68000000
USD
2023-04-17
-7881.55000000
N
N
N
UPC BROADBAND FINCO BV
213800MNFBDEQRS6HZ22
UPC Broadband Finco BV
90320BAA7
20200000.00000000
PA
USD
17467546.00000000
0.304547012419
Long
DBT
CORP
NL
N
2
2031-07-15
Fixed
4.87500000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
830000.00000000
NC
9486.26000000
0.000165393132
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
1014527.84000000
USD
830000.00000000
GBP
2023-04-06
9486.26000000
N
N
N
PS HOLDINGS INDEPENDENT VOTING COMPANY LTD
U7LC4KOKCTZ0YWGI2G56
Pershing Square Holdings Ltd.
N/A
33500000.00000000
PA
USD
25409415.00000000
0.443013656615
Long
DBT
CORP
GG
N
2
2031-10-01
Fixed
3.25000000
N
N
N
N
N
N
Cengage Learning Holdings II I
5493003VGPEJMW28UG24
Cengage Learning Holdings II, Inc.
15136X102
21660.00000000
NS
USD
232845.00000000
0.004059657212
Long
EC
CORP
US
N
2
N
N
N
ATLAS CC ACQUISITION CORP
N/A
Atlas CC Acquisition Corp.
N/A
2550479.37080000
PA
USD
2184307.05000000
0.038083436922
Long
LON
CORP
US
N
2
2028-05-25
Variable
9.40000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
1455000000.00000000
NC
127709.71000000
0.002226621337
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
10912740.08000000
USD
1455000000.00000000
JPY
2023-05-22
127709.71000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec CHF / Deliver USD
N/A
-380000.00000000
NC
USD
1762.80000000
0.000030734453
N/A
DFE
CH
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
380000.00000000
USD
348561.65000000
CHF
2023-04-20
1762.80000000
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group plc
92857WBX7
16875000.00000000
PA
USD
11812500.00000000
0.205951172774
Long
DBT
CORP
GB
N
2
2081-06-04
Variable
5.12500000
N
N
N
N
N
N
NEWFOUNDLAND T-BILL
549300CLWWW48GTPOJ49
Newfoundland T-Bill
65134ADM8
400000.00000000
PA
295325.36000000
0.005149003533
Long
DBT
NUSS
CA
N
2
2023-04-20
None
0.00000000
N
N
N
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust
008684AD4
7613234.34420000
PA
USD
6013038.31000000
0.104837442699
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
5.05500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-2530000.00000000
NC
-15040.67000000
-0.00026223438
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2530000.00000000
GBP
3106351.71000000
USD
2023-04-06
-15040.67000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-37847000000.00000000
NC
11853253.66000000
0.206661713648
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
37847000000.00000000
JPY
298482625.90000000
USD
2023-05-08
11853253.66000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange USD/JPY
N/A
-10000000.00000000
NC
USD
-102507.00000000
-0.00178721158
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
N/A
Foreign Exchange USD/JPY
-10000000
132.50000000
USD
2023-04-13
XXXX
64893.00000000
N
N
N
KREF FUNDING V LLC
N/A
KREF Funding V LLC
N/A
73636363.00000000
PA
USD
36081.82000000
0.000629087250
Long
ABS-O
CORP
US
N
3
2026-06-25
Fixed
0.15000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1110000.00000000
NC
-5567.68000000
-0.00009707261
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1110000.00000000
GBP
1363896.96000000
USD
2023-04-06
-5567.68000000
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
77313LAA1
8750000.00000000
PA
USD
7831250.00000000
0.136537999728
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.87500000
N
N
N
N
N
N
Treman Park CLO Ltd
549300E4DX3Q8L455K94
Treman Park CLO Ltd.
89473MAD4
6518010.29240000
PA
USD
172727.27000000
0.003011503392
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
AASET Trust
00038PAA8
18421729.12770000
PA
USD
16598346.38000000
0.289392499732
Long
ABS-O
CORP
US
N
2
2041-11-16
Fixed
2.95000000
N
N
N
N
N
N
TRANSMONTAIGE PARTNERS
N/A
TransMontaigne Partners Limited Partnership / TLP Finance Corp.
89376VAA8
700000.00000000
PA
USD
602000.00000000
0.010495881990
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.12500000
N
N
N
N
N
N
SYNEOS HEALTH INC
549300F1ZGKDS8P6GU13
Syneos Health, Inc.
87166BAA0
1236000.00000000
PA
USD
1015864.69000000
0.017711621103
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.62500000
N
N
N
N
N
N
Jol Air
549300TS4MUGCDXPW498
JOL Air Ltd.
46651NAA2
10190416.09400000
PA
USD
8644020.45000000
0.150708668712
Long
ABS-O
CORP
KY
N
2
2044-04-15
Fixed
3.96700000
N
N
N
N
N
N
LTI HOLDINGS INC
N/A
LTI Holdings, Inc.
N/A
3865347.29690000
PA
USD
3742931.75000000
0.065258089610
Long
LON
CORP
US
N
2
2026-07-24
Variable
9.59000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
10Y-2Y SOFR CMS CAP
N/A
162650000.00000000
NC
USD
555749.03000000
0.009689495407
N/A
DIR
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
N/A
10Y-2Y SOFR CMS CAP
162650000
0.10000000
USD
2024-06-20
XXXX
-174332.47000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
740000.00000000
NC
3529.75000000
0.000061541261
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
909446.68000000
USD
740000.00000000
GBP
2023-04-06
3529.75000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec AUD / Deliver USD
N/A
12650000.00000000
NC
233.14000000
0.000004064800
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
8458523.70000000
USD
12650000.00000000
AUD
2023-04-06
233.14000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Foreign Exchange EUR/GBP
N/A
4000000.00000000
NC
24797.57000000
0.000432346126
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Purchased
N/A
Foreign Exchange EUR/GBP
4000000
0.88150000
EUR
2023-04-13
XXXX
-10310.82000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
5-Year Interest Rate Swap
N/A
92814000.00000000
NC
USD
4090096.72000000
0.071310917777
N/A
DIR
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
U.S. Secured Overnight Financing Rate
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
92814000.00000000
2.69000000
USD
2027-04-19
XXXX
298644.82000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-40291000000.00000000
NC
-2172949.16000000
-0.03788541188
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
40291000000.00000000
JPY
303552660.80000000
USD
2023-05-22
-2172949.16000000
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
38836000000.00000000
NC
-1961811.32000000
-0.03420421943
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
296364128.90000000
USD
38836000000.00000000
JPY
2023-05-15
-1961811.32000000
N
N
N
UNITED AIRLINES HOLDINGS INC
N/A
Mileage Plus Holdings LLC
N/A
12962500.00000000
PA
USD
13434075.75000000
0.234223378273
Long
LON
CORP
US
N
2
2027-06-21
Variable
10.21000000
N
N
N
N
N
N
THUNDERBIRD 2022-1
N/A
Thunderbird B
N/A
3860980.40000000
PA
USD
0.04000000
0.000000000697
Long
ABS-O
CORP
US
N
2
2037-03-01
Fixed
0.35000000
N
N
N
N
N
N
TEAMSYSTEM SPA
N/A
TeamSystem SpA
N/A
11750000.00000000
PA
12397607.68000000
0.216152536829
Long
DBT
CORP
IT
N
2
2028-02-15
Variable
6.03800000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
2530000.00000000
NC
34729.13000000
0.000605503073
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
3086663.25000000
USD
2530000.00000000
GBP
2023-04-06
34729.13000000
N
N
N
ARDIAN SAS
N/A
Florida Food Products LLC
N/A
8800896.27460000
PA
USD
8140829.05000000
0.141935516631
Long
LON
CORP
US
N
3
2028-10-18
Variable
9.84000000
N
N
N
N
N
N
CONGRUEX GROUP LLC
N/A
Congruex Group LLC
N/A
2773662.82000000
PA
USD
2683518.78000000
0.046787203378
Long
LON
CORP
US
N
3
2029-05-03
Variable
10.58000000
N
N
N
N
N
N
SP PF PARENT CORP
N/A
SP PF Buyer LLC
N/A
15189372.53260000
PA
USD
9235138.50000000
0.161014823687
Long
LON
CORP
US
N
2
2025-12-22
Variable
9.34000000
N
N
N
N
N
N
DATIX BIDCO LIMITED
N/A
Datix Bidco Ltd.
N/A
4225000.00000000
PA
5105527.59000000
0.089014975220
Long
LON
CORP
GB
N
3
2026-04-27
Variable
9.94000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-1426250.00000000
NC
USD
2154.43000000
0.000037562529
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1426250.00000000
USD
14948309.46000000
NOK
2023-04-03
2154.43000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Foreign Exchange CAD/JPY
N/A
-25000000.00000000
NC
-253361.84000000
-0.00441736872
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange CAD/JPY
-25000000
99.50000000
CAD
2023-04-05
XXXX
-11726.63000000
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-8100000.00000000
NC
-141616.08000000
-0.00246907917
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
8100000.00000000
EUR
8652936.78000000
USD
2023-04-17
-141616.08000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-740000.00000000
NC
-725.43000000
-0.00001264788
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
740000.00000000
CAD
546984.85000000
USD
2023-04-06
-725.43000000
N
N
N
FENDER MUSICAL INSTRUMENTS CORP
549300G8G1R16J8L5Q60
Fender Musical Instruments Corp.
N/A
3508398.44250000
PA
USD
3183871.59000000
0.055510864586
Long
LON
CORP
US
N
2
2028-12-01
Variable
8.84000000
N
N
N
N
N
N
BCP V MODULAR SERVICES FINANCE PLC
N/A
BCP V Modular Services Holdings IV Ltd.
N/A
6400000.00000000
PA
6546581.32000000
0.114139775705
Long
LON
CORP
GB
N
2
2028-12-15
Variable
7.52000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver AUD
N/A
-1210000.00000000
NC
-4750.98000000
-0.00008283343
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1210000.00000000
AUD
804347.50000000
USD
2023-04-06
-4750.98000000
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA Communications Corp.
78410GAG9
3100000.00000000
PA
USD
2696814.00000000
0.047019005803
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.12500000
N
N
N
N
N
N
FIRST REPUBLIC BANK
YWC0TIKBQM2JV8L4IV08
First Republic Bank
33616C696
238300.00000000
NS
USD
1327331.00000000
0.023142042422
Long
EP
CORP
US
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1530000.00000000
NC
-14485.93000000
-0.00025256247
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1530000.00000000
GBP
1873154.52000000
USD
2023-04-06
-14485.93000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
-1000000.00000000
NC
USD
865.47000000
0.000015089486
N/A
DFE
CA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1000000.00000000
USD
1352167.00000000
CAD
2023-04-10
865.47000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec CHF / Deliver USD
N/A
-760000.00000000
NC
USD
-977.72000000
-0.00001704656
N/A
DFE
CH
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
760000.00000000
USD
693011.62000000
CHF
2023-04-20
-977.72000000
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp.
682691AA8
7250000.00000000
PA
USD
5437500.00000000
0.094802920801
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
4.00000000
N
N
N
N
N
N
TRANSCANADA PIPELINES
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd.
89352HBE8
3300000.00000000
PA
USD
3322990.61000000
0.057936407470
Long
DBT
CORP
CA
N
2
2026-03-09
Fixed
6.20300000
N
N
N
N
N
N
WW INTERNATIONAL INC
SGT8R1MU6ESIC7UJC518
WW International, Inc.
98262PAA9
7050000.00000000
PA
USD
3789375.00000000
0.066067828599
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.50000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
1240000.00000000
NC
USD
20349.58000000
0.000354795332
N/A
DFE
JP
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
161767498.00000000
JPY
1240000.00000000
USD
2023-04-10
20349.58000000
N
N
N
B RILEY FINANCIAL INC
N/A
B Riley Financial, Inc.
05580M702
401.00000000
NS
USD
9523.75000000
0.000166046770
Long
EP
CORP
US
N
2
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Silver Futures Contracts
N/A
-10.00000000
NC
USD
-1050.00000000
-0.00001830677
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Silver Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Silver
2023-04-27
0.00000000
USD
-50000
21.00000000
USD
2023-04-25
XXXX
12071.80000000
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange EUR/CHF
N/A
3400000.00000000
NC
37463.30000000
0.000653173381
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Call
Purchased
N/A
Foreign Exchange EUR/CHF
3400000
0.98450000
EUR
2023-04-18
XXXX
3098.72000000
N
N
N
Starwood Commercial Mortgage T
N/A
STWD Ltd.
78485KAL9
11900000.00000000
PA
USD
11167743.02000000
0.194709821986
Long
ABS-O
CORP
KY
N
2
2038-11-15
Floating
7.30800000
N
N
N
N
N
N
UNITED WHOLESALE MTGE LL
549300HW662MN1WU8550
United Wholesale Mortgage LLC
913229AA8
7150000.00000000
PA
USD
5970250.00000000
0.104091427662
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange USD/JPY
N/A
-18500000.00000000
NC
USD
-350372.06000000
-0.00610874384
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
N/A
Foreign Exchange USD/JPY
-18500000
131.61000000
USD
2023-05-03
XXXX
-50117.06000000
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing, Inc.
527298BT9
7600000.00000000
PA
USD
4052016.00000000
0.070646979665
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
3.75000000
N
N
N
N
N
N
West CLO Ltd
254900Y23DE747A9HN36
West CLO Ltd.
95168RAC2
5300000.00000000
PA
USD
530.00000000
0.000009240560
Long
ABS-O
CORP
KY
N
2
2025-11-07
None
0.00000000
N
N
N
N
N
N
IP Lending LLC
N/A
IP Lending I LLC
N/A
15347531.16220000
PA
USD
13659302.73000000
0.238150215156
Long
DBT
CORP
US
N
2
2025-09-08
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
350000.00000000
NC
USD
-215.48000000
-0.00000375689
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3634399.65000000
SEK
350000.00000000
USD
2023-04-03
-215.48000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust
12597XAC5
3659152.37420000
PA
USD
3548262.13000000
0.061864020908
Long
ABS-MBS
CORP
US
N
2
2060-08-25
Variable
3.02300000
N
N
N
N
N
N
UNITED WHOLESALE MTGE LL
549300HW662MN1WU8550
United Wholesale Mortgage LLC
91153LAA5
12286000.00000000
PA
USD
11627593.26000000
0.202727320080
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NZD
N/A
-2810000.00000000
NC
-15464.79000000
-0.00026962892
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2810000.00000000
NZD
1742332.07000000
USD
2023-04-06
-15464.79000000
N
N
N
FRONT RANGE TOPCO INC
N/A
Zayo Group Holdings, Inc.
N/A
6146447.37000000
PA
USD
4976532.58000000
0.086765944652
Long
LON
CORP
US
N
2
2027-03-09
Variable
7.84000000
N
N
N
N
N
N
PAPA JOHN'S INTERNATIONA
HZYLD3DK5XOX0WBVNB56
Papa John's International, Inc.
698813AA0
7025000.00000000
PA
USD
6096857.00000000
0.106298823228
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
3.87500000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
5-Year Interest Rate Swap
N/A
-10800000.00000000
NC
-424718.76000000
-0.00740498003
N/A
DIR
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Euro Interbank Offered Rate
N/A
0.00000000
OU
Notional Amount
0.00000000
0.00000000
DIR
Euro Interbank Offered Rate
EUR006M
2032-03-24
0.00000000
EUR
0.00000000
EUR
0.00000000
EUR
-10800000.00000000
2.81800000
EUR
2027-03-22
XXXX
23826.81000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-480000.00000000
NC
-7344.11000000
-0.00012804470
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
480000.00000000
GBP
584856.82000000
USD
2023-04-06
-7344.11000000
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Bank
3130AN6B1
880000.00000000
PA
USD
879728.08000000
0.015338076596
Long
DBT
USGSE
US
N
2
2024-07-01
Floating
4.89000000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange AUD/NZD
N/A
-29000000.00000000
NC
-232348.83000000
-0.00405100647
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Put
Written
N/A
Foreign Exchange AUD/NZD
-29000000
1.08300000
AUD
2023-04-04
XXXX
-91078.29000000
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
46590XAE6
6500000.00000000
PA
USD
4697395.95000000
0.081899191948
Long
DBT
CORP
US
N
2
2052-02-02
Fixed
4.37500000
N
N
N
N
N
N
Merit
N/A
MHP
55293DAJ0
8744926.82870000
PA
USD
8087116.82000000
0.140999042831
Long
ABS-MBS
CORP
US
N
2
2027-01-15
Floating
7.43800000
N
N
N
N
N
N
AESF VI VERDI
N/A
Aesf Vi Verdi, LP
N/A
432695.34650000
PA
469580.00000000
0.008187136652
Long
ABS-O
CORP
US
N
3
2024-11-25
Variable
2.15000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Foreign Exchange USD/CAD
N/A
13250000.00000000
NC
USD
9183.31000000
0.000160111192
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Put
Purchased
N/A
Foreign Exchange USD/CAD
13250000
1.34250000
USD
2023-04-05
XXXX
-35479.19000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-710000.00000000
NC
-18369.07000000
-0.00032026510
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
710000.00000000
GBP
857594.80000000
USD
2023-04-06
-18369.07000000
N
N
N
HOLLY NRG PRTNR/FIN CORP
N/A
Holly Energy Partners Limited Partnership / Holly Energy Finance Corp.
435765AJ1
2689000.00000000
PA
USD
2659085.39000000
0.046361206736
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
6.37500000
N
N
N
N
N
N
ZEPHYR BIDCO LTD
N/A
Zephyr Bidco Ltd.
N/A
20850000.00000000
PA
23932858.36000000
0.417269862188
Long
LON
CORP
GB
N
2
2025-07-23
Variable
8.71000000
N
N
N
N
N
N
JANE STREET GRP/JSG FIN
N/A
Jane Street Group / JSG Finance, Inc.
47077WAA6
9650000.00000000
PA
USD
8636750.00000000
0.150581908272
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.50000000
N
N
N
N
N
N
FT 1 INC
5493002GPK5LQJ7QPJ51
Targus Inc
N/A
12773.00000000
NS
USD
376.68000000
0.000006567423
Long
EC
CORP
US
N
3
N
N
N
Onslow Bay Financial LLC
N/A
OBX Trust
67118LAD3
8139294.76680000
PA
USD
8001203.49000000
0.139501142211
Long
ABS-MBS
CORP
US
N
2
2062-09-25
Variable
6.45000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
1580000.00000000
NC
USD
9557.09000000
0.000166628054
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
16297444.04000000
SEK
1580000.00000000
USD
2023-04-03
9557.09000000
N
N
N
MI WINDOWS AND DOORS LLC
N/A
MI Windows And Doors LLC
N/A
2434920.00000000
PA
USD
2425789.05000000
0.042293680402
Long
LON
CORP
US
N
2
2027-12-20
Variable
8.41000000
N
N
N
N
N
N
FT 1 INC
5493002GPK5LQJ7QPJ51
Targus Inc
N/A
12773.00000000
NS
USD
1.28000000
0.000000022316
Long
EC
CORP
US
N
3
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT Issuer Ltd.
05602CAJ3
1600000.00000000
PA
USD
1443281.76000000
0.025163646232
Long
ABS-O
CORP
KY
N
2
2038-12-15
Floating
7.43400000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-1210000.00000000
NC
USD
-8161.03000000
-0.00014228772
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1210000.00000000
USD
12572946.65000000
NOK
2023-04-11
-8161.03000000
N
N
N
Argent Securities Inc.
N/A
Ameriquest Mortgage Securities Trust
03076MAE4
31858578.87090000
PA
USD
9529009.26000000
0.166138466241
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.08500000
N
N
N
N
N
N
Hull Street CDO Ltd
549300W5TZ4WI4ZLP434
Hull Street CLO Ltd.
444838AG1
3758887.61990000
PA
USD
3719505.75000000
0.064849656834
Long
ABS-O
CORP
KY
N
2
2026-10-18
Floating
8.39200000
N
N
N
N
N
N
ATLAS MARA LTD
N/A
Atlas Mara Ltd.
N/A
4642498.96000000
PA
USD
1559879.65000000
0.027196532766
Long
DBT
CORP
VG
Y
3
2021-12-31
Fixed
8.00000000
Y
N
N
N
N
Atlas Mara Ltd
Atlas Mara Ltd
USD
XXXX
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
3500000.00000000
NC
USD
15494.26000000
0.000270142731
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
36465492.00000000
NOK
3500000.00000000
USD
2023-04-03
15494.26000000
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT LLC
12530GAB4
8650000.00000000
PA
USD
7340787.90000000
0.127986783246
Long
ABS-MBS
CORP
US
Y
2
2037-09-25
Variable
3.25000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver CHF
N/A
550000.00000000
NC
USD
-616.25000000
-0.00001074433
N/A
DFE
CH
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
502730.25000000
CHF
550000.00000000
USD
2023-04-20
-616.25000000
N
N
N
Federated Hermes U.S. Treasury
25490003NTA1P9CI5X97
Federated Hermes U.S. Treasury Cash Reserves Fund - Institutional Shares
60934N682
95983569.64000000
NS
USD
95983569.64000000
1.673475448421
Long
STIV
RF
US
N
1
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
2320000.00000000
NC
USD
1719.70000000
0.000029983003
N/A
DFE
JP
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
307483520.00000000
JPY
2320000.00000000
USD
2023-04-10
1719.70000000
N
N
N
COBANK ACB
P0J8I7M2E0A77CKF1705
CoBank ACB
19075QAD4
20000000.00000000
NS
USD
16266335.40000000
0.283603881682
Long
EP
CORP
US
N
2
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital Limited Partnership / GLP Financing II, Inc.
361841AL3
6950000.00000000
PA
USD
6631342.50000000
0.115617588566
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
CHCP 2021-FL1 Ltd.
N/A
CHCP Ltd.
12546JAJ3
5500000.00000000
PA
USD
5176036.25000000
0.090244295112
Long
ABS-O
CORP
KY
N
2
2038-02-15
Floating
7.77400000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series Trust
75116AAA8
12922406.33420000
PA
USD
4695501.07000000
0.081866154677
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
4.99500000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Sterling Overnight Interbank Average Rate
N/A
4491000.00000000
OU
Notional Amount
-578581.10000000
-0.01008757300
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
44683.63000000
GBP
4491000.00000000
GBP
-537166.90000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-370000.00000000
NC
-8283.01000000
-0.00014441444
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
370000.00000000
GBP
448205.20000000
USD
2023-04-06
-8283.01000000
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp.
00130HCC7
9760000.00000000
PA
USD
8738128.00000000
0.152349435721
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
Qlik Technologies, Inc. - Class B
N/A
43738.21000000
NS
USD
4.37000000
0.000000076191
Long
EC
CORP
US
N
3
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MU2
13100000.00000000
NS
USD
11577125.00000000
0.201847404961
Long
EP
CORP
US
N
2
N
N
N
SK INVICTUS INTERMEDIATE
N/A
SK Invictus Intermediate II SARL
29977LAA9
11525000.00000000
PA
USD
9568516.00000000
0.166827267040
Long
DBT
CORP
LU
N
2
2029-10-30
Fixed
5.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
37847000000.00000000
NC
-1999539.36000000
-0.03486200856
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
288628911.60000000
USD
37847000000.00000000
JPY
2023-05-08
-1999539.36000000
N
N
N
CAPSTONE ACQUISITION HOLDINGS INC
N/A
CapStone Acquisition Holdings, Inc.
N/A
686728.50000000
PA
USD
679861.22000000
0.011853393911
Long
LON
CORP
US
N
2
2027-11-12
Variable
9.66000000
N
N
N
N
N
N
Cerberus
635400FRD1HEGKSHCI69
Cerberus Loan Funding XL LLC
15675AAE9
12750000.00000000
PA
USD
12750000.00000000
0.222296503947
Long
ABS-O
CORP
US
N
2
2035-03-22
Floating
9.18900000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
210000.00000000
NC
6376.22000000
0.000111169522
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
252711.69000000
USD
210000.00000000
GBP
2023-04-06
6376.22000000
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance, Inc.
68245XAM1
9333000.00000000
PA
USD
8003047.50000000
0.139533292562
Long
DBT
CORP
CA
N
2
2030-10-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Military Housing B
549300ZG8WH0M4JSUM77
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
35563CAT5
155184039.58070000
PA
USD
9070926.11000000
0.158151777397
Long
ABS-MBS
USGSE
US
N
2
2052-11-25
Variable
0.70000000
N
N
N
N
N
N
QUIRCH FOODS HOLDINGS LLC
N/A
Quirch Foods Holdings LLC
N/A
15294761.10930000
PA
USD
14052061.77000000
0.244997976841
Long
LON
CORP
US
N
2
2027-10-27
Variable
9.68000000
N
N
N
N
N
N
TEAM BLUE FINCO SARL
N/A
Team.Blue Finco SARL
N/A
5124183.00000000
PA
5253719.15000000
0.091598698020
Long
LON
CORP
LU
N
2
2028-03-30
Variable
6.72000000
N
N
N
N
N
N
UNITED AIRLINES HOLDINGS INC
K1OQBWM7XEOO08LDNP29
United Airlines, Inc.
N/A
25053750.00000000
PA
USD
24834529.69000000
0.432990519785
Long
LON
CORP
US
N
2
2028-04-21
Variable
8.57000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange GBP/CAD
N/A
3500000.00000000
NC
25494.86000000
0.000444503391
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
N/A
Foreign Exchange GBP/CAD
3500000
1.67670000
GBP
2023-04-20
XXXX
-17175.49000000
N
N
N
Magnetite CLO Ltd
549300XSCWZTP19VRZ67
Magnetite XXIX Ltd.
55955KAG9
8800000.00000000
PA
USD
8376478.88000000
0.146044076110
Long
ABS-O
CORP
KY
N
2
2034-01-15
Floating
7.39200000
N
N
N
N
N
N
OMNITRACS HOLDINGS LLC
N/A
Polaris Newco LLC
N/A
-3428025.53920000
PA
USD
-272449.19000000
-0.00475015705
Short
LON
CORP
US
N
3
2026-06-04
Variable
1.04103000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Company, Inc.
432833AN1
4150000.00000000
PA
USD
3501562.50000000
0.061049811929
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.62500000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust
46630BAE6
21531066.98510000
PA
USD
11319657.03000000
0.197358445776
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
4.99500000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange CAD/JPY
N/A
-3600000.00000000
NC
-137.06000000
-0.00000238964
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Call
Written
N/A
Foreign Exchange CAD/JPY
-3600000
101.65000000
CAD
2023-04-06
XXXX
13006.65000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-580000.00000000
NC
-8539.30000000
-0.00014888286
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
580000.00000000
GBP
707036.82000000
USD
2023-04-06
-8539.30000000
N
N
N
Diamond CLO 2018-1, LLC
N/A
Diamond CLO Ltd.
