0001752724-24-184318.txt : 20240820
0001752724-24-184318.hdr.sgml : 20240820
20240820163003
ACCESSION NUMBER: 0001752724-24-184318
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240630
FILED AS OF DATE: 20240820
DATE AS OF CHANGE: 20240820
PERIOD START: 20241231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: LITMAN GREGORY FUNDS TRUST
CENTRAL INDEX KEY: 0001020425
ORGANIZATION NAME:
IRS NUMBER: 931215604
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07763
FILM NUMBER: 241225607
BUSINESS ADDRESS:
STREET 1: 1676 N. CALIFORNIA BLVD.
STREET 2: SUITE 500
CITY: WALNUT CREEK
STATE: CA
ZIP: 94596
BUSINESS PHONE: (925) 254-8999
MAIL ADDRESS:
STREET 1: 1676 N. CALIFORNIA BLVD.
STREET 2: SUITE 500
CITY: WALNUT CREEK
STATE: CA
ZIP: 94596
FORMER COMPANY:
FORMER CONFORMED NAME: MASTERS SELECT FUNDS TRUST
DATE OF NAME CHANGE: 19980807
FORMER COMPANY:
FORMER CONFORMED NAME: MASTERS SELECT INVESTMENT TRUST
DATE OF NAME CHANGE: 19961226
FORMER COMPANY:
FORMER CONFORMED NAME: MASTERS SELECT EQUITY FUND
DATE OF NAME CHANGE: 19961213
0001020425
S000033728
iMGP Alternative Strategies Fund
C000103965
Institutional Class
MASFX
C000103966
Investor Class
MASNX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001020425
XXXXXXXX
S000033728
C000103966
C000103965
LITMAN GREGORY FUNDS TRUST
811-07763
0001020425
549300RB4CD8N2IPVU55
2301 Rosecrans Avenue
Suite 2150
El Segundo
90245
925-254-8999
iMGP Alternative Strategies Fund
S000033728
5493000UX4PWLJLQ2737
2024-12-31
2024-06-30
N
588765912.42
27356590.63
561409321.79
0.00000000
5460895.01000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2295363.59000000
0.00000000
0.00000000
31694266.16000000
EUR
USD
N
65% US Agg / 35% Russell 3000
65% LBUSTRUU / 35% RAY
Marble Point CLO XII Ltd.
6354001RDKFQVFWCL963
Marble Point CLO XII Ltd
56606LAG8
500000.00000000
PA
USD
487974.00000000
0.086919468747
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
8.58900000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
205.40000000
0.000036586496
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
14700.00000000
EUR
16006.95000000
USD
2024-09-16
205.40000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382HD64
9951863.50000000
PA
USD
333127.68000000
0.059337753590
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Floating
0.00000000
N
N
N
N
N
N
Sartorius AG
529900EQV2DY4FOAMU38
Sartorius AG
000000000
-223.00000000
NS
-52306.88000000
-0.00931706652
Short
EP
CORP
DE
N
1
N
N
N
CIFC Funding Ltd
2549009RG3XZEWMXDF59
CIFC Funding 2013-II Ltd
12549BAU2
205000.00000000
PA
USD
205223.66000000
0.036555085930
Long
ABS-CBDO
CORP
KY
N
2
2030-10-18
Floating
7.53900000
N
N
N
N
N
N
RIVERBED TECHNOLOGY
XWT9B0BASIY6FJ5R7M02
RIVERBED TECHNOLOGY
000000000
6102.21000000
NS
USD
793.29000000
0.000141303318
Long
EC
CORP
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bills
912797GL5
92900000.00000000
PA
USD
92013076.27000000
16.38965950487
Long
STIV
UST
US
N
2
2024-09-05
None
0.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4016225 CDS EUR R F 1.00000 SP4016225FEE CCPCORPORATE / Short: SP4016225 CDS EUR P V 03MEVENT SP4016225PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
63972.29000000
0.011394946167
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Next Group PLC
Next Group PLC
Y
sell protection
2029-06-20
53542.00000000
EUR
0.00000000
EUR
3000000.00000000
EUR
5547.24000000
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B7FE6
21837141.71000000
PA
USD
109163.87000000
0.019444613005
Long
ABS-MBS
USGSE
US
N
2
2029-11-25
Variable
0.20800000
N
N
N
N
N
N
Citimortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2006-A5
18974BAB5
129947.32000000
PA
USD
11695.06000000
0.002083160992
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.09000000
N
N
N
N
N
N
UZBEKISTAN INTL BOND
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
91824PAA5
200000.00000000
PA
USD
195102.25000000
0.034752228441
Long
DBT
NUSS
UZ
N
2
2032-02-28
Fixed
6.90000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4025281 CDS USD R V 03MEVENT SP4025281PRO CCPCORPORATE / Short: BP4025281 CDS USD P F 1.00000 SP4025281FEE CCPCORPORATE
000000000
700000.00000000
OU
Notional Amount
USD
59753.27000000
0.010643441011
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Nordstrom, Inc.
Nordstrom, Inc.
Y
buy protection
2029-06-20
63000.00000000
USD
0.00000000
USD
700000.00000000
USD
-3246.73000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4020398 CDS USD R V 03MEVENT SP4020398PRO CCPCORPORATE / Short: BP4020398 CDS USD P F 5.00000 SP4020398FEE CCPCORPORATE
000000000
3300000.00000000
OU
Notional Amount
USD
-299300.50000000
-0.05331234954
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CCO Holdings LLC/CCO Holdings Capital Corp.
