0001752724-24-142959.txt : 20240625 0001752724-24-142959.hdr.sgml : 20240625 20240625100414 ACCESSION NUMBER: 0001752724-24-142959 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20240430 FILED AS OF DATE: 20240625 DATE AS OF CHANGE: 20240625 PERIOD START: 20241031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PAYDEN & RYGEL INVESTMENT GROUP CENTRAL INDEX KEY: 0000885709 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-06625 FILM NUMBER: 241066662 BUSINESS ADDRESS: STREET 1: 333 S GRAND AVE STREET 2: 40TH FL CITY: LOS ANGELES STATE: CA ZIP: 90071 BUSINESS PHONE: 2136251900 MAIL ADDRESS: STREET 1: 333 S GRAND AVE STREET 2: 40TH FL CITY: LOS ANGELES STATE: CA ZIP: 90071 FORMER COMPANY: FORMER CONFORMED NAME: PAYDENFUNDS DATE OF NAME CHANGE: 20010423 FORMER COMPANY: FORMER CONFORMED NAME: PAYDEN & RYGEL INVESTMENT GROUP DATE OF NAME CHANGE: 19940104 FORMER COMPANY: FORMER CONFORMED NAME: P&R INVESTMENT TRUST DATE OF NAME CHANGE: 19920929 0000885709 S000047032 Payden Absolute Return Bond Fund C000146994 Payden Absolute Return Bond Fund (Investor Class) PYARX C000146996 Payden Absolute Return Bond Fund (SI Class) PYAIX C000248247 Payden Absolute Return Bond Fund (Adviser Class) NPORT-P 1 primary_doc.xml NPORT-P false 0000885709 XXXXXXXX S000047032 C000248247 C000146996 C000146994 PAYDEN & RYGEL INVESTMENT GROUP 811-06625 0000885709 549300QJNYRKYZS3P282 333 South Grand Avenue 32nd Floor Los Angeles 90071 213-625-1900 Payden Absolute Return Bond Fund S000047032 549300Y00UG1BOK6J419 2024-10-31 2024-04-30 N 578526861.13 23561062.50 554965798.63 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 11945288.16000000 0.00000000 0.00000000 8632112.09000000 BRL EUR GBP USD N N/A N/A ADVANTAGE SALES & MARKET 549300T4O24KQDED1182 00775PAA5 875000.00000000 PA USD 815072.65000000 0.146868987604 Long DBT CORP US N 2 2028-11-15 Fixed 6.50000000 N N N N N N Avoca CLO 549300EKPKIYEW0BB327 000000000 900000.00000000 PA 967221.90000000 0.174284956368 Long ABS-CBDO CORP IE N 2 2037-04-15 Floating 5.40500000 N N N N N N Chase Auto Credit Linked Notes N/A 46591HCJ7 1500000.00000000 PA USD 1527988.20000000 0.275330156159 Long ABS-O CORP US N 2 2029-02-26 Fixed 9.81200000 N N N N N N Capital Automotive Reit N/A 12510HAJ9 970000.00000000 PA USD 804366.58000000 0.144939847101 Long ABS-O CORP US N 2 2050-02-15 Fixed 4.95000000 N N N N N N Aimco N/A 00900PAQ8 1400000.00000000 PA USD 1399939.80000000 0.252256950510 Long ABS-CBDO CORP KY N 2 2037-04-16 Floating 6.82766000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816DH9 2875000.00000000 PA USD 2854264.58000000 0.514313600413 Long DBT CORP US N 2 2029-07-27 Fixed 5.28200000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD -130271.61000000 -0.02347380871 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -2344681.68000000 USD 348000000.00000000 JPY 2024-05-23 -130271.61000000 N N N CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 000000000 1293.00000000 NC USD 10344.00000000 0.001863898644 N/A DE CORP US N 1 CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 Put Purchased iShares iBoxx $ Investment Grade Corporate Bond ETF iShares iBoxx $ Investment Grade Corporate Bond ETF 100.00000000 100.00000000 USD 2024-05-17 XXXX -25583.94000000 N N N Capital Automotive Reit N/A 12510HAH3 1000000.00000000 PA USD 906801.70000000 0.163397762932 Long ABS-O CORP US N 2 2050-02-15 Fixed 4.52000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VBB5 2068500.00000000 PA USD 2014491.47000000 0.362993805198 Long LON CORP US N 2 2028-08-19 Floating 9.41573000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDL3 1075000.00000000 PA USD 1038761.75000000 0.187175813818 Long DBT CORP MX N 2 2029-06-02 Fixed 8.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418E3D0 5510026.20000000 PA USD 5462180.00000000 0.984237229300 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.00000000 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2021-2 N/A 30166RAJ6 53.10000000 NS USD 4120476.04000000 0.742473869591 Long EC CORP US N 2 N N N Santander Bank Auto Credit-Lin N/A 80290CBB9 2995000.00000000 PA USD 3110160.45000000 0.560423805877 Long ABS-O CORP US N 2 2032-08-16 Fixed 11.91000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CKH3 28200000.00000000 PA USD 27919101.49000000 5.030778754100 Long DBT UST US N 2 2026-03-31 Fixed 4.50000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 1310000.00000000 PA USD 1288086.02000000 0.232101874237 Long DBT NUSS DO N 2 2027-01-25 Fixed 5.95000000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205AY0 955000.00000000 PA USD 881176.59000000 0.158780341450 Long DBT NUSS ZA N 2 2030-06-22 Fixed 5.87500000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DP7 600000.00000000 PA USD 539943.76000000 0.097293159566 Long DBT NUSS CO N 2 2029-03-15 Fixed 4.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CU7 2875000.00000000 PA USD 2790778.00000000 0.502873872027 Long DBT CORP US N 2 2027-05-01 Fixed 5.04000000 N N N N N N AON NORTH AMERICA INC N/A 03740MAC4 1450000.00000000 PA USD 1427250.18000000 0.257178042957 Long DBT CORP US N 2 2031-03-01 Fixed 5.30000000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CAT1 461983.83000000 PA USD 463888.96000000 0.083588747476 Long ABS-O CORP US N 2 2032-05-15 Fixed 7.37500000 N N N N N N Zaxby's Funding LLC N/A 98920MAA0 2431250.00000000 PA USD 2111412.74000000 0.380458173316 Long ABS-O CORP US N 2 2051-07-30 Fixed 3.23800000 N N N N N N Freddie Mac - STACR 5493000IRILHAKSCHN59 35564KP37 1566421.91000000 PA USD 1594710.55000000 0.287352942097 Long ABS-MBS CORP US N 2 2043-03-25 Floating 7.43002000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAL6 631000.00000000 PA USD 622082.76000000 0.112093891467 Long DBT CORP US N 2 2025-05-13 Fixed 5.12500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -21654.40000000 -0.00390193414 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2311977.54000000 USD 3533000.00000000 AUD 2024-05-23 -21654.40000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -408.00000000 NC USD 1355443.68000000 0.244239137501 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2024-06-18 -46324693.68000000 USD 1355443.68000000 N N N ARES CLO Ltd N/A 04019FAE7 2200000.00000000 PA USD 2201212.20000000 0.396639253343 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 7.32355000 N N N N N N Greystone Commercial Real Esta N/A 39809LAG9 2300000.00000000 PA USD 2252203.70000000 0.405827477217 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 7.83546000 N N N N N N Freddie Mac - STACR 5493000ISA3AUOXQEF68 35564KRE1 1478478.86000000 PA USD 1481204.29000000 0.266900103331 Long ABS-MBS CORP US N 2 2042-02-25 Floating 6.63002000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAY6 875000.00000000 PA USD 852096.70000000 0.153540398724 Long DBT CORP US N 2 2034-05-15 Fixed 5.55000000 N N N N N RR Ltd 2549005CH9FMTJFP8I04 75000HAL8 2600000.00000000 PA USD 2610914.80000000 0.470464091020 Long ABS-CBDO