25256LAG6
4603974.33500000
PA
USD
4544481.32000000
0.079233122328
Long
ABS-O
CORP
KY
N
2
2030-07-22
Floating
8.51500000
N
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower, LP
62482BAA0
6596000.00000000
PA
USD
5722030.00000000
0.099763707018
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
FS Rialto Issuer Ltd
N/A
FS Rialto
30323CAJ9
36500000.00000000
PA
USD
32712584.80000000
0.570344567539
Long
ABS-O
CORP
KY
N
2
2036-11-16
Floating
7.22800000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1220000.00000000
NC
-5811.99000000
-0.00010133216
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1220000.00000000
GBP
1499365.36000000
USD
2023-04-06
-5811.99000000
N
N
N
AMC NETWORKS INC
549300VGG9K75226LR46
AMC Networks, Inc.
00164VAF0
10200000.00000000
PA
USD
6271062.00000000
0.109336090873
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-3500000.00000000
NC
USD
13488.58000000
0.000235173660
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3500000.00000000
USD
36768798.50000000
NOK
2023-04-03
13488.58000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-660000.00000000
NC
-3153.43000000
-0.00005498011
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
660000.00000000
GBP
811122.84000000
USD
2023-04-06
-3153.43000000
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series
59024LAE1
1640196.53560000
PA
USD
476315.86000000
0.008304576506
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.68500000
N
N
N
N
N
N
ADEVINTA ASA
N/A
Adevinta ASA
N/A
3433000.00000000
PA
3352920.26000000
0.058458231514
Long
DBT
CORP
NO
N
2
2027-11-15
Fixed
3.00000000
N
N
N
N
N
N
NFM & J LLC
N/A
The Facilities Group
N/A
-1042327.57920000
PA
USD
-22759.12000000
-0.00039680571
Short
LON
CORP
US
N
3
2027-11-30
Variable
1.00000000
N
N
N
N
N
N
Whitehorse Ltd
549300UT33WDDDZEYN84
WhiteHorse X Ltd.
96525XAA9
5012204.48220000
PA
USD
4727661.13000000
0.082426865964
Long
ABS-O
CORP
KY
N
2
2027-04-17
Floating
10.09200000
N
Y
N
N
N
N
NFM & J LLC
N/A
The Facilities Group
N/A
7413774.15030000
PA
USD
7251895.13000000
0.126436936030
Long
LON
CORP
US
N
3
2027-11-30
Variable
10.61000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets plc
05565QDV7
39360000.00000000
PA
USD
35768400.00000000
0.623622766415
Long
DBT
CORP
US
N
2
N/A
Variable
4.87500000
N
N
N
N
N
N
SYNDIGO LLC
N/A
Syndigo LLC
N/A
22383954.23230000
PA
USD
20593237.89000000
0.359043512776
Long
LON
CORP
US
N
2
2027-12-15
Variable
9.28000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-240000.00000000
NC
USD
4908.55000000
0.000085580667
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
240000.00000000
USD
2541565.44000000
SEK
2023-04-03
4908.55000000
N
N
N
ATD New Holdings Inc
5493001F45YR8KICVO87
ATD New Holdings, Inc.
04683P100
42478.00000000
NS
USD
2325670.50000000
0.040548111488
Long
EC
CORP
US
N
2
N
N
N
ASTON FINCO SARL
N/A
Aston FinCo SARL
N/A
12773312.50030000
PA
14537153.83000000
0.253455566569
Long
LON
CORP
LU
N
2
2026-10-09
Variable
8.95000000
N
N
N
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp.
74166NAA2
5150000.00000000
PA
USD
4543793.50000000
0.079221130173
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
4.87500000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1350000.00000000
NC
7770.95000000
0.000135486668
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1658181.65000000
USD
1350000.00000000
GBP
2023-04-17
7770.95000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver JPY
N/A
2000000.00000000
NC
42151.82000000
0.000734917821
N/A
DFE
JP
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
282100000.00000000
JPY
2000000.00000000
EUR
2023-04-17
42151.82000000
N
N
N
VECTOR PHOENIX HOLDINGS (CAYMAN) LP
N/A
Vector Phoenix Holdings, LP
N/A
37538.87590000
NS
USD
8969.91000000
0.000156390559
Long
EC
CORP
KY
N
3
N
N
N
SHERWOOD FINANCING PLC
N/A
Sherwood Financing plc
N/A
13600000.00000000
PA
12615818.60000000
0.219957048565
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
Lunar Structured Aircraft Portfolio Notes
83438LAB7
5269929.78640000
PA
USD
4471724.09000000
0.077964598574
Long
ABS-O
CORP
IE
N
2
2046-10-15
Fixed
3.43200000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
10Y-2Y SOFR CMS CAP
N/A
164200000.00000000
NC
USD
484642.87000000
0.008449758091
N/A
DIR
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
N/A
10Y-2Y SOFR CMS CAP
164200000
0.20000000
USD
2023-12-19
XXXX
-188577.13000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-78295000.00000000
NC
-1199398.10000000
-0.02091152976
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
78295000.00000000
GBP
95419682.40000000
USD
2023-04-17
-1199398.10000000
N
N
N
SUPERIOR PLUS/GEN PRTNR
N/A
Superior Plus Limited Partnership / Superior General Partner, Inc.
86828LAC6
4800000.00000000
PA
USD
4285763.76000000
0.074722376517
Long
DBT
CORP
CA
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
BRITISH TELECOMMUNICATIO
549300OWFMSO9NYV4H90
British Telecommunications plc
11102AAF8
5250000.00000000
PA
USD
4548862.71000000
0.079309511950
Long
DBT
CORP
GB
N
2
2081-11-23
Variable
4.25000000
N
N
N
N
N
N
Great Lakes CLO Ltd
254900GKX01S4T3NFH46
Great Lakes CLO Ltd.
39055RAE2
1500000.00000000
PA
USD
596422.20000000
0.010398632936
Long
ABS-O
CORP
KY
N
2
2029-10-15
None
0.00000000
N
N
N
N
N
N
NFM & J LLC
N/A
NFM & J LLC
N/A
8299898.69170000
PA
USD
8118671.23000000
0.141549194598
Long
LON
CORP
US
N
3
2027-11-30
Variable
10.70000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
730000.00000000
NC
USD
-11980.58000000
-0.00020888165
N/A
DFE
CA
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1002414.10000000
CAD
730000.00000000
USD
2023-04-10
-11980.58000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-830000.00000000
NC
-4466.83000000
-0.00007787927
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
830000.00000000
GBP
1019547.27000000
USD
2023-04-06
-4466.83000000
N
N
N
DISPATCH TERRA ACQUISITION LLC
N/A
Dispatch Terra Acquisition LLC
N/A
10215228.09960000
PA
USD
9168167.22000000
0.159847178087
Long
LON
CORP
US
N
2
2028-03-27
Variable
9.30000000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource, Inc.
12008RAR8
800000.00000000
PA
USD
802854.92000000
0.013997791521
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
6.37500000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare, Inc.
60855RAJ9
1770000.00000000
PA
USD
1646613.30000000
0.028708735681
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.37500000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
254900NUVOJAHAT10W61
Golub Capital Partners CLO 49M Ltd.
38178GAG5
18100000.00000000
PA
USD
15781462.40000000
0.275150111270
Long
ABS-O
CORP
KY
N
2
2033-08-26
Floating
8.65800000
N
N
N
N
N
N
GLOBAL ATLANTIC
N/A
Global Atlantic Finance Co.
37959GAC1
22350000.00000000
PA
USD
17912597.25000000
0.312306489827
Long
DBT
CORP
US
N
2
2051-10-15
Variable
4.70000000
N
N
N
N
N
N
FARMER MAC
549300MS654K78GYF580
Farmer Mac
313148850
378000.00000000
NS
USD
8973720.00000000
0.156456986933
Long
EP
CORP
US
N
2
N
N
N
DATIX BIDCO LIMITED
N/A
Datix Bidco Ltd.
N/A
1000000.00000000
PA
1206928.46000000
0.021042821739
Long
LON
CORP
GB
N
3
2025-04-28
Variable
6.69000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series Trust
75114NAB0
7981061.60680000
PA
USD
1837937.13000000
0.032044470468
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
5.30500000
N
N
N
N
N
N
INGEVITY CORP
5493009UTFC4B5IMGF87
Ingevity Corp.
45688CAB3
1000000.00000000
PA
USD
856779.22000000
0.014937962765
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.87500000
N
N
N
N
N
N
ILPEA PARENT INC
N/A
ILPEA Parent, Inc.
N/A
3570046.08480000
PA
USD
3485257.49000000
0.060765533755
Long
LON
CORP
US
N
2
2028-06-22
Variable
9.35000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1970000.00000000
NC
-38806.89000000
-0.00067659890
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1970000.00000000
GBP
2391684.41000000
USD
2023-04-06
-38806.89000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1860000.00000000
NC
-8468.45000000
-0.00014764759
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1860000.00000000
GBP
2286310.14000000
USD
2023-04-06
-8468.45000000
N
N
N
Cerberus
N/A
Cerberus Loan Funding XXXVI, LP
15674UAC0
9000000.00000000
PA
USD
8913537.00000000
0.155407695129
Long
ABS-O
CORP
KY
N
2
2033-11-22
Floating
6.54200000
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAD7
9409000.00000000
PA
USD
8115262.50000000
0.141489763322
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
MB2 DENTAL SOLUTIONS LLC
N/A
MB2 Dental Solutions LLC
N/A
7296491.52360000
PA
USD
7173607.88000000
0.125071996267
Long
LON
CORP
US
N
3
2027-01-29
Variable
10.91000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corporation Trust
36258PAL1
8256000.00000000
PA
USD
7043076.36000000
0.122796176616
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
3.24600000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
530000.00000000
NC
USD
-13362.24000000
-0.00023297092
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
5638801.44000000
SEK
530000.00000000
USD
2023-04-03
-13362.24000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec NOK / Deliver EUR
N/A
-800000.00000000
NC
-27471.52000000
-0.00047896649
N/A
DFE
NO
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
800000.00000000
EUR
8795760.00000000
NOK
2023-04-03
-27471.52000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange GBP/USD
N/A
4000000.00000000
NC
22470.31000000
0.000391770302
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
N/A
Foreign Exchange GBP/USD
4000000
1.22560000
GBP
2023-04-20
XXXX
-34939.14000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
19418000000.00000000
NC
1626452.58000000
0.028357233127
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
145716127.50000000
USD
19418000000.00000000
JPY
2023-05-22
1626452.58000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
10Y-2Y SOFR CMS CAP
N/A
66950000.00000000
NC
USD
228757.44000000
0.003988390522
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Purchased
N/A
10Y-2Y SOFR CMS CAP
66950000
0.10000000
USD
2024-06-20
XXXX
-76701.94000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
650000.00000000
NC
41.77000000
0.000000728260
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
705693.95000000
USD
650000.00000000
EUR
2023-04-17
41.77000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec CHF / Deliver EUR
N/A
-500000.00000000
NC
-3087.79000000
-0.00005383568
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
500000.00000000
EUR
492900.00000000
CHF
2023-04-21
-3087.79000000
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
Equitable Holdings, Inc.
29452EAA9
24550000.00000000
NS
USD
22375688.50000000
0.390120574664
Long
EP
CORP
US
N
2
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
5-Year Interest Rate Swap
N/A
107500000.00000000
NC
5492709.99000000
0.095765508076
N/A
DIR
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Euro Interbank Offered Rate
N/A
0.00000000
OU
Notional Amount
0.00000000
0.00000000
DIR
Euro Interbank Offered Rate
EUR006M
2032-11-02
0.00000000
EUR
0.00000000
EUR
0.00000000
EUR
107500000.00000000
3.10000000
EUR
2027-10-29
XXXX
447008.41000000
N
N
N
Capmark Military Housing Trust
N/A
Capmark Military Housing Trust
14070AAA1
5505198.66350000
PA
USD
5489640.15000000
0.095711985354
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
Madison Park Funding XLVIII Ltd.
55821UAG9
7500000.00000000
PA
USD
7135446.00000000
0.124406643129
Long
ABS-O
CORP
KY
N
2
2033-04-19
Floating
7.79800000
N
N
N
N
N
N
QUEBEC T-BILL
549300WN65YFEQH74Y36
Quebec T-Bill
09852UDF7
200000.00000000
PA
147769.26000000
0.002576359991
Long
DBT
NUSS
CA
N
2
2023-04-14
None
0.00000000
N
N
N
N
N
N
OMNITRACS HOLDINGS LLC
N/A
Polaris Newco LLC
N/A
15202548.06080000
PA
USD
13994295.15000000
0.243990814670
Long
LON
CORP
US
N
3
2026-06-04
Variable
8.11000000
N
N
N
N
N
N
NFP CORP
VO2L9FZNXDJNQNEYH039
NFP Corp.
65342RAF7
4150000.00000000
PA
USD
4009854.50000000
0.069911893073
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
7.50000000
N
N
N
N
N
N
NUSTAR LOGISTICS LP
N62BF2PKP51FIIOIUN20
NuStar Logistics, LP
67059TAH8
14506000.00000000
PA
USD
13918507.00000000
0.242669446766
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
6.37500000
N
N
N
N
N
N
Venture CDO Ltd
5493002O60L75PP6F022
Venture XIV CLO Ltd.
92328GBC9
8000000.00000000
PA
USD
7743045.60000000
0.135000154257
Long
ABS-O
CORP
KY
N
2
2029-08-28
Floating
7.20300000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
350000.00000000
NC
USD
-2540.34000000
-0.00004429087
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3658526.20000000
SEK
350000.00000000
USD
2023-04-03
-2540.34000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGE5
20400000.00000000
PA
USD
20406375.00000000
0.355785554568
Long
DBT
UST
US
N
2
2026-01-15
Fixed
3.87500000
N
N
N
N
N
N
Morgan Stanley IXIS Real Estat
N/A
Morgan Stanley IXIS Real Estate Capital Trust
617463AC8
16606020.16350000
PA
USD
5384317.71000000
0.093875686515
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
4.99500000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-710000.00000000
NC
-14846.48000000
-0.00025884867
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
710000.00000000
GBP
861117.39000000
USD
2023-04-06
-14846.48000000
N
N
N
AB Private Credit Investors LL
N/A
ABPCI Direct Lending Fund CLO VII, LP
00085KAW3
7950000.00000000
PA
USD
7486589.73000000
0.130528841056
Long
ABS-O
CORP
US
N
2
2031-10-20
Floating
7.36500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange GBP/CAD
N/A
3500000.00000000
NC
33581.21000000
0.000585489065
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
N/A
Foreign Exchange GBP/CAD
3500000
1.67670000
GBP
2023-04-20
XXXX
-7370.29000000
N
N
N
FONTAINEBLEAU LAS VEGAS
N/A
Fontainbleau Vegas
N/A
10350522.47000000
PA
USD
10454027.69000000
0.182266180992
Long
ABS-O
CORP
US
N
3
2026-01-31
Fixed
10.42700000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NZD / Deliver USD
N/A
14441997.00000000
NC
-41051.59000000
-0.00071573528
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
9075249.82000000
USD
14441997.00000000
NZD
2023-04-06
-41051.59000000
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Foreign Exchange EUR/CAD
N/A
11000000.00000000
NC
17695.83000000
0.000308527148
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
Foreign Exchange EUR/CAD
11000000
1.44760000
EUR
2023-04-20
XXXX
-22560.44000000
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings, Inc.
50212YAF1
5500000.00000000
PA
USD
4862605.00000000
0.084779615025
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
4.37500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-120000.00000000
NC
USD
1466.20000000
0.000025563226
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
120000.00000000
USD
1260528.84000000
SEK
2023-04-03
1466.20000000
N
N
N
CONFLUENT HEALTH LLC
N/A
Confluent Health LLC
N/A
982300.87410000
PA
USD
793207.96000000
0.013829596581
Long
LON
CORP
US
N
2
2028-11-30
Variable
8.84029000
N
N
N
N
N
N
Acres PLC
N/A
ACRES Commercial Realty Ltd.
00500JAG8
6500000.00000000
PA
USD
6156190.30000000
0.107333300496
Long
ABS-O
CORP
KY
N
2
2037-01-15
Floating
7.35900000
N
N
N
N
N
N
CAPSTONE ACQUISITION HOLDINGS INC
N/A
CapStone Acquisition Holdings, Inc.
N/A
11802873.39680000
PA
USD
11684844.66000000
0.203725499379
Long
LON
CORP
US
N
2
2027-11-12
Variable
9.66000000
N
N
N
N
N
N
SCIL IV LLC / SCIL USA H
N/A
SCIL IV LLC / SCIL USA Holdings LLC
78397UAA8
10375000.00000000
PA
USD
9477945.23000000
0.165248163861
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
5.37500000
N
N
N
N
N
N
Diamond CLO 2019-1 LLC
N/A
Diamond CLO Ltd.
25257AAS3
731590.93900000
PA
USD
725055.56000000
0.012641358129
Long
ABS-O
CORP
KY
N
2
2029-04-25
Floating
7.21800000
N
N
N
N
N
N
UNITED WHOLESALE MTGE LL
549300HW662MN1WU8550
United Wholesale Mortgage LLC
913229AC4
4550000.00000000
PA
USD
4048872.74000000
0.070592176865
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.75000000
N
N
N
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust
02660WAB2
6531015.96460000
PA
USD
5442453.65000000
0.094889287787
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
5.03500000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
U.S. Secured Overnight Financing Rate
N/A
-1497000.00000000
OU
Notional Amount
USD
15242.67000000
0.000265756255
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
11036.97000000
USD
0.00000000
USD
-1497000.00000000
USD
4205.70000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
2170000.00000000
NC
USD
-38894.17000000
-0.00067812062
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
23116165.87000000
NOK
2170000.00000000
USD
2023-04-03
-38894.17000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange USD/NOK
N/A
-10000000.00000000
NC
USD
-64474.60000000
-0.00112411593
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
N/A
Foreign Exchange USD/NOK
-10000000
10.65570000
USD
2023-04-19
XXXX
116625.40000000
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corporation Home Equity Loan Trust Series
00442JAE4
10576424.84190000
PA
USD
4613392.10000000
0.080434583150
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.60500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
530000.00000000
NC
USD
-10279.84000000
-0.00017922921
N/A
DFE
CA
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
729916.85000000
CAD
530000.00000000
USD
2023-04-10
-10279.84000000
N
N
N
FED HOME LN DISCOUNT NT
2549001DPIFGXC1TOL40
Federal Home Loan Bank
313384EL9
150000000.00000000
PA
USD
149693333.33000000
2.609906248118
Long
DBT
USGSE
US
N
2
2023-04-17
None
0.00000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-441000.00000000
NC
-396.37000000
-0.00000691071
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
441000.00000000
EUR
480481.50000000
USD
2023-06-30
-396.37000000
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Company, Inc.
432833AH4
525000.00000000
PA
USD
525000.00000000
0.009153385456
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.75000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
U.S. Secured Overnight Financing Rate
N/A
6071000.00000000
OU
Notional Amount
USD
-695719.36000000
-0.01212988089
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
95931.96000000
USD
6071000.00000000
USD
-599787.40000000
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Foreign Exchange EUR/AUD
N/A
11200000.00000000
NC
45070.74000000
0.000785809249
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
Foreign Exchange EUR/AUD
11200000
1.63451000
EUR
2023-04-13
XXXX
-5996.93000000
N
N
N
SCHUR FLEXIBLES GMBH
N/A
Schur Flexibles GmbH
N/A
-214754.75250000
PA
-10484.93000000
-0.00018280496
Short
LON
CORP
DE
N
3
2026-09-30
Variable
9.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-4050000.00000000
NC
-96838.46000000
-0.00168838047
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
4050000.00000000
GBP
4899856.86000000
USD
2023-04-06
-96838.46000000
N
N
N
SCHUR FLEXIBLES GMBH
N/A
Schur Flexibles GmbH
N/A
71584.91750000
PA
74171.21000000
0.001293176523
Long
LON
CORP
DE
N
2
2026-09-30
Fixed
11.94000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-440000.00000000
NC
-21458.24000000
-0.00037412484
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
440000.00000000
GBP
521392.61000000
USD
2023-04-06
-21458.24000000
N
N
N
CML - CBS STUDIOS
N/A
CBS Studio Center
N/A
22000000.00000000
PA
USD
22220000.00000000
0.387406142565
Long
DBT
CORP
US
N
3
2024-01-09
Variable
7.55800000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-4490000.00000000
NC
USD
-18144.42000000
-0.00031634832
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4490000.00000000
USD
46798147.50000000
NOK
2023-04-03
-18144.42000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-3222793.42000000
NC
USD
-32111.09000000
-0.00055985749
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3222793.42000000
USD
33390618.16000000
NOK
2023-04-03
-32111.09000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
880000.00000000
NC
27256.18000000
0.000475212041
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1058445.52000000
USD
880000.00000000
GBP
2023-04-06
27256.18000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
430000.00000000
NC
USD
-5133.68000000
-0.00008950581
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4515647.58000000
SEK
430000.00000000
USD
2023-04-03
-5133.68000000
N
N
N
LoanCore 2019-CRE2 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946JAC8
9719208.21750000
PA
USD
9678683.98000000
0.168748047966
Long
ABS-O
CORP
KY
N
2
2036-05-15
Floating
6.18400000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
700000.00000000
NC
2351.88000000
0.000041005074
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
861274.47000000
USD
700000.00000000
GBP
2023-04-06
2351.88000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
U.S. Secured Overnight Financing Rate
N/A
114000.00000000
OU
Notional Amount
USD
8149.07000000
0.000142079197
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
2049-04-16
0.00000000
USD
26313.51000000
USD
114000.00000000
USD
34462.58000000
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust
10568PAA5
25177160.06250000
PA
USD
22493549.23000000
0.392175478839
Long
ABS-MBS
CORP
US
N
2
2070-01-29
Variable
3.12500000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
1330000.00000000
NC
USD
-23970.80000000
-0.00041793137
N/A
DFE
CA
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
1829211.51000000
CAD
1330000.00000000
USD
2023-04-10
-23970.80000000
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp.
064058AL4
20550000.00000000
NS
USD
16945530.00000000
0.295445653061
Long
EP
CORP
US
N
2
N
N
N
UPBOUND GROUP INC
529900QUHE15UQNCCJ63
Upbound Group, Inc.
76009NAL4
1450000.00000000
PA
USD
1217495.21000000
0.021227053235
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.37500000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance plc
92769XAR6
7950000.00000000
PA
USD
6835489.50000000
0.119176895578
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
GLP Capital Limited Partnership / GLP Financing II, Inc.
361841AQ2
22640000.00000000
PA
USD
19420826.32000000
0.338602493702
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
5-Year Interest Rate Swap
N/A
72235000.00000000
NC
USD
4689553.27000000
0.081762454666
N/A
DIR
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
U.S. Secured Overnight Financing Rate
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
72235000.00000000
2.39000000
USD
2032-04-08
XXXX
1200602.77000000
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92556HAC1
10340000.00000000
PA
USD
7739305.84000000
0.134934951467
Long
DBT
CORP
US
N
2
2050-05-19
Fixed
4.95000000
N
N
N
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One, Inc.
12685JAC9
12575000.00000000
PA
USD
10235680.92000000
0.178459300708
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec CHF / Deliver USD
N/A
-4160000.00000000
NC
USD
22644.59000000
0.000394808877
N/A
DFE
CH
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4160000.00000000
USD
3818888.32000000
CHF
2023-04-20
22644.59000000
N
N
N
PACKERS HOLDINGS LLC
N/A
Packers Holdings LLC
N/A
18485645.85370000
PA
USD
16671834.28000000
0.290673762732
Long
LON
CORP
US
N
2
2028-03-09
Variable
8.09000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
U.S. Treasury Bills
912796V48
5000000.00000000
PA
USD
4989026.75000000
0.086983780754
Long
DBT
UST
US
N
2
2023-04-20
None
0.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange USD/SEK
N/A
11000000.00000000
NC
USD
16353.92000000
0.000285130920
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
N/A
Foreign Exchange USD/SEK
11000000
10.23400000
USD
2023-04-05
XXXX
-47446.08000000
N
N
N
EISNER ADVISORY GROUP
N/A
Eisner Advisory Group
N/A
1097202.49920000
PA
USD
1094459.49000000
0.019081923006
Long
LON
CORP
US
N
3
2028-07-28
Variable
10.17000000
N
N
N
N
N
N
First NLC Trust
N/A
First NLC Trust
32115BAD2
6553178.04460000
PA
USD
3343294.48000000
0.058290405848
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
5.12500000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust
54251RAC7
2492982.02550000
PA
USD
994105.75000000
0.017332253551
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.04500000
N
N
N
N
N
N
FIRST AMERICAN FINANCIAL
549300B6VEZK3N0A1P55
First American Financial Corp.
31847RAG7
11760000.00000000
PA
USD
10628086.36000000
0.185300897371
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
37847000000.00000000
NC
-1975676.73000000
-0.03444596313
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
288998847.00000000
USD
37847000000.00000000
JPY
2023-05-18
-1975676.73000000
N
N
N
BIB MERCHANT VOUCHER RECEIVABLES LTD
N/A
Bib Merchant Voucher Receivables Ltd.
N/A
12669670.97000000
PA
USD
12384430.31000000
0.215922789121
Long
ABS-O
CORP
US
N
3
2028-04-07
Fixed
4.18000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
1410000.00000000
NC
USD
-27038.15000000
-0.00047141068
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
14913021.51000000
SEK
1410000.00000000
USD
2023-04-03
-27038.15000000
N
N
N
PRUDENTIAL FINANCIAL INC
5PRBRS5FEH7NREC8OR45
Prudential Financial, Inc.
744320BJ0
2750000.00000000
PA
USD
2423000.28000000
0.042245058141
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
Long Beach Mortgage Loan Trust
54251UAD8
16493266.50020000
PA
USD
4485907.89000000
0.078211893410
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.16500000
N
N
N
N
N
N
Cerberus
54930000UKAI7FBHXD27
Cerberus Loan Funding XXXIII, LP
15674PAE7
5900000.00000000
PA
USD
5425812.28000000
0.094599145170
Long
ABS-O
CORP
KY
N
2
2033-07-23
Floating
7.59200000
N
N
N
N
N
N
Cerberus
N/A
Cerberus Loan Funding XXXV, LP
15674RAG8
5150000.00000000
PA
USD
4718869.30000000
0.082273580233
Long
ABS-O
CORP
KY
N
2
2033-09-22
Floating
7.39200000
N
N
N
N
N
N
American Money Management Corp
5493004OOK6VXHQ8DQ60
AMMC CLO XI Ltd.