CCO Holdings LLC/CCO Holdings Capital Corp.
Y
buy protection
2029-06-20
0.00000000
USD
-222516.68000000
USD
3300000.00000000
USD
-76783.82000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382HKF6
5878648.16000000
PA
USD
594639.37000000
0.105919041049
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Floating
0.79700000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BBB0
100000.00000000
PA
USD
101061.20000000
0.018001339856
Long
DBT
US
N
2
2029-04-01
Fixed
7.25000000
N
N
N
N
N
N
Voya CLO Ltd
549300KSCKXTOBY0IP86
Voya CLO 2019-1 Ltd
92917QAE1
500000.00000000
PA
USD
491398.00000000
0.087529362432
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
11.71000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
2254W0PC3
901109.47000000
PA
USD
464475.34000000
0.082733813275
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4020781 CDS USD R V 03MEVENT SP4020781PRO CCPCORPORATE / Short: BP4020781 CDS USD P F 5.00000 SP4020781FEE CCPCORPORATE
000000000
2800000.00000000
OU
Notional Amount
USD
-416860.33000000
-0.07425247743
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Ford Motor Co.
Ford Motor Co.
Y
buy protection
2029-06-20
0.00000000
USD
-424914.62000000
USD
2800000.00000000
USD
8054.29000000
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP / Antero Midstream Finance Corp
03690AAK2
330000.00000000
PA
USD
333171.30000000
0.059345523322
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
6.62500000
N
N
N
N
N
N
Norway Government Bonds
549300L0BT3FJTN9MX24
Norway Government Bonds
000000000
4305000.00000000
PA
396466.62000000
0.070619885458
Long
DBT
NUSS
NO
Y
2
2025-03-13
Fixed
1.75000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CU1
370000.00000000
PA
USD
368620.99000000
0.065659933972
Long
DBT
CORP
US
N
2
2034-04-01
Fixed
5.60000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM1
126407AF2
1100000.00000000
PA
USD
707785.43000000
0.126072974303
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
3.83100000
N
N
N
N
N
N
CFLD CAYMAN INVESTMENT
3003006ZC30FH27GHL08
CFLD Cayman Investment Ltd
000000000
43250.00000000
PA
USD
1081.25000000
0.000192595662
Long
DBT
CORP
KY
N
2
2031-01-31
None
0.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4026192 CDS USD R F 1.00000 SP4026192FEE CCPCORPORATE / Short: SP4026192 CDS USD P V 03MEVENT SP4026192PRO CCPCORPORATE
000000000
400000.00000000
OU
Notional Amount
USD
8452.46000000
0.001505578848
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
HP, Inc.
HP, Inc.
Y
sell protection
2029-06-20
9078.78000000
USD
0.00000000
USD
400000.00000000
USD
-626.32000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4017989 CDS USD R V 03MEVENT SP4017989PRO CCPCORPORATE / Short: BP4017989 CDS USD P F 1.00000 SP4017989FEE CCPCORPORATE
000000000
2500000.00000000
OU
Notional Amount
USD
-67469.93000000
-0.01201795684
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Target Corp.
Target Corp.
Y
buy protection
2029-06-20
0.00000000
USD
-80296.69000000
USD
2500000.00000000
USD
12826.76000000
N
N
N
EVERI HOLDINGS INC
5299006DK5S7BG10K532
Everi Holdings Inc
30034TAA1
2279000.00000000
PA
USD
2243505.26000000
0.399620236594
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4020736 CDS USD R F 1.00000 SP4020736FEE CCPCORPORATE / Short: SP4020736 CDS USD P V 03MEVENT SP4020736PRO CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
USD
59862.98000000
0.010662982903
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Bank of America Corp.
Bank of America Corp.
Y
sell protection
2029-06-20
58350.11000000
USD
0.00000000
USD
3200000.00000000
USD
1512.87000000
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2004-11
41161PKA0
160892.80000000
PA
USD
126580.71000000
0.022546955507
Long
ABS-MBS
CORP
US
N
2
2035-01-19
Floating
6.09300000
N
N
N
N
N
N
Cisco Systems Inc
549300LKFJ962MZ46593
Cisco Systems Inc
17275R102
1021.00000000
NS
USD
48507.71000000
0.008640346377
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377QY84
182615.03000000
PA
USD
178275.51000000
0.031754996413
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
4.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-7
92538QAF7
2000000.00000000
PA
USD
1403361.80000000
0.249971232313
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
4.19200000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4025348 CDS USD R F 5.00000 SP4025348FEE CCPCORPORATE / Short: SP4025348 CDS USD P V 03MEVENT SP4025348PRO CCPCORPORATE
000000000
2500000.00000000
OU
Notional Amount
USD
337770.68000000
0.060164779402
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Bombardier, Inc.
Bombardier, Inc.