CORP BM N 2 2036-01-15 Floating 7.05856000 N N N N N N REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 000000000 915000.00000000 PA USD 808631.25000000 0.145708303465 Long DBT NUSS NG N 2 2028-09-28 Fixed 6.12500000 N N N N N N Santander Drive Auto Receivabl N/A 80286QAC3 25600.00000000 PA USD 5066692.99000000 0.912973917042 Long ABS-O CORP US N 2 2028-04-18 None 0.00000000 N N N N N N CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 000000000 42.00000000 NC USD 76650.00000000 0.013811661941 N/A DE CORP US N 1 CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 Put Purchased STANDARD & POOR'S FINANCIAL SERVICES LLC STANDARD & POORS'S 500 100.00000000 4650.00000000 USD 2024-06-21 XXXX -42923.16000000 N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DK8 1000000.00000000 PA USD 1007300.00000000 0.181506680679 Long DBT CORP US N 2 2031-05-01 Fixed 6.38800000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112CD3 1325000.00000000 PA USD 1300563.50000000 0.234350207384 Long DBT CORP US N 2 2031-01-15 Fixed 5.30000000 N N N N N N ASHTEAD CAPITAL INC 213800J1134IW58IC398 045054AQ6 900000.00000000 PA USD 862334.62000000 0.155385182677 Long DBT CORP US N 2 2033-05-30 Fixed 5.55000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001QAV3 5054223.36000000 PA USD 109011.01000000 0.019642833895 Long ABS-MBS CORP US N 2 2051-08-15 Variable 1.06487600 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFA8 1125000.00000000 PA USD 1107550.60000000 0.199570965045 Long DBT CORP US N 2 2029-02-01 Fixed 5.12300000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKA6 1550000.00000000 PA USD 1235266.66000000 0.222584285923 Long DBT CORP US N 2 2032-07-21 Fixed 2.29900000 N N N N N N SM ENERGY CO 84BUTVXV5ODI6BXNMH43 78454LAN0 1100000.00000000 PA USD 1100746.46000000 0.198344918320 Long DBT CORP US N 2 2026-09-15 Fixed 6.75000000 N N N N N N Fannie Mae - CAS N/A 207941AB1 1500000.00000000 PA USD 1505692.80000000 0.271312719399 Long ABS-MBS CORP US N 2 2044-03-25 Floating 7.28002000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CAU8 1300000.00000000 PA USD 1347252.79000000 0.242763210512 Long ABS-O CORP US N 2 2032-05-15 Fixed 9.96500000 N N N N N N SYNCHRONY BANK 549300UATVPGSLE43Z27 87166FAD5 2725000.00000000 PA USD 2691893.35000000 0.485055719946 Long DBT CORP US N 2 2025-08-22 Fixed 5.40000000 N N N N N N VMWARE LLC 549300BUDHS3LRWBE814 928563AK1 2545000.00000000 PA USD 2182358.17000000 0.393241921463 Long DBT CORP US N 2 2028-08-15 Fixed 1.80000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DL6 1120000.00000000 PA USD 1042154.93000000 0.187787235280 Long DBT NUSS CO N 2 2027-04-25 Fixed 3.87500000 N N N N N N SBA TOWER TRUST N/A 78403DAT7 4000000.00000000 PA USD 3562313.20000000 0.641897790601 Long DBT CORP US N 2 2026-11-15 Fixed 1.63100000 N N N N N N BXMT Ltd N/A 12434LAL8 3600000.00000000 PA USD 2408317.20000000 0.433957769279 Long ABS-CBDO CORP KY N 2 2038-02-15 Floating 7.48072000 N N N N N N Venture CDO Ltd 549300SNYYGJ2M6QEK53 92329YAL0 9300.41000000 PA USD 9300.45000000 0.001675860030 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 6.47017000 N N N N N N FIESTA PURCHASER INC N/A 31659AAA4 650000.00000000 PA USD 662846.60000000 0.119439180150 Long DBT CORP US N 2 2031-03-01 Fixed 7.87500000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD -17904.47000000 -0.00322622944 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -1517545.20000000 USD 1200000.00000000 GBP 2024-05-23 -17904.47000000 N N N REPUBLIC OF KENYA 549300VVURQQYU45PR87 000000000 1570000.00000000 PA USD 1518056.55000000 0.273540559390 Long DBT NUSS KE N 2 2027-05-22 Fixed 7.00000000 N N N N N N JABIL INC 5493000CGCQY2OQU7669 466313AM5 1975000.00000000 PA USD 1893690.71000000 0.341226561109 Long DBT CORP US N 2 2027-05-15 Fixed 4.25000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 750000.00000000 PA 711687.67000000 0.128239915280 Long DBT CORP MX N 2 2028-02-21 Fixed 4.87500000 N N N N N N PANTHER ESCROW ISSUER N/A 69867RAA5 700000.00000000 PA USD 704078.32000000 0.126868776731 Long DBT CORP US N 2 2031-06-01 Fixed 7.12500000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756CH1 1365000.00000000 PA USD 1307597.29000000 0.235617635037 Long DBT NUSS BR N 2 2034-03-15 Fixed 6.12500000 N N N N N N VERDE PURCHASER LLC 2549004HFEKMUGBG3Z35 92339LAA0 375000.00000000 PA USD 395484.38000000 0.071262838354 Long DBT CORP US N 2 2030-11-30 Fixed 10.50000000 N N N N N N REPUBLIC OF GUATEMALA 529900QKDFFU9UWW5315 000000000 1390000.00000000 PA USD 1310075.00000000 0.236064096784 Long DBT NUSS GT N 2 2027-06-05 Fixed 4.37500000 N N N N N N Fannie Mae - CAS N/A 20753UAB6 3000000.00000000 PA USD 3015504.90000000 0.543367700756 Long ABS-MBS CORP US N 2 2044-01-25 Floating 7.13002000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 700000.00000000 PA 701832.87000000 0.126464166212 Long DBT CORP MX N 2 2026-04-16 Fixed 3.75000000 N N N N N N CAIXABANK SA 7CUNS533WID6K7DGFI87 000000000 1000000.00000000 PA 973380.31000000 0.175394648175 Long DBT CORP ES N 2 2028-05-26 Fixed 0.75000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -4322.00000000 -0.00077878673 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -99770.71000000 USD 15000000.00000000 JPY 2024-05-23 -4322.00000000 N N N Planet Fitness Master Issuer L 549300NX9W3U2DO53T22 72703PAB9 1890000.00000000 PA USD 1847131.59000000 0.332837013480 Long ABS-O CORP US N 2 2048-09-05 Fixed 4.66600000 N N N N N N Freddie Mac - STACR 5493000ISMYB8CLVZD05 35564KBS7 1524451.59000000 PA USD 1563036.07000000 0.281645476866 Long ABS-MBS CORP US N 2 2033-08-25 Floating 7.58002000 N N N N N N Fannie Mae - CAS N/A 20754GAE0 1900000.00000000 PA USD 1906307.62000000 0.343500018326 Long ABS-MBS CORP US N 2 2044-02-25 Floating 7.13002000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD -2170253.96000000 -0.39106084831 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.HY.42.V1 Y Default Event 2029-06-20 0.00000000 USD -1965900.00000000 USD -33600000.00000000 USD -204353.96000000 N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 1.00000000 NC USD -413634.64000000 -0.07453335701 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -10774823.21000000 USD 9500000.00000000 CHF 2024-05-23 -413634.64000000 N N N BX Trust N/A 12433YAN7 2310000.00000000 PA USD 2294775.02000000 0.413498458042 Long ABS-MBS CORP US N 2 2037-10-15 Floating 7.53548000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 118835.95000000 0.021413202451 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -363000000.00000000 JPY 2428694.73000000 USD 2024-05-23 118835.95000000 N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368LQ58 925000.00000000 PA USD 925684.96000000 0.166800361803 Long DBT CORP CA N 2 2084-05-26 Fixed 7.70000000 N N N N N N Driven Brands Funding, LLC N/A 26209XAC5 1257750.00000000 PA USD 1132122.66000000 0.203998636095 Long ABS-O CORP US N 2 2051-01-20 Fixed 3.23700000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 