001747AE4
5650000.00000000
PA
USD
1706712.45000000
0.029756565559
Long
ABS-O
CORP
KY
N
2
2031-04-30
None
0.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver HUF
N/A
-5331000000.00000000
NC
-607745.50000000
-0.01059605489
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5331000000.00000000
HUF
14607280.35000000
USD
2023-04-06
-607745.50000000
N
N
N
MADISON INDUSTRIES US HOLDINGS CORP
549300ZA0D9WN5ECE978
Filtration Group Corp.
N/A
1247439.84350000
PA
1339877.89000000
0.023360797699
Long
LON
CORP
US
N
2
2025-03-31
Variable
6.41000000
N
N
N
N
N
N
ENDO INTERNATIONAL PLC
N/A
Endo Luxembourg Finance Company I SARL
N/A
7653125.00000000
PA
USD
5867421.34000000
0.102298607926
Long
LON
CORP
LU
N
2
2028-03-27
Variable
14.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
-2400000.00000000
NC
USD
-38886.14000000
-0.00067798062
N/A
DFE
JP
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2400000.00000000
USD
313164720.00000000
JPY
2023-04-10
-38886.14000000
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDB3
550000.00000000
PA
USD
528027.90000000
0.009206176953
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.12500000
N
N
N
N
N
N
GALLS
N/A
Galls LLC
N/A
3458361.76510000
PA
USD
3371902.72000000
0.058789191082
Long
LON
CORP
US
N
3
2025-01-31
Variable
11.59000000
N
N
N
N
N
N
BLOCK INC
549300OHIIUWSTIZME52
Block, Inc.
852234AN3
9711000.00000000
PA
USD
8854149.92000000
0.154372280207
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
2.75000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings, Inc.
55903VBG7
7200000.00000000
PA
USD
7236351.07000000
0.126165925035
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.41200000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
720000.00000000
NC
13871.11000000
0.000241843079
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
874430.28000000
USD
720000.00000000
GBP
2023-04-06
13871.11000000
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI, Inc.
55354GAL4
883000.00000000
PA
USD
785958.30000000
0.013703198614
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.87500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-400000.00000000
NC
USD
11644.88000000
0.000203028714
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
400000.00000000
USD
4271890.00000000
SEK
2023-04-03
11644.88000000
N
N
N
PROJECT ALPHA INTERMEDIATE HOLDING INC
N/A
Qlik Technologies, Inc. - Class A
N/A
176.81000000
NS
USD
283866.64000000
0.004949220522
Long
EC
CORP
US
N
3
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
10390000.00000000
NC
7847.23000000
0.000136816611
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
11273066.88000000
USD
10390000.00000000
EUR
2023-04-17
7847.23000000
N
N
N
CNO FINANCIAL GROUP INC
11XPYHB76MPM4Y4P2897
CNO Financial Group, Inc.
12621E301
324000.00000000
NS
USD
5265000.00000000
0.091795379865
Long
EP
CORP
US
N
2
N
N
N
AMER AIRLINE 19-1AA PTT
N/A
American Airlines Class AA Pass Through Trust
02377LAA2
1004742.67210000
PA
USD
878756.58000000
0.015321138474
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
Diamond CLO Ltd.
25257AAU8
5500000.00000000
PA
USD
5288786.80000000
0.092210103197
Long
ABS-O
CORP
KY
N
2
2029-04-25
Floating
8.21800000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-980000.00000000
NC
-6004.39000000
-0.00010468665
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
980000.00000000
GBP
1203072.50000000
USD
2023-04-06
-6004.39000000
N
N
N
CAMIN CARGO CONTROL INC
N/A
Camin Cargo Control, Inc.
N/A
6545351.69000000
PA
USD
6283537.62000000
0.109553603556
Long
LON
CORP
US
N
3
2026-06-04
Variable
11.34000000
N
N
N
N
N
N
KAISER ALUMINUM CORP
N/A
Kaiser Aluminum Corp.
483007AL4
13250000.00000000
PA
USD
10881032.50000000
0.189711018359
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
4.50000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust
362382AG8
7485223.94410000
PA
USD
2285033.03000000
0.039839596390
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.32500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1260000.00000000
NC
-9849.33000000
-0.00017172326
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1260000.00000000
GBP
1544678.10000000
USD
2023-04-06
-9849.33000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
3-Month New Zealand Bank Bill Rate
N/A
-60500000.00000000
OU
Notional Amount
110353.65000000
0.001924018085
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
London Clearing House
F226TOH6YD6XJB17KS62
3-Month New Zealand Bank Bill Rate
N/A
Y
2026-01-26
83.45000000
NZD
0.00000000
NZD
-60500000.00000000
NZD
110273.61000000
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
Ziggo BV
98955DAA8
1685000.00000000
PA
USD
1436462.50000000
0.025044752298
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
4.87500000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series Trust
75115FAD2
3772928.62960000
PA
USD
3431454.82000000
0.059827483132
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
5.24500000
N
N
N
N
N
N
VZ SECURED FINANCING BV
549300MG611MYCOWY949
VZ Secured Financing BV
91845AAA3
6830000.00000000
PA
USD
5571333.45000000
0.097136309667
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
5.00000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Foreign Exchange EUR/AUD
N/A
11200000.00000000
NC
4474.77000000
0.000078017704
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
Foreign Exchange EUR/AUD
11200000
1.57599000
EUR
2023-04-13
XXXX
-45810.94000000
N
N
N
Residential Accredit Loans, In
N/A
RALI Series Trust
761118WA2
3182638.28820000
PA
USD
665243.65000000
0.011598536287
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
5.52500000
N
N
N
N
N
N
NFP CORP
VO2L9FZNXDJNQNEYH039
NFP Corp.
65342RAD2
28700000.00000000
PA
USD
24628618.00000000
0.429400445369
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.87500000
N
N
N
N
N
N
Castlelake Aircraft Structured
N/A
Castlelake Aircraft Securitization Trust
14856CAA7
9791187.46830000
PA
USD
8842421.40000000
0.154167793227
Long
ABS-O
CORP
US
N
2
2043-06-15
Fixed
4.12500000
N
N
N
N
N
N
CHECKERS HOLDINGS INC
N/A
Checkers Drive-In Restaurants, Inc.
N/A
3261671.05600000
PA
USD
2495178.36000000
0.043503484404
Long
LON
CORP
US
N
2
2024-04-25
Variable
11.25000000
N
N
N
N
N
N
DEUCE FINCO PLC
N/A
Deuce FinCo plc
N/A
5350000.00000000
PA
5490454.25000000
0.095726179204
Long
DBT
CORP
GB
N
2
2027-06-15
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-42788000.00000000
NC
-386451.54000000
-0.00673779029
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
42788000.00000000
CAD
31288298.70000000
USD
2023-04-17
-386451.54000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Foreign Exchange AUD/USD
N/A
-14750000.00000000
NC
-89497.47000000
-0.00156039017
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Written
N/A
Foreign Exchange AUD/USD
-14750000
0.67200000
AUD
2023-04-19
XXXX
58190.23000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-2170000.00000000
NC
27388.37000000
0.000477516776
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2170000.00000000
CAD
1633487.55000000
USD
2023-04-05
27388.37000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
1190000.00000000
NC
USD
15005.87000000
0.000261627642
N/A
DFE
JP
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
155844542.00000000
JPY
1190000.00000000
USD
2023-04-10
15005.87000000
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing, Inc.
527298BQ5
2600000.00000000
PA
USD
1881698.00000000
0.032807442108
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.87500000
N
N
N
N
N
N
FT 1 INC
5493002GPK5LQJ7QPJ51
Targus Inc
N/A
12773.00000000
NS
USD
127.09000000
0.000002215816
Long
EC
CORP
US
N
3
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
10Y-2Y SOFR CMS CAP
N/A
164200000.00000000
NC
USD
484642.87000000
0.008449758091
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
10Y-2Y SOFR CMS CAP
164200000
0.10000000
USD
2023-12-19
XXXX
-151632.13000000
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Foreign Exchange EUR/CAD
N/A
4000000.00000000
NC
35209.37000000
0.000613876067
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
Foreign Exchange EUR/CAD
4000000
1.46700000
EUR
2023-04-20
XXXX
-2019.88000000
N
N
N
GCAT
N/A
GCAT 2023-NQM2 Trust
36169DAC6
3352975.63770000
PA
USD
3324793.21000000
0.057967835837
Long
ABS-MBS
CORP
US
N
2
2067-11-25
Variable
6.59800000
N
N
N
N
N
N
SITECORE HOLDING III A/S
N/A
Sitecore Holding III A/S
N/A
3300306.34790000
PA
USD
3271171.67000000
0.057032943219
Long
LON
CORP
DK
N
3
2026-03-12
Variable
11.56000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-1310000.00000000
NC
6998.98000000
0.000122027355
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1310000.00000000
EUR
1429327.90000000
USD
2023-04-17
6998.98000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
2070000.00000000
NC
USD
-25533.99000000
-0.00044518562
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
21929847.03000000
NOK
2070000.00000000
USD
2023-04-03
-25533.99000000
N
N
N
CIFC Funding Ltd
2549005S1LQJ8MBPXW05
CIFC Funding 2017-II Ltd.
12550YAU8
8100000.00000000
PA
USD
7461672.21000000
0.130094403598
Long
ABS-O
CORP
KY
N
2
2030-04-20
Floating
7.90800000
N
N
N
N
N
N
LMRK Issuer Co. LLC
N/A
Secured Tenant Site Contract Revenue Notes Series
50209LAB3
6454120.56470000
PA
USD
6419589.08000000
0.111925663471
Long
ABS-O
CORP
US
Y
2
2048-06-15
Fixed
4.70000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
254900C5LP6DN9OP9V83
Federal Farm Credit Bank
3133EN2V1
100000.00000000
PA
USD
100121.80000000
0.001745625577
Long
DBT
USGSE
US
N
2
2024-11-25
Floating
5.01000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-2369763.00000000
NC
USD
53304.09000000
0.000929357870
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2369763.00000000
USD
25145645.24000000
SEK
2023-04-03
53304.09000000
N
N
N
HIGGINBOTHAM INSURANCE AGENCY INC
N/A
Higginbotham Insurance Agency, Inc.
N/A
12700266.16850000
PA
USD
12547862.97000000
0.218772240803
Long
LON
CORP
US
N
3
2026-11-25
Variable
10.09000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc.
606822CS1
18050000.00000000
PA
USD
18219379.40000000
0.317655242722
Long
DBT
CORP
JP
N
2
2029-02-22
Variable
5.42200000
N
N
N
N
N
N
Falcon Aerospace Ltd
N/A
Falcon Aerospace Ltd.
30610GAA1
5666634.47390000
PA
USD
4788364.50000000
0.083485230429
Long
ABS-O
CORP
KY
N
2
2039-09-15
Fixed
3.59700000
N
N
N
N
N
N
OCTAGON LOAN FUNDING LTD
549300HJJWTCMWFILG24
Octagon Loan Funding Ltd.
67590TAC5
19435737.00000000
PA
USD
5246657.77000000
0.091475582720
Long
ABS-O
CORP
KY
N
2
2031-11-18
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1600000.00000000
NC
-20640.69000000
-0.00035987084
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1600000.00000000
GBP
1953362.40000000
USD
2023-04-06
-20640.69000000
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Bank
3130ATXF9
600000.00000000
PA
USD
600738.00000000
0.010473878995
Long
DBT
USGSE
US
N
2
2024-11-22
Floating
5.01000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1200000.00000000
NC
-13945.72000000
-0.00024314390
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1200000.00000000
GBP
1466556.60000000
USD
2023-04-06
-13945.72000000
N
N
N
LCPR SR SECURED FIN DAC
549300LE5FM8IKMXSP90
LCPR Senior Secured Financing DAC
50201DAD5
16250000.00000000
PA
USD
13695096.19000000
0.238774274844
Long
DBT
CORP
IE
N
2
2029-07-15
Fixed
5.12500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
5150000.00000000
NC
USD
-172800.14000000
-0.00301277388
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
55703316.34000000
NOK
5150000.00000000
USD
2023-04-03
-172800.14000000
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp.
62886EAZ1
10325000.00000000
PA
USD
8429120.30000000
0.146961880317
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
5.25000000
N
N
N
N
N
N
CAB SELAS
N/A
CAB SELAS
N/A
4100000.00000000
PA
3637776.93000000
0.063424713229
Long
DBT
CORP
FR
N
2
2028-02-01
Fixed
3.37500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
300000.00000000
NC
USD
-3197.21000000
-0.00005574342
N/A
DFE
SE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3145140.00000000
SEK
300000.00000000
USD
2023-04-11
-3197.21000000
N
N
N
AFTERNEXT HEALTHTECH ACQUI-A
N/A
AfterNext HealthTech Acquisition Corp.
N/A
298533.00000000
NS
USD
49720.67000000
0.000866880871
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
-221582.63000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1020000.00000000
NC
1205.57000000
0.000021019136
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1257221.40000000
USD
1020000.00000000
GBP
2023-04-06
1205.57000000
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series
92926SAC0
18196521.64850000
PA
USD
6817250.41000000
0.118858896680
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.03500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
190000.00000000
NC
USD
-843.31000000
-0.00001470312
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1980497.49000000
SEK
190000.00000000
USD
2023-04-03
-843.31000000
N
N
N
Residential Accredit Loans, In
N/A
RALI Series Trust
761118VY1
213333.14260000
PA
USD
42011.06000000
0.000732463667
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
5.28500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-23.00000000
NC
USD
-99360.00000000
-0.00173234357
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-2300
2000.00000000
USD
2023-05-25
XXXX
34906.64000000
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm, Inc.
893647BK2
225000.00000000
PA
USD
229218.75000000
0.003996433471
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
8.00000000
N
N
N
N
N
N
Acropolis Infrastructure Acqui
N/A
Acropolis Infrastructure Acquisition Corp.
005029103
578278.00000000
NS
USD
5857956.14000000
0.102133581976
Long
EC
CORP
US
N
1
N
N
N
KENNEDY-WILSON INC
5EA4464UK7FM5QNNKL62
Kennedy-Wilson, Inc.
489399AN5
250000.00000000
PA
USD
184442.50000000
0.003215758661
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.75000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
3-Month Canadian Bankers Acceptances Rate
N/A
-26000000.00000000
OU
Notional Amount
156087.94000000
0.002721396342
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
2027-01-23
74.53000000
CAD
0.00000000
CAD
-26000000.00000000
CAD
156013.78000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
1380000.00000000
NC
USD
13509.53000000
0.000235538924
N/A
DFE
JP
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
181243528.00000000
JPY
1380000.00000000
USD
2023-04-10
13509.53000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver NZD
N/A
-1920000.00000000
NC
-9274.53000000
-0.00016170161
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1920000.00000000
NZD
1191782.40000000
USD
2023-04-06
-9274.53000000
N
N
N
MERLIN BUYER INC
N/A
Merlin Buyer, Inc.
N/A
7936051.75040000
PA
USD
7598769.55000000
0.132484698452
Long
LON
CORP
US
N
2
2028-12-14
Variable
8.81000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
20-Year Interest Rate Swap
N/A
24141000.00000000
NC
USD
3707774.18000000
0.064645116677
N/A
DIR
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
U.S. Secured Overnight Financing Rate
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
24141000.00000000
2.37500000
USD
2029-04-12
XXXX
672043.43000000
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust
02660UAE0
5118784.03380000
PA
USD
3491898.82000000
0.060881325476
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
4.07800000
N
Y
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
1990000.00000000
NC
USD
5505.21000000
0.000095983445
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
20594312.99000000
SEK
1990000.00000000
USD
2023-04-03
5505.21000000
N
N
N
HIGGINBOTHAM INSURANCE AGENCY INC
N/A
Higginbotham Insurance Agency, Inc.
N/A
-2172445.05550000
PA
USD
-26069.34000000
-0.00045451946
Short
LON
CORP
US
N
3
2026-11-25
Variable
1.00000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
2310000.00000000
NC
USD
-3163.64000000
-0.00005515812
N/A
DFE
CA
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
3125078.88000000
CAD
2310000.00000000
USD
2023-04-10
-3163.64000000
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-145000.00000000
NC
-184.08000000
-0.00000320943
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
145000.00000000
CAD
107147.24000000
USD
2023-04-12
-184.08000000
N
N
N
FED HOME LN DISCOUNT NT
2549001DPIFGXC1TOL40
Federal Home Loan Bank
313384DW6
222900000.00000000
PA
USD
222846132.50000000
3.885326758664
Long
DBT
USGSE
US
N
2
2023-04-03
None
0.00000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding Ltd.
69702BAG6
8300000.00000000
PA
USD
7874799.30000000
0.137297282641
Long
ABS-O
CORP
KY
N
2
2029-07-20
Floating
7.30800000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBL7
36940000.00000000
PA
USD
21904577.77000000
0.381906749703
Long
DBT
CORP
US
N
2
2061-02-01
Fixed
4.30000000
N
N
N
N
N
N
Ladder Capital Commercial Mort
N/A
LCCM Trust
50202KAJ5
5750000.00000000
PA
USD
5320377.83000000
0.092760893434
Long
ABS-O
CORP
US
N
2
2038-12-13
Floating
7.58400000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange EUR/NOK
N/A
-2600000.00000000
NC
-3.10000000
-0.00000005404
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
N/A
Foreign Exchange EUR/NOK
-2600000
10.93810000
EUR
2023-04-04
XXXX
11464.22000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp.
1248EPCL5
14265000.00000000
PA
USD
11484038.25000000
0.200224435621
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
2810042.00000000
NC
137807.07000000
0.002402669010
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
3329087.67000000
USD
2810042.00000000
GBP
2023-04-06
137807.07000000
N
N
N
ZAYO GROUP HOLDINGS INC
529900Z6OTS7RT0V0I47
Zayo Group Holdings, Inc.
98919VAA3
700000.00000000
PA
USD
532000.00000000
0.009275430596
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BB2
20672000.00000000
PA
USD
14846423.68000000
0.258847692563
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.12500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
470000.00000000
NC
USD
1957.15000000
0.000034122949
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4857166.12000000
SEK
470000.00000000
USD
2023-04-03
1957.15000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange EUR/GBP
N/A
5000000.00000000
NC
179.72000000
0.000003133421
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
N/A
Foreign Exchange EUR/GBP
5000000
0.88870000
EUR
2023-04-03
XXXX
-36076.15000000
N
N
N
DYAL CAPITAL PARTNERS IV LP
N/A
Dyal Capital Partners IV
N/A
3832500.00000000
PA
USD
3070390.28000000
0.053532315686
Long
DBT
CORP
US
N
3
2041-02-22
Fixed
3.65000000
N
N
N
N
N
N
Marathon CLO LTD
635400LRBGQZIPTCBI09
Marathon CLO V Ltd.
56576UAC3
5500000.00000000
PA
USD
215567.00000000
0.003758414938
Long
ABS-O
CORP
KY
N
2
2027-11-21
None
0.00000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Foreign Exchange CAD/JPY
N/A
-25000000.00000000
NC
-21021.45000000
-0.00036650939
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange CAD/JPY
-25000000
99.50000000
CAD
2023-04-05
XXXX
220613.76000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-2540000.00000000
NC
USD
5743.48000000
0.000100137688
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2540000.00000000
USD
26418733.04000000
SEK
2023-04-03
5743.48000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
630000.00000000
NC
-314.47000000
-0.00000548279
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
777578.19000000
USD
630000.00000000
GBP
2023-04-06
-314.47000000
N
N
N
BERKLEY (WR) CORPORATION
SQOAGCLKBDWNVYV1OV80
W R Berkley Corp.
084423870
820613.00000000
NS
USD
14237635.55000000
0.248233459391
Long
EP
CORP
US
N
2
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1350000.00000000
NC
-22196.61000000
-0.00038699833
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
1350000.00000000
GBP
1643368.50000000
USD
2023-04-06
-22196.61000000
N
N
N
Cerberus
N/A
Cerberus Loan Funding XXX, LP
15674JAC5
14500000.00000000
PA
USD
13915355.65000000
0.242614502916
Long
ABS-O
CORP
KY
N
2
2033-01-15
Floating
8.44200000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec CHF / Deliver USD
N/A
-5840000.00000000
NC
USD
28661.75000000
0.000499718182
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5840000.00000000
USD
5358275.92000000
CHF
2023-04-20
28661.75000000
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange GBP/USD
N/A
10000000.00000000
NC
0.49000000
0.000000008543
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Put
Purchased
N/A
Foreign Exchange GBP/USD
10000000
1.17200000
GBP
2023-04-04
XXXX
-52105.87000000
N
N
N
SCHUR FLEXIBLES GMBH
N/A
Schur Flexibles GesmbH
N/A
1661.00000000
NS
630136.58000000
0.010986443823
Long
EC
CORP
DE
N
2
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group, Inc.
71376LAD2
304000.00000000
PA
USD
304760.00000000
0.005313496670
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
U.S. Secured Overnight Financing Rate
N/A
332150000.00000000
OU
Notional Amount
USD
-8944726.43000000
-0.15595148346
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
1389.44000000
USD
0.00000000
USD
332150000.00000000
USD
-8946115.87000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
-5680000.00000000
NC
USD
-87760.92000000
-0.00153011338
N/A
DFE
JP
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5680000.00000000
USD
741722800.00000000
JPY
2023-04-10
-87760.92000000
N
N
N
MATTERHORN BUYER LLC
N/A
Hearthside Group Holdings LLC
N/A
4975262.82100000
PA
USD
4256337.34000000
0.074209326298
Long
LON
CORP
US
N
2
2025-05-23
Variable
8.84000000
N
N
N
N
N
N
LoanCore 2022-CRE7 Issuer Ltd.
N/A
LoanCore Issuer Ltd.
53946PAJ9
6400000.00000000
PA
USD
6108543.36000000
0.106502575148
Long
ABS-O
CORP
KY
N
2
2037-01-17
Floating
7.65800000
N
N
N
N
N
N
LEGENDS HOSPITALITY HOLD
N/A
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
52473NAA6
2775000.00000000
PA
USD
2483236.50000000
0.043295277837
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
2230000.00000000
NC
19062.64000000
0.000332357508
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2402153.77000000
USD
2230000.00000000
EUR
2023-04-17
19062.64000000
N
N
N
NEW BRUNSWICK T-BILL
549300POZA55ZTGSOU44
Province of New Brunswick Canada T-Bill
6426Z8B61
740000.00000000
PA
547573.27000000
0.009546950868
Long
DBT
NUSS
CA
N
2
2023-04-06
None
0.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
-3920000.00000000
NC
USD
-18558.00000000
-0.00032355909
N/A
DFE
JP
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3920000.00000000
USD
517465088.00000000
JPY
2023-04-10
-18558.00000000
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBG2
8900000.00000000
PA
USD
7275750.00000000
0.126852846164
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.12500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CHF
N/A
4500000.00000000
NC
USD
-23662.41000000
-0.00041255458
N/A
DFE
CH
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4130248.50000000
CHF
4500000.00000000
USD
2023-04-20
-23662.41000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1740000.00000000
NC
21643.74000000
0.000377359037
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2125084.62000000
USD
1740000.00000000
GBP
2023-04-06
21643.74000000
N
N
N
XPLORNET COMMUNICATIONS INC
N/A
Xplornet Communications, Inc.
N/A
15250599.63620000
PA
USD
12257669.46000000
0.213712711176
Long
LON
CORP
CA
N
2
2028-10-02
Variable
8.84000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDH0
975000.00000000
PA
USD
899301.16000000
0.015679333636
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.62500000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM LLC
69379TAA2
6358596.92480000
PA
USD
6333959.27000000
0.110432706028
Long
ABS-MBS
CORP
US
N
2
2028-02-25
Variable
6.87800000
N
N
N
N
N
N
SITECORE HOLDING III A/S
N/A
Sitecore Holding III A/S
N/A
4013552.55060000
PA
4316069.69000000
0.075250761010
Long
LON
CORP
DK
N
3
2026-03-12
Variable
9.19000000
N
N
Y
N
N
N
DENALI CAPITAL CLO XI LTD
254900ENG873HFQYVK56
Denali Capital CLO XI Ltd.
24823DAW6
2500000.00000000
PA
USD
2458054.25000000
0.042856224806
Long
ABS-O
CORP
KY
N
2
2028-10-20
Floating
6.95800000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange USD/JPY
N/A
-2600000.00000000
NC
USD
-9385.97000000
-0.00016364457
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Put
Written
N/A
Foreign Exchange USD/JPY
-2600000
132.70000000
USD
2023-04-04
XXXX
5564.03000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
300000.00000000
NC
3322.75000000
0.000057932212
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
366802.83000000
USD
300000.00000000
GBP
2023-04-06
3322.75000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
560000.00000000
NC
USD
6274.20000000
0.000109390801
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
5746350.40000000
SEK
560000.00000000
USD
2023-04-03
6274.20000000
N
N
N
BRITISH TELECOMMUNICATIO
549300OWFMSO9NYV4H90
British Telecommunications plc
11102AAG6
28200000.00000000
PA
USD
22213276.49000000
0.387288918035
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
Palmer Square Loan Funding Ltd.
69701CAE0
26200000.00000000
PA
USD
25440448.90000000
0.443554733280
Long
ABS-O
CORP
KY
N
2
2030-04-15
Floating
6.63200000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
U.S. Secured Overnight Financing Rate
N/A
6975000.00000000
OU
Notional Amount
USD
-1039022.09000000
-0.01811537083
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
169256.20000000
USD
6975000.00000000
USD
-869765.89000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
-1070000.00000000
NC
USD
11951.26000000
0.000208370456
N/A
DFE
CA
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
1070000.00000000
USD
1461713.73000000
CAD
2023-04-10
11951.26000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NZD / Deliver USD
N/A
5270000.00000000
NC
-14221.18000000
-0.00024794655
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3310872.23000000
USD
5270000.00000000
NZD
2023-04-06
-14221.18000000
N
N
N
NEW ENTERPRISE STONE & L
549300O5DQ5Y61B8VF38
New Enterprise Stone & Lime Company, Inc.