Y
sell protection
2029-06-20
344760.78000000
USD
0.00000000
USD
2500000.00000000
USD
-6990.10000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4025674 CDS EUR R V 03MEVENT SP4025674PRO CCPCORPORATE / Short: BP4025674 CDS EUR P F 5.00000 SP4025674FEE CCPCORPORATE
000000000
1300000.00000000
OU
Notional Amount
-274643.59000000
-0.04892038292
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Leonardo SpA
Leonardo SpA
Y
buy protection
2029-06-20
0.00000000
EUR
-257423.77000000
EUR
1300000.00000000
EUR
632.38000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4025483 CDS EUR R F 1.00000 SP4025483FEE CCPCORPORATE / Short: SP4025483 CDS EUR P V 03MEVENT SP4025483PRO CCPCORPORATE
000000000
450000.00000000
OU
Notional Amount
15780.69000000
0.002810906300
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Telenor ASA
Telenor ASA
Y
sell protection
2029-06-20
15096.38000000
EUR
0.00000000
EUR
450000.00000000
EUR
-362.62000000
N
N
N
SPDR S&P 500 ETF Trust
549300NZAMSJ8FXPQQ63
SPDR S&P 500 ETF Trust
78462F103
-275.00000000
NS
USD
-149660.50000000
-0.02665800053
Short
EC
RF
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380RJ84
9188909.81000000
PA
USD
494549.88000000
0.088090785244
Long
ABS-MBS
USGA
US
N
2
2063-04-16
Variable
0.72000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-G
63941JAB4
180000.00000000
PA
USD
152264.20000000
0.027121779794
Long
ABS-O
CORP
US
N
2
2068-10-15
Fixed
3.08000000
N
N
N
N
N
N
BlackRock Inc
549300LRIF3NWCU26A80
BlackRock Inc
09247X101
29.00000000
NS
USD
22832.28000000
0.004066957763
Long
EC
CORP
US
N
1
N
N
N
CBI STS de LLC
N/A
CBI STS de LLC 2023 Tanks Escrow Letter of Credit
000000000
105550.52000000
PA
USD
47497.73000000
0.008460445553
Long
LON
CORP
US
N
2
2026-12-31
Floating
10.40600000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
200000.00000000
PA
USD
12000.00000000
0.002137477867
Long
DBT
CORP
KY
Y
2
2025-05-27
None
0.00000000
Y
N
N
N
N
N
United Parcel Service Inc
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312106
439.00000000
NS
USD
60077.15000000
0.010701131539
Long
EC
CORP
US
N
1
N
N
N
ENQUEST PLC
2138008LJU6WFQWOXJ73
EnQuest PLC
29357JAC0
480000.00000000
PA
USD
488064.96000000
0.086935670829
Long
DBT
CORP
GB
N
2
2027-11-01
Fixed
11.62500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bills
912797KJ5
1800000.00000000
PA
USD
1735314.66000000
0.309099723258
Long
STIV
UST
US
N
2
2025-03-20
None
0.00000000
N
N
N
N
N
N
American Oncology Network Inc
N/A
American Oncology Network Inc
028719110
243.00000000
NS
USD
25.52000000
0.000004545702
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
American Oncology Network, Inc.
American Oncology Network, Inc.
1.00000000
11.50000000
USD
2028-09-20
XXXX
9.57000000
N
N
N
Accenture PLC
5493000EWHDSR3MZWH98
Accenture PLC
000000000
36.00000000
NS
USD
10922.76000000
0.001945596479
Long
EC
CORP
IE
N
1
N
N
N
Bank of America NA
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5053.82000000
0.000900202366
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
1551000.00000000
EUR
1668519.27000000
USD
2024-07-31
5053.82000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4021052 CDS USD R F 5.00000 SP4021052FEE CCPCORPORATE / Short: SP4021052 CDS USD P V 03MEVENT SP4021052PRO CCPCORPORATE
000000000
600000.00000000
OU
Notional Amount
USD
92598.17000000
0.016493878246
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Delta Air Lines, Inc.
Delta Air Lines, Inc.
Y
sell protection
2029-06-20
95215.50000000
USD
0.00000000
USD
600000.00000000
USD
-2617.33000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5NQ4
5757279.77000000
PA
USD
611386.26000000
0.108902049942
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
0.60000000
N
N
N
N
N
N
Metals Acquisition Ltd
984500A55FX8DC465F12
Metals Acquisition Ltd
000000000
762.00000000
NS
USD
10431.78000000
0.001858141572
Long
EC
CORP
JE
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396VSJ8
252052.92000000
PA
USD
18327.10000000
0.003264480885
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Floating
0.67000000
N
N
N
N
N
N
WORLD ACCEPTANCE CORP
N/A
World Acceptance Corp
981419AC8
410000.00000000
PA
USD
391195.02000000
0.069680891430
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
7.00000000
N
N
N
N
N
N
BLACKLINE INC
529900P9N7PK9LV5EK56
BlackLine Inc
09239BAB5
1865000.00000000
PA
USD
1859405.00000000
0.331203086203
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
0.12500000
N
N
N
N
Y
Blackline Inc
Blackline Inc
USD
XXXX
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QNT5
6875273.37000000
PA
USD
488887.63000000
0.087082207406
Long
ABS-MBS
USGA
US
N
2
2070-11-20
Variable
0.35600000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities
N/A
First Horizon Alternative Mortgage Securities Trust 2007-FA4
32052WAG4
210098.58000000
PA
USD
79823.15000000
0.014218351370
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4026406 CDS USD R V 03MEVENT SP4026406PRO CCPCORPORATE / Short: BP4026406 CDS USD P F 1.00000 SP4026406FEE CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
-5625.89000000
-0.00100210128
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Yum! Brands, Inc.