52542.53000000 0.009467705961 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -3194000.00000000 CAD 2374862.62000000 USD 2024-06-26 52542.53000000 N N N Oak Hill Credit Partners 254900ZA7EPUCGQUTA43 67109SAA5 3600000.00000000 PA USD 3598063.20000000 0.648339629015 Long ABS-CBDO CORP BM N 2 2037-04-20 Floating 6.79342000 N N N N N N DBGS Mortgage Trust N/A 23306GAN7 3106793.15000000 PA USD 3045080.12000000 0.548696897631 Long ABS-MBS CORP US N 2 2035-05-15 Floating 8.11701000 N N N N N N Fannie Mae - CAS 549300Z5THZ1JXIHVK60 20754PAC4 2229991.32000000 PA USD 2241710.82000000 0.403936751694 Long ABS-MBS CORP US N 2 2039-11-25 Floating 7.59450000 N N N N N N Fannie Mae - CAS N/A 20753XAB0 2600000.00000000 PA USD 2735417.88000000 0.492898460905 Long ABS-MBS CORP US N 2 2042-03-25 Floating 8.83002000 N N N N N N Extended Stay America Trust N/A 30227FAL4 2651341.65000000 PA USD 2651899.49000000 0.477849174948 Long ABS-MBS CORP US N 2 2038-07-15 Floating 8.28547920 N N N N N N Freddie Mac - STACR 529900N6M839KA246662 35564NAW3 2253798.59000000 PA USD 2258804.28000000 0.407016844204 Long ABS-MBS CORP US N 2 2044-02-25 Floating 6.68002000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 1200000.00000000 PA USD 1162018.94000000 0.209385685184 Long DBT CORP N/A N 2 2028-10-20 Fixed 4.75000000 N N N N N N PAYDEN CASH RESERVES MONEY MARKET N/A 000000000 4153228.93000000 NS USD 4153228.93000000 0.748375654905 Long STIV RF US N 1 N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3L5 725000.00000000 PA USD 725632.37000000 0.130752628682 Long DBT CORP US N 2 2028-04-22 Fixed 5.70700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EZM5 5727773.99000000 PA USD 5678145.92000000 1.023152405790 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 000000000 1850000.00000000 PA 2027559.51000000 0.365348552109 Long DBT CORP US N 2 2029-03-02 Fixed 4.65600000 N N N N N N Capital Automotive Reit N/A 12510HAD2 1182750.00000000 PA USD 1148112.34000000 0.206879837070 Long ABS-O CORP US N 2 2050-02-15 Fixed 3.19000000 N N N N N N Capital Automotive Reit N/A 12510HAG5 2800000.00000000 PA USD 2711169.16000000 0.488529052906 Long ABS-O CORP US N 2 2050-02-15 Fixed 4.17000000 N N N N N N VB-S1 Issuer LLC N/A 91823ABA8 2300000.00000000 PA USD 2023344.50000000 0.364589044044 Long ABS-O CORP US N 2 2052-02-15 Fixed 5.26800000 N N N N N N Fannie Mae - CAS N/A 20753VBE7 1900000.00000000 PA USD 2024863.06000000 0.364862675321 Long ABS-MBS CORP US N 2 2040-02-25 Floating 9.09450000 N N N N N N ENCINO ACQUISITION PARTN 549300BUKUEKT2UE4T49 29254BAB3 420000.00000000 PA USD 427975.63000000 0.077117478420 Long DBT CORP US N 2 2031-05-01 Fixed 8.75000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAQ6 1700000.00000000 PA USD 1406530.31000000 0.253444502971 Long DBT CORP US N 2 2033-01-25 Fixed 3.05700000 N N N N N N MIDAS OPCO HOLDINGS LLC 984500904E015Z0C1F82 59565JAA9 975000.00000000 PA USD 873869.59000000 0.157463683736 Long DBT CORP US N 2 2029-08-15 Fixed 5.62500000 N N N N N N Payden Emerging Markets Local Bond Fund 549300ZRY78UEWJB7K76 70432T867 1615244.47600000 NS USD 7413972.14000000 1.335933161701 Long EC RF US N 1 N N N ALLIANT ENERGY FINANCE 54930033ER6EOI5DL570 01882YAE6 1225000.00000000 PA USD 1237507.96000000 0.222988148648 Long DBT CORP US N 2 2029-03-30 Fixed 5.95000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LP4 2175000.00000000 PA USD 2049818.53000000 0.369359433511 Long DBT CORP US N 2 2028-07-24 Fixed 3.66800000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFD2 975000.00000000 PA USD 959339.90000000 0.172864688665 Long DBT CORP US N 2 2029-04-20 Fixed 5.16400000 N N N N N N CNTL AMR BOTTLING CORP N/A 15239XAA6 440000.00000000 PA USD 411155.58000000 0.074086652009 Long DBT CORP VG N 2 2029-04-27 Fixed 5.25000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBC6 1500000.00000000 PA USD 1292584.04000000 0.232912378238 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 1.00000000 NC USD -662392.08000000 -0.11935727960 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -10970852.75000000 USD 1620000000.00000000 JPY 2024-05-23 -662392.08000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3G6 2200000.00000000 PA USD 2254542.07000000 0.406248831110 Long DBT CORP US N 2 2029-10-23 Fixed 6.30300000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BW8 1100000.00000000 PA USD 1105708.51000000 0.199239036482 Long DBT CORP US N 2 2029-02-01 Fixed 5.87500000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAU4 1450000.00000000 PA USD 1405702.50000000 0.253295338824 Long DBT NUSS AE N 2 2054-04-30 Fixed 5.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCH6 1900000.00000000 PA USD 1960006.45000000 0.353176079469 Long DBT CORP US N 2 2029-11-09 Fixed 6.15000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 1635816.23000000 0.294759827369 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -64008000.00000000 EUR 70108543.65000000 USD 2024-06-26 1635816.23000000 N N N NATIONSTAR MTG HLD INC N/A 63861CAA7 525000.00000000 PA USD 514907.79000000 0.092781895978 Long DBT CORP US N 2 2027-01-15 Fixed 6.00000000 N N N N N N JBS USA HOLD/FOOD/LUX CO N/A 46590XAY2 550000.00000000 PA USD 526348.36000000 0.094843386979 Long DBT CORP LU N 2 2033-04-01 Fixed 5.75000000 N N N N N N Flagship Credit Auto Trust 2021-4 Class R N/A 33845A107 110.00000000 NS USD 718616.23000000 0.129488381405 Long EC CORP US N 2 N N N PATTERSON-UTI ENERGY INC 254900XGFBKIXD6G0697 703481AB7 925000.00000000 PA USD 858378.52000000 0.154672327937 Long DBT CORP US N 2 2028-02-01 Fixed 3.95000000 N N N N N N REPUBLIC OF ANGOLA 549300QHR2R3J8JSGK83 000000000 525000.00000000 PA USD 479238.38000000 0.086354579180 Long DBT NUSS AO N 2 2029-11-26 Fixed 8.00000000 N N N N N N MOSS CREEK RESOURCES HLD 54930037SLMSPWKYIX36 61965RAA3 1900000.00000000 PA USD 1896314.19000000 0.341699289340 Long DBT CORP US N 2 2026-01-15 Fixed 7.50000000 N N N N N N Capital Automotive Reit N/A 12510HAA8 1560798.80000000 PA USD 1517762.74000000 0.273487617389 Long ABS-O CORP US N 2 2050-02-15 Fixed 2.69000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69701NAA4 5311719.18000000 PA USD 5320733.17000000 0.958749743341 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.59856000 N N N N N N Fannie Mae - CAS N/A 20753UAF7 2700000.00000000 PA USD 2728220.40000000 0.491601537740 Long ABS-MBS CORP US N 2 2044-01-25 Floating 8.03002000 N N N N N N Fannie Mae - CAS N/A 20754CAB5 1862984.72000000 PA USD 1910480.40000000 0.344251916913 Long ABS-MBS CORP US N 2 2040-01-25 Floating 7.49450000 N N N N N N Fannie Mae - CAS N/A 20753MAE8 2758009.40000000 PA USD 2952081.14000000 0.531939291986 Long ABS-MBS CORP US N 2 2031-09-25 Floating 9.54450000 N N N N N N Symphony CLO Ltd 549300X84MR2MGY6OR68 000000000 316654.33000000 PA USD 317220.51000000 0.057160371104 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 8.24017000 N N N N N N ALD SA 969500E7V019H9NP7427 000000000 