644274AG7
5350000.00000000
PA
USD
5109250.00000000
0.089079875513
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
9.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38141GYU2
20500000.00000000
NS
USD
16989503.54000000
0.296212332607
Long
EP
CORP
US
N
2
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Incorporated Trust
61750FAD2
4338359.28900000
PA
USD
1615921.70000000
0.028173627024
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.04500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
20-Year Interest Rate Swap
N/A
18750000.00000000
NC
6025787.64000000
0.105059727521
N/A
DIR
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Sterling Overnight Interbank Average Rate
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
18750000.00000000
1.58300000
GBP
2027-04-12
XXXX
3101784.85000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver AUD
N/A
-16409940.00000000
NC
-68223.17000000
-0.00118947232
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
16409940.00000000
AUD
10904716.92000000
USD
2023-04-06
-68223.17000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-1100000.00000000
NC
-9900.24000000
-0.00017261088
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1100000.00000000
CAD
804251.42000000
USD
2023-04-05
-9900.24000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
2990000.00000000
NC
USD
16604.51000000
0.000289499962
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
31116702.76000000
NOK
2990000.00000000
USD
2023-04-03
16604.51000000
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AG6
4900000.00000000
PA
USD
4362322.12000000
0.076057173048
Long
DBT
CORP
NL
N
2
2029-03-31
Fixed
4.12500000
N
N
N
N
N
N
BLUE RIBBON LLC (USA)
N/A
Blue Ribbon LLC
N/A
16469743.58480000
PA
USD
12105261.53000000
0.211055475881
Long
LON
CORP
US
N
2
2028-05-08
Variable
10.66000000
N
N
N
N
N
N
SVC ABS LLC
N/A
SVC ABS LLC
78487JAB2
5948760.40520000
PA
USD
5645454.53000000
0.098428612173
Long
ABS-O
CORP
US
N
2
2053-02-20
Fixed
5.55000000
N
N
N
N
N
N
THUNDERBIRD 2022-1
N/A
Thunderbird A
N/A
19194588.24000000
PA
USD
0.19000000
0.000000003312
Long
ABS-O
CORP
US
N
2
2037-03-01
Fixed
0.35000000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange GBP/USD
N/A
10000000.00000000
NC
178176.59000000
0.003106512395
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Call
Purchased
N/A
Foreign Exchange GBP/USD
10000000
1.21900000
GBP
2023-04-04
XXXX
123799.54000000
N
N
N
AMER AIRLINE 17-1 AA PTT
N/A
American Airlines Class AA Pass Through Trust
023761AA7
1052220.00000000
PA
USD
957966.55000000
0.016702165879
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.65000000
N
N
N
N
N
N
GIBSON BRANDS INC
549300KU4ACNZQGB7J14
Gibson Brands, Inc.
N/A
8196250.00000000
PA
USD
6475037.50000000
0.112892407778
Long
LON
CORP
US
N
2
2028-08-11
Variable
9.92000000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange USD/JPY
N/A
-2600000.00000000
NC
USD
-1.46000000
-0.00000002545
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Call
Written
N/A
Foreign Exchange USD/JPY
-2600000
139.35000000
USD
2023-04-04
XXXX
12894.54000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
U.S. Secured Overnight Financing Rate
N/A
932000.00000000
OU
Notional Amount
USD
0.01000000
0.000000000174
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
2037-04-12
0.00000000
USD
63661.97000000
USD
932000.00000000
USD
63661.98000000
N
N
N
MARKEL CORP
549300SCNO12JLWIK605
Markel Corp.
570535AW4
32370000.00000000
NS
USD
31052373.00000000
0.541398741739
Long
EP
CORP
US
N
2
N
N
N
NEW ENTERPRISE STONE & L
549300O5DQ5Y61B8VF38
New Enterprise Stone & Lime Company, Inc.
644274AH5
9081000.00000000
PA
USD
8026642.23000000
0.139944667150
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.25000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-200000.00000000
NC
-9680.79000000
-0.00016878476
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
200000.00000000
GBP
237069.60000000
USD
2023-04-06
-9680.79000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
9000000.00000000
NC
USD
135.58000000
0.000002363840
N/A
DFE
JP
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1194867000.00000000
JPY
9000000.00000000
USD
2023-04-03
135.58000000
N
N
N
UNITED AIR 2019-1 AA PTT
N/A
United Airlines Class AA Pass Through Trust
90931CAA6
975107.53730000
PA
USD
875271.93000000
0.015260383532
Long
DBT
CORP
US
N
2
2031-08-25
Fixed
4.15000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-1220000.00000000
NC
-10184.89000000
-0.00017757376
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1220000.00000000
EUR
1314426.78000000
USD
2023-04-17
-10184.89000000
N
N
N
AMER AIRLINE 16-1 AA PTT
N/A
American Airlines Class AA Pass Through Trust
02376UAA3
2249397.89690000
PA
USD
2068692.07000000
0.036067687443
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.57500000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
1D Euro Short Term Rate
N/A
6017000.00000000
OU
Notional Amount
-483223.73000000
-0.00842501535
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
931.00000000
EUR
0.00000000
EUR
6017000.00000000
EUR
-484142.40000000
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust
39539KAA1
0.00420000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
3
2047-02-25
Floating
5.00500000
N
N
N
N
N
N
MAPS LTD
N/A
MAPS Ltd.
56564RAA8
4072169.75130000
PA
USD
3660865.54000000
0.063827263605
Long
ABS-O
CORP
BM
N
2
2043-05-15
Fixed
4.21200000
N
N
N
N
N
N
THUNDERBIRD 2022-1
N/A
Thunderbird B
N/A
3139019.60000000
PA
USD
2856507.84000000
0.049803271084
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
CD&R Smokey Buyer, Inc.
12510CAA9
950000.00000000
PA
USD
814625.00000000
0.014203003100
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
6.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-3104080000.00000000
NC
398153.92000000
0.006941821525
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3104080000.00000000
JPY
23801448.89000000
USD
2023-04-10
398153.92000000
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange USD/JPY
N/A
-10500000.00000000
NC
USD
-94595.55000000
-0.00164927529
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Call
Written
N/A
Foreign Exchange USD/JPY
-10500000
132.80000000
USD
2023-04-13
XXXX
70254.45000000
N
N
N
ATKORE INC
52990002TI38AM4RPV48
Atkore, Inc.
047649AA6
6875000.00000000
PA
USD
6018059.16000000
0.104924981319
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
4.25000000
N
N
N
N
N
N
HARSCO CORP
KAO98FK89NPNNPQGUZ43
Harsco Corp.
415864AM9
4075000.00000000
PA
USD
3199038.00000000
0.055775291246
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5.75000000
N
N
N
N
N
N
Countrywide Alternative Loan T
549300QTQ6MX6ER06N64
Alternative Loan Trust
126680AA5
6415534.36570000
PA
USD
5291882.39000000
0.092264074870
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
5.20500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Silver Futures Contracts
N/A
-9.00000000
NC
USD
-28890.00000000
-0.00050369772
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Silver Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Silver
2023-04-27
0.00000000
USD
-45000
24.25000000
USD
2023-04-25
XXXX
-16715.88000000
N
N
N
Copper River CLO Ltd
5493005HHHXVM8NBWY47
Copper River CLO Ltd.
217563AC9
8150000.00000000
PA
USD
823.15000000
0.000014351636
Long
ABS-O
CORP
KY
Y
2
2021-01-20
None
0.00000000
N
N
N
N
N
N
HOME POINT CAPITAL INC
549300DQF6YN0E43PM71
Home Point Capital, Inc.
43734LAA4
9810000.00000000
PA
USD
7360492.25000000
0.128330328981
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Foreign Exchange EUR/JPY
N/A
-20000000.00000000
NC
-552042.10000000
-0.00962486500
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Written
N/A
Foreign Exchange EUR/JPY
-20000000
141.05000000
EUR
2023-04-13
XXXX
-217227.76000000
N
N
N
MATCH GROUP HLD II LLC
5493003RFFE030RC9167
Match Group Holdings II LLC
57665RAN6
7700000.00000000
PA
USD
7151144.00000000
0.124680338072
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
345.00000000
NC
USD
-746127.65000000
-0.01300875043
N/A
DCO
US
N
1
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long
N/A
Gold 100 oz.
2023-06-28
69345927.65000000
USD
-746127.65000000
N
N
N
PAR PHARMACEUTICAL INC
549300KK5WR4MGN4YT97
Par Pharmaceutical, Inc.
69888XAA7
1825000.00000000
PA
USD
1357716.21000000
0.023671809163
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.50000000
Y
N
N
N
N
N
PPP INTERMEDIATE HOLDINGS LLC
N/A
Permian Production Partners LLC
N/A
573522.00000000
NS
USD
93890.14000000
0.001636976460
Long
EC
CORP
US
N
3
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France S.A.
02156LAF8
13250000.00000000
PA
USD
9970625.00000000
0.173838045464
Long
DBT
CORP
FR
N
2
2029-07-15
Fixed
5.12500000
N
N
N
N
N
N
SLM CORP
N/A
SLM Corp.
78442PGE0
7714000.00000000
PA
USD
6556900.00000000
0.114319682096
Long
DBT
CORP
US
N
2
2026-11-02
Fixed
3.12500000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo, Inc.
74736KAJ0
9225000.00000000
PA
USD
7631473.50000000
0.133054892472
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.37500000
N
N
N
N
N
N
TREEHOUSE FOODS INC
5493007M7EVHE470Q576
TreeHouse Foods, Inc.
89469AAD6
7575000.00000000
PA
USD
6695555.15000000
0.116737137398
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
4.00000000
N
N
N
N
N
N
ADEVINTA ASA
N/A
Adevinta ASA
N/A
2123333.33020000
PA
2275217.21000000
0.039668457372
Long
LON
CORP
NO
N
2
2028-06-26
Variable
6.02000000
N
N
N
N
N
N
Atlas Senior Loan Fund LTD
N/A
Atlas Senior Loan Fund IX Ltd.
04941WAC7
9600000.00000000
PA
USD
394588.80000000
0.006879663587
Long
ABS-O
CORP
KY
N
2
2028-04-20
None
0.00000000
N
N
N
N
N
N
KINETIK HOLDINGS LP
549300RD6AJIMYC0HY12
Kinetik Holdings, LP
49461MAA8
6100000.00000000
PA
USD
5871250.00000000
0.102365360690
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
5.87500000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange NOK/SEK
N/A
-32000000.00000000
NC
-7082.32000000
-0.00012348039
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Put
Written
N/A
Foreign Exchange NOK/SEK
-32000000
0.98600000
NOK
2023-04-04
XXXX
5741.14000000
N
N
N
API HEAT TRANSFER THERMASYS CORP
N/A
API Heat Transfer
N/A
1380519.63550000
PA
USD
717870.21000000
0.012516081409
Long
LON
CORP
US
N
3
2024-01-01
Variable
7.34000000
N
N
Y
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1690000.00000000
NC
18082.88000000
0.000315275372
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2066957.88000000
USD
1690000.00000000
GBP
2023-04-06
18082.88000000
N
N
N
WASTE PRO USA INC
549300BY1QXU5BI3UF28
Waste Pro USA, Inc.
94107JAA1
600000.00000000
PA
USD
551797.50000000
0.009620600402
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
10800000.00000000
NC
62610.49000000
0.001091615140
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
11663460.00000000
USD
10800000.00000000
EUR
2023-04-17
62610.49000000
N
N
N
ABPCI Direct Lending Fund CLO
N/A
ABPCI Direct Lending Fund CLO I LLC
00086ABC7
5550000.00000000
PA
USD
5152934.69000000
0.089841518953
Long
ABS-O
CORP
KY
N
2
2033-07-20
Floating
7.80800000
N
N
N
N
N
N
MCGRAW-HILL EDUCATION
254900U6YJ9QZ4IQOR26
McGraw-Hill Education, Inc.
57767XAA8
4600000.00000000
PA
USD
4002000.00000000
0.069774949709
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
5.75000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Foreign Exchange EUR/GBP
N/A
11100000.00000000
NC
7379.69000000
0.000128665042
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Put
Purchased
N/A
Foreign Exchange EUR/GBP
11100000
0.86360000
EUR
2023-04-20
XXXX
-29814.71000000
N
N
N
ARCOSA INC
549300WFHLTCZV7D6V29
Arcosa, Inc.
039653AA8
9400000.00000000
PA
USD
8359984.00000000
0.145756487549
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.37500000
N
N
N
N
N
N
Hotwire Funding LLC
254900ZCO90MCT7Y9348
Hotwire Funding LLC
44148JAC3
11750000.00000000
PA
USD
9951562.63000000
0.173505692663
Long
ABS-O
CORP
US
N
2
2051-11-20
Fixed
4.45900000
N
N
N
N
N
N
ONEAMERICA FINL PARTNERS
5493009S1SVD6UNUDB08
OneAmerica Financial Partners, Inc.
682441AB6
11550000.00000000
PA
USD
8436264.49000000
0.147086439412
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
4.25000000
N
N
N
N
N
N
SUBURBAN PROPANE PARTNRS
N/A
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
864486AK1
660000.00000000
PA
USD
640263.06000000
0.011162999203
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
5.87500000
N
N
N
N
N
N
DATIX BIDCO LIMITED
N/A
RLDatix
N/A
912001.29000000
PA
USD
893305.26000000
0.015574795000
Long
LON
CORP
US
N
3
2026-04-27
Variable
12.20000000
N
N
N
N
N
N
Western Asset Institutional U.S. Treasury Reserves - Institutional Shares
N/A
Western Asset Institutional U.S. Treasury Reserves - Institutional Shares
N/A
20049127.71000000
NS
USD
20049127.71000000
0.349556940951
Long
STIV
RF
US
N
1
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange USD/NOK
N/A
-3000000.00000000
NC
USD
-2567.97000000
-0.00004477260
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Call
Written
N/A
Foreign Exchange USD/NOK
-3000000
11.14600000
USD
2023-04-18
XXXX
19362.03000000
N
N
N
HAWAIIAN BRAND INTELLECT
N/A
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
41984LAA5
6645000.00000000
PA
USD
6308463.98000000
0.109988195139
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
ABPCI Direct Lending Fund IX LLC
000806AN9
11550000.00000000
PA
USD
10862324.55000000
0.189384844879
Long
ABS-O
CORP
KY
N
2
2031-11-18
Floating
7.31500000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series
59024LAB7
4030604.74260000
PA
USD
1170346.95000000
0.020405022383
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.08500000
N
N
N
N
N
N
EQT VII NO1 LP
N/A
Sitecore USA, Inc.
N/A
4219205.90470000
PA
USD
4181959.30000000
0.072912543689
Long
LON
CORP
US
N
3
2026-03-12
Variable
11.37000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-1150000.00000000
NC
-1576.96000000
-0.00002749432
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1150000.00000000
EUR
1247032.40000000
USD
2023-04-17
-1576.96000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
8210000.00000000
NC
97854.41000000
0.001706093587
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
10031248.93000000
USD
8210000.00000000
GBP
2023-04-06
97854.41000000
N
N
N
HARBOURVEST STRUCTURED SOLUTIONS IV HOLDINGS LP
N/A
HarbourVest Structured Solutions IV Holdings, LP
N/A
23234291.80180000
PA
USD
23218857.96000000
0.404821250993
Long
ABS-O
CORP
US
N
3
2026-09-15
Variable
7.20400000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-39369000000.00000000
NC
2079747.11000000
0.036260432286
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
39369000000.00000000
JPY
302062393.50000000
USD
2023-06-20
2079747.11000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
2199983.00000000
NC
USD
-12832.38000000
-0.00022373280
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
23157201.46000000
NOK
2199983.00000000
USD
2023-04-03
-12832.38000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec CHF / Deliver USD
N/A
-290000.00000000
NC
USD
979.62000000
0.000017079694
N/A
DFE
CH
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
290000.00000000
USD
265673.70000000
CHF
2023-04-20
979.62000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver AUD
N/A
-4840000.00000000
NC
-1429.88000000
-0.00002492998
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4840000.00000000
AUD
3234964.04000000
USD
2023-04-06
-1429.88000000
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YCP2
9850000.00000000
PA
USD
9988788.17000000
0.174154720695
Long
DBT
CORP
JP
N
2
2029-05-27
Variable
5.66700000
N
N
N
N
N
N
CLEARWATER PAPER CORP
549300HCVV19GXN4P292
Clearwater Paper Corp.
18538RAJ2
5539000.00000000
PA
USD
4976237.60000000
0.086760801669
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
Pershing Square Tontine Holdings, Ltd. - Class A
N/A
6864930.00000000
NS
USD
686.49000000
0.000011968966
Long
EC
CORP
US
N
3
N
N
N
PACTIV EVERGREEN GROUP
N/A
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC
76174LAA1
7943000.00000000
PA
USD
7132814.00000000
0.124360754157
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
870000.00000000
NC
USD
-14991.74000000
-0.00026138128
N/A
DFE
CA
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
1195621.86000000
CAD
870000.00000000
USD
2023-04-10
-14991.74000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DH5
12735000.00000000
PA
USD
14167687.50000000
0.247013913746
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
7.95000000
N
N
N
N
N
N
PARKLAND CORP
549300UY5C6HUV0XLS53
Parkland Corp.
70137WAL2
20000000.00000000
PA
USD
17780000.00000000
0.309994654132
Long
DBT
CORP
CA
N
2
2030-05-01
Fixed
4.62500000
N
N
N
N
N
N
NIDDA MIDCO SARL
N/A
Nidda Healthcare Holding GmbH
N/A
7897239.10000000
PA
8088565.29000000
0.141024296934
Long
LON
CORP
DE
N
2
2026-08-21
Variable
6.18000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
23500000.00000000
NC
282452.45000000
0.004924564091
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
17113935.11000000
USD
23500000.00000000
CAD
2023-04-17
282452.45000000
N
N
N
VB-S1 Issuer LLC
N/A
VB-S1 Issuer LLC - VBTEL
91823ABA8
39650000.00000000
PA
USD
35761508.64000000
0.623502615416
Long
ABS-O
CORP
US
N
2
2052-02-15
Fixed
5.26800000
N
N
N
N
N
N
JACKSON FINANCIAL INC
213800WXW2KG1N4CO374
Jackson Financial, Inc.
46817M206
284000.00000000
NS
USD
7043200.00000000
0.122798332282
Long
EP
CORP
US
N
2
N
N
N
TSG ENTERTAINMENT FINANCE LLC TSGE_17-1
N/A
TSGE
N/A
42342818.62000000
PA
USD
39829632.60000000
0.694430437685
Long
ABS-O
CORP
US
N
3
2031-09-25
Fixed
6.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-310000.00000000
NC
USD
-979.59000000
-0.00001707917
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
310000.00000000
USD
3206893.27000000
SEK
2023-04-03
-979.59000000
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAC8
2662562.50000000
PA
USD
2599752.65000000
0.045326739233
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
BCP V Modular Services Finance II plc
N/A
7000000.00000000
PA
6448764.24000000
0.112434332967
Long
DBT
CORP
GB
N
2
2028-10-30
Fixed
4.75000000
N
N
N
N
N
N
Nassau 2019 CFO LLC
N/A
Nassau LLC
63172DAA9
11884727.70560000
PA
USD
11355422.34000000
0.197982014668
Long
ABS-O
CORP
US
N
2
2034-08-15
Fixed
3.98000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-7170000.00000000
NC
-16163.10000000
-0.00028180397
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
7170000.00000000
EUR
7768644.81000000
USD
2023-04-17
-16163.10000000
N
N
N
BRUNDAGE-BONE CONCRETE
N/A
Brundage-Bone Concrete Pumping Holdings, Inc.
66981QAA4
525000.00000000
PA
USD
492161.25000000
0.008580841196
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
6.00000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
-7280000.00000000
NC
USD
-140397.75000000
-0.00244783756
N/A
DFE
JP
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
7280000.00000000
USD
946956255.00000000
JPY
2023-04-10
-140397.75000000
N
N
N
HGI CRE CLO Ltd
N/A
HGI CRE CLO Ltd.
40390JAJ1
1200000.00000000
PA
USD
1094208.24000000
0.019077542458
Long
ABS-O
CORP
KY
N
2
2036-09-17
Floating
7.17800000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CT7
6950000.00000000
PA
USD
7199644.00000000
0.125525936538
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
7.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
1000000.00000000
NC
USD
-721.87000000
-0.00001258581
N/A
DFE
CA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1351973.00000000
CAD
1000000.00000000
USD
2023-04-10
-721.87000000
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver AUD
N/A
-7000000.00000000
NC
-9355.01000000
-0.00016310478
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
7000000.00000000
AUD
4671380.00000000
USD
2023-04-06
-9355.01000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
1310000.00000000
NC
USD
-17379.55000000
-0.00030301280
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
13775027.28000000
SEK
1310000.00000000
USD
2023-04-03
-17379.55000000
N
N
N
SCHUR FLEXIBLES GMBH
N/A
Schur Flexibles GmbH
N/A
404966.28000000
PA
419597.27000000
0.007315686759
Long
LON
CORP
DE
N
2
2026-09-30
Fixed
12.20000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NZD / Deliver USD
N/A
860000.00000000
NC
-89.88000000
-0.00000156705
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
538063.30000000
USD
860000.00000000
NZD
2023-04-06
-89.88000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-3.00000000
NC
USD
-3540.00000000
-0.00006171997
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-300
1890.00000000
USD
2023-05-25
XXXX
2663.04000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Silver Futures Contracts
N/A
-9.00000000
NC
USD
-1215.00000000
-0.00002118354
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Silver Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Silver
2023-04-27
0.00000000
USD
-45000
21.25000000
USD
2023-04-25
XXXX
13254.12000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NZD / Deliver USD
N/A
2080000.00000000
NC
13570.93000000
0.000236609434
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1287574.08000000
USD
2080000.00000000
NZD
2023-04-06
13570.93000000
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series
59024LAC5
7003166.06800000
PA
USD
2033759.34000000
0.035458634600
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.26500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1060000.00000000
NC
-2944.61000000
-0.00005133933
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1060000.00000000
GBP
1304832.44000000
USD
2023-04-06
-2944.61000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
230000.00000000
NC
USD
149.69000000
0.000002609848
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2385296.88000000
SEK
230000.00000000
USD
2023-04-03
149.69000000
N
N
N
GREENWAY HEALTH LLC (DELAWARE)
N/A
Greenway Health LLC
N/A
3418639.79920000
PA
USD
2530648.11000000
0.044121900201
Long
LON
CORP
US
N
2
2024-02-16
Variable
8.96000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AH0
6552000.00000000
PA
USD
5265740.84000000
0.091808296425
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.37500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-1420000.00000000
NC
-1380.75000000
-0.00002407340
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1420000.00000000
CAD
1049599.18000000
USD
2023-04-04
-1380.75000000
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust
54251RAD5
4306569.83670000
PA
USD
1723919.91000000
0.030056577966
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.14500000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust
46629VAD7
5298887.84200000
PA
USD
4509447.34000000
0.078622304189
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.16500000
N
N
N
N
N
N
Commodity Exchange, Inc.
N/A
Silver Futures Contracts
N/A
500.00000000
NC
USD
5379430.00000000
0.093790469194
N/A
DCO
US
N
1
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long
N/A
Silver
2023-05-26
55145570.00000000
USD
5379430.00000000
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp.
62886EAV0
25000.00000000
PA
USD
24658.25000000
0.000429917079
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
6.12500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-3.00000000
NC
USD
-4230.00000000
-0.00007375013
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-300
1900.00000000
USD
2023-05-25
XXXX
1823.04000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-400000.00000000
NC
-574.04000000
-0.00001000839
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
400000.00000000
CAD
295548.08000000
USD
2023-04-20
-574.04000000
N
N
N
BLOCK INC
549300OHIIUWSTIZME52
Block, Inc.
852234AJ2
12240000.00000000
PA
USD
9975600.00000000
0.173924784688
Long
DBT
CORP
US
N
2
2026-05-01
None
0.00000000
N
N
N
N
Y
Square Inc
Square Inc
USD
XXXX
N
N
N
AMERICAN EQUITY INVESTME
549300RK5RZQ740FPL83
American Equity Investment Life Holding Co.
025676AM9
4813000.00000000
PA
USD
4811803.73000000
0.083893893871
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange USD/JPY
N/A
-10000000.00000000
NC
USD
-76643.10000000
-0.00133627397
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
N/A
Foreign Exchange USD/JPY
-10000000
132.50000000
USD
2023-04-13
XXXX
82856.90000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange EUR/GBP
N/A
5000000.00000000
NC
61827.49000000
0.001077963519
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
N/A
Foreign Exchange EUR/GBP
5000000
0.88870000
EUR
2023-04-03
XXXX
24770.68000000
N
N
N
TENEO HOLDINGS LLC
N/A
Teneo Holdings LLC
N/A
984376.29850000
PA
USD
971146.28000000
0.016931954734
Long
LON
CORP
US
N
2
2025-07-11
Variable
10.16000000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange AUD/NZD
N/A
-29000000.00000000
NC
-6897.49000000
-0.00012025787
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Call
Written
N/A
Foreign Exchange AUD/NZD
-29000000
1.08300000
AUD
2023-04-04
XXXX
134373.05000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-3.00000000
NC
USD
-4590.00000000
-0.00008002674
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-300
1905.00000000
USD
2023-05-25
XXXX
1853.04000000
N
N
N
VALCOUR PACKAGING LLC
N/A
Valcour Packaging LLC
N/A
6252750.00000000
PA
USD
5064727.50000000
0.088303624838
Long
LON
CORP
US
N
2
2028-10-04
Variable
7.98000000
N
N
N
N
N
N
MIDWEST CONNECTOR CAPIT
N/A
Midwest Connector Capital Company LLC
59833CAC6
18763000.00000000
PA
USD
17585895.88000000
0.306610444934
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.62500000
N
N
N
N
N
N
MidOcean Credit CLO
5493004MLF21SFT7F415
MidOcean Credit CLO VII
59801WAT3
21000000.00000000
PA
USD
20372415.00000000
0.355193461291
Long
ABS-O
CORP
KY
N
2
2029-07-15
Floating
6.99200000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver CHF
N/A
5750000.00000000
NC
USD
-37332.81000000
-0.00065089828
N/A
DFE
CH
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
5284020.00000000
CHF
5750000.00000000
USD
2023-04-20
-37332.81000000
N
N
N
GINKGO BIOWORKS HOLDINGS INC
N/A
Ginkgo Bioworks Holdings, Inc.