Yum! Brands, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-4395.24000000
USD
500000.00000000
USD
-1230.65000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4026237 CDS USD R F 1.00000 SP4026237FEE CCPCORPORATE / Short: SP4026237 CDS USD P V 03MEVENT SP4026237PRO CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
9618.06000000
0.001713199198
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Universal Health Services, Inc.
Universal Health Services, Inc.
Y
sell protection
2029-06-20
10215.29000000
USD
0.00000000
USD
500000.00000000
USD
-597.23000000
N
N
N
Amedisys Inc
5299001RBS9GK9STN379
Amedisys Inc
023436108
63263.00000000
NS
USD
5807543.40000000
1.034457956893
Long
EC
CORP
US
N
1
N
N
N
Progress Residential Trust
N/A
Progress Residential 2020-SFR3 Trust
74333AAL4
255000.00000000
PA
USD
243472.88000000
0.043368157697
Long
ABS-O
CORP
US
N
2
2027-10-17
Fixed
2.79600000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAD4
260000.00000000
PA
USD
271406.46000000
0.048343775114
Long
DBT
CORP
NL
N
2
2030-07-28
Fixed
7.00000000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
203372AX5
50000.00000000
PA
USD
34636.19000000
0.006169507461
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
4.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-ALT1
466247XK4
1210916.71000000
PA
USD
917789.62000000
0.163479583323
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
4.78200000
N
N
N
N
N
N
Chevron Corp
N/A
Chevron Corp
166764100
-39096.00000000
NS
USD
-6115396.32000000
-1.08929369047
Short
EC
CORP
US
N
1
N
N
N
GTCR W MERGER SUB LLC
254900S8RE1OL7TTCU64
GTCR W MERGER SUB LLC TERM LOAN
000000000
406000.00000000
PA
USD
407071.84000000
0.072508920710
Long
LON
CORP
US
N
2
2031-01-31
None
0.00000000
N
N
N
N
N
N
AmWINS Group Inc
549300SJE7MUB8NMRG61
AmWINS Group Inc 2021 Term Loan B
03234TAW8
22899.17000000
PA
USD
22908.10000000
0.004080463061
Long
LON
CORP
US
N
2
2028-02-19
Floating
7.59400000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4022996 CDS EUR R V 03MEVENT SP4022996PRO CCPCORPORATE / Short: BP4022996 CDS EUR P F 1.00000 SP4022996FEE CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
-2264.13000000
-0.00040329398
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Rolls-Royce PLC
Rolls-Royce PLC
Y
buy protection
2029-06-20
0.00000000
EUR
-1853.32000000
EUR
500000.00000000
EUR
-280.07000000
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2021-2
91680F102
1000.00000000
PA
USD
75890.96000000
0.013517937279
Long
ABS-O
CORP
US
N
2
2031-06-20
None
0.00000000
N
N
N
N
N
N
China Evergrande Group
549300CUF7B1LAB15T90
China Evergrande Group
000000000
200000.00000000
PA
USD
3000.00000000
0.000534369466
Long
DBT
CORP
KY
Y
2
2025-06-28
None
0.00000000
Y
N
N
N
N
N
Vision Solutions Inc
N/A
Vision Solutions Inc 2021 Incremental Term Loan
70477BAE2
23636.34000000
PA
USD
23311.34000000
0.004152289442
Long
LON
CORP
US
N
2
2028-04-24
Floating
9.59100000
N
N
N
N
N
N
Carval CLO LTD
254900DAR7W0XP2CHD65
Carval Clo X-C Ltd/Jersey
146918AC1
285000.00000000
PA
USD
285356.25000000
0.050828555730
Long
ABS-CBDO
CORP
KY
N
2
2037-07-20
Floating
7.33600000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4022053 CDS USD R F 1.00000 SP4022053FEE CCPCORPORATE / Short: SP4022053 CDS USD P V 03MEVENT SP4022053PRO CCPCORPORATE
000000000
2300000.00000000
OU
Notional Amount
USD
34943.21000000
0.006224194833
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Ryder System, Inc.
Ryder System, Inc.
Y
sell protection
2029-06-20
35732.46000000
USD
0.00000000
USD
2300000.00000000
USD
-789.25000000
N
N
N
PROSPECT CAPITAL CORP
549300FSD8T39P5Q0O47
Prospect Capital Corp
74348TAW2
322000.00000000
PA
USD
276216.66000000
0.049200583118
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
3.43700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QQG0
9862860.29000000
PA
USD
623077.32000000
0.110984498442
Long
ABS-MBS
USGA
US
N
2
2070-09-20
Variable
0.33100000
N
N
N
N
N
N
BLUE OWL CAPITAL CORP
2549000BD79OOCPF2L94
Blue Owl Capital Corp
69121KAG9
635000.00000000
PA
USD
562190.91000000
0.100139218958
Long
DBT
CORP
US
N
2
2028-06-11
Fixed
2.87500000
N
N
N
N
N
N
UNITI GROUP/CSL CAPITAL
N/A
Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC
91327BAA8
81000.00000000
PA
USD
51726.40000000
0.009213669597
Long
DBT
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
NioCorp Developments Ltd
5299001QL26XJPOD3A17
NioCorp Developments Ltd
654484153
2915.00000000
NS
USD
676.28000000
0.000120461127
N/A
DE
CA
N
1
N/A
N/A
Call
Purchased
NioCorp Developments Ltd.