1700000.00000000 PA 1885334.62000000 0.339720866520 Long DBT CORP FR N 2 2028-10-06 Fixed 4.87500000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 834761.45000000 0.150416737763 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -106706000.00000000 BRL 21258292.66000000 USD 2024-07-01 834761.45000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 25837.47000000 0.004655686902 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -3533000.00000000 AUD 2316160.61000000 USD 2024-05-23 25837.47000000 N N N Vantage Data Centers LLC N/A 92212KAB2 2400000.00000000 PA USD 2244380.16000000 0.404417743497 Long ABS-O CORP US N 2 2045-09-15 Fixed 1.64500000 N N N N N N Cantor Commercial Real Estate N/A 12529MAG3 15201193.91000000 PA USD 574492.64000000 0.103518566624 Long ABS-MBS CORP US N 2 2052-05-15 Variable 1.28562200 N N N N N N NBM US HOLDINGS INC 5493008K1QMSP0J8UC24 000000000 1065000.00000000 PA USD 1059368.28000000 0.190888930924 Long DBT CORP US N 2 2026-05-14 Fixed 7.00000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACN5 750000.00000000 PA USD 758914.62000000 0.136749800054 Long DBT CORP US N 2 2028-09-21 Fixed 6.10000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAV3 825000.00000000 PA USD 719442.41000000 0.129637251840 Long DBT CORP US N 2 2030-02-15 Fixed 3.37500000 N N N N N N Allegro CLO Ltd 635400R1GOVCHJ4SNX58 01751EAC2 44994.63000000 PA USD 45025.14000000 0.008113137802 Long ABS-CBDO CORP KY N 2 2028-10-21 Floating 6.66617000 N N N N N N Exeter Automobile Receivables N/A 30166BAG7 1900000.00000000 PA USD 1889328.65000000 0.340440555916 Long ABS-O CORP US N 2 2030-03-15 Fixed 8.23000000 N N N N N N Bosphorus CLO 635400MHW87IZ2JWGW83 000000000 250000.00000000 PA 265536.70000000 0.047847399002 Long ABS-CBDO CORP IE N 2 2032-12-12 Floating 4.95000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 1400000.00000000 PA 1431812.72000000 0.258000172899 Long DBT CORP MX N 2 2025-11-24 Fixed 3.62500000 N N N N N N AMERICAN HOMES 4 RENT 549300N4PXZ37U8QKI55 02666TAG2 1100000.00000000 PA USD 1061072.94000000 0.191196095798 Long DBT CORP US N 2 2034-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EPD6 4587414.42000000 PA USD 4467692.49000000 0.805039247648 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.50000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BR4 1350000.00000000 PA USD 1354876.59000000 0.244136952825 Long DBT CORP US N 2 2027-11-15 Fixed 5.87500000 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AJ6 2000000.00000000 PA USD 1959628.30000000 0.353107940135 Long DBT CORP US N 2 2024-10-12 Fixed 1.65000000 N N N N N N Ares Euro CLO 635400XCOLUI5RNVIZ11 000000000 1100000.00000000 PA 1169224.32000000 0.210684031860 Long ABS-CBDO CORP IE N 2 2032-04-20 Floating 4.74700000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECF0 1400000.00000000 PA USD 1395391.84000000 0.251437447757 Long DBT CORP GB N 2 2027-05-09 Fixed 5.82900000 N N N N N N SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2021-B N/A 802824AD4 100.00000000 NS USD 2199934.60000000 0.396409040959 Long EC CORP US N 2 N N N BBVA BANCOMER SA TEXAS 549300WIWQK5Q9MCUN92 000000000 475000.00000000 PA USD 490688.30000000 0.088417754970 Long DBT CORP MX N 2 2038-06-29 Fixed 8.45000000 N N N N N N MPT OPER PARTNERSP/FINL N/A 000000000 1150000.00000000 PA 1242702.47000000 0.223924154077 Long DBT CORP US N 2 2026-03-24 Fixed 2.50000000 N N N N N BANCO MERCANTIL DE NORTE 549300QTVYRPFHS0J362 000000000 1010000.00000000 PA USD 943034.78000000 0.169926648151 Long DBT CORP MX N 2 N/A Fixed 5.87500000 N N N N N N Flexential Issuer, LLC N/A 33938MAA7 3500000.00000000 PA USD 3172671.25000000 0.571687707212 Long ABS-O CORP US N 2 2051-11-27 Fixed 3.25000000 N N N N N N Providus CLO 635400JHNUBVSY8RBH70 000000000 1800000.00000000 PA 1903331.35000000 0.342963720412 Long ABS-CBDO CORP IE N 2 2034-04-20 Floating 4.71700000 N N N N N N COMSTOCK RESOURCES INC I03QQGEA4SS774AURI46 205768AU8 300000.00000000 PA USD 282539.10000000 0.050911083295 Long DBT CORP US N 2 2029-03-01 Fixed 6.75000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 68986.65000000 0.012430793063 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -837700000.00000000 JPY 5399478.94000000 USD 2024-05-23 68986.65000000 N N N LETRA TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 108000000.00000000 PA 20446829.72000000 3.684340507194 Long DBT NUSS BR N 2 2024-07-01 None 0.00000000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CBJ2 575540.85000000 PA USD 588106.98000000 0.105971752034 Long ABS-O CORP US N 2 2032-12-15 Fixed 11.36600000 N N N N N N Flagship Credit Auto Trust N/A 33846QAJ0 2700000.00000000 PA USD 2252498.22000000 0.405880547154 Long ABS-O CORP US N 2 2028-12-15 Fixed 3.32000000 N N N N N N Santander Drive Auto Receivabl N/A 80286QAB5 2024364.41000000 PA USD 2029716.22000000 0.365737172454 Long ABS-O CORP US N 2 2028-04-18 Fixed 10.40000000 N N N N N N NEXTERA ENERGY OPERATING 549300KJEC5IUVJWR786 65342QAM4 475000.00000000 PA USD 481606.30000000 0.086781257725 Long DBT CORP US N 2 2029-01-15 Fixed 7.25000000 N N N N N GEOPARK LTD 529900ZR5QI19AH4KZ07 000000000 695000.00000000 PA USD 625222.35000000 0.112659618222 Long DBT CORP BM N 2 2027-01-17 Fixed 5.50000000 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAC5 275000.00000000 PA USD 295758.93000000 0.053293181441 Long DBT CORP US N 2 2029-02-01 Fixed 9.50000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BF0 1745000.00000000 PA USD 1573269.63000000 0.283489475186 Long DBT NUSS PA N 2 2028-03-17 Fixed 3.87500000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAQ5 900000.00000000 PA USD 938583.90000000 0.169124638368 Long DBT CORP US N 2 2033-10-15 Fixed 6.95000000 N N N N N N ESSEX PORTFOLIO LP 5493003GN3O58H286O74 29717PBA4 800000.00000000 PA USD 774461.28000000 0.139551172687 Long DBT CORP US N 2 2034-04-01 Fixed 5.50000000 N N N N N N TESCO CORP TREASURY SERV 21380018AJDKNF3A6712 000000000 1500000.00000000 PA 1632305.34000000 0.294127195591 Long DBT CORP GB N 2 2031-02-27 Fixed 4.25000000 N N N N N N TTAN N/A 87303TAN7 923520.36000000 PA USD 914809.16000000 0.164840637433 Long ABS-MBS CORP US N 2 2038-03-15 Floating 7.83548000 N N N N N N Frost CMBS 635400USRLUMX8CQN243 000000000 1280968.44000000 PA 1553216.93000000 0.279876153419 Long ABS-MBS CORP IE N 2 2033-11-20 Floating 8.12629000 N N N N N N Cordatus CLO PLC 213800XV458LVR3TU384 000000000 938503.49000000 PA 999876.27000000 0.180168989236 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 4.68100000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAZ2 1100000.00000000 PA USD 1069342.76000000 0.192686245285 Long DBT CORP US N 2 2034-04-18 Fixed 5.40000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BM8 925000.00000000 PA USD 819095.69000000 0.147593904349 Long DBT CORP US N 2 2028-05-15 Fixed 11.25000000 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 91282CJH5 26848740.00000000 PA USD 27009898.22000000 4.866948249185 Long DBT