37611X118
128004.00000000
NS
USD
23040.72000000
0.000401715412
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
-273362.06000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-200000.00000000
NC
-246.32000000
-0.00000429459
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
200000.00000000
CAD
147801.35000000
USD
2023-04-14
-246.32000000
N
N
N
Guggenheim Partners Investment Management LLC
N/A
Guggenheim Ultra Short Duration Fund - Institutional Class
40169J523
4858971.77510000
NS
USD
47180615.94000000
0.822594978631
Long
EC
RF
US
N
1
N
N
N
SUBURBAN PROPANE PARTNRS
N/A
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
864486AL9
11350000.00000000
PA
USD
9917062.50000000
0.172904182210
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
5.00000000
N
N
N
N
N
N
HUNGARY (GOVERNMENT)
N/A
National Bank of Hungary
N/A
5331000000.00000000
PA
15118643.53000000
0.263593851070
Long
DBT
NUSS
HU
N
2
2023-04-06
None
0.00000000
N
N
N
N
N
N
PERSHING SQUARE HOLDINGS
U7LC4KOKCTZ0YWGI2G56
Pershing Square Holdings Ltd.
71531QAD3
13500000.00000000
PA
USD
10561725.00000000
0.184143885737
Long
DBT
CORP
GG
N
2
2030-11-15
Fixed
3.25000000
N
N
N
N
N
N
Anchorage Credit Funding Ltd.
549300VR9XUOV1E0U888
Anchorage Credit Funding 4 Ltd.
03329TAL8
4250000.00000000
PA
USD
3376361.08000000
0.058866922678
Long
ABS-O
CORP
KY
N
2
2039-04-27
Fixed
3.52300000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
5060465.00000000
NC
-24512.56000000
-0.00042737697
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
5518898.60000000
USD
5060465.00000000
EUR
2023-04-17
-24512.56000000
N
N
N
API HEAT TRANSFER PARENT LLC
N/A
API Heat Transfer Intermediate
N/A
218.34000000
NS
USD
0.02000000
0.000000000348
Long
EP
CORP
US
N
3
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1580000.00000000
NC
8274.57000000
0.000144267292
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1580000.00000000
GBP
1957602.62000000
USD
2023-04-06
8274.57000000
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France S.A.
02156LAH4
11760000.00000000
PA
USD
8992353.62000000
0.156781864469
Long
DBT
CORP
FR
N
2
2029-10-15
Fixed
5.50000000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
-14286320.00000000
NC
3841.73000000
0.000066980639
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
14286320.00000000
SEK
1381068.95000000
USD
2023-04-11
3841.73000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NZD
N/A
-2460000.00000000
NC
-3413.21000000
-0.00005950938
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2460000.00000000
NZD
1535440.98000000
USD
2023-04-06
-3413.21000000
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Company, Inc.
432833AL5
15900000.00000000
PA
USD
13923630.00000000
0.242758766373
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
4.00000000
N
N
N
N
N
N
NAVACORD CORP
N/A
Jones Deslauriers Insurance Management, Inc.
N/A
2116311.48620000
PA
1536969.81000000
0.026797099249
Long
LON
CORP
CA
N
2
2028-03-27
Variable
9.27000000
N
N
N
N
N
N
AVALARA INC
N/A
Avalara, Inc.
N/A
15999999.94000000
PA
USD
15785291.94000000
0.275216879376
Long
LON
CORP
US
N
3
2028-10-19
Variable
12.15000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-360000.00000000
NC
USD
7489.97000000
0.000130587776
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
360000.00000000
USD
3813667.56000000
SEK
2023-04-03
7489.97000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver CHF
N/A
410000.00000000
NC
USD
-1049.80000000
-0.00001830328
N/A
DFE
CH
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
375301.62000000
CHF
410000.00000000
USD
2023-04-20
-1049.80000000
N
N
N
AfterNext HealthTech Acquisiti
N/A
AfterNext HealthTech Acquisition Corp.
N/A
895600.00000000
NS
USD
9153032.00000000
0.159583295225
Long
EC
CORP
US
N
1
N
N
N
SMITHFIELD FOODS INC
CVTIPZRZJC0JQEZLL598
Smithfield Foods, Inc.
832248BC1
7000000.00000000
PA
USD
5585230.63000000
0.097378607277
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
740000.00000000
NC
4476.73000000
0.000078051876
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
908499.70000000
USD
740000.00000000
GBP
2023-04-06
4476.73000000
N
N
N
Argent Securities Inc.
N/A
Argent Securities Trust
04012XAA3
9094091.16210000
PA
USD
5936720.93000000
0.103506847658
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.14500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
520000.00000000
NC
USD
-7924.70000000
-0.00013816730
N/A
DFE
CA
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
713225.08000000
CAD
520000.00000000
USD
2023-04-10
-7924.70000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-41254000000.00000000
NC
-7839141.00000000
-0.13667557947
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
41254000000.00000000
JPY
305802644.80000000
USD
2023-06-05
-7839141.00000000
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust
17330VAA4
4879973.58490000
PA
USD
4851791.25000000
0.084591077079
Long
ABS-MBS
CORP
US
N
2
2062-09-25
Variable
6.17000000
N
N
N
N
N
N
FLIGHT BIDCO INC
N/A
Flight Bidco, Inc.
N/A
1000000.00000000
PA
USD
901670.00000000
0.015720634408
Long
LON
CORP
US
N
2
2026-07-23
Variable
12.34000000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods, Inc.
90290MAC5
3542000.00000000
PA
USD
3573931.13000000
0.062311560435
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.25000000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AE1
15125000.00000000
PA
USD
14936240.00000000
0.260413641891
Long
DBT
CORP
NL
N
2
2027-12-15
Fixed
5.50000000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita, Inc.
23918KAT5
4892000.00000000
PA
USD
3858565.00000000
0.067274157627
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
390000.00000000
NC
444.31000000
0.000007746553
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
422997.12000000
USD
390000.00000000
EUR
2023-04-17
444.31000000
N
N
N
YAK HOLDING III LLC
N/A
YAK MAT (YAK ACCESS LLC)
N/A
12220199.00000000
PA
USD
651703.21000000
0.011362458446
Long
LON
CORP
US
N
2
2026-07-10
Variable
12.18457000
N
N
N
N
N
N
FLOWSERVE CORPORATION
6Y0GK87T6V7NJKZJVM41
Flowserve Corp.
34354PAF2
10270000.00000000
PA
USD
8881431.92000000
0.154847942420
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
3.50000000
N
N
N
N
N
N
OPTION CARE HEALTH INC
549300DI3Q5ACSYJRI17
Option Care Health, Inc.
68404LAA0
7736000.00000000
PA
USD
6831581.84000000
0.119108765448
Long
DBT
CORP
US
N
2
2029-10-31
Fixed
4.37500000
N
N
N
N
N
N
VERTICAL TOPCO SARL
N/A
TK Elevator Midco GmbH
N/A
13250000.02620000
PA
13436027.89000000
0.234257413873
Long
LON
CORP
DE
N
3
2027-01-29
Variable
5.91000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023CW3
16010000.00000000
PA
USD
16116738.83000000
0.280995662505
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
BP HOLDCO LLC
N/A
BP Holdco LLC
N/A
37539.00000000
NS
USD
48218.09000000
0.000840683359
Long
EC
CORP
US
N
3
N
N
N
ASCEND PERFORMANCE MATERIALS HOLDINGS INC
N/A
Ascend Performance Materials Operations LLC
N/A
1477934.12300000
PA
USD
1450681.02000000
0.025292652477
Long
LON
CORP
US
N
2
2026-08-27
Variable
9.71000000
N
N
N
N
N
N
JONES DESLAURIERS INSURA
549300JQIWNFU00E5424
Jones Deslauriers Insurance Management, Inc.
48020RAA3
1700000.00000000
PA
USD
1712252.97000000
0.029853164635
Long
DBT
CORP
CA
N
2
2030-12-15
Fixed
10.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1950000.00000000
NC
-19258.06000000
-0.00033576465
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1950000.00000000
GBP
2386558.20000000
USD
2023-04-06
-19258.06000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
1120000.00000000
NC
USD
115.48000000
0.000002013396
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
11621724.80000000
SEK
1120000.00000000
USD
2023-04-03
115.48000000
N
N
N
Asset Backed Securities Corp H
N/A
Asset-Backed Securities Corporation Home Equity Loan Trust
04544PAD1
114717.25110000
PA
USD
112850.38000000
0.001967548622
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.12500000
N
N
N
N
N
N
OHA Credit Partners Ltd
549300WS1N2FZ02EYH25
OHA Credit Partners IX Ltd.
67105VAQ7
4219178.08220000
PA
USD
4852.05000000
0.000084595588
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
HAH Group Holding Co. LLC
N/A
7900000.00000000
PA
USD
7676193.00000000
0.133834577845
Long
LON
CORP
US
N
2
2027-10-29
Variable
9.91000000
N
N
N
N
N
N
LoanCore 2021-CRE6 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53948HAJ5
11300000.00000000
PA
USD
10071259.47000000
0.175592609453
Long
ABS-O
CORP
KY
N
2
2038-11-15
Floating
7.53400000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967PC9
1400000.00000000
NS
USD
1377824.00000000
0.024022388882
Long
EP
CORP
US
N
2
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAL5
25025000.00000000
PA
USD
22861338.50000000
0.398587892087
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
5.62500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBK8
1670000.00000000
PA
USD
1244950.63000000
0.021705739030
Long
DBT
CORP
US
N
2
2050-05-06
Fixed
4.45000000
N
N
N
N
N
N
ONEX CORPORATION
N/A
Save-A-Lot
N/A
22703.20000000
NS
USD
7560.17000000
0.000131811714
Long
EC
CORP
US
N
2
N
N
N
PLATINUM SECURITIES KY
N/A
Platinum for Belize Blue Investment Company LLC
727665AA9
1900000.00000000
PA
USD
1637420.00000000
0.028548450313
Long
DBT
CORP
KY
N
2
2040-10-20
Variable
2.10000000
N
N
N
N
N
N
PACIFIC BELLS LLC
N/A
Pacific Bells LLC
N/A
12097871.03420000
PA
USD
11613956.19000000
0.202489557493
Long
LON
CORP
US
N
2
2028-11-10
Variable
9.66000000
N
N
N
N
N
N
KENNEDY-WILSON INC
5EA4464UK7FM5QNNKL62
Kennedy-Wilson, Inc.
489399AM7
14669000.00000000
PA
USD
10764032.25000000
0.187671116670
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
5.00000000
N
N
N
N
N
N
SOUTHERN VETERINARY COMPANY LLC
N/A
Southern Veterinary Partners LLC
N/A
11311229.22520000
PA
USD
10877669.81000000
0.189652389792
Long
LON
CORP
US
N
2
2027-10-05
Variable
8.84000000
N
N
N
N
N
N
ONTARIO T-BILL
C7PVKCRGLG18EBQGZV36
Ontario T-Bill
6832Z5JR2
145000.00000000
PA
107168.13000000
0.001868478481
Long
DBT
NUSS
CA
N
2
2023-04-12
None
0.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
480000.00000000
NC
8252.61000000
0.000143884419
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
583948.32000000
USD
480000.00000000
GBP
2023-04-06
8252.61000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
5-Year Interest Rate Swap
N/A
92814000.00000000
NC
USD
3013397.71000000
0.052538649093
N/A
DIR
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
U.S. Secured Overnight Financing Rate
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
92814000.00000000
2.69000000
USD
2027-04-19
XXXX
-778054.19000000
N
N
N
ITT HOLDINGS LLC
549300TH2PHOLK31LB42
ITT Holdings LLC
45074JAA2
38952000.00000000
PA
USD
32887952.64000000
0.573402109322
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
6.50000000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO Ltd.
92915UAQ7
16500000.00000000
PA
USD
14940677.40000000
0.260491008049
Long
ABS-O
CORP
KY
N
2
2030-06-07
Floating
8.39200000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NZD / Deliver USD
N/A
3000000.00000000
NC
15037.06000000
0.000262171440
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1861605.00000000
USD
3000000.00000000
NZD
2023-04-03
15037.06000000
N
N
N
TOPBUILD CORP
5493007YSKHOL4RWII46
TopBuild Corp.
89055FAB9
5550000.00000000
PA
USD
4746920.49000000
0.082762653289
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.62500000
N
N
N
N
N
N
Dryden Senior Loan Fund
5493000CMI5L15ZSNM78
Dryden 41 Senior Loan Fund
26244LAA2
11700000.00000000
PA
USD
2532640.50000000
0.044156637561
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
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
3030000.00000000
NC
USD
-26178.36000000
-0.00045642022
N/A
DFE
CA
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4128890.10000000
CAD
3030000.00000000
USD
2023-04-10
-26178.36000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-5500000.00000000
NC
USD
-94159.93000000
-0.00164168025
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
5500000.00000000
USD
56572332.52000000
NOK
2023-04-03
-94159.93000000
N
N
N
Blue Whale Acquisition Corp I
N/A
Blue Whale Acquisition Corp. I
N/A
477700.00000000
NS
USD
4748338.00000000
0.082787367604
Long
EC
CORP
US
N
1
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
-2110000.00000000
NC
USD
3714.36000000
0.000064759940
N/A
DFE
CA
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
2110000.00000000
USD
2855623.36000000
CAD
2023-04-10
3714.36000000
N
N
N
INTEGRATED POWER SERVICES HOLDINGS INC
N/A
Integrated Power Services Holdings, Inc.
N/A
3467983.40580000
PA
USD
3363943.90000000
0.058650428897
Long
LON
CORP
US
N
3
2028-11-22
Variable
9.34000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec CHF / Deliver USD
N/A
-4240000.00000000
NC
USD
26962.34000000
0.000470088934
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4240000.00000000
USD
3895873.12000000
CHF
2023-04-20
26962.34000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
1620000.00000000
NC
USD
-20643.21000000
-0.00035991477
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
17025955.38000000
SEK
1620000.00000000
USD
2023-04-03
-20643.21000000
N
N
N
CENTRAL GARDEN & PET CO
5493004DVZLD37DJ0H83
Central Garden & Pet Co.
153527AP1
5300000.00000000
PA
USD
4576338.00000000
0.079788544178
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
4.12500000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
1D Euro Short Term Rate
N/A
-832000.00000000
OU
Notional Amount
3300.24000000
0.000057539750
N/A
DIR
US
N
2
London Clearing House
F226TOH6YD6XJB17KS62
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
1D Euro Short Term Rate
N/A
Y
2027-03-22
3.61000000
EUR
0.00000000
EUR
-832000.00000000
EUR
3296.60000000
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust
46630BAD8
7411182.92510000
PA
USD
3882965.53000000
0.067699581354
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
4.96500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust
05609VAN5
19750000.00000000
PA
USD
18418229.85000000
0.321122204278
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
6.68400000
N
N
N
N
N
N
RADIATE HOLDCO / FINANCE
N/A
Radiate Holdco LLC / Radiate Finance, Inc.
75026JAC4
3518000.00000000
PA
USD
2752835.00000000
0.047995733054
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
4.50000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing, Inc.
527298BR3
19794000.00000000
PA
USD
11167774.80000000
0.194710376071
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
-330843448.00000000
NC
-506197.30000000
-0.00882556000
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
330843448.00000000
NOK
31107962.61000000
USD
2023-04-03
-506197.30000000
N
N
N
IXIS Real Estate Capital Trust
N/A
IXIS Real Estate Capital Trust
45073DAD0
17040470.62370000
PA
USD
4258151.19000000
0.074240950809
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.07500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746TD3
25750000.00000000
NS
USD
22729782.50000000
0.396294210606
Long
EP
CORP
US
N
2
N
N
N
Neuberger Berman CLO Ltd
549300Y2YE54ON4DJE28
Neuberger Berman Loan Advisers CLO 40 Ltd.
64134JAG8
4050000.00000000
PA
USD
3771645.12000000
0.065758707788
Long
ABS-O
CORP
KY
N
2
2033-04-16
Floating
7.54200000
N
N
N
N
N
N
LoanCore 2018-CRE1 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946CAG4
20500000.00000000
PA
USD
19424393.70000000
0.338664691043
Long
ABS-O
CORP
US
N
2
2035-07-15
Floating
7.17300000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-3.00000000
NC
USD
-3870.00000000
-0.00006747352
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-300
1895.00000000
USD
2023-05-25
XXXX
1823.04000000
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp.
87612BBN1
12632000.00000000
PA
USD
12874769.10000000
0.224471855691
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Foreign Exchange EUR/JPY
N/A
-20000000.00000000
NC
-44259.52000000
-0.00077166561
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Written
N/A
Foreign Exchange EUR/JPY
-20000000
141.05000000
EUR
2023-04-13
XXXX
290554.82000000
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange NOK/SEK
N/A
-32000000.00000000
NC
-9.94000000
-0.00000017330
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Call
Written
N/A
Foreign Exchange NOK/SEK
-32000000
1.02450000
NOK
2023-04-04
XXXX
12813.52000000
N
N
N
PLATINUM EQUITIES LLC
5493008CRWH2WFODTF44
Pelican Products, Inc.
N/A
5058045.56870000
PA
USD
4467923.39000000
0.077898333294
Long
LON
CORP
US
N
2
2028-12-29
Variable
9.41000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-4.00000000
NC
USD
-4600.00000000
-0.00008020109
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-400
2140.00000000
USD
2023-05-25
XXXX
5550.72000000
N
N
N
QBE INSURANCE GROUP LTD
549300D2FBW76FPUSG65
QBE Insurance Group Ltd.
74728GAE0
7550000.00000000
PA
USD
7039897.54000000
0.122740753826
Long
DBT
CORP
AU
N
2
N/A
Variable
5.87500000
N
N
N
N
N
N
TLWND 2019-1
N/A
GAIA Aviation Ltd.
87404LAA0
6731398.28040000
PA
USD
6159330.40000000
0.107388048202
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
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
670000.00000000
NC
-3777.95000000
-0.00006586863
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
731228.62000000
USD
670000.00000000
EUR
2023-04-17
-3777.95000000
N
N
N
BRITISH AIR 20-1 A PPT
N/A
British Airways Class A Pass Through Trust
11044MAA4
7704449.33950000
PA
USD
7197391.02000000
0.125486655787
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.25000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Foreign Exchange USD/JPY
N/A
-9300000.00000000
NC
USD
-3171.39000000
-0.00005529324
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
N/A
Foreign Exchange USD/JPY
-9300000
135.77000000
USD
2023-04-05
XXXX
125678.61000000
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CGMS_13-3A
N/A
Carlyle Global Market Strategies CLO Ltd.
N/A
4938326.00000000
PA
USD
534326.87000000
0.009315999620
Long
ABS-O
CORP
US
N
2
2030-10-15
None
0.00000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
19418000000.00000000
NC
1436902.29000000
0.025052420045
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
145764256.50000000
USD
19418000000.00000000
JPY
2023-05-15
1436902.29000000
N
N
N
DT MIDSTREAM INC
N/A
DT Midstream, Inc.
23345MAA5
5250000.00000000
PA
USD
4602687.76000000
0.080247952769
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
Morgan Stanley IXIS Real Estat
N/A
Morgan Stanley IXIS Real Estate Capital Trust
617463AD6
21767686.18960000
PA
USD
7065177.09000000
0.123181503284
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.06500000
N
N
N
N
N
N
Anchorage Capital CLO LTD
54930064GO7DB3TVDY21
Anchorage Capital CLO 6 Ltd.
03328QBG5
17350000.00000000
PA
USD
15884219.95000000
0.276941691201
Long
ABS-O
CORP
KY
N
2
2030-07-15
Floating
8.24200000
N
N
N
N
N
N
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
-44.00000000
NC
USD
10380.83000000
0.000180989977
N/A
DCO
US
N
1
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Short
N/A
Gold 100 oz.
2023-06-28
-8759340.83000000
USD
10380.83000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
570000.00000000
NC
USD
1506.89000000
0.000026272657
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
5899599.75000000
SEK
570000.00000000
USD
2023-04-03
1506.89000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver NZD
N/A
-540000.00000000
NC
-313.89000000
-0.00000547267
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
540000.00000000
NZD
337483.37000000
USD
2023-04-06
-313.89000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
8489820783.00000000
NC
-828750.95000000
-0.01444928931
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
64837983.97000000
USD
8489820783.00000000
JPY
2023-04-10
-828750.95000000
N
N
N
TEMPUR SEALY INTL INC
549300HFEKVR3US71V91
Tempur Sealy International, Inc.
88023UAJ0
375000.00000000
PA
USD
313125.00000000
0.005459340611
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.87500000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series
93363XAE3
2014709.52670000
PA
USD
1203547.18000000
0.020983869054
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Floating
5.09500000
N
N
N
N
N
N
WYNDHAM HOTELS & RESORTS
549300FE3MQ4RVXXC673
Wyndham Hotels & Resorts, Inc.
98311AAB1
700000.00000000
PA
USD
644862.75000000
0.011243194890
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
Finance of America HECM Buyout
317380AD5
3850000.00000000
PA
USD
3554309.22000000
0.061969452043
Long
ABS-MBS
CORP
US
N
2
2032-08-01
Variable
6.00000000
N
N
N
N
N
N
TERRAFORM GLOBAL OPERATI
549300LC7QMVR79H5O86
Terraform Global Operating, LP
88104UAC7
8285000.00000000
PA
USD
7890551.15000000
0.137571916459
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
CD&R Firefly Bidco Ltd.
N/A
3350000.00000000
PA
3974480.30000000
0.069295143192
Long
LON
CORP
GB
N
2
2025-06-23
Variable
7.78000000
N
N
N
N
N
N
PETIQ INC
N/A
PetIQ LLC
N/A
14246504.95120000
PA
USD
12964319.51000000
0.226033168873
Long
LON
CORP
US
N
3
2028-04-13
Variable
8.96000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
39983000000.00000000
NC
-3104407.98000000
-0.05412541496
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
308084096.50000000
USD
39983000000.00000000
JPY
2023-06-27
-3104407.98000000
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Companies, Inc.
55916AAA2
3114000.00000000
PA
USD
2595347.73000000
0.045249939365
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
Medical Solutions Parent Holdings, Inc.
N/A
2251677.29940000
PA
USD
2185072.68000000
0.038096785696
Long
LON
CORP
US
N
2
2028-11-01
Variable
8.24000000
N
N
N
N
N
N
GALLS
N/A
Galls LLC
N/A
103985.51610000
PA
USD
101385.88000000
0.001767664837
Long
LON
CORP
US
N
3
2025-01-31
Variable
11.58000000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
Carlyle Global Market Strategies CLO Ltd.
14309WAC2
6400000.00000000
PA
USD
1769600.00000000
0.030853011245
Long
ABS-O
CORP
KY
N
2
2032-01-14
None
0.00000000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange CAD/JPY
N/A
-3600000.00000000
NC
-5104.65000000
-0.00008899967
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Put
Written
N/A
Foreign Exchange CAD/JPY
-3600000
97.00000000
CAD
2023-04-06
XXXX
8039.06000000
N
N
N
SAPPHIRE AVIATION FINANCE I LI
N/A
Sapphire Aviation Finance I Ltd.
80306AAA8
14975142.53940000
PA
USD
12182428.21000000
0.212400878484
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
24-7 Intouch, Inc.
N/A
2209696.75900000
PA
USD
2135119.49000000
0.037225850834
Long
LON
CORP
CA
N
2
2025-08-25
Variable
9.59000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-3750000.00000000
NC
USD
-51879.16000000
-0.00090451418
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3750000.00000000
USD
38700982.50000000
NOK
2023-04-03
-51879.16000000
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc.
17312EAD8
10011676.52960000
PA
USD
8103769.35000000
0.141289380023
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.09500000
N
N
N
N
N
N
HUNGARY (GOVERNMENT)
N/A
National Bank of Hungary
N/A
6771000000.00000000
PA
19269427.56000000
0.335962853306
Long
DBT
NUSS
HU
N
2
2023-04-06
None
0.00000000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange EUR/CHF
N/A
3400000.00000000
NC
10656.68000000
0.000185799428
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Put
Purchased
N/A
Foreign Exchange EUR/CHF
3400000
0.98450000
EUR
2023-04-18
XXXX
-23584.30000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
56563522.00000000
NC
154793.47000000
0.002698827232
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5295741.09000000
USD
56563522.00000000
SEK
2023-04-03
154793.47000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-600000.00000000
NC
-16826.36000000
-0.00029336792
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
600000.00000000
GBP
723424.80000000
USD
2023-04-06
-16826.36000000
N
N
N
EVERGREEN ACQCO/TVI INC
N/A
Evergreen Acqco 1 Limited Partnership / TVI, Inc.
30015DAA9
8750000.00000000
PA
USD
8312500.00000000
0.144928603063
Long
DBT
CORP
US
N
2
2028-04-26
Fixed
9.75000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
U.S. Secured Overnight Financing Rate
N/A
-922000.00000000
OU
Notional Amount
USD
-2118.17000000
-0.00003693033
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
8761.88000000
USD
0.00000000
USD
-922000.00000000
USD
-10880.05000000
N
N
N
Security Investors LLC
N/A
Guggenheim Risk Managed Real Estate Fund - Institutional Class
N/A
1035141.76900000
NS
USD
31106010.16000000
0.542333906692
Long
EC
RF
US
N
1
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
3-Month Prague Interbank Offering Rate
N/A
-810000000.00000000
OU
Notional Amount
183323.08000000
0.003196241551
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
2025-01-26
0.00000000
CZK
0.00000000
CZK
-810000000.00000000
CZK
183323.08000000
N
N
N
GRAFTECH INTERNATIONAL LTD.
N/A
GrafTech Finance, Inc.
N/A
1413411.96340000
PA
USD
1406344.90000000
0.024519651342
Long
LON
CORP
US
N
3
2025-02-12
Variable
7.84000000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange USD/NOK
N/A
-3000000.00000000
NC
USD
-33290.28000000
-0.00058041669
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Put
Written
N/A
Foreign Exchange USD/NOK
-3000000
10.43300000
USD
2023-04-18
XXXX
-12590.28000000
N
N
N
Residential Accredit Loans, In
N/A
RALI Series Trust
761118VZ8
5947913.35210000
PA
USD
1202131.58000000
0.020959188040
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
5.38500000
N
N
N
N
N
N
KRONOS ACQ / KIK CUSTOM
N/A
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
50106GAF9
2991000.00000000
PA
USD
2609647.50000000
0.045499256140
Long
DBT
CORP
US
N
2
2027-12-31
Fixed
7.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
2740000.00000000
NC
-16442.01000000
-0.00028666677
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2991389.52000000
USD
2740000.00000000
EUR
2023-04-17
-16442.01000000
N
N
N
Golub Capital Partners CLO Ltd
N/A
Golub Capital Partners CLO 16 Ltd.