NioCorp Developments Ltd.
1.00000000
0.89420000
USD
2028-03-17
XXXX
-1655.72000000
N
N
N
AASET 2021-1 Trust
N/A
Aaset 2021-1 Trust
00038PAA8
276159.88000000
PA
USD
254872.90000000
0.045398765233
Long
ABS-O
CORP
US
N
2
2041-11-16
Fixed
2.95000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4021513 CDS USD R F 1.00000 SP4021513FEE CCPCORPORATE / Short: SP4021513 CDS USD P V 03MEVENT SP4021513PRO CCPCORPORATE
000000000
1400000.00000000
OU
Notional Amount
USD
-47041.67000000
-0.00837921070
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Bath & Body Works, Inc.
Bath & Body Works, Inc.
Y
sell protection
2029-06-20
0.00000000
USD
-31621.06000000
USD
1400000.00000000
USD
-15420.61000000
N
N
N
Sound Holdings FP
N/A
SOUND HOLDINGS FP
000000000
17500.00000000
NS
346499.49000000
0.061719582584
Long
EC
CORP
US
N
3
N
N
N
Endeavor Group Holdings Inc
N/A
Endeavor Group Holdings Inc
29260Y109
97508.00000000
NS
USD
2635641.24000000
0.469468734789
Long
EC
CORP
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR FUTR OPTN SEP24P 105.7
000000000
165.00000000
NC
USD
60586.02000000
0.010791773069
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 5 Year U.S. Treasury Notes Future
N/A
165.00000000
NC
N/A
60586.02000000
0.01000000
DIR
US
Long
CBOT 5 Year U.S. Treasury Notes
FVU4 Comdty
2024-09-30
165.00000000
USD
1000.00000000
105.75000000
USD
2024-08-23
XXXX
-78977.58000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TA6
2700000.00000000
PA
USD
1794392.57000000
0.319622867015
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4014751 CDS EUR R F 1.00000 SP4014751FEE CCPCORPORATE / Short: SP4014751 CDS EUR P V 03MEVENT SP4014751PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
58686.40000000
0.010453406760
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Societe Generale SA
Societe Generale SA
Y
sell protection
2029-06-20
24145.50000000
EUR
0.00000000
EUR
3000000.00000000
EUR
32461.97000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4019318 CDS USD R F 1.00000 SP4019318FEE CCPCORPORATE / Short: SP4019318 CDS USD P V 03MEVENT SP4019318PRO CCPCORPORATE
000000000
3500000.00000000
OU
Notional Amount
USD
23730.70000000
0.004226987169
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Freeport-McMoRan, Inc.
Freeport-McMoRan, Inc.
Y
sell protection
2029-06-20
0.00000000
USD
-31156.57000000
USD
3500000.00000000
USD
54887.27000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2003-22CB
12669FEE9
59439.27000000
PA
USD
58140.89000000
0.010356238798
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Fixed
5.75000000
N
N
N
N
N
N
Bank of America NA
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4410.06000000
0.000785533803
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
300000.00000000
EUR
326718.00000000
USD
2024-09-05
4410.06000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FFBT3
5186437.10000000
PA
USD
886338.24000000
0.157877364268
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AKEF4
1077584.24000000
PA
USD
81956.75000000
0.014598394935
Long
ABS-MBS
USGSE
US
N
2
2042-01-15
Floating
0.50200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A24U4
248944.47000000
PA
USD
233481.56000000
0.041588472249
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Fixed
4.00000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BG6
275000.00000000
PA
USD
271636.20000000
0.048384697128
Long
DBT
CORP
LR
N
2
2028-04-01
Fixed
5.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4022222 CDS USD R F 1.00000 SP4022222FEE CCPCORPORATE / Short: SP4022222 CDS USD P V 03MEVENT SP4022222PRO CCPCORPORATE
000000000
2300000.00000000
OU
Notional Amount
USD
-77282.74000000
-0.01376584552
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Bath & Body Works, Inc.
Bath & Body Works, Inc.