UST US N 2 2028-10-15 Fixed 2.37500000 N N N N N N Oak Street Investment Grade Ne N/A 67181DAE1 2594583.33000000 PA USD 2361194.59000000 0.425466685664 Long ABS-O CORP US N 2 2050-11-20 Fixed 3.39000000 N N N N N N Ladder Capital Commercial Mort N/A 50190DAL0 3971504.31000000 PA USD 139500.28000000 0.025136734613 Long ABS-MBS CORP US N 2 2050-07-12 Variable 1.68174000 N N N N N N MPT OPER PARTNERSP/FINL N/A 000000000 1225000.00000000 PA 1073146.30000000 0.193371610043 Long DBT CORP US N 2 2026-10-15 Fixed 0.99300000 N N N N N N CITGO PETROLEUM CORP YX52P86PXMLYDOTUQ225 17302XAM8 1425000.00000000 PA USD 1424646.46000000 0.256708875306 Long DBT CORP US N 2 2026-06-15 Fixed 6.37500000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 820000.00000000 PA 941849.93000000 0.169713148508 Long DBT NUSS RO N 2 2029-09-27 Fixed 6.62500000 N N N N N N Regatta XXVII Funding Ltd. 213800A3LAH3GG226R43 758970AA5 3250000.00000000 PA USD 3250273.00000000 0.585670866208 Long ABS-CBDO CORP JE N 2 2037-04-26 Floating 6.82562000 N N N N N N Fannie Mae - CAS N/A 20754RAF3 4175000.00000000 PA USD 4292119.61000000 0.773402544912 Long ABS-MBS CORP US N 2 2041-10-25 Floating 8.43002000 N N N N N N BX Trust N/A 05608WAQ7 794469.53000000 PA USD 789569.72000000 0.142273581894 Long ABS-MBS CORP US N 2 2038-06-15 Floating 7.78548000 N N N N N N Payden Cash Reserves Money Market Fund 549300SI0EB26HO5RT16 704329598 4929811.71000000 NS USD 4929811.71000000 0.888309103402 Long STIV RF US N 1 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACA3 2050000.00000000 PA USD 1765391.20000000 0.318108107627 Long DBT CORP US N 2 2028-09-15 Fixed 2.10000000 N N N N N N Buckhorn Park CLO, Ltd. N/A 118382AQ3 2200000.00000000 PA USD 2203559.60000000 0.397062234364 Long ABS-CBDO CORP KY N 2 2034-07-18 Floating 6.70854000 N N N N N N Cologix Data Centers Issuer LL N/A 19521DAJ0 3200000.00000000 PA 2128018.01000000 0.383450298244 Long ABS-O CORP CA N 2 2052-01-25 Fixed 5.68000000 N N N N N N AVIS BUDGET FINANCE PLC 549300W3BJJPGKCIOI13 000000000 525000.00000000 PA 553960.04000000 0.099818771060 Long DBT CORP JE N 2 2029-02-28 Fixed 7.00000000 N N N N N N Freddie Mac - STACR 529900PGKDI4ZEXFQ523 35564NBX0 2015559.79000000 PA USD 2019028.17000000 0.363811278998 Long ABS-MBS CORP US N 2 2044-03-25 Floating 6.58002000 N N N N N N KREF 2022-Fl3 Ltd 549300DG0FGL1EU1CT79 48275EAA4 2750000.00000000 PA USD 2732020.50000000 0.492286282640 Long ABS-CBDO CORP KY N 2 2039-02-17 Floating 6.76882000 N N N N N N CIFC Funding Ltd N/A 12598YAA6 2000000.00000000 PA USD 2004664.00000000 0.361222980758 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 6.91644000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -48.00000000 NC USD 151710.84000000 0.027336971102 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2024-06-18 -5308710.84000000 USD 151710.84000000 N N N INTERNATIONAL PETROLEUM 54930025D80LU0SMR645 000000000 2435000.00000000 PA USD 2376255.63000000 0.428180553804 Long DBT CORP CA N 2 2027-02-01 Fixed 7.25000000 N N N N N N HUNGARY 5299003F3UFKGCCMAP43 000000000 1650000.00000000 PA 1750668.66000000 0.315455234236 Long DBT NUSS HU N 2 2031-06-16 Fixed 4.25000000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AY7 1600000.00000000 PA USD 1574836.02000000 0.283771725012 Long DBT CORP US N 2 2029-01-15 Fixed 5.20000000 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BY4 335000.00000000 PA USD 333282.67000000 0.060054632343 Long DBT CORP KY N 2 2029-05-15 Fixed 8.25000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 1950000.00000000 PA USD 1894912.50000000 0.341446717018 Long DBT NUSS CI N 2 2028-03-03 Fixed 6.37500000 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 30313RAA7 1600000.00000000 PA USD 1575935.70000000 0.283969877763 Long DBT CORP US N 2 2025-02-14 Fixed 4.25000000 N N N N N OPEN TEXT CORP 549300HP7ONDQODZJV16 683715AF3 3760000.00000000 PA USD 3842310.16000000 0.692350802425 Long DBT CORP CA N 2 2027-12-01 Fixed 6.90000000 N N N N N N Cold Storage Trust N/A 193051AQ2 1965981.05000000 PA USD 1963745.73000000 0.353849865135 Long ABS-MBS CORP US N 2 2037-11-15 Floating 8.19908000 N N N N N N Madison Park Funding Ltd N/A 55818MBA4 256923.16000000 PA USD 257170.32000000 0.046339850245 Long ABS-CBDO CORP KY N 2 2030-04-19 Floating 6.53817000 N N N N N N Dryden Leveraged Loan CDO 635400A5F6GDIM6HUG89 000000000 650000.00000000 PA 686058.54000000 0.123621769430 Long ABS-CBDO CORP IE N 2 2035-04-15 Floating 4.85600000 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BZ1 365000.00000000 PA USD 363577.98000000 0.065513583160 Long DBT CORP KY N 2 2031-05-15 Fixed 8.50000000 N N N N N N Driven Brands Funding, LLC N/A 26208LAD0 1042250.00000000 PA USD 1006362.31000000 0.181337717114 Long ABS-O CORP US N 2 2049-04-20 Fixed 4.64100000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DR3 1785000.00000000 PA USD 1437552.28000000 0.259034391587 Long DBT NUSS CO N 2 2030-01-30 Fixed 3.00000000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -11.00000000 NC 5787.78000000 0.001042907511 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESSCHATZANWEISUNGEN Bundesschatzanweisungen 2024-06-06 -1258687.80000000 USD 5787.78000000 N N N Prairie ECI Acquiror LP 549300EXIECHUG4F3335 000000000 1150000.00000000 PA USD 1152731.25000000 0.207712124394 Long LON CORP US N 2 2029-08-01 Floating 10.06573000 N N N N N N Carlyle Global Market Strategi 549300K65HYRGER5BW54 14314LAC9 609025.25000000 PA USD 609915.04000000 0.109901374373 Long ABS-CBDO CORP KY N 2 2031-05-15 Floating 6.61860000 N N N N N N Fannie Mae - CAS N/A 20754GAA8 2098827.24000000 PA USD 2099086.66000000 0.378237121131 Long ABS-MBS CORP US N 2 2044-02-25 Floating 6.43002000 N N N N N N Fannie Mae - CAS N/A 20754GAF7 1700000.00000000 PA USD 1717978.18000000 0.309564694660 Long ABS-MBS CORP US N 2 2044-02-25 Floating 7.83002000 N N N N N N PATTERSON-UTI ENERGY INC 254900XGFBKIXD6G0697 703481AD3 1075000.00000000 PA USD 1119694.64000000 0.201759215210 Long DBT CORP US N 2 2033-10-01 Fixed 7.15000000 N N N N N DOBANK SPA 8156007AF7DB5FE05555 000000000 725000.00000000 PA 685864.09000000 0.123586731235 Long DBT CORP IT N 2 2026-07-31 Fixed 3.37500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZM9 3050000.00000000 PA USD 2538446.77000000 0.457405983623 Long DBT CORP US N 2 2033-02-24 Fixed 3.10200000 N N N N N N GoldenTree Loan Management US 549300KYU0TCMXRAI217 38090AAC2 3600000.00000000 PA USD 3615966.00000000 0.651565557540 Long ABS-CBDO CORP JE N 2 2034-01-20 Floating 6.99456000 N N N N N N LKQ DUTCH BOND BV 724500O7KBK1ICWRWC17 000000000 1250000.00000000 PA 1323946.98000000 0.238563706676 Long DBT CORP NL N 2 2031-03-13 Fixed 4.12500000 N N N N N N PRA GROUP INC 549300Q5HW3JSSB86K27 69354NAD8 515000.00000000 PA USD 426810.11000000 0.076907461874 Long DBT CORP US N 2 2029-10-01 Fixed 5.00000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397D59 1200000.00000000 PA USD 1227233.34000000 0.221136751675 Long DBT CORP