38178EAG0
9300000.00000000
PA
USD
8575938.27000000
0.149521654548
Long
ABS-O
CORP
KY
N
2
2033-07-25
Floating
7.71800000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
215018500.00000000
NC
51955.52000000
0.000905845526
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
20494406.46000000
USD
215018500.00000000
NOK
2023-04-03
51955.52000000
N
N
N
LSTAR Securities Investment Lt
N/A
LSTAR Securities Investment Ltd.
50221KAA1
28297882.49260000
PA
USD
28290829.25000000
0.493251171454
Long
ABS-MBS
CORP
US
N
3
2028-01-01
Floating
8.05000000
N
N
N
N
N
N
Dryden Senior Loan Fund
254900I0IPNA482LDS44
Dryden 37 Senior Loan Fund
26249YAG6
9500000.00000000
PA
USD
7093822.90000000
0.123680943552
Long
ABS-O
CORP
KY
N
2
2031-01-15
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1000000.00000000
NC
-8336.93000000
-0.00014535454
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1000000.00000000
GBP
1225415.00000000
USD
2023-04-06
-8336.93000000
N
N
N
NUSTAR LOGISTICS LP
N62BF2PKP51FIIOIUN20
NuStar Logistics, LP
67059TAE5
450000.00000000
PA
USD
426075.94000000
0.007428642500
Long
DBT
CORP
US
N
2
2027-04-28
Fixed
5.62500000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
12434LAG9
15640000.00000000
PA
USD
13925072.44000000
0.242783915343
Long
ABS-O
CORP
KY
N
2
2038-02-15
Floating
6.50800000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
J.P. Morgan Securities LLC
N/A
-16487854.78000000
PA
USD
-16487854.78000000
-0.28746607648
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.66000000
2023-04-03
16300000.00000000
USD
16458110.00000000
USD
UST
N
N
N
HAH GROUP HOLDING CO LLC
N/A
HAH Group Holding Co. LLC
N/A
2503821.90870000
PA
USD
2428707.25000000
0.042344559277
Long
LON
CORP
US
N
2
2027-10-29
Variable
9.91000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-280000.00000000
NC
USD
8298.65000000
0.000144687128
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
280000.00000000
USD
2991850.96000000
SEK
2023-04-03
8298.65000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver AUD
N/A
-1950000.00000000
NC
-7832.04000000
-0.00013655177
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1950000.00000000
AUD
1296087.00000000
USD
2023-04-06
-7832.04000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-220000.00000000
NC
USD
2309.77000000
0.000040270885
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
220000.00000000
USD
2307044.08000000
SEK
2023-04-03
2309.77000000
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-240000.00000000
NC
-1098.23000000
-0.00001914766
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
240000.00000000
EUR
259481.11000000
USD
2023-04-17
-1098.23000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver AUD
N/A
-2740000.00000000
NC
-9303.48000000
-0.00016220635
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2740000.00000000
AUD
1822869.94000000
USD
2023-04-06
-9303.48000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-37847000000.00000000
NC
2026331.43000000
0.035329128841
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
37847000000.00000000
JPY
289049501.70000000
USD
2023-05-18
2026331.43000000
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust
46630BAC0
3133707.68580000
PA
USD
1634209.76000000
0.028492479714
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
4.92500000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
12434LAJ3
8000000.00000000
PA
USD
6601952.00000000
0.115105164614
Long
ABS-O
CORP
KY
N
2
2038-02-15
Floating
6.80800000
N
N
N
N
N
N
RESONETICS LLC
N/A
Resonetics LLC
N/A
1779984.55000000
PA
USD
1704335.21000000
0.029715118332
Long
LON
CORP
US
N
2
2028-04-28
Variable
9.10000000
N
N
N
N
N
N
AIR CANADA 2020-2A PTT
N/A
Air Canada Class A Pass Through Trust
00909DAA1
2795996.79360000
PA
USD
2723286.62000000
0.047480556460
Long
DBT
CORP
CA
N
2
2029-04-01
Fixed
5.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-1340000.00000000
NC
USD
-12377.32000000
-0.00021579882
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1340000.00000000
USD
13777550.36000000
SEK
2023-04-03
-12377.32000000
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-1260000.00000000
NC
-1053.45000000
-0.00001836692
N/A
DFE
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
1260000.00000000
EUR
1366988.11000000
USD
2023-04-17
-1053.45000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
9800000.00000000
NC
USD
102039.57000000
0.001779061935
N/A
DFE
JP
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1286282340.00000000
JPY
9800000.00000000
USD
2023-04-10
102039.57000000
N
N
N
DP HOLDCO LP
N/A
Duff & Phelps
N/A
4312953.96420000
PA
USD
4169203.21000000
0.072690141006
Long
LON
CORP
US
N
2
2027-04-09
Variable
8.65000000
N
N
N
N
N
N
NM Z PARENT INC
NU75S1Y8UH3706J5CS61
Zep, Inc.
N/A
3672375.64300000
PA
USD
3111016.30000000
0.054240631154
Long
LON
CORP
US
N
2
2024-08-12
Variable
9.16000000
N
N
N
N
N
N
PPP INTERMEDIATE HOLDINGS LLC
N/A
Permian Production Partners LLC
N/A
1141656.13330000
PA
USD
1135947.85000000
0.019805273389
Long
LON
CORP
US
N
3
2025-11-24
Variable
6.43000000
N
N
Y
N
N
N
Acres PLC
N/A
ACRES Commercial Realty Ltd.
00500JAE3
3500000.00000000
PA
USD
3331011.95000000
0.058076259693
Long
ABS-O
CORP
KY
N
2
2037-01-15
Floating
6.95900000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
300000.00000000
NC
-1643.62000000
-0.00002865654
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
327367.80000000
USD
300000.00000000
EUR
2023-04-17
-1643.62000000
N
N
N
HIGHTOWER HOLDING LLC
N/A
HighTower Holding LLC
N/A
6987522.17000000
PA
USD
6585739.65000000
0.114822501968
Long
LON
CORP
US
N
2
2028-04-21
Variable
8.82000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust
46654EAN1
15000000.00000000
PA
USD
13503432.00000000
0.235432605873
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
7.32400000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Foreign Exchange USD/JPY
N/A
-10500000.00000000
NC
USD
-91109.34000000
-0.00158849315
N/A
DFE
US
N
2
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Put
Written
N/A
Foreign Exchange USD/JPY
-10500000
132.80000000
USD
2023-04-13
XXXX
73740.66000000
N
N
N
AASET 2017-1 Trust
549300UGVCXV1Y1NM635
AASET Trust
000366AA2
13923299.29340000
PA
USD
11223788.76000000
0.195686980579
Long
ABS-O
CORP
US
N
2
2042-05-16
Fixed
3.96700000
N
N
N
N
N
N
Chicago Mercantile Exchange
N/A
3-Month SOFR Futures Contracts
N/A
-19.00000000
NC
USD
-3783.85000000
-0.00006597150
N/A
DIR
US
N
1
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Short
N/A
3-Month SOFR Futures Contracts
2023-06-20
-4514653.65000000
USD
-3783.85000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-230000.00000000
NC
USD
7063.82000000
0.000123157842
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
230000.00000000
USD
2460155.90000000
SEK
2023-04-03
7063.82000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-2360000.00000000
NC
-7889.31000000
-0.00013755027
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2360000.00000000
GBP
2903765.24000000
USD
2023-04-06
-7889.31000000
N
N
N
MASTR Asset Backed Securities
N/A
Master Asset-Backed Securities Trust
55291KAD9
10117955.26310000
PA
USD
3408324.29000000
0.059424201881
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.16500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
1100000.00000000
NC
6102.61000000
0.000106399126
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
808049.05000000
USD
1100000.00000000
CAD
2023-04-05
6102.61000000
N
N
N
ONEX CORPORATION
N/A
Moran Foods LLC
N/A
199202.24000000
PA
USD
185019.37000000
0.003225816401
Long
LON
CORP
US
N
3
2026-06-30
Variable
12.21000000
N
N
N
N
N
N
TWILIO INC
5493004W8TRGD63APX93
Twilio, Inc.
90138FAD4
4000000.00000000
PA
USD
3394080.00000000
0.059175852401
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.87500000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series Trust
93363XAD5
2821722.02510000
PA
USD
1681160.82000000
0.029311072381
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Floating
5.01500000
N
N
N
N
N
N
MINERVA PARENT LIMITED
N/A
Minerva Bidco Ltd.
N/A
11000000.00000000
PA
12722528.59000000
0.221817539367
Long
LON
CORP
GB
N
2
2025-07-30
Variable
8.05000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1840000.00000000
NC
5792.45000000
0.000100991481
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1840000.00000000
GBP
2275896.00000000
USD
2023-04-06
5792.45000000
N
N
N
MIDWEST VETERINARY PARTNERS LLC
N/A
Mission Veterinary Partners
N/A
21128249.99980000
PA
USD
19437990.00000000
0.338901742805
Long
LON
CORP
US
N
2
2028-04-27
Variable
8.84000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
790000.00000000
NC
7990.00000000
0.000139305809
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
966674.02000000
USD
790000.00000000
GBP
2023-04-06
7990.00000000
N
N
N
TOPBUILD CORP
5493007YSKHOL4RWII46
TopBuild Corp.
89055FAC7
8850000.00000000
PA
USD
7395505.16000000
0.128940779764
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
4.12500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
1586100.00000000
NC
USD
1388.61000000
0.000024210443
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
16584068.10000000
NOK
1586100.00000000
USD
2023-04-03
1388.61000000
N
N
N
Pershing Square Tontine Holdings, Ltd.
549300ZDVEYEVCF35B08
Pershing Square Tontine Holdings, Ltd. - Class A
N/A
762770.00000000
NS
USD
76.28000000
0.000001329943
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
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Foreign Exchange EUR/USD
N/A
11250000.00000000
NC
50614.39000000
0.000882462897
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
N/A
Foreign Exchange EUR/USD
11250000
1.07400000
EUR
2023-05-01
XXXX
6952.34000000
N
N
N
CARE BIDCO SAS
N/A
Care BidCo
N/A
-9200000.00000000
PA
-676804.38000000
-0.01180009784
Short
LON
CORP
FR
N
3
2028-05-04
Variable
0.90000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
-610000.00000000
NC
USD
9414.76000000
0.000164146528
N/A
DFE
CA
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
610000.00000000
USD
836827.95000000
CAD
2023-04-10
9414.76000000
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions, Inc.
14879EAH1
2825000.00000000
PA
USD
2483480.38000000
0.043299529889
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.12500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1160000.00000000
NC
-27285.44000000
-0.00047572218
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1160000.00000000
GBP
1403866.80000000
USD
2023-04-06
-27285.44000000
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm, Inc.
893647BR7
7000000.00000000
PA
USD
7070000.00000000
0.123265590816
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.75000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MV0
30600000.00000000
NS
USD
25841700.00000000
0.450550554200
Long
EP
CORP
US
N
2
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp.
12513GBJ7
14000000.00000000
PA
USD
12041820.00000000
0.209949371542
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
3.56900000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
3420000.00000000
NC
USD
-118915.08000000
-0.00207328678
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
37034887.90000000
NOK
3420000.00000000
USD
2023-04-03
-118915.08000000
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust
54251RAE3
13830241.45650000
PA
USD
5574141.90000000
0.097185275049
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.34500000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank
89117F8Z5
6300000.00000000
PA
USD
6394500.00000000
0.111488234862
Long
DBT
CORP
CA
N
2
2082-10-31
Variable
8.12500000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance, Inc.
74166MAF3
6861000.00000000
PA
USD
6149171.25000000
0.107210923219
Long
DBT
CORP
US
N
2
2027-08-31
Fixed
3.37500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Silver Futures Contracts
N/A
-9.00000000
NC
USD
-24435.00000000
-0.00042602471
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Silver Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Silver
2023-04-27
0.00000000
USD
-45000
24.50000000
USD
2023-04-25
XXXX
-10055.88000000
N
N
N
ACRE COMMERCIAL MORTGAGE TRUST
N/A
ACRE Commercial Mortgage Ltd.
00489TAJ5
7350000.00000000
PA
USD
6747561.66000000
0.117643871936
Long
ABS-O
CORP
KY
N
2
2037-12-18
Floating
7.36100000
N
N
N
N
N
N
BILLIKEN BUYER INC
N/A
EyeCare Partners LLC
N/A
8023437.50000000
PA
USD
6481172.34000000
0.112999368836
Long
LON
CORP
US
N
2
2028-11-15
Variable
8.59000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
5910000.00000000
NC
USD
-54035.45000000
-0.00094210914
N/A
DFE
CA
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
8057398.50000000
CAD
5910000.00000000
USD
2023-04-10
-54035.45000000
N
N
N
RED FIBER PARENT LLC
N/A
Cincinnati Bell, Inc.
N/A
985000.00000000
PA
USD
962226.80000000
0.016776443423
Long
LON
CORP
US
N
2
2028-11-22
Variable
8.16000000
N
N
N
N
N
N
Fortress Credit Opportunities
2549008RD44HDM6DNP14
Fortress Credit Opportunities IX CLO Ltd.
34961JBC7
2950000.00000000
PA
USD
2821141.94000000
0.049186665913
Long
ABS-O
CORP
KY
N
2
2033-10-15
Floating
6.59200000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange EUR/NOK
N/A
-2600000.00000000
NC
-14998.54000000
-0.00026149984
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
N/A
Foreign Exchange EUR/NOK
-2600000
11.35550000
EUR
2023-04-04
XXXX
-4142.07000000
N
N
N
ACROPOLIS INFRASTRUCTURE - A
N/A
Acropolis Infrastructure Acquisition Corp.
005029111
192759.00000000
NS
USD
32846.13000000
0.000572672930
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
-126286.66000000
N
N
N
GALLS
N/A
Galls LLC
N/A
360452.09100000
PA
USD
351440.79000000
0.006127377173
Long
LON
CORP
US
N
3
2025-01-31
Variable
11.58000000
N
N
N
N
N
N
DRYDEN SENIOR LOAN FUND DRSLF_15-37A
N/A
Dryden Senior Loan Fund
N/A
1897598.00000000
PA
USD
467458.09000000
0.008150141109
Long
ABS-O
CORP
KY
N
2
2031-01-15
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
1400000.00000000
NC
2097.57000000
0.000036571174
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1517948.60000000
USD
1400000.00000000
EUR
2023-04-17
2097.57000000
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
939346AB8
3840193.02170000
PA
USD
3064679.48000000
0.053432747774
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
3.97800000
N
N
N
N
N
N
IP Lending LLC
N/A
IP Lending II Ltd.
44988WAA1
7450000.00080000
PA
USD
7198562.50000000
0.125507080564
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.65000000
N
N
N
N
N
N
TRIPADVISOR INC
549300XVG45PT5BART17
TripAdvisor, Inc.
896945AA0
1800000.00000000
PA
USD
1803939.80000000
0.031451726342
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
7.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
-12753465.00000000
NC
-82692.75000000
-0.00144174974
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
12753465.00000000
CAD
9357341.44000000
USD
2023-04-10
-82692.75000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver CHF
N/A
490000.00000000
NC
USD
-160.58000000
-0.00000279971
N/A
DFE
CH
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
447532.29000000
CHF
490000.00000000
USD
2023-04-20
-160.58000000
N
N
N
HGI CRE CLO Ltd
N/A
HGI CRE CLO Ltd.
40390JAG7
1600000.00000000
PA
USD
1461884.80000000
0.025487990605
Long
ABS-O
CORP
KY
N
2
2036-09-17
Floating
6.87800000
N
N
N
N
N
N
NFP CORP
VO2L9FZNXDJNQNEYH039
NFP Corp.
65342RAE0
3950000.00000000
PA
USD
3562900.00000000
0.062119232463
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.87500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
7290000.00000000
NC
USD
43504.20000000
0.000758496593
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
75834868.42000000
NOK
7290000.00000000
USD
2023-04-03
43504.20000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
238735600.00000000
NC
7446.93000000
0.000129837372
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
1857032.03000000
USD
238735600.00000000
JPY
2023-12-07
7446.93000000
N
N
N
Waverley Capital Acquisition C
N/A
Waverley Capital Acquisition Corp. 1
N/A
786700.00000000
NS
USD
8024340.00000000
0.139904527724
Long
EC
CORP
US
N
1
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
19418000000.00000000
NC
1617594.88000000
0.028202798951
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
145724985.20000000
USD
19418000000.00000000
JPY
2023-05-22
1617594.88000000
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands, Inc.
410345AQ5
6100000.00000000
PA
USD
6244875.00000000
0.108879520007
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
9.00000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AX7
12100000.00000000
PA
USD
12199656.57000000
0.212701255284
Long
DBT
CORP
GB
N
2
2029-03-06
Variable
5.87100000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-23.00000000
NC
USD
-130870.00000000
-0.00228172105
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-2300
2000.00000000
USD
2023-05-25
XXXX
20286.64000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange AUD/USD
N/A
-4500000.00000000
NC
-11176.77000000
-0.00019486720
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
N/A
Foreign Exchange AUD/USD
-4500000
0.68290000
AUD
2023-04-20
XXXX
6202.50000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-680000000.00000000
NC
-114299.44000000
-0.00199281301
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
680000000.00000000
JPY
5055536.56000000
USD
2023-06-05
-114299.44000000
N
N
N
ATHENAHEALTH GROUP INC
254900AA3KZN4Q7A5Z33
AthenaHealth Group, Inc.
60337JAA4
26650000.00000000
PA
USD
21609405.68000000
0.376760418435
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
6.50000000
N
N
N
N
N
N
AMER AIRLINE 17-2 AA PTT
N/A
American Airlines Class AA Pass Through Trust
02376AAA7
1210319.85460000
PA
USD
1080763.22000000
0.018843128266
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.35000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver AUD
N/A
-1230000.00000000
NC
-1108.76000000
-0.00001933125
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
1230000.00000000
AUD
821363.25000000
USD
2023-04-06
-1108.76000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
2020000.00000000
NC
USD
-55670.14000000
-0.00097060999
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
21721971.02000000
NOK
2020000.00000000
USD
2023-04-03
-55670.14000000
N
N
N
DATIX BIDCO LIMITED
N/A
RLDatix
N/A
-4945356.86000000
PA
-132393.55000000
-0.00230828418
Short
LON
CORP
US
N
3
2024-10-28
Variable
1.57500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-500000.00000000
NC
USD
-1716.63000000
-0.00002992947
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
500000.00000000
USD
5170990.50000000
SEK
2023-04-03
-1716.63000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-24.00000000
NC
USD
-122400.00000000
-0.00213404643
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-2400
1990.00000000
USD
2023-05-25
XXXX
22104.32000000
N
N
N
ZEPHYR BIDCO LTD
N/A
Zephyr Bidco Ltd.
N/A
1540416.65000000
PA
1474719.42000000
0.025711762460
Long
LON
CORP
GB
N
2
2026-07-23
Variable
11.46000000
N
N
N
N
N
N
FAGE INTL / FAGE USA
N/A
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
30257WAA4
5232000.00000000
PA
USD
4884615.50000000
0.085163368531
Long
DBT
CORP
LU
N
2
2026-08-15
Fixed
5.62500000
N
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower, LP
62482BAB8
7200000.00000000
PA
USD
6246810.00000000
0.108913256770
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.25000000
N
N
N
N
N
N
Wave USA
N/A
WAVE LLC
94354KAA8
7028630.06160000
PA
USD
5931320.34000000
0.103412688264
Long
ABS-O
CORP
US
N
2
2044-09-15
Fixed
3.59700000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Master Asset-Backed Securities Trust
57645JAB5
9517123.85040000
PA
USD
2965765.15000000
0.051708174460
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.04500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
810000.00000000
NC
USD
-11741.28000000
-0.00020470945
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
8599555.35000000
NOK
810000.00000000
USD
2023-04-03
-11741.28000000
N
N
N
H.B. FULLER CO
JSMX3Z5FOYM8V0Q52357
HB Fuller Co.
40410KAA3
5250000.00000000
PA
USD
4657224.86000000
0.081198808194
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.25000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust
54251UAC0
4469365.22020000
PA
USD
1209287.32000000
0.021083948510
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.02500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec NZD / Deliver USD
N/A
960000.00000000
NC
-1732.33000000
-0.00003020320
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
602260.80000000
USD
960000.00000000
NZD
2023-04-06
-1732.33000000
N
N
N
LIBERTY GLOBAL PLC
N/A
Telenet Finance Luxembourg Notes SARL
N/A
7000000.00000000
PA
USD
6440000.00000000
0.112281528268
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
Sapphire Aviation Finance II Ltd.
80307AAA7
542316.31210000
PA
USD
454372.73000000
0.007921997597
Long
ABS-O
CORP
US
N
2
2040-03-15
Fixed
3.22800000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
20-Year Interest Rate Swap
N/A
24141000.00000000
NC
USD
1777142.85000000
0.030984520985
N/A
DIR
US
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
U.S. Secured Overnight Financing Rate
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
24141000.00000000
2.37500000
USD
2029-04-12
XXXX
-1258587.90000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
3500000.00000000
NC
USD
7410.38000000
0.000129200122
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
36244733.00000000
SEK
3500000.00000000
USD
2023-04-03
7410.38000000
N
N
N
Falcon Aerospace Ltd
N/A
Falcon Aerospace Ltd.
30605YAD3
3838675.49000000
PA
USD
3363671.64000000
0.058645682039
Long
ABS-O
CORP
US
N
2
2042-02-15
Fixed
6.30000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-2590000.00000000
NC
-22429.22000000
-0.00039105389
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2590000.00000000
GBP
3172988.28000000
USD
2023-04-06
-22429.22000000
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Foreign Exchange EUR/CAD
N/A
11000000.00000000
NC
25008.68000000
0.000436026833
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
Foreign Exchange EUR/CAD
11000000
1.49100000
EUR
2023-04-20
XXXX
-15672.21000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-2642576998.00000000
NC
8838.88000000
0.000154106048
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2642576998.00000000
JPY
19932619.51000000
USD
2023-04-10
8838.88000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-50000.00000000
NC
-29.00000000
-0.00000050561
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
50000.00000000
GBP
61658.60000000
USD
2023-04-06
-29.00000000
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
013817AK7
2925000.00000000
PA
USD
2946937.50000000
0.051379914007
Long
DBT
CORP
US
N
2
2037-02-01
Fixed
5.95000000
N
N
N
N
N
N
First NLC Trust
N/A
First NLC Trust
32115BAA8
4969484.72910000
PA
USD
2527086.35000000
0.044059800845
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
4.91500000
N
N
N
N
N
N
Venture CDO Ltd
549300ZVVNSDW7WU0O73
Venture XIII CLO Ltd.
92329PAC9
13790000.00000000
PA
USD
759180.87000000
0.013236333589
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
FS Rialto
30319YAJ7
8850000.00000000
PA
USD
8088770.79000000
0.141027879831
Long
ABS-O
CORP
US
N
2
2038-05-16
Floating
7.52800000
N
N
N
N
N
N
VERISURE CAYMAN 2
N/A
Verisure Holding AB
N/A
370000.00000000
PA
384078.23000000
0.006696411589
Long
LON
CORP
SE
N
2
2028-03-27
Variable
6.26000000
N
N
N
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR Capital Corp.
302635AL1
21000000.00000000
PA
USD
17792043.36000000
0.310204630353
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.25000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange AUD/USD
N/A
-4500000.00000000
NC
-5959.92000000
-0.00010391132
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
N/A
Foreign Exchange AUD/USD
-4500000
0.64890000
AUD
2023-04-20
XXXX
10158.68000000
N
N
N
KENNEDY-WILSON INC
5EA4464UK7FM5QNNKL62
Kennedy-Wilson, Inc.
489399AL9
25000.00000000
PA
USD
19875.00000000
0.000346521020
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Foreign Exchange AUD/USD
N/A
-14750000.00000000
NC
-116546.60000000
-0.00203199229
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Written
N/A
Foreign Exchange AUD/USD
-14750000
0.67200000
AUD
2023-04-19
XXXX
31141.10000000
N
N
N
MB2 DENTAL SOLUTIONS LLC
N/A
MB2 Dental Solutions LLC
N/A
20457463.26850000
PA
USD
20112929.51000000
0.350669326605
Long
LON
CORP
US
N
3
2027-01-29
Variable
10.91000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Foreign Exchange EUR/USD
N/A
11250000.00000000
NC
29493.01000000
0.000514211216
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
N/A
Foreign Exchange EUR/USD
11250000
1.10960000
EUR
2023-05-01
XXXX
-15396.27000000
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group, Inc.
043436AW4
4472000.00000000
PA
USD
4002440.00000000
0.069782621118
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.62500000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
2300000.00000000
NC
USD
-25969.52000000
-0.00045277909
N/A
DFE
CA
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
3142379.60000000
CAD
2300000.00000000
USD
2023-04-10
-25969.52000000
N
N
N
JB POINDEXTER & CO INC
549300W6P81HOZZGPQ16
JB Poindexter & Company, Inc.
730481AJ7
11875000.00000000
PA
USD
11132812.50000000
0.194100807674
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
7.12500000
N
N
N
N
N
N
Telos CLO Ltd
549300S94NIRW4K03T89
Telos CLO Ltd.
87970UBA3
800810.61480000
PA
USD
800033.83000000
0.013948605760
Long
ABS-O
CORP
KY
N
2
2027-01-17
Floating
7.39200000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT Issuer Ltd.
05601HAJ3
18425000.00000000
PA
USD
17202534.42000000
0.299926530243
Long
ABS-O
CORP
KY
N
2
2036-03-15
Floating
7.68400000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange EUR/NOK
N/A
-19300000.00000000
NC
-93511.09000000
-0.00163036771
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
N/A
Foreign Exchange EUR/NOK
-19300000
11.29870000
EUR
2023-04-13
XXXX
161618.88000000
N
N
N
SHO HOLDING I CORP
N/A
SHO Holding I Corp.
N/A
3585256.39370000
PA
USD
2482790.05000000
0.043287493972
Long
LON
CORP
US
N
2
2024-04-26
Variable
10.08000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series Trust
75114NAC8
5035370.09340000
PA
USD
1178318.40000000
0.020544004773
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
5.36500000
N
N
N
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners Limited Partnership / GLP Finance Corp.