Y
sell protection
2029-06-20
0.00000000
USD
-85276.45000000
USD
2300000.00000000
USD
7993.71000000
N
N
N
RITHM CAPITAL CORP
549300WNTHGEO5LP2G31
Rithm Capital Corp
64828TAB8
382000.00000000
PA
USD
371166.94000000
0.066113426620
Long
DBT
US
N
2
2029-04-01
Fixed
8.00000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818108
158.00000000
NS
USD
35749.08000000
0.006367738940
Long
EC
CORP
US
N
1
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loans 2017-2 LLC
61946GAB9
724797.77000000
PA
USD
636097.96000000
0.113303775928
Long
ABS-O
CORP
US
N
2
2043-06-22
Fixed
4.77000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AR5
957000.00000000
PA
USD
858561.54000000
0.152929690811
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
4.50000000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160104
485.00000000
NS
USD
70887.60000000
0.012626723007
Long
EC
CORP
US
N
1
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AR0
195000.00000000
PA
USD
164126.00000000
0.029234641041
Long
DBT
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-HYB4
12669FV75
3447.70000000
PA
USD
2934.63000000
0.000522725556
Long
ABS-MBS
CORP
US
N
2
2034-09-20
Variable
5.38100000
N
N
N
N
N
N
MCDERMOTT INTL LTD
N/A
MCDERMOTT INTL LTD
58004K109
645855.00000000
NS
USD
187297.95000000
0.033362101897
Long
EC
CORP
BM
N
1
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO 2024-1 Ltd
94951AAE9
250000.00000000
PA
USD
250367.75000000
0.044596293699
Long
ABS-CBDO
CORP
KY
N
2
2037-07-18
Floating
7.37200000
N
N
N
N
N
N
Plum Acquisition Corp I
N/A
Plum Acquisition Corp I
000000000
2615.00000000
NS
USD
222.28000000
0.000039593215
N/A
DE
KY
N
1
N/A
N/A
Call
Purchased
Plum Acquisition Corp I
Plum Acquisition Corp I
1.00000000
11.50000000
USD
2028-12-31
XXXX
139.59000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381E2N7
14612418.62000000
PA
USD
856379.79000000
0.152541070616
Long
ABS-MBS
USGA
US
N
2
2064-01-16
Variable
0.70600000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAF8
335000.00000000
PA
USD
355346.69000000
0.063295473767
Long
DBT
CORP
US
N
2
2034-03-30
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GAN5
4945.26000000
PA
USD
4616.97000000
0.000822389265
Long
ABS-MBS
CORP
US
N
3
2035-07-25
Variable
6.40800000
N
N
N
N
N
N
DELUXE CORP
KWGNKB8TX9LE5TV29231
Deluxe Corp
248019AU5
515000.00000000
PA
USD
483710.35000000
0.086160013955
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
8.00000000
N
N
N
N
N
N
RR 2 LTD
54930098CLSTWMH4JW47
RR 2 Ltd
78109RAJ5
500000.00000000
PA
USD
492630.50000000
0.087748899221
Long
ABS-CBDO
CORP
KY
N
2
2036-04-15
Floating
11.39000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBT9
910000.00000000
PA
USD
874478.51000000
0.155764871735
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
PAGAYA AI Debt Trust 2022-2
69546VAE7
346225.63000000
PA
USD
345716.37000000
0.061580090778
Long
ABS-O
CORP
US
N
2
2030-01-15
Variable
5.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375XRE6
100096.85000000
PA
USD
5637.76000000
0.001004215601
Long
ABS-MBS
USGA
US
N
2
2038-08-20
Floating
2.17700000
N
N
N
N
N
N
ENSTAR GROUP LTD
213800AMAL5QFXVUCN04
Enstar Group Ltd
29359UAC3
532000.00000000
PA
USD
439874.52000000
0.078351837585
Long
DBT
CORP
BM
N
2
2031-09-01
Fixed
3.10000000
N
N
N
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
42809H107
38143.00000000
NS
USD
5626855.36000000
1.002273233023
Long
EC
CORP
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4025326 CDS USD R F 1.00000 SP4025326FEE CCPCORPORATE / Short: SP4025326 CDS USD P V 03MEVENT SP4025326PRO CCPCORPORATE
000000000
700000.00000000
OU
Notional Amount
USD
18282.54000000
0.003256543717
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Omnicom Group, Inc.
Omnicom Group, Inc.
Y
sell protection
2029-06-20
19133.54000000
USD
0.00000000
USD
700000.00000000
USD
-851.00000000
N
N
N
Chile Government International Bonds
549300FLZTJM5YJF8D34
Chile Government International Bonds
168863DV7
270000.00000000
PA
USD
235209.05000000
0.041896178219
Long
DBT
NUSS
CL
N
2
2034-01-31
Fixed
3.50000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR11
45660LQH5
178574.47000000
PA
USD
127100.22000000
0.022639492268
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.80400000
N
N
N
N
N
N
Heineken Holding NV
724500M1WJLFM9TYBS04
Heineken Holding NV
000000000
11490.00000000
NS
906363.97000000
0.161444410490
Long
EC
CORP
NL
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398GZX0
19366.59000000
PA
USD
923.60000000
0.000164514546
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Floating
0.00000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324P102
167.00000000
NS
USD
85046.42000000
0.015148736705
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F7LN3
6355573.17000000
PA
USD
968024.34000000
0.172427550172
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
3.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4021681 CDS USD R F 5.00000 SP4021681FEE CCPCORPORATE / Short: SP4021681 CDS USD P V 03MEVENT SP4021681PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
USD
606570.18000000
0.108044194575
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
T-Mobile USA, Inc.
T-Mobile USA, Inc.
Y
sell protection
2029-06-20
623525.70000000
USD
0.00000000
USD
3000000.00000000
USD
-16955.52000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ACSU4
64363.11000000
PA
USD
4315.15000000
0.000768628135
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Floating
0.52200000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4017383 CDS USD R V 03MEVENT SP4017383PRO CCPCORPORATE / Short: BP4017383 CDS USD P F 1.00000 SP4017383FEE CCPCORPORATE
000000000
3300000.00000000
OU
Notional Amount
USD
-39466.55000000
-0.00702990642
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
BorgWarner, Inc.