US N 2 2028-11-07 Fixed 6.79800000 N N N N N N Grippen Park CLO LTD 549300P7KR0IARP7PG22 39862EAB0 1000000.00000000 PA USD 1001784.00000000 0.180512745555 Long ABS-CBDO CORP KY N 2 2030-01-20 Floating 7.23617000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CAS3 778078.02000000 PA USD 774823.71000000 0.139616479414 Long ABS-O CORP US N 2 2032-05-15 Fixed 5.28100000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AV1 970000.00000000 PA USD 943588.40000000 0.170026405650 Long DBT CORP CO N 2 2036-01-19 Fixed 8.37500000 N N N N N N Exeter Automobile Receivables N/A 30167JAG9 3000000.00000000 PA USD 2804978.40000000 0.505432660341 Long ABS-O CORP US N 2 2029-10-15 Fixed 5.02000000 N N N N N N REPUBLIC OF UZBEKISTAN 213800L6VDKUM3TCM927 000000000 900000.00000000 PA USD 730327.50000000 0.131598650187 Long DBT NUSS UZ N 2 2030-11-25 Fixed 3.70000000 N N N N N N HUNGARY 5299003F3UFKGCCMAP43 000000000 1870000.00000000 PA USD 1892066.00000000 0.340933802528 Long DBT NUSS HU N 2 2028-05-22 Fixed 6.12500000 N N N N N N Greystone Commercial Real Esta N/A 39809LAJ3 2000000.00000000 PA USD 1931544.00000000 0.348047394049 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 8.18546000 N N N N N N Cold Storage Trust N/A 193051AS8 1867681.99000000 PA USD 1865987.26000000 0.336234640874 Long ABS-MBS CORP US N 2 2037-11-15 Floating 8.92596000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XYW8 2500000.00000000 PA USD 2695080.00000000 0.485629926502 Long ABS-MBS CORP US N 2 2030-07-25 Floating 8.99450000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AE7 700000.00000000 PA USD 699269.48000000 0.126002265675 Long DBT CORP US N 2 2033-04-01 Fixed 6.15000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 1003.00000000 NC USD -1400094.39000000 -0.25228480628 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2024-06-28 204664313.14000000 USD -1400094.39000000 N N N McGraw-Hill Education Inc 254900U6YJ9QZ4IQOR26 58063DAC7 1408775.52000000 PA USD 1412001.62000000 0.254430385347 Long LON CORP US N 2 2028-07-28 Floating 10.18021000 N N N N N N CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 000000000 59.00000000 NC USD 52510.00000000 0.009461844338 N/A DE CORP US N 1 CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 Put Purchased STANDARD & POOR'S FINANCIAL SERVICES LLC STANDARD & POORS'S 500 100.00000000 4800.00000000 USD 2024-05-17 XXXX -69956.89000000 N N N ICE FUTURES EUROPE 549300UF4R84F48NCH34 000000000 50.00000000 NC 13006.57000000 0.002343670552 N/A DIR CORP GB N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Long UNITED KINGDOM GILT United Kingdom Gilt 2024-06-26 5968699.09000000 USD 13006.57000000 N N N KOSMOS ENERGY LTD 213800YDFJ3OT9B5P157 000000000 1500000.00000000 PA USD 1460200.65000000 0.263115430465 Long DBT CORP US N 2 2027-05-01 Fixed 7.75000000 N N N N N Diamond Infrastructure Funding N/A 25265LAC4 1150000.00000000 PA USD 1019725.70000000 0.183745683520 Long ABS-O CORP US N 2 2049-04-15 Fixed 2.35500000 N N N N N N Cedar Funding Ltd 549300G87EGFMLOYN341 15032FAA4 2135323.01000000 PA USD 2136322.34000000 0.384946666132 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 6.58617000 N N N N N N Rad CLO Ltd N/A 74936GAA6 3350000.00000000 PA USD 3349869.35000000 0.603617260427 Long ABS-CBDO CORP KY N 2 2036-04-17 Floating 6.66707000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -372520.48000000 -0.06712494372 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -26419927.68000000 USD 24349000.00000000 EUR 2024-06-26 -372520.48000000 N N N COMSTOCK RESOURCES INC I03QQGEA4SS774AURI46 205768AS3 300000.00000000 PA USD 285900.50000000 0.051516778278 Long DBT CORP US N 2 2029-03-01 Fixed 6.75000000 N N N N N N UNITED NATURAL FOODS INC 549300GKGW6WPZ282D40 911163AA1 1380000.00000000 PA USD 1060585.20000000 0.191108209301 Long DBT CORP US N 2 2028-10-15 Fixed 6.75000000 N N N N N N BANCO DE SABADELL SA SI5RG2M0WQQLZCXKRM20 000000000 1300000.00000000 PA 1434677.30000000 0.258516345248 Long DBT CORP ES N 2 2029-02-07 Fixed 5.25000000 N N N N N N Dryden Senior Loan Fund 549300ENU7ZZLTPT3E22 26250UAS4 3700000.00000000 PA USD 3695071.60000000 0.665819697199 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 7.04017000 N N N N N N Fannie Mae - CAS N/A 20754FAL6 5600000.00000000 PA USD 6098762.88000000 1.098943916013 Long ABS-MBS CORP US N 2 2031-07-25 Floating 9.79450000 N N N N N N MINERVA LUXEMBOURG SA 222100NM3G3RCPGZ2Z17 000000000 1100000.00000000 PA USD 1128512.08000000 0.203348041047 Long DBT CORP LU N 2 2033-09-13 Fixed 8.87500000 N N N N N N Freddie Mac - STACR 5493000ISONLNOUKGB71 35564KLU1 3600000.00000000 PA USD 3720296.88000000 0.670365072799 Long ABS-MBS CORP US N 2 2041-10-25 Floating 8.73002000 N N N N N N LoanCore 2021-CRE5 Issuer, Ltd N/A 53947XAN2 2075000.00000000 PA USD 1924355.00000000 0.346751998907 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 9.18546000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDU7 3675000.00000000 PA USD 3636944.93000000 0.655345777880 Long DBT CORP US N 2 2029-07-24 Fixed 5.29900000 N N N N N N CLNC 2019-FL1, Ltd N/A 12565DAJ2 2100000.00000000 PA USD 2015166.30000000 0.363115403683 Long ABS-CBDO CORP KY N 2 2035-08-20 Floating 8.33330000 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBM1 620000.00000000 PA USD 528268.52000000 0.095189383076 Long DBT CORP US N 2 N/A Fixed 4.70000000 N N N N N BAUSCH + LOMB CORP 549300NY6OZM39SO6475 071705AA5 875000.00000000 PA USD 904750.00000000 0.163028064474 Long DBT CORP CA N 2 2028-10-01 Fixed 8.37500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BX1 2450000.00000000 PA USD 1826923.13000000 0.329195625119 Long DBT CORP US N 2 2032-02-01 Fixed 2.30000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABH3 2850000.00000000 PA USD 2815415.54000000 0.507313342002 Long DBT CORP DK N 2 2030-03-01 Fixed 5.70500000 N N N N N N VMC Finance LLC N/A 91835BAA3 3569506.44000000 PA USD 3513886.39000000 0.633171701512 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 7.23035000 N N N N N N Westlake Automobile Receivable N/A 96041AAN6 2025000.00000000 PA USD 2070137.25000000 0.373020689763 Long ABS-O CORP US N 2 2029-07-16 Fixed 7.19000000 N N N N N N INTL CONSOLIDATED AIRLIN 959800TZHQRUSH1ESL13 000000000 1800000.00000000 PA 1884845.95000000 0.339632812445 Long DBT CORP ES N 2 2029-03-25 Fixed 3.75000000 N N N N N BLACKSTONE PRIVATE CRE 549300ORP3TTCNXSYO43 09261HAB3 1350000.00000000 PA USD 1325441.37000000 0.238832982730 Long DBT CORP US N 2 2024-09-15 Fixed 1.75000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 000000000 2325000.00000000 PA 2500650.74000000 0.450595468436 Long DBT CORP NL N 2 2029-03-09 Fixed 3.87500000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAT7 1750000.00000000 PA USD 1732500.00000000 0.312181400056 Long DBT NUSS AE N 2 2034-04-30 Fixed 5.00000000 N N N N N N BX Trust N/A 05612AAA4 2450000.00000000 PA USD 2455601.19000000 0.442477932164 Long ABS-MBS CORP US N 2 2041-02-15 Floating 