37954FAJ3
7750000.00000000
PA
USD
7205562.50000000
0.125629125703
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
Dyal Capital Partners IV
N/A
7117500.00000000
PA
USD
5702153.38000000
0.099417157752
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
Golub Capital Partners CLO Ltd.
38175BAE4
20000000.00000000
PA
USD
18906000.00000000
0.329626486559
Long
ABS-O
CORP
KY
N
2
2031-02-05
Floating
6.90600000
N
N
N
N
N
N
GRAFTECH FINANCE INC
1Z010BU876CF2HDBIN43
GrafTech Finance, Inc.
384311AA4
10000000.00000000
PA
USD
8338600.00000000
0.145383657083
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.62500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
-350000.00000000
NC
USD
3724.68000000
0.000064939869
N/A
DFE
CA
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
350000.00000000
USD
477881.25000000
CAD
2023-04-10
3724.68000000
N
N
N
DATIX BIDCO LIMITED
N/A
RLDatix
N/A
3554643.14470000
PA
4290199.97000000
0.074799721926
Long
LON
CORP
US
N
3
2024-10-28
Variable
6.69000000
N
N
N
N
N
N
Dreyfus Treasury Obligations C
549300MKKM9KT7BF6329
Dreyfus Treasury Obligations Cash Management Fund - Institutional Shares
N/A
122357120.34000000
NS
USD
122357120.34000000
2.133298830170
Long
STIV
RF
US
N
1
N
N
N
CPI CG INC
N/A
CPI CG, Inc.
12598FAA7
4269000.00000000
PA
USD
4226310.00000000
0.073685799027
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8.62500000
N
N
N
N
N
N
AEQUI ACQUISITION CORP-CL A
N/A
Aequi Acquisition Corp.
00775W110
333052.33000000
NS
USD
33305.23000000
0.000580677348
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
-1487678.70000000
N
N
N
CHEPLAPHARM ARZNEIMITTEL
529900ONXKBELT7EW052
Cheplapharm Arzneimittel GmbH
16412EAA5
8085000.00000000
PA
USD
7197509.55000000
0.125488722360
Long
DBT
CORP
DE
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods, Inc.
90290MAD3
6550000.00000000
PA
USD
6050562.50000000
0.105491677699
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
HAMILTON PROJECTS ACQUIROR LLC
N/A
Hamilton Projects Acquiror LLC
N/A
2273291.08010000
PA
USD
2250148.98000000
0.039231392283
Long
LON
CORP
US
N
2
2027-06-17
Variable
9.66000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
2170000.00000000
NC
12038.78000000
0.000209896369
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1594060.40000000
USD
2170000.00000000
CAD
2023-04-05
12038.78000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-320000.00000000
NC
USD
3598.30000000
0.000062736432
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
320000.00000000
USD
3358176.96000000
SEK
2023-04-03
3598.30000000
N
N
N
THUNDERBIRD 2022-1
N/A
Lightning B
N/A
3846339.87000000
PA
USD
0.04000000
0.000000000697
Long
ABS-O
CORP
US
N
2
2037-03-01
Fixed
0.35000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-24.00000000
NC
USD
-94560.00000000
-0.00164865548
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-2400
2010.00000000
USD
2023-05-25
XXXX
34014.32000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
610000.00000000
NC
USD
-6498.45000000
-0.00011330060
N/A
DFE
CA
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
832888.02000000
CAD
610000.00000000
USD
2023-04-10
-6498.45000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1000000.00000000
NC
6311.93000000
0.000110048625
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1227440.00000000
USD
1000000.00000000
GBP
2023-04-06
6311.93000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-24.00000000
NC
USD
-129360.00000000
-0.00225539417
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-2400
1995.00000000
USD
2023-05-25
XXXX
21324.32000000
N
N
N
CUSHMAN & WAKEFIELD US
549300870CMN3WI5IF97
Cushman & Wakefield US Borrower LLC
23166MAA1
5303000.00000000
PA
USD
4747644.65000000
0.082775279033
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
6.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec NZD / Deliver USD
N/A
3000000.00000000
NC
514.45000000
0.000008969445
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1876137.00000000
USD
3000000.00000000
NZD
2023-04-06
514.45000000
N
N
N
HINDALCO INDUSTRIES LTD
N/A
Novelis Sheet Ingot GmbH
N/A
4500000.00000000
PA
4244822.61000000
0.074008566751
Long
DBT
CORP
DE
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
-450000.00000000
NC
USD
6881.66000000
0.000119981879
N/A
DFE
CA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
450000.00000000
USD
617246.10000000
CAD
2023-04-10
6881.66000000
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita, Inc.
23918KAS7
8678000.00000000
PA
USD
7407454.02000000
0.129149108376
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
890000.00000000
NC
USD
-2941.11000000
-0.00005127831
N/A
DFE
JP
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
118298800.00000000
JPY
890000.00000000
USD
2023-04-17
-2941.11000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-1120000.00000000
NC
USD
-4486.43000000
-0.00007822099
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1120000.00000000
USD
11576364.80000000
SEK
2023-04-03
-4486.43000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
940000.00000000
NC
2267.21000000
0.000039528851
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1157459.60000000
USD
940000.00000000
GBP
2023-04-06
2267.21000000
N
N
N
KAISER ALUMINUM CORP
N/A
Kaiser Aluminum Corp.
483007AJ9
650000.00000000
PA
USD
578514.00000000
0.010086403112
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.62500000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Ameriquest Mortgage Securities Trust
03076MAA2
19556854.56160000
PA
USD
10586180.13000000
0.184570261416
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.02000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
6-Month EURIBOR
N/A
-18052000.00000000
OU
Notional Amount
-139612.05000000
-0.00243413887
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
London Clearing House
F226TOH6YD6XJB17KS62
6-Month EURIBOR
N/A
Y
2032-11-02
0.00000000
EUR
385106.61000000
EUR
-18052000.00000000
EUR
251833.50000000
N
N
N
AMERICAN FINANCIAL GROUP
549300AFOM7IVKIU1G39
American Financial Group, Inc.
025932864
243449.00000000
NS
USD
4506240.99000000
0.078566401413
Long
EP
CORP
US
N
2
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
620000.00000000
NC
USD
-4954.01000000
-0.00008637326
N/A
DFE
SE
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
6485528.97000000
SEK
620000.00000000
USD
2023-04-03
-4954.01000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-210000.00000000
NC
USD
6601.41000000
0.000115095714
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
210000.00000000
USD
2247804.93000000
SEK
2023-04-03
6601.41000000
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
74841CAB7
21650000.00000000
PA
USD
17950881.00000000
0.312973967770
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.87500000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications, Inc.
775109CD1
9800000.00000000
PA
USD
8061204.91000000
0.140547268164
Long
DBT
CORP
CA
N
2
2052-03-15
Fixed
4.55000000
N
N
N
N
N
N
ATLANTICA SUSTAIN INFRA
549300ITBBGKJ651R879
Atlantica Sustainable Infrastructure plc
04916WAA2
1550000.00000000
PA
USD
1391125.00000000
0.024254292082
Long
DBT
CORP
GB
N
2
2028-06-15
Fixed
4.12500000
N
N
N
N
N
N
ONEX CORPORATION
N/A
Moran Foods LLC
N/A
444112.90230000
PA
USD
429496.56000000
0.007488281078
Long
LON
CORP
US
N
3
2026-06-30
Variable
12.21000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Sterling Overnight Interbank Average Rate
N/A
7289000.00000000
OU
Notional Amount
-1721234.09000000
-0.03000975064
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
1950828.99000000
GBP
7289000.00000000
GBP
319018.22000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-190000.00000000
NC
USD
1566.49000000
0.000027311784
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
190000.00000000
USD
1988002.30000000
SEK
2023-04-03
1566.49000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Gold Futures Contracts
N/A
-4.00000000
NC
USD
-4840.00000000
-0.00008438549
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Gold 100 oz. Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Gold 100 oz.
2023-05-30
0.00000000
USD
-400
2135.00000000
USD
2023-05-25
XXXX
5110.72000000
N
N
N
IRON MOUNTAIN INFO MGMT
N/A
Iron Mountain Information Management Services, Inc.
46285MAA8
1726000.00000000
PA
USD
1482170.45000000
0.025841671316
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Incorporated Trust
61753VAD4
3782702.09790000
PA
USD
1241734.76000000
0.021649670272
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.07500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
800000.00000000
NC
USD
-832.13000000
-0.00001450820
N/A
DFE
JP
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
106096000.00000000
JPY
800000.00000000
USD
2023-04-17
-832.13000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
-1410000.00000000
NC
USD
17611.82000000
0.000307062432
N/A
DFE
CA
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1410000.00000000
USD
1928700.37000000
CAD
2023-04-10
17611.82000000
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
46590XAC0
3400000.00000000
PA
USD
2807760.90000000
0.048953367214
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
3.75000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-124270000.00000000
NC
-1257894.09000000
-0.02193140851
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
124270000.00000000
EUR
133667918.80000000
USD
2023-04-17
-1257894.09000000
N
N
N
Castlelake Aircraft Securitiza
549300MHTIBONNXM3R82
Castlelake Aircraft Securitization Trust
14855MAA6
5671184.81190000
PA
USD
5039868.52000000
0.087870208027
Long
ABS-O
CORP
US
N
2
2039-04-15
Fixed
3.96700000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-320000.00000000
NC
USD
-283.79000000
-0.00000494788
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
320000.00000000
USD
3316495.68000000
SEK
2023-04-11
-283.79000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CA0
3500000.00000000
PA
USD
2313591.00000000
0.040337505165
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAN1
925000.00000000
PA
USD
794880.25000000
0.013858752990
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
4.50000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
U.S. Secured Overnight Financing Rate
N/A
7583000.00000000
OU
Notional Amount
USD
-235693.45000000
-0.00410931999
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
227.49000000
USD
0.00000000
USD
7583000.00000000
USD
-235920.94000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
440000.00000000
NC
USD
4315.28000000
0.000075236992
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4521366.08000000
SEK
440000.00000000
USD
2023-04-03
4315.28000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
2270000.00000000
NC
USD
24654.86000000
0.000429857975
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
23301316.19000000
SEK
2270000.00000000
USD
2023-04-03
24654.86000000
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series
525229AE0
2488373.58950000
PA
USD
2221008.05000000
0.038723319588
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
5.26500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
2690000.00000000
NC
USD
-6292.89000000
-0.00010971666
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
27981076.03000000
SEK
2690000.00000000
USD
2023-04-03
-6292.89000000
N
N
N
Vault DI Issuer LLC
N/A
Vault DI Issuer LLC
92243JAA0
7150000.00000000
PA
USD
6135572.30000000
0.106973825255
Long
ABS-O
CORP
US
N
2
2046-07-15
Fixed
2.80400000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
599191AA1
16745000.00000000
PA
USD
16691081.10000000
0.291009331422
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
1540000.00000000
NC
USD
-33441.87000000
-0.00058305966
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
16328566.10000000
SEK
1540000.00000000
USD
2023-04-03
-33441.87000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-840000.00000000
NC
-108.89000000
-0.00000189849
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
840000.00000000
GBP
1036242.73000000
USD
2023-04-06
-108.89000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
360000.00000000
NC
-2000.53000000
-0.00003487928
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
392869.55000000
USD
360000.00000000
EUR
2023-04-17
-2000.53000000
N
N
N
DATIX BIDCO LIMITED
N/A
Datix Bidco Ltd.
N/A
461709.17000000
PA
USD
452244.13000000
0.007884885414
Long
LON
CORP
GB
N
3
2026-04-27
Variable
12.20000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
320000.00000000
NC
USD
1078.97000000
0.000018811863
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3309638.08000000
SEK
320000.00000000
USD
2023-04-03
1078.97000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
19418000000.00000000
NC
1790454.79000000
0.031216614924
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
145410704.00000000
USD
19418000000.00000000
JPY
2023-05-15
1790454.79000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-370000.00000000
NC
-5803.79000000
-0.00010118919
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
370000.00000000
GBP
450684.42000000
USD
2023-04-06
-5803.79000000
N
N
N
Atlas Senior Loan Fund LTD
N/A
Atlas Senior Loan Fund IX Ltd.
04941VAG0
10250000.00000000
PA
USD
9952277.48000000
0.173518156087
Long
ABS-O
CORP
KY
N
2
2028-04-20
Floating
6.60800000
N
N
N
N
N
N
RITCHIE BROS HLDGS INC
N/A
Ritchie Bros Holdings, Inc.
76774LAB3
2950000.00000000
PA
USD
3037998.50000000
0.052967564356
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1750000.00000000
NC
11369.63000000
0.000198229725
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2147696.25000000
USD
1750000.00000000
GBP
2023-04-06
11369.63000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver CHF
N/A
910000.00000000
NC
USD
-1084.40000000
-0.00001890653
N/A
DFE
CH
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
831849.20000000
CHF
910000.00000000
USD
2023-04-20
-1084.40000000
N
N
N
HEALTHCHANNELS INTERMEDIATE HOLDCO LLC
N/A
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
N/A
4703611.89220000
PA
USD
2696721.81000000
0.047017398469
Long
LON
CORP
US
N
2
2025-04-03
Variable
9.34000000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Master Asset-Backed Securities Trust
57645JAC3
8001628.33010000
PA
USD
2493947.52000000
0.043482024684
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.14500000
N
N
N
N
N
N
FIRST REPUBLIC BANK
YWC0TIKBQM2JV8L4IV08
First Republic Bank
33616C746
803675.00000000
NS
USD
4283587.75000000
0.074684437739
Long
EP
CORP
US
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-790000.00000000
NC
-406.27000000
-0.00000708332
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
790000.00000000
EUR
857334.07000000
USD
2023-04-17
-406.27000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec CHF / Deliver USD
N/A
-830000.00000000
NC
USD
4666.21000000
0.000081355464
N/A
DFE
CH
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
830000.00000000
USD
762076.95000000
CHF
2023-04-20
4666.21000000
N
N
N
COMPAGNIE BENELUX PARTICIPATIONS SA
N/A
Holding SOCOTEC
N/A
7078500.00000000
PA
USD
6774690.78000000
0.118116868683
Long
LON
CORP
FR
N
2
2028-06-30
Variable
9.16000000
N
N
N
N
N
N
Treman Park CLO Ltd
549300E4DX3Q8L455K94
Treman Park CLO Ltd.
89473MAB8
12400000.00000000
PA
USD
328600.00000000
0.005729147544
Long
ABS-O
CORP
KY
N
2
2028-10-20
None
0.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BD8
2715000.00000000
PA
USD
1338766.50000000
0.023341420592
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
THL Credit Lake Shore MM CLO I Ltd.
510800AG0
9900000.00000000
PA
USD
9203149.89000000
0.160457101635
Long
ABS-O
CORP
KY
N
2
2033-04-15
Floating
7.79200000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
05608XAJ1
7350000.00000000
PA
USD
6974212.14000000
0.121595527569
Long
ABS-O
CORP
KY
N
2
2037-11-15
Floating
7.47300000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1110000.00000000
NC
-20349.55000000
-0.00035479480
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1110000.00000000
GBP
1349115.09000000
USD
2023-04-06
-20349.55000000
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust
46629KAE9
8482799.60760000
PA
USD
6093367.16000000
0.106237977798
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.14500000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver CHF
N/A
630000.00000000
NC
USD
512.05000000
0.000008927601
N/A
DFE
CH
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
574742.64000000
CHF
630000.00000000
USD
2023-04-20
512.05000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-750000.00000000
NC
-7984.82000000
-0.00013921549
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
750000.00000000
GBP
917329.13000000
USD
2023-04-06
-7984.82000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
590000.00000000
NC
USD
-17955.14000000
-0.00031304822
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
6309121.34000000
SEK
590000.00000000
USD
2023-04-03
-17955.14000000
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners Limited Partnership / GLP Finance Corp.
37954FAG9
2200000.00000000
PA
USD
2110934.01000000
0.036804176508
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
7.00000000
N
N
N
N
N
N
JEFFERIES FIN LLC / JFIN
N/A
Jefferies Finance LLC / JFIN Company-Issuer Corp.
47232MAF9
23000000.00000000
PA
USD
19471570.00000000
0.339487210774
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec CAD / Deliver JPY
N/A
3200000.00000000
NC
-33449.40000000
-0.00058319095
N/A
DFE
JP
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
318596800.00000000
JPY
3200000.00000000
CAD
2023-04-10
-33449.40000000
N
N
N
HEALTHEQUITY INC
529900LRJU1RAFQHM467
HealthEquity, Inc.
42226AAA5
6555000.00000000
PA
USD
5823911.35000000
0.101540010384
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co.
638671AN7
21150000.00000000
PA
USD
16717549.45000000
0.291470807631
Long
DBT
CORP
US
N
2
2050-04-30
Fixed
4.35000000
N
N
N
N
N
N
BNPP IP CLO LTD
54930038CI4SMKCMEM78
BNPP IP CLO Ltd.
05580HAE9
6022133.52000000
PA
USD
2991193.72000000
0.052151522085
Long
ABS-O
CORP
KY
N
2
2025-10-30
Floating
10.05200000
N
Y
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
22010000.00000000
NC
USD
61534.91000000
0.001072862381
N/A
DFE
JP
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
2911119635.00000000
JPY
22010000.00000000
USD
2023-04-10
61534.91000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver AUD
N/A
-2530000.00000000
NC
4509.90000000
0.000078630196
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2530000.00000000
AUD
1696261.27000000
USD
2023-04-06
4509.90000000
N
N
N
Waverley Capital Acquisition Corp.
N/A
Waverley Capital Acquisition Corp.
N/A
262232.00000000
NS
USD
23600.88000000
0.000411481812
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
-138358.53000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange GBP/USD
N/A
4000000.00000000
NC
67697.94000000
0.001180314932
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
N/A
Foreign Exchange GBP/USD
4000000
1.22560000
GBP
2023-04-20
XXXX
7341.89000000
N
N
N
LoanCore 2021-CRE5 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53947XAL6
8250000.00000000
PA
USD
7397641.35000000
0.128978024279
Long
ABS-O
CORP
KY
N
2
2036-07-15
Floating
7.68400000
N
N
N
N
N
N
TRAEGER PELLET GRILLS LLC
N/A
TGP Holdings LLC
N/A
211795.93000000
PA
USD
166958.73000000
0.002910928782
Long
LON
CORP
US
N
2
2028-06-29
Variable
8.08000000
N
N
N
N
N
N
UK TOPCO
N/A
Chrome Bidco
N/A
4800000.00000000
PA
4318073.13000000
0.075285691026
Long
DBT
CORP
FR
N
2
2028-05-31
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
-34113325.00000000
NC
20805.27000000
0.000362740296
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
34113325.00000000
NOK
3281673.58000000
USD
2023-04-11
20805.27000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
3180000.00000000
NC
USD
-11082.57000000
-0.00019322482
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
33394806.79000000
NOK
3180000.00000000
USD
2023-04-03
-11082.57000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
CDX.NA.HY.40.V1
N/A
-57400000.00000000
OU
Notional Amount
USD
-872480.00000000
-0.01521170617
N/A
DCR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Intercontinental Exchange
5493000F4ZO33MV32P92
CDX HY40 V1 5% 6/20/2028
N/A
Y
CDX HY40 V1 5% 6/20/2028 - Tenor Quarterly
2028-06-20
262937.36000000
USD
0.00000000
USD
-57400000.00000000
USD
-1135417.36000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PDK9
16800000.00000000
PA
USD
17209227.67000000
0.300043227190
Long
DBT
CORP
US
N
2
2033-09-14
Variable
5.71700000
N
N
N
N
N
N
JELD-WEN INC
549300XWE6NM0N1HFW16
JELD-WEN, Inc.
475795AE0
100000.00000000
PA
USD
99750.00000000
0.001739143236
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.25000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-2080000.00000000
NC
-84895.05000000
-0.00148014688
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2080000.00000000
GBP
2481308.96000000
USD
2023-04-06
-84895.05000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-2970000.00000000
NC
USD
70884.30000000
0.001235869182
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2970000.00000000
USD
31557111.30000000
SEK
2023-04-03
70884.30000000
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust, Inc.
85571BAY1
19000000.00000000
PA
USD
15702740.00000000
0.273777584658
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4.37500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
570000.00000000
NC
USD
-6125.40000000
-0.00010679647
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
5978804.67000000
SEK
570000.00000000
USD
2023-04-03
-6125.40000000
N
N
N
HAMPTON ROADS PPV LLC
N/A
Hampton Roads PPV LLC
409322AD6
16735000.00000000
PA
USD
14827887.77000000
0.258524518603
Long
DBT
CORP
US
N
2
2053-06-15
Fixed
6.62100000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
14349060.00000000
PA
USD
14021772.29000000
0.244469879154
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
GS Mortgage Securities Corporation Trust
36258BAQ1
2750000.00000000
PA
USD
2619848.28000000
0.045677106942
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
6.58400000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
-5990000.00000000
NC
USD
-84557.06000000
-0.00147425402
N/A
DFE
JP
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
5990000.00000000
USD
783264380.00000000
JPY
2023-04-10
-84557.06000000
N
N
N
MINERALS TECHNOLOGIES IN
549300D3I1QU67GP6403
Minerals Technologies, Inc.
603158AA4
11280000.00000000
PA
USD
10285555.20000000
0.179328859774
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
3100000.00000000
NC
USD
50739.79000000
0.000884649249
N/A
DFE
JP
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
404436540.00000000
JPY
3100000.00000000
USD
2023-04-10
50739.79000000
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
MetLife, Inc.
59156RCA4
12200000.00000000
NS
USD
10748850.63000000
0.187406424823
Long
EP
CORP
US
N
2
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-2290000.00000000
NC
USD
-12437.36000000
-0.00021684561
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2290000.00000000
USD
23826547.74000000
NOK
2023-04-11
-12437.36000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
330000.00000000
NC
USD
1114.40000000
0.000019429586
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3413046.45000000
SEK
330000.00000000
USD
2023-04-03
1114.40000000
N
N
N
Falcon Aerospace Ltd
N/A
Falcon Aerospace Ltd.
30605YAB7
12139410.09140000
PA
USD
11450175.66000000
0.199634040690
Long
ABS-O
CORP
US
N
2
2042-02-15
Fixed
4.58100000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1230000.00000000
NC
34476.81000000
0.000601103869
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1483038.06000000
USD
1230000.00000000
GBP
2023-04-06
34476.81000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
110000.00000000
NC
4581.27000000
0.000079874533
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
131131.44000000
USD
110000.00000000
GBP
2023-04-06
4581.27000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
41254000000.00000000
NC
6005578.60000000
0.104707382506
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
307636207.20000000
USD
41254000000.00000000
JPY
2023-06-05
6005578.60000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
1690000.00000000
NC
1475.82000000
0.000025730951
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1833437.06000000
USD
1690000.00000000
EUR
2023-04-17
1475.82000000
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-160000.00000000
NC
-4848.05000000
-0.00008452584
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
160000.00000000
GBP
192552.26000000
USD
2023-04-06
-4848.05000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
950000.00000000
NC
USD
614.90000000
0.000010720793
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
9852348.35000000
SEK
950000.00000000
USD
2023-04-03
614.90000000
N
N
N
SIX FLAGS THEME PARKS
5493003MX0ZXTM8EVY68
Six Flags Theme Parks, Inc.
83001WAC8
2757000.00000000
PA
USD
2785493.60000000
0.048565136395
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
7.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-2420000.00000000
NC
12566.41000000
0.000219095608
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2420000.00000000
EUR
2640074.80000000
USD
2023-04-17
12566.41000000
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Foreign Exchange EUR/CAD
N/A
4000000.00000000
NC
21743.13000000
0.000379091904
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
Foreign Exchange EUR/CAD
4000000
1.46700000
EUR
2023-04-20
XXXX
-14649.75000000
N
N
N
SOTHEBY'S/BIDFAIR HLD
N/A
Sotheby's/Bidfair Holdings, Inc.
83600GAA2
9400000.00000000
PA
USD
7795600.57000000
0.135916451206
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.87500000
N
N
N
N
N
N
ABPCI Direct Lending Fund CLO
N/A
ABPCI Direct Lending Fund CLO V Ltd.
000807AS6
9200000.00000000
PA
USD
8666052.24000000
0.151092793410
Long
ABS-O
CORP
KY
N
2
2031-04-20
Floating
7.70800000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-19418000000.00000000
NC
-1636757.49000000
-0.02853689943
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
19418000000.00000000
JPY
145564401.30000000
USD
2023-05-15
-1636757.49000000
N
N
N
NAVACORD CORP
N/A
Jones Deslauriers Insurance Management, Inc.
N/A
13828020.33040000
PA
10042590.55000000
0.175092766262
Long
LON
CORP
CA
N
2
2028-03-27
Variable
9.27000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Ameriquest Mortgage Securities Trust
03076MAC8
13244198.93140000
PA
USD
3959375.79000000
0.069031795759
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
4.94500000
N
N
N
N
N
N
PS HOLDINGS INDEPENDENT VOTING COMPANY LTD
U7LC4KOKCTZ0YWGI2G56
Pershing Square Holdings Ltd.
N/A
1600000.00000000
PA
USD
1251760.00000000
0.021824460531
Long
DBT
CORP
GG
N
2
2030-11-15
Fixed
3.25000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
200000.00000000
NC
-89.31000000
-0.00000155712
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
246897.10000000
USD
200000.00000000
GBP
2023-04-17
-89.31000000
N
N
N
PETSMART INC/PETSMART FI
N/A
PetSmart, Inc. / PetSmart Finance Corp.
71677KAA6
2800000.00000000
PA
USD
2628500.00000000
0.045827949853
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.75000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial, Inc.
21871XAN9
10750000.00000000
PA
USD
9583092.55000000
0.167081409480
Long
DBT
CORP
US
N
2
2052-12-15
Variable
6.87500000
N
N
N
N
N
N
SITECORE HOLDING III A/S
N/A
Sitecore Holding III A/S
N/A
4142483.15890000
PA
USD
4105913.86000000
0.071586689928
Long
LON
CORP
DK
N
3
2026-03-12
Variable
11.37000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-250000.00000000
NC
USD
-81.11000000
-0.00000141415
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
250000.00000000
USD
2593560.75000000
SEK
2023-04-03
-81.11000000
N
N
N
KUVARE US HOLDINGS INC
254900MGBERNLZXF7O58
Kuvare US Holdings, Inc.