BorgWarner, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-14486.70000000
USD
3300000.00000000
USD
-24979.85000000
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust 2013-C5
90270YAL3
1000000.00000000
PA
USD
842775.20000000
0.150117778114
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Variable
3.84400000
N
N
N
N
N
N
Farfetch US Holdings Inc
N/A
Farfetch US Holdings Inc Term Loan
30745BAB8
200771.06000000
PA
USD
187427.82000000
0.033385234752
Long
LON
CORP
US
N
2
2027-10-20
Floating
11.57500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4012412 CDS EUR R V 03MEVENT SP4012412PRO CCPCORPORATE / Short: BP4012412 CDS EUR P F 5.00000 SP4012412FEE CCPCORPORATE
000000000
2500000.00000000
OU
Notional Amount
-520622.86000000
-0.09273498671
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Stora Enso OYJ
Stora Enso OYJ
Y
buy protection
2029-06-20
0.00000000
EUR
-499205.46000000
EUR
2500000.00000000
EUR
21563.91000000
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAF6
449000.00000000
PA
USD
452121.90000000
0.080533379559
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
7.12500000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2006-A8
761119AA4
194505.74000000
PA
USD
105675.18000000
0.018823196533
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DL6
50000.00000000
PA
USD
51314.24000000
0.009140254357
Long
DBT
CORP
US
N
2
2034-05-01
Fixed
6.52800000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2006-S4 Trust
762010AE6
268442.02000000
PA
USD
208100.09000000
0.037067444718
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4022525 CDS EUR R F 5.00000 SP4022525FEE CCPCORPORATE / Short: SP4022525 CDS EUR P V 03MEVENT SP4022525PRO CCPCORPORATE
000000000
1300000.00000000
OU
Notional Amount
-72339.14000000
-0.01288527589
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Grifols SA
Grifols SA
Y
sell protection
2029-06-20
0.00000000
EUR
-130000.00000000
EUR
1300000.00000000
EUR
66026.31000000
N
N
N
Electriq Power Holdings Inc
N/A
Electriq Power Holdings Inc
285046116
5576.00000000
NS
USD
3.35000000
0.000000596712
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Electriq Power Holdings Inc
Electriq Power Holdings Inc
1.00000000
11.50000000
USD
2028-07-31
XXXX
-439.13000000
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
09228YAB8
141502.56000000
PA
USD
140147.53000000
0.024963520298
Long
ABS-O
CORP
KY
N
2
2041-12-16
Variable
4.21300000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-B Trust
058928AN2
171608.32000000
PA
USD
141074.36000000
0.025128610182
Long
ABS-MBS
CORP
US
N
2
2036-03-20
Variable
4.31400000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4023054 CDS EUR R V 03MEVENT SP4023054PRO CCPCORPORATE / Short: BP4023054 CDS EUR P F 5.00000 SP4023054FEE CCPCORPORATE
000000000
300000.00000000
OU
Notional Amount
-58093.40000000
-0.01034777972
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Elis SA
Elis SA
Y
buy protection
2029-06-20
0.00000000
EUR
-54126.01000000
EUR
300000.00000000
EUR
-148.78000000
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2023-FL12 LLC
59319MAG8
400000.00000000
PA
USD
402852.00000000
0.071757269493
Long
ABS-CBDO
CORP
US
N
2
2038-10-19
Floating
9.11600000
N
N
N
N
N
N
AMDOCS LTD
549300HQV672RJ7RQV66
Amdocs Ltd
02342TAE9
184000.00000000
PA
USD
157206.79000000
0.028002169522
Long
DBT
CORP
GG
N
2
2030-06-15
Fixed
2.53800000
N
N
N
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
1005000.00000000
PA
USD
36431.25000000
0.006489249213
Long
DBT
CORP
KY
Y
2
2024-06-30
None
0.00000000
Y
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4012108 CDS EUR R V 03MEVENT SP4012108PRO CCPCORPORATE / Short: BP4012108 CDS EUR P F 1.00000 SP4012108FEE CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
-46858.44000000
-0.00834657320
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Standard Chartered PLC
Standard Chartered PLC
Y
buy protection
2029-06-20
0.00000000
EUR
-38040.43000000
EUR
3000000.00000000
EUR
-5656.84000000
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
200000.00000000
PA
USD
6526.00000000
0.001162431713
Long
DBT
CORP
KY
Y
2
2025-07-23
None
0.00000000
Y
N
N
N
N
N
MLCC Mortgage Investors Inc
N/A
Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2
590219AE1
1999.72000000
PA
USD
1820.40000000
0.000324255392
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
6.19600000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746101
18800.00000000
NS
USD
1116532.00000000
0.198880203207
Long
EC
CORP
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) SEP24
000000000
-260.00000000
NC
USD
-240359.12000000
-0.04281352493
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT U.S. Long Bond Futures
USU4 Comdty
2024-09-19
-30520890.88000000
USD
-240359.12000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
395000.00000000
PA
USD
317270.02000000
0.056513137150
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AV7
460000.00000000
PA
USD
482030.78000000
0.085860843646
Long
DBT
CORP
CA
N
2
2029-03-01
Fixed
9.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397PJ35
19299.96000000
PA
USD
1061.21000000
0.000189026073
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
0.55200000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4014964 CDS EUR R F 5.00000 SP4014964FEE CCPCORPORATE / Short: SP4014964 CDS EUR P V 03MEVENT SP4014964PRO CCPCORPORATE
000000000
2500000.00000000
OU
Notional Amount
501318.50000000
0.089296433198
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Heidelberg Materials AG
Heidelberg Materials AG
Y
sell protection
2029-06-20
497160.75000000
EUR
0.00000000
EUR
2500000.00000000
EUR
-38647.52000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4020219 CDS USD R F 5.00000 SP4020219FEE CCPCORPORATE / Short: SP4020219 CDS USD P V 03MEVENT SP4020219PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
USD
472663.59000000
0.084192330204
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
NRG Energy, Inc.