6.96298000 N N N N N N Carlyle Global Market Strategi N/A 14316MAA9 3000000.00000000 PA USD 3002763.00000000 0.541071721430 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 6.73017000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CBK9 2700000.00000000 PA USD 2914812.00000000 0.525223717785 Long ABS-O CORP US N 2 2032-12-15 Fixed 14.59200000 N N N N N N STAR PARENT INC 254900GRGCJYRMDRWT73 855170AA4 400000.00000000 PA USD 418920.36000000 0.075485797689 Long DBT CORP US N 2 2030-10-01 Fixed 9.00000000 N N N N N N Stack Infrastructure Issuer LL N/A 85236KAD4 2400000.00000000 PA USD 2256314.88000000 0.406568276021 Long ABS-O CORP US N 2 2045-08-25 Fixed 1.89300000 N N N N N N Epic Y Grade Services LP 549300TTOB7LU4ZHIL80 29427BAM1 1200000.00000000 PA USD 1187784.00000000 0.214028324435 Long LON CORP US N 2 2029-06-29 Floating 11.05211000 N N N N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 1.00000000 NC USD 533494.25000000 0.096131014076 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -9500000.00000000 CHF 10894682.82000000 USD 2024-05-23 533494.25000000 N N N Diamond Issuer LLC N/A 25267TAS0 2000000.00000000 PA USD 1672342.20000000 0.301341488813 Long ABS-O CORP US N 2 2051-11-20 Fixed 3.78700000 N N N N N N Bridgepoint CLO 549300718PL321JS4E33 000000000 3300000.00000000 PA 3484866.04000000 0.627942487375 Long ABS-CBDO CORP IE N 2 2035-04-15 Floating 4.80600000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001CAA0 1200000.00000000 PA USD 1136251.44000000 0.204742606266 Long ABS-MBS CORP US N 2 2034-12-15 Floating 6.24200000 N N N N N N Evergreen AcqCo 1 LP 549300F6POVHG3ME8T95 30015FAG1 1852206.22000000 PA USD 1862624.88000000 0.335628769304 Long LON CORP US N 2 2028-04-26 Floating 0.00000000 N N N N N N DBGS Mortgage Trust N/A 23306GAL1 1736149.11000000 PA USD 1702688.83000000 0.306809687047 Long ABS-MBS CORP US N 2 2035-05-15 Floating 7.61701000 N N N N N N Freddie Mac - STACR 529900ZTXRUUVE8G8W08 35564K3G2 1176133.86000000 PA USD 1186119.00000000 0.213728305947 Long ABS-MBS CORP US N 2 2043-11-25 Floating 7.18002000 N N N N N N CAMPBELL SOUP CO 5493007JDSMX8Z5Z1902 134429BN8 1925000.00000000 PA USD 1898345.39000000 0.342065293876 Long DBT CORP US N 2 2029-03-21 Fixed 5.20000000 N N N N N N Freddie Mac - STACR 529900ZTXRUUVE8G8W08 35564K3F4 2443951.97000000 PA USD 2477990.36000000 0.446512265461 Long ABS-MBS CORP US N 2 2043-11-25 Floating 7.18002000 N N N N N N Henley CLO 6354005DLDMILXS72B21 000000000 250000.00000000 PA 264549.28000000 0.047669474524 Long ABS-CBDO CORP IE N 2 2034-07-25 Floating 4.83200000 N N N N N N Fannie Mae - CAS N/A 20753KAF9 4455097.69000000 PA USD 4767515.87000000 0.859064807555 Long ABS-MBS CORP US N 2 2031-08-25 Floating 9.59450000 N N N N N N Fannie Mae - CAS N/A 20754WAC9 2275000.00000000 PA USD 2338878.36000000 0.421445495519 Long ABS-MBS CORP US N 2 2040-01-25 Floating 8.44450000 N N N N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 1.00000000 NC USD 544065.56000000 0.098035872002 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -1620000000.00000000 JPY 10852526.23000000 USD 2024-05-23 544065.56000000 N N N Fannie Mae - CAS N/A 20754QAA6 1751129.21000000 PA USD 1794666.31000000 0.323383227296 Long ABS-MBS CORP US N 2 2043-05-25 Floating 7.63002000 N N N N N N BX Trust N/A 12433UAQ8 2900000.00000000 PA USD 2877061.58000000 0.518421421122 Long ABS-MBS CORP US N 2 2035-05-15 Floating 8.03801000 N N N N N N GENESIS ENERGY LP/FIN N/A 37185LAK8 1400000.00000000 PA USD 1389302.88000000 0.250340270234 Long DBT CORP US N 2 2026-05-15 Fixed 6.25000000 N N N N N N SUN COMMUNITIES OPER LP 549300PUNBPJCGT6X741 866677AK3 1350000.00000000 PA USD 1327067.87000000 0.239126063854 Long DBT CORP US N 2 2029-01-15 Fixed 5.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -615.00000000 NC USD 981903.91000000 0.176930526606 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2024-06-28 -65398350.76000000 USD 981903.91000000 N N N ALTICE FRANCE HOLDING SA 5299000JVHXKJPOE6H40 02156TAB0 925000.00000000 PA USD 329245.25000000 0.059327124448 Long DBT CORP LU N 2 2027-05-15 Fixed 10.50000000 N N N N N N OCP CLO Ltd 2549001TBA76KDJQIQ68 67106BAY3 2300000.00000000 PA USD 2299896.50000000 0.414421304101 Long ABS-CBDO CORP KY N 2 2030-10-17 Floating 7.21707000 N N N N N N Exeter Automobile Receivables N/A 30166QAG4 2500000.00000000 PA USD 2346548.50000000 0.422827587896 Long ABS-O CORP US N 2 2029-10-15 Fixed 6.34000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAR3 775000.00000000 PA USD 772296.88000000 0.139161166671 Long DBT CORP US N 2 2032-04-15 Fixed 6.87500000 N N N N N N CUMULUS STATIC CLO 2549005ZFHRHIZ9ONM43 000000000 700000.00000000 PA 747040.00000000 0.134610097026 Long ABS-CBDO CORP IE N 2 2033-11-15 Floating 5.79200000 N N N N N N Tikehau 5493003A9LSOVYP56X91 000000000 1065119.43000000 PA 1135294.82000000 0.204570231679 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.80600000 N N N N N N BORR IHC LTD / BORR FIN N/A 100018AA8 550000.00000000 PA USD 570524.35000000 0.102803515353 Long DBT CORP N/A N 2 2028-11-15 Fixed 10.00000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 67310.92000000 0.012128841122 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -2378000.00000000 GBP 3039629.55000000 USD 2024-06-26 67310.92000000 N N N JP Morgan Mortgage Trust N/A 46590YAA2 69651.27000000 PA USD 69690.89000000 0.012557690973 Long ABS-MBS CORP US N 2 2048-10-26 Variable 4.71969500 N N N N N N ACRE COMMERCIAL MORTGAGE TRUST N/A 00489TAA4 31487.20000000 PA USD 31045.88000000 0.005594196989 Long ABS-CBDO CORP KY N 2 2037-12-18 Floating 6.26337000 N N N N N N BX Trust N/A 05609VAS4 3000000.00000000 PA USD 2960541.30000000 0.533463739082 Long ABS-MBS CORP US N 2 2036-09-15 Floating 8.28546000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3E1 4325000.00000000 PA USD 4312479.60000000 0.777071237659 Long DBT CORP US N 2 2029-07-25 Fixed 5.57400000 N N N N N N BXMT Ltd N/A 12434LAJ3 700000.00000000 PA USD 577280.20000000 0.104020860641 Long ABS-CBDO CORP KY N 2 2038-02-15 Floating 7.38072000 N N N N N N SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2021-C N/A 80281HAD6 100.00000000 NS USD 1184062.80000000 0.213357796628 Long EC CORP US N 2 N N N GoldenTree Loan Management US N/A 38138JAN3 2800000.00000000 PA USD 2800000.00000000 0.504535596051 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 6.82456000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3A9 567000.00000000 PA USD 552609.31000000 0.099575381287 Long DBT CORP US N 2 2028-07-25 Fixed 4.80800000 N N N N N N Starwood Commercial Mortgage T N/A 78485WAA7 80968.82000000 PA USD 80516.53000000 0.014508376948 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 6.51546000 N N N N N N CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 000000000 115.00000000 NC USD 17250.00000000 0.003108299654 N/A DE CORP US N 1 CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 Put Purchased STANDARD & POOR'S FINANCIAL