50149XAA2
19150000.00000000
NS
USD
19245750.00000000
0.335550034576
Long
EP
CORP
US
N
2
N
N
N
Apollo Aviation Securitization
N/A
AASET Trust
00255UAB1
3751346.76980000
PA
USD
1672719.52000000
0.029163898147
Long
ABS-O
CORP
US
N
2
2040-01-16
Fixed
4.33500000
N
N
N
N
N
N
GALLS
N/A
Galls LLC
N/A
-100873.96920000
PA
USD
-2521.85000000
-0.00004396850
Short
LON
CORP
US
N
3
2024-01-31
Variable
0.73881000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
550000.00000000
NC
693.15000000
0.000012085084
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
596467.85000000
USD
550000.00000000
EUR
2023-04-17
693.15000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-490000.00000000
NC
USD
-2353.06000000
-0.00004102564
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
490000.00000000
USD
5060609.75000000
SEK
2023-04-03
-2353.06000000
N
N
N
Wells Fargo Commercial Mortgag
5493002S7XBI8CVRR075
Wells Fargo Commercial Mortgage Trust
94989HAF7
96395.27820000
PA
USD
96148.26000000
0.001676346828
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
2.63200000
N
N
N
N
N
N
PLAYTIKA HOLDING CORP
254900E35Z4TKA4UFG64
Playtika Holding Corp.
72815LAA5
5850000.00000000
PA
USD
4870125.00000000
0.084910726375
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
FKRT
N/A
33850000.00000000
PA
USD
32978795.10000000
0.574985949422
Long
ABS-MBS
CORP
US
Y
3
2058-11-30
Fixed
2.21100000
N
N
N
N
N
N
SMRT
N/A
SMRT
78457JAL6
10000000.00000000
PA
USD
9122401.00000000
0.159049243129
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
6.77800000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Foreign Exchange USD/JPY
N/A
-3000000.00000000
NC
USD
-7941.03000000
-0.00013845201
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Foreign Exchange USD/JPY
-3000000
130.18000000
USD
2023-04-13
XXXX
7658.97000000
N
N
N
Wind River CLO Ltd
549300AMLFWC1VCUN251
Wind River 2014-1 CLO Ltd.
88432CBB1
3983606.41580000
PA
USD
3903347.50000000
0.068054941407
Long
ABS-O
CORP
KY
N
2
2031-07-18
Floating
5.84500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-410000.00000000
NC
-2063.87000000
-0.00003598361
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
410000.00000000
GBP
503774.42000000
USD
2023-04-06
-2063.87000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
1220000.00000000
NC
2842.51000000
0.000049559218
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1502334.84000000
USD
1220000.00000000
GBP
2023-04-06
2842.51000000
N
N
N
KVK CLO Ltd
5493007VGL59COTLZY21
KVK CLO Ltd.
48274GAB8
11900000.00000000
PA
USD
2081440.90000000
0.036289963548
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
FS Rialto Issuer LLC
30328DAG8
6150000.00000000
PA
USD
6065571.57000000
0.105753361133
Long
ABS-O
CORP
US
N
2
2037-08-17
Floating
8.92100000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
-2170000.00000000
NC
USD
42666.42000000
0.000743889882
N/A
DFE
CA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2170000.00000000
USD
2989307.37000000
CAD
2023-04-10
42666.42000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
1640000.00000000
NC
11660.84000000
0.000203306977
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1768964.68000000
USD
1640000.00000000
EUR
2023-04-17
11660.84000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
6-Month EURIBOR
N/A
1790000.00000000
OU
Notional Amount
6242.69000000
0.000108841424
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
London Clearing House
F226TOH6YD6XJB17KS62
6-Month EURIBOR
N/A
Y
2032-03-24
1092.78000000
EUR
0.00000000
EUR
1790000.00000000
EUR
5142.19000000
N
N
N
FEDERAL FARM CREDIT BANK
254900C5LP6DN9OP9V83
Federal Farm Credit Bank
3133EN3G3
2000000.00000000
PA
USD
2002056.00000000
0.034905886235
Long
DBT
USGSE
US
N
2
2024-06-27
Floating
4.98500000
N
N
N
N
N
N
UPBOUND GROUP INC
N/A
Rent-A-Center, Inc.
N/A
10421665.91650000
PA
USD
10291395.09000000
0.179430678372
Long
LON
CORP
US
N
2
2028-02-17
Variable
8.13000000
N
N
N
N
N
N
FT 1 INC
5493002GPK5LQJ7QPJ51
Targus Inc
N/A
12773.00000000
NS
USD
1.28000000
0.000000022316
Long
EC
CORP
US
N
3
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver NOK
N/A
1500000.00000000
NC
USD
9081.67000000
0.000158339097
N/A
DFE
NO
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
15602520.00000000
NOK
1500000.00000000
USD
2023-04-03
9081.67000000
N
N
N
CHESTERFIELD FINANCIAL HOLDING CHEST_23-1
N/A
CHEST
N/A
6000000.00000000
PA
USD
6044689.80000000
0.105389287057
Long
ABS-O
CORP
US
N
3
2043-03-15
Variable
7.12500000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series
59024LAD3
5069288.74040000
PA
USD
1472175.69000000
0.025667412477
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.36500000
N
N
N
N
N
N
CITADEL ENTERPRISE AMERICAS LLC
N/A
Ceamer Finance LLC
N/A
5817840.30000000
PA
USD
5430040.58000000
0.094672865664
Long
ABS-O
CORP
US
N
3
2031-03-22
Fixed
3.69000000
N
N
N
N
N
N
FR REFUEL LLC
N/A
FR Refuel LLC
N/A
20996037.93440000
PA
USD
20051216.23000000
0.349593354339
Long
LON
CORP
US
N
3
2028-11-08
Variable
9.42000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
1850000.00000000
NC
USD
29328.93000000
0.000511350478
N/A
DFE
JP
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
241483460.00000000
JPY
1850000.00000000
USD
2023-04-10
29328.93000000
N
N
N
API HEAT TRANSFER THERMASYS CORP
N/A
API Heat Transfer Parent LLC
N/A
1763707.00000000
NS
USD
176.37000000
0.000003075014
Long
EC
CORP
US
N
3
N
N
N
VanEck Gold Miners ETF/USA
54930031TORTKAM9TJ98
VanEck Gold Miners ETF
92189F106
1430590.00000000
NS
USD
46279586.50000000
0.806885512398
Long
EC
RF
US
N
1
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec AUD / Deliver USD
N/A
2940000.00000000
NC
10167.78000000
0.000177275446
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1955740.92000000
USD
2940000.00000000
AUD
2023-04-06
10167.78000000
N
N
N
Fortress Credit Opportunities
2549008RD44HDM6DNP14
Fortress Credit Opportunities IX CLO Ltd.
34961JBJ2
7750000.00000000
PA
USD
6962575.98000000
0.121392650888
Long
ABS-O
CORP
KY
N
2
2033-10-15
Floating
8.74200000
N
N
N
N
N
N
SITECORE HOLDING III A/S
N/A
Sitecore Holding III A/S
N/A
5016940.68280000
PA
5395087.10000000
0.094063451044
Long
LON
CORP
DK
N
3
2026-03-12
Variable
9.19000000
N
N
Y
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust
61748JAB3
8284260.40960000
PA
USD
2394262.27000000
0.041744010365
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.14500000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust
320275AE0
7578181.20530000
PA
USD
3184604.85000000
0.055523648988
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.26500000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-19418000000.00000000
NC
-1628027.39000000
-0.02838468997
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
19418000000.00000000
JPY
145573131.40000000
USD
2023-05-15
-1628027.39000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
1110000.00000000
NC
USD
-8683.85000000
-0.00015140309
N/A
DFE
CA
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1511339.37000000
CAD
1110000.00000000
USD
2023-04-10
-8683.85000000
N
N
N
STATION CASINOS LLC
5493004E7Q60TX54WL62
Station Casinos LLC
857691AH2
3800000.00000000
PA
USD
3209100.00000000
0.055950722417
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
4.62500000
N
N
N
N
N
N
Conyers Park III Acquisition C
N/A
Conyers Park III Acquisition Corp.
21289P102
832100.00000000
NS
USD
8412531.00000000
0.146672645541
Long
EC
CORP
US
N
1
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Companies, Inc.
071734AN7
15600000.00000000
PA
USD
9204000.00000000
0.160471923320
Long
DBT
CORP
CA
N
2
2028-06-01
Fixed
4.87500000
N
N
N
N
N
N
SC GAMES HOLDIN/US FINCO
N/A
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.
80874DAA4
3500000.00000000
PA
USD
3092876.61000000
0.053924365297
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
6.62500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
870000.00000000
NC
USD
-16357.17000000
-0.00028518758
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
9198269.01000000
SEK
870000.00000000
USD
2023-04-03
-16357.17000000
N
N
N
LASERAWAY INTERMEDIATE HOLDINGS II LLC
N/A
LaserAway Intermediate Holdings II LLC
N/A
12346515.98500000
PA
USD
12084152.52000000
0.210687439871
Long
LON
CORP
US
N
2
2027-10-14
Variable
10.58000000
N
N
N
N
N
N
RADIATE HOLDINGS LP
N/A
Radiate Holdco LLC
N/A
7607243.47620000
PA
USD
6197164.83000000
0.108047692242
Long
LON
CORP
US
N
2
2026-09-25
Variable
8.09000000
N
N
N
N
N
N
DATIX BIDCO LIMITED
N/A
Datix Bidco Ltd.
N/A
9112505.10000000
PA
USD
8914763.74000000
0.155429083366
Long
LON
CORP
GB
N
3
2025-04-28
Variable
8.95000000
N
N
N
N
N
N
BILLIKEN BUYER INC
N/A
EyeCare Partners LLC
N/A
2139593.89920000
PA
USD
1735446.01000000
0.030257535750
Long
LON
CORP
US
N
2
2027-02-18
Variable
8.59000000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp.
62886EBA5
3850000.00000000
PA
USD
3331226.36000000
0.058079997936
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.12500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange USD/JPY
N/A
-18500000.00000000
NC
USD
-237763.67000000
-0.00414541432
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
N/A
Foreign Exchange USD/JPY
-18500000
131.61000000
USD
2023-05-03
XXXX
46951.33000000
N
N
N
Navigator Aircraft ABS LLC
N/A
Navigator Aircraft ABS Ltd.
63943BAB9
5797209.64000000
PA
USD
4774776.07000000
0.083248315881
Long
ABS-O
CORP
US
N
2
2046-11-15
Variable
3.57100000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-38836000000.00000000
NC
7028149.92000000
0.122535933838
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
38836000000.00000000
JPY
301430467.50000000
USD
2023-05-15
7028149.92000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
250000.00000000
NC
5362.98000000
0.000093503663
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
303075.00000000
USD
250000.00000000
GBP
2023-04-06
5362.98000000
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts, LP
44107TAZ9
24000000.00000000
PA
USD
20271138.48000000
0.353427703148
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One, Inc.
12685JAE5
5750000.00000000
PA
USD
4536750.00000000
0.079098326610
Long
DBT
CORP
US
N
2
2026-03-15
None
0.00000000
N
N
N
N
Y
Cable One Inc
Cable One Inc
USD
XXXX
N
N
N
ENDO LUX FIN CO I SARL
N/A
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
29280BAA3
4400000.00000000
PA
USD
3254815.39000000
0.056747771152
Long
DBT
CORP
LU
N
2
2029-04-01
Fixed
6.12500000
Y
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
310000.00000000
NC
USD
-3048.98000000
-0.00005315902
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3248700.18000000
SEK
310000.00000000
USD
2023-04-03
-3048.98000000
N
N
N
AUXEY HOLDCO LTD
N/A
Alexander Mann
N/A
3000000.00000000
PA
3494466.86000000
0.060926099304
Long
LON
CORP
GB
N
2
2025-06-16
Variable
8.55000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
1360000.00000000
NC
USD
-34166.93000000
-0.00059570110
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
14468120.64000000
SEK
1360000.00000000
USD
2023-04-03
-34166.93000000
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver CHF
N/A
280000.00000000
NC
USD
787.68000000
0.000013733216
N/A
DFE
CH
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
254929.78000000
CHF
280000.00000000
USD
2023-04-20
787.68000000
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAE8
379000.00000000
PA
USD
349878.78000000
0.006100143497
Long
ABS-O
CORP
US
N
2
2048-03-15
Fixed
3.88400000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust
3622MGAA6
18317900.46180000
PA
USD
9980491.58000000
0.174010069483
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
4.97500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - Rec CAD / Deliver USD
N/A
2201549.00000000
NC
14769.62000000
0.000257508618
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
1621288.66000000
USD
2201549.00000000
CAD
2023-12-28
14769.62000000
N
N
N
KREF FUNDING V LLC
N/A
KREF Funding V LLC
N/A
14189520.19500000
PA
USD
14107919.67000000
0.245971860440
Long
ABS-O
CORP
US
N
3
2026-06-25
Variable
6.43400000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94988U128
836225.00000000
NS
USD
15796290.25000000
0.275408635130
Long
EP
CORP
US
N
2
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-320000.00000000
NC
USD
10595.36000000
0.000184730312
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
320000.00000000
USD
3430789.76000000
SEK
2023-04-03
10595.36000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver CAD
N/A
1180000.00000000
NC
USD
-16239.00000000
-0.00028312728
N/A
DFE
CA
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1616116.20000000
CAD
1180000.00000000
USD
2023-04-10
-16239.00000000
N
N
N
BDS Ltd
N/A
BDS Ltd.
05493NAJ1
2700000.00000000
PA
USD
2407355.91000000
0.041972298239
Long
ABS-O
CORP
KY
N
2
2038-11-16
Floating
7.36100000
N
N
N
N
N
N
Marathon CLO LTD
635400LRBGQZIPTCBI09
Marathon CLO V Ltd.
56576QAQ1
6549640.85110000
PA
USD
6522556.78000000
0.113720907372
Long
ABS-O
CORP
KY
N
2
2027-11-21
Floating
6.36500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-410000.00000000
NC
-376.76000000
-0.00000656881
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
410000.00000000
GBP
505461.53000000
USD
2023-04-06
-376.76000000
N
N
N
FT 1 INC
5493002GPK5LQJ7QPJ51
Targus Inc
N/A
12773.00000000
NS
USD
376.68000000
0.000006567423
Long
EC
CORP
US
N
3
N
N
N
THUNDERBIRD 2022-1
N/A
Lightning B
N/A
3153660.13000000
PA
USD
2869830.72000000
0.050035555762
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
Avery Point II CLO Ltd.
N/A
6270000.00000000
PA
USD
43074.90000000
0.000751011739
Long
ABS-O
CORP
KY
N
2
2025-01-18
None
0.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-320000.00000000
NC
USD
8718.62000000
0.000152009313
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
320000.00000000
USD
3411313.60000000
SEK
2023-04-03
8718.62000000
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series Trust
933631AE3
7322870.49090000
PA
USD
3289978.98000000
0.057360849044
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.07500000
N
N
N
N
N
N
OSW Structured Asset Trust
N/A
OSAT Trust
67114HAA2
7664483.17670000
PA
USD
7216649.72000000
0.125822431605
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.11600000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton, Inc.
09951LAA1
11800000.00000000
PA
USD
10767972.00000000
0.187739806290
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.87500000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
10Y-2Y SOFR CMS CAP
N/A
80550000.00000000
NC
USD
237746.55000000
0.004145115834
N/A
DIR
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
10Y-2Y SOFR CMS CAP
80550000
0.20000000
USD
2023-12-19
XXXX
-93515.33000000
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
5-Year Interest Rate Swap
N/A
-22032000.00000000
NC
USD
-587572.95000000
-0.01024434608
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
U.S. Secured Overnight Financing Rate
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
-22032000.00000000
2.70000000
USD
2025-04-17
XXXX
185750.25000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-3300000.00000000
NC
-8701.87000000
-0.00015171727
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3300000.00000000
GBP
4062679.50000000
USD
2023-04-06
-8701.87000000
N
N
N
Capital Automotive Reit
N/A
CARS-DB4, LP
12510HAJ9
21105000.00000000
PA
USD
18102203.82000000
0.315612284151
Long
ABS-O
CORP
US
N
2
2050-02-15
Fixed
4.95000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec NOK / Deliver USD
N/A
-600000.00000000
NC
USD
12058.13000000
0.000210233736
N/A
DFE
NO
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
600000.00000000
USD
6399840.00000000
NOK
2023-04-21
12058.13000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-1760000.00000000
NC
-19567.56000000
-0.00034116079
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1760000.00000000
GBP
2151835.84000000
USD
2023-04-06
-19567.56000000
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust
056054AK5
1989000.00010000
PA
USD
1913793.52000000
0.033367028139
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
7.24200000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-39983000000.00000000
NC
3854007.18000000
0.067194691945
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
39983000000.00000000
JPY
308833695.70000000
USD
2023-06-27
3854007.18000000
N
N
N
Labrador Aviation Finance Limi
N/A
Labrador Aviation Finance Ltd.
50543LAA0
9221142.80650000
PA
USD
7512267.71000000
0.130976537149
Long
ABS-O
CORP
US
N
2
2042-01-15
Fixed
4.30000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AR9
1200000.00000000
PA
USD
1208832.00000000
0.021076009996
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.37500000
N
N
N
N
N
N
Vacasa Inc
N/A
Vacasa, Inc.
91854V107
503817.00000000
NS
USD
484772.72000000
0.008452022028
Long
EC
CORP
US
N
1
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp.
448579AJ1
6530000.00000000
PA
USD
6632004.74000000
0.115629134734
Long
DBT
CORP
US
N
2
2030-04-23
Fixed
6.00000000
N
N
N
N
N
N
NOVA SCOTIA T-BILL
5493002W033HJBDP3481
Nova Scotia T-Bill
66980KD49
1420000.00000000
PA
1050485.97000000
0.018315243809
Long
DBT
NUSS
CA
N
2
2023-04-04
None
0.00000000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Company, Inc.
N/A
5500000.00000000
PA
5896940.44000000
0.102813274023
Long
DBT
CORP
US
N
2
2025-10-02
Fixed
6.50000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines, Inc.
90932LAH0
1700000.00000000
PA
USD
1537652.38000000
0.026808999871
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
SCHUR FLEXIBLES GMBH
N/A
Schur Flexibles GmbH
N/A
280416.23580000
PA
290547.37000000
0.005065699182
Long
LON
CORP
DE
N
2
2026-09-30
Fixed
5.50000000
N
N
Y
N
N
N
TEXGEN POWER LLC
N/A
Texgen Power LLC
N/A
180169.00000000
NS
USD
4684394.00000000
0.081672502691
Long
EC
CORP
US
N
2
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
7450000.00000000
PA
USD
7459089.00000000
0.130049365281
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
KRONOS ACQ / KIK CUSTOM
N/A
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
50106GAE2
3312000.00000000
PA
USD
3028894.38000000
0.052808833843
Long
DBT
CORP
US
N
2
2026-12-31
Fixed
5.00000000
N
N
N
N
N
N
MATTERHORN BUYER LLC
549300B7GQ818BSKC852
Hearthside Group Holdings LLC
N/A
3553843.59320000
PA
USD
3033525.35000000
0.052889574897
Long
LON
CORP
US
N
2
2025-05-23
Variable
8.53000000
N
N
N
N
N
N
Ladder Capital Commercial Mort
N/A
LCCM Trust
50190FAG6
28865000.00000000
PA
USD
27249235.44000000
0.475090962631
Long
ABS-O
CORP
US
N
2
2038-11-15
Floating
7.28400000
N
N
N
N
N
N
SELECTIVE INSURANCE GROU
549300R3WGJWLE40R258
Selective Insurance Group, Inc.
816300503
246000.00000000
NS
USD
4231200.00000000
0.073771056274
Long
EP
CORP
US
N
2
N
N
N
VENTURE GLOBAL LNG INC
N/A
Venture Global Calcasieu Pass LLC
N/A
3143413.11810000
PA
USD
3115908.25000000
0.054325922399
Long
LON
CORP
US
N
3
2026-08-19
Variable
7.47000000
N
N
N
N
N
N
Acres PLC
N/A
ACRES Commercial Realty Ltd.
00103CAJ8
7250000.00000000
PA
USD
6787725.50000000
0.118344129286
Long
ABS-O
CORP
KY
N
2
2036-06-15
Floating
7.35900000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
390000.00000000
NC
11894.81000000
0.000207386249
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
469268.44000000
USD
390000.00000000
GBP
2023-04-06
11894.81000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY CONTRACT - Rec USD / Deliver CHF
N/A
2960000.00000000
NC
USD
-8824.60000000
-0.00015385707
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2710631.84000000
CHF
2960000.00000000
USD
2023-04-20
-8824.60000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
Foreign Exchange EUR/CHF
N/A
11000000.00000000
NC
11022.44000000
0.000192176460
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
N/A
Foreign Exchange EUR/CHF
11000000
0.97140000
EUR
2023-04-19
XXXX
-23004.23000000
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada
N/A
3253154.65000000
PA
USD
3239946.84000000
0.056488537686
Long
LON
CORP
CA
N
2
2028-08-11
Variable
8.37000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver HUF
N/A
-5856000000.00000000
NC
-19900.05000000
-0.00034695776
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5856000000.00000000
HUF
16693510.45000000
USD
2023-04-06
-19900.05000000
N
N
N
SABRE GLBL INC
F2TJC7HPPHLHU1AQMP98
Sabre GLBL, Inc.
78573NAF9
6216000.00000000
PA
USD
5553964.92000000
0.096833489001
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.37500000
N
N
N
N
N
N
HUNT COS INC
549300ODPWDNCH5TKM49
Hunt Companies, Inc.
445587AE8
13700000.00000000
PA
USD
10706441.63000000
0.186667023064
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
AASET 2021-2 Trust
N/A
AASET Trust
00258BAB0
3431210.13450000
PA
USD
2582088.56000000
0.045018765472
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
CURRENCY CONTRACT - Rec NZD / Deliver USD
N/A
2380000.00000000
NC
6638.97000000
0.000115750574
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1482171.18000000
USD
2380000.00000000
NZD
2023-04-06
6638.97000000
N
N
N
GoldenTree Loan Management US
N/A
GoldenTree Loan Management US CLO 1 Ltd.
38138JAJ2
9950000.00000000
PA
USD
9038882.48000000
0.157593096070
Long
ABS-O
CORP
KY
N
2
2033-01-20
Floating
7.70800000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corporation Trust
36258BAS7
7340000.00000000
PA
USD
6928961.47000000
0.120806581236
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
7.18400000
N
N
N
N
N
N
MSD ACQUISITION CORP-A
N/A
MSD Acquisition Corp.
N/A
166604.00000000
NS
USD
0.17000000
0.000000002963
N/A
DE
US
N
2
MSD Acquisition Corp.
N/A
Call
Purchased
N/A
MSD Acquisition Corp.
166604
11.50000000
USD
2023-05-13
XXXX
-186614.06000000
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust
65540WCC1
1637602.95550000
PA
USD
1474856.01000000
0.025714143909
Long
ABS-MBS
CORP
US
N
2
2036-03-26
Floating
2.59900000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series
93363XAA1
6745625.91670000
PA
USD
4760553.48000000
0.083000344741
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Floating
5.01500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec SEK / Deliver USD
N/A
-2650000.00000000
NC
USD
7143.62000000
0.000124549156
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2650000.00000000
USD
27574800.25000000
SEK
2023-04-03
7143.62000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver GBP
N/A
-440000.00000000
NC
-6911.05000000
-0.00012049429
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
440000.00000000
GBP
535939.80000000
USD
2023-04-06
-6911.05000000
N
N
N
Starwood Commercial Mortgage T
N/A
STWD Ltd.
78486BAJ3
3750000.00000000
PA
USD
3360558.00000000
0.058591395663
Long
ABS-O
CORP
KY
N
2
2038-04-18
Floating
7.50900000
N
N
N
N
N
N
API HEAT TRANSFER THERMASYS CORP
N/A
API Heat Transfer
N/A
246299.42650000
PA
USD
209354.51000000
0.003650100051
Long
LON
CORP
US
N
3
2023-10-02
Variable
7.34000000
N
N
Y
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver SEK
N/A
1210000.00000000
NC
USD
12290.97000000
0.000214293306
N/A
DFE
SE
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
12429357.16000000
SEK
1210000.00000000
USD
2023-04-03
12290.97000000
N
N
N
BSPDF 2021-FL1 Issuer Ltd
N/A
BSPDF Issuer Ltd.
055731AJ2
19975000.00000000
PA
USD
18076384.24000000
0.315162119259
Long
ABS-O
CORP
KY
N
2
2036-10-15
Floating
7.43400000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Silver Futures Contracts
N/A
-10.00000000
NC
USD
-22950.00000000
-0.00040013370
N/A
DCO
US
N
1
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
Commodity Exchange, Inc.
N/A
Commodity Exchange, Inc.
N/A
Silver Futures Contracts
N/A
0.00000000
NC
USD
0.00000000
0.00000000
DCO
Short
N/A
Silver
2023-04-27
0.00000000
USD
-50000
24.75000000
USD
2023-04-25
XXXX
-8693.20000000
N
N
N
CONYERS PARK III ACQUISITI-A
N/A
Conyers Park III Acquisition Corp.
21289P110
277366.00000000
NS
USD
55473.20000000
0.000967176346
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
-222724.55000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
2400000.00000000
NC
-7861.76000000
-0.00013706994
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2613655.20000000
USD
2400000.00000000
EUR
2023-04-17
-7861.76000000
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
Virgin Media Finance plc
92769VAJ8
21400000.00000000
PA
USD
17687742.00000000
0.308386134064
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
5.00000000
N
N
N
N
N
N
ONEX CORPORATION
N/A
Moran Foods LLC
N/A
339592.13000000
PA
USD
230773.29000000
0.004023536907
Long
LON
CORP
US
N
3
2026-12-31
Variable
14.46000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
5-Year Interest Rate Swap
N/A
72235000.00000000
NC
USD
2086458.86000000
0.036377451781
N/A
DIR
DE
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
U.S. Secured Overnight Financing Rate
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
72235000.00000000
2.39000000
USD
2032-04-08
XXXX
-1402491.64000000
N
N
N
FONTAINEBLEAU LAS VEGAS
N/A
Fontainbleau Vegas
N/A
16149477.53000000
PA
USD
0.16000000
0.000000002789
Long
DBT
CORP
US
N
2
2026-01-31
Variable
9.97300000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec GBP / Deliver USD
N/A
460000.00000000
NC
6913.77000000
0.000120541717
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
560612.12000000
USD
460000.00000000
GBP
2023-04-06
6913.77000000
N
N
N
2023-05-01
Guggenheim Funds Trust
Jim Howley
Jim Howley
CFO