SERVICES LLC STANDARD & POORS'S 500 100.00000000 4400.00000000 USD 2024-05-17 XXXX -187887.75000000 N N N RENTOKIL INITIAL PLC 549300VN4WV7Z6T14K68 000000000 1700000.00000000 PA 1582244.06000000 0.285106589253 Long DBT CORP GB N 2 2028-10-14 Fixed 0.50000000 N N N N N N Fannie Mae - CAS N/A 20753ACJ1 1295803.60000000 PA USD 1318021.19000000 0.237495930966 Long ABS-MBS CORP US N 2 2043-04-25 Floating 7.83002000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBR1 2250000.00000000 PA USD 2104817.83000000 0.379269828013 Long DBT CORP US N 2 2029-04-15 Fixed 4.00000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AL3 283000.00000000 PA USD 276109.86000000 0.049752590282 Long DBT CORP CO N 2 2026-06-26 Fixed 5.37500000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 000000000 2500000.00000000 PA 2232487.10000000 0.402274717741 Long DBT CORP IT N 2 2031-02-24 Fixed 1.35000000 N N N N N N CAIXABANK SA 7CUNS533WID6K7DGFI87 12803RAG9 1225000.00000000 PA USD 1204087.09000000 0.216965999161 Long DBT CORP ES N 2 2030-03-15 Fixed 5.67300000 N N N N N N Voya CLO Ltd 549300ITL5IR423IJ183 92915PAH8 4269138.93000000 PA USD 4273839.25000000 0.770108583366 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.57854000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRX24 4425814.79000000 PA USD 4403504.08000000 0.793473055613 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.00000000 N N N N N N CAMB Commercial Mortgage Trust N/A 12482HAS3 799000.00000000 PA USD 791681.40000000 0.142654088225 Long ABS-MBS CORP US N 2 2037-12-15 Floating 8.86800000 N N N N N N SBA TOWER TRUST N/A 78403DAZ3 2200000.00000000 PA USD 2235588.96000000 0.402833645878 Long DBT CORP US N 2 2028-01-15 Fixed 6.59900000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -34.00000000 NC 69648.92000000 0.012550128345 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESREPUB. DEUTSCHLAND Bundesrepublik Deutschland Bundesanleihe 2024-06-06 -4866978.00000000 USD 69648.92000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -46.00000000 NC USD 125406.41000000 0.022597142077 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2024-06-18 -5360781.41000000 USD 125406.41000000 N N N NORTHRIVER MIDSTREAM FIN 549300SOLNLY3BL6GF18 66679NAA8 1325000.00000000 PA USD 1298320.86000000 0.233946103202 Long DBT CORP CA N 2 2026-02-15 Fixed 5.62500000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -135.00000000 NC 179037.80000000 0.032261051120 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESOBLIGATION Bundesobligation 2024-06-06 -17202999.13000000 USD 179037.80000000 N N N CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 000000000 36.00000000 NC USD 93960.00000000 0.016930773073 N/A DE CORP US N 1 CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 Put Purchased STANDARD & POOR'S FINANCIAL SERVICES LLC STANDARD & POORS'S 500 100.00000000 4550.00000000 USD 2024-07-19 XXXX -22967.64000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QTEN5 1949752.27000000 PA USD 1937787.07000000 0.349172340851 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.00000000 N N N N N N Allegro CLO Ltd 254900TYK5TGNAFE3053 01748RAN5 3000000.00000000 PA USD 2995662.00000000 0.539792183121 Long ABS-CBDO CORP KY N 2 2030-10-16 Floating 7.03927000 N N N N N N UNITED AUTO CREDIT SECURITIZATION TRUST 2022-2 N/A 90944KAG0 85.00000000 NS USD 0.00000000 0.000000 Long EC CORP US N 2 N N N Santander Drive Auto Receivabl N/A 80286QAA7 702243.00000000 PA USD 705508.85000000 0.127126545769 Long ABS-O CORP US N 2 2028-04-18 Fixed 8.14000000 N N N N N N FRANKLIN BSP CAPITAL CO 549300KJEVMKATLINB36 35250VAA2 850000.00000000 PA USD 837484.32000000 0.150907375205 Long DBT CORP US N 2 2029-06-15 Fixed 7.20000000 N N N N N N Modena Buyer LLC N/A 60753DAC8 675000.00000000 PA USD 661290.75000000 0.119158829540 Long LON CORP US N 2 2031-04-18 Floating 0.00000000 N N N N N N Fortress CBO Investments Ltd N/A 34706CAC3 3100000.00000000 PA USD 3025993.70000000 0.545257691099 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 7.58002000 N N N N N N REPUBLIC OF UZBEKISTAN 213800L6VDKUM3TCM927 000000000 400000.00000000 PA USD 367328.00000000 0.066189304080 Long DBT NUSS UZ N 2 2029-02-20 Fixed 5.37500000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACJ4 950000.00000000 PA USD 945357.07000000 0.170345104569 Long DBT CORP US N 2 2030-06-26 Fixed 5.70000000 N N N N N N RRE Loan Management N/A 000000000 3400000.00000000 PA 3643251.54000000 0.656482174035 Long ABS-CBDO CORP IE N 2 2036-10-15 Floating 5.58600000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -194140.04000000 -0.03498234314 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -5524632.33000000 USD 837700000.00000000 JPY 2024-05-23 -194140.04000000 N N N MIC Glen LLC 549300XD843A2SP50882 000000000 1470000.00000000 PA USD 1478959.65000000 0.266495638767 Long LON CORP US N 2 2028-07-21 Floating 9.68021000 N N N N N N BX Trust N/A 12433YAQ0 1260000.00000000 PA USD 1237076.95000000 0.222910484403 Long ABS-MBS CORP US N 2 2037-10-15 Floating 8.18548000 N N N N N N Diamond Infrastructure Funding N/A 25265LAA8 2395000.00000000 PA USD 2130322.56000000 0.383865558068 Long ABS-O CORP US N 2 2049-04-15 Fixed 1.76000000 N N N N N N Vibrant CLO Ltd 5493007DQ2IM8HOLV582 92558BAJ7 776266.10000000 PA USD 776540.90000000 0.139925902085 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 6.62617000 N N N N N N Fortress CBO Investments Ltd N/A 34706CAA7 2973409.23000000 PA USD 2948605.05000000 0.531312930865 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 7.18002000 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CU6 1975000.00000000 PA 2122342.14000000 0.382427555939 Long DBT CORP US N 2 2029-04-13 Fixed 3.90700000 N N N N N N JPMorgan Chase Bank, NA - CACL N/A 46591HBW9 2414126.29000000 PA USD 2829468.78000000 0.509845613366 Long ABS-O CORP US N 2 2028-09-25 Fixed 28.34800000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD 62160.49000000 0.011200778526 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -5556000.00000000 GBP 7005497.06000000 USD 2024-05-23 62160.49000000 N N N BLUE OWL CAPITAL CORP 2549000BD79OOCPF2L94 69121KAE4 900000.00000000 PA USD 844168.70000000 0.152111842222 Long DBT CORP US N 2 2026-07-15 Fixed 3.40000000 N N N N N N TierPoint Issuer LLC N/A 88651CAA8 2900000.00000000 PA USD 2786033.48000000 0.502018950875 Long ABS-O CORP US N 2 2053-06-25 Fixed 6.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDF0 1850000.00000000 PA USD 1768942.79000000 0.318748073190 Long DBT CORP US N 2 2030-06-14 Fixed 4.56500000 N N N N N N CNTL AMR BOTTLING CORP N/A 000000000 990000.00000000 PA USD 925275.58000000 0.166726595095 Long DBT CORP VG N 2 2029-04-27 Fixed 5.25000000 N N N N N N Extended Stay America Trust N/A 30227FAN0 2971331.16000000 PA USD 2973068.20000000 0.535720977281 Long ABS-MBS CORP US N 2 2038-07-15 Floating 9.13547880 N N N N N N 2024-06-24 PAYDEN & RYGEL INVESTMENT GROUP Sandi Brents Sandi Brents Compliance Officer