NRG Energy, Inc.
Y
sell protection
2029-06-20
453154.50000000
USD
0.00000000
USD
3000000.00000000
USD
19509.09000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-TWR
36251SAU2
1503000.00000000
PA
USD
31563.00000000
0.005622101161
Long
ABS-MBS
CORP
US
N
2
2031-07-15
Floating
9.55100000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4016090 CDS EUR R F 5.00000 SP4016090FEE CCPCORPORATE / Short: SP4016090 CDS EUR P V 03MEVENT SP4016090PRO CCPCORPORATE
000000000
1500000.00000000
OU
Notional Amount
233045.07000000
0.041510723273
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Premier Foods Finance PLC
Premier Foods Finance PLC
Y
sell protection
2029-06-20
240080.17000000
EUR
0.00000000
EUR
1500000.00000000
EUR
-28930.48000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YN99
717726.60000000
PA
USD
55381.08000000
0.009864652732
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Floating
0.55000000
N
N
N
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
77313LAB9
545000.00000000
PA
USD
459792.25000000
0.081899646506
Long
DBT
CORP
US
N
2
2033-10-15
Fixed
4.00000000
N
N
N
N
N
N
United States Steel Corp
JNLUVFYJT1OZSIQ24U47
United States Steel Corp
912909108
82705.00000000
NS
USD
3126249.00000000
0.556857337179
Long
EC
CORP
US
N
1
N
N
N
SIRIUSPOINT LTD
549300OGXFI85N3YZZ51
SiriusPoint Ltd
82969BAA0
120000.00000000
PA
USD
121798.37000000
0.021695110015
Long
DBT
CORP
BM
N
2
2029-04-05
Fixed
7.00000000
N
N
N
N
N
N
Marathon Oil Corp
1FRVQX2CRLGC1XLP5727
Marathon Oil Corp
565849106
53469.00000000
NS
USD
1532956.23000000
0.273055001137
Long
EC
CORP
US
N
1
N
N
N
GS Mortgage Securities Trust
549300E4QCAQ0FY44H36
GS Mortgage Securities Corp Trust 2013-PEMB
36197VAE8
1125000.00000000
PA
USD
759655.24000000
0.135312188543
Long
ABS-MBS
CORP
US
N
2
2033-03-05
Variable
3.66800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9AP3
609527.12000000
PA
USD
51871.12000000
0.009239447580
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Floating
0.71000000
N
N
N
N
N
N
MH Sub I LLC
2549005VFKP807SR8N49
MH Sub I LLC 2023 Term Loan
45567YAN5
90932.31000000
PA
USD
90950.95000000
0.016200470221
Long
LON
CORP
US
N
2
2028-05-03
Floating
9.59400000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XLV Ltd
55820DAE3
500000.00000000
PA
USD
502379.50000000
0.089485421866
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
11.94000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-PLND
61691XAQ6
1508000.00000000
PA
USD
161562.75000000
0.028778066863
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
8.24300000
N
N
N
N
N
N
Education Funding Trust
N/A
Education Funding Trust Trust
28141PAA3
201628.39000000
PA
USD
183519.54000000
0.032689079585
Long
ABS-O
CORP
US
N
2
2041-07-25
Fixed
2.79000000
N
N
N
N
N
N
Sable Offshore Corp
N/A
Sable Offshore Corp
78574H112
6951.00000000
NS
USD
29680.77000000
0.005286832414
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Sable Offshore Corp.
Sable Offshore Corp.
1.00000000
11.50000000
USD
2028-12-31
XXXX
25693.07000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4025810 CDS USD R F 1.00000 SP4025810FEE CCPCORPORATE / Short: SP4025810 CDS USD P V 03MEVENT SP4025810PRO CCPCORPORATE
000000000
1000000.00000000
OU
Notional Amount
USD
13258.89000000
0.002361715327
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
AT&T, Inc.
AT&T, Inc.
Y
sell protection
2029-06-20
13260.53000000
USD
0.00000000
USD
1000000.00000000
USD
-1.64000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397PCU2
78139.20000000
PA
USD
5705.21000000
0.001016230008
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Floating
0.86200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FQA2
118336.40000000
PA
USD
5133.91000000
0.000914468249
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
Floating
0.35000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4026305 CDS USD R V 03MEVENT SP4026305PRO CCPCORPORATE / Short: BP4026305 CDS USD P F 5.00000 SP4026305FEE CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
-82403.44000000
-0.01467796076
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
KB Home
KB Home
Y
buy protection
2029-06-20
0.00000000
USD
-82183.67000000
USD
500000.00000000
USD
-219.77000000
N
N
N
WASTE CONNECTIONS INC
549300HDLRTPBQU69P29
Waste Connections Inc
94106BAC5
725000.00000000
PA
USD
592170.65000000
0.105479304852
Long
DBT
CORP
CA
N
2
2032-01-15
Fixed
2.20000000
N
N
N
N
N
N
iHeartMedia Inc
N/A
iHeartMedia Inc
45174J509
11920.00000000
NS
USD
12992.80000000
0.002314318536
Long
EC
CORP
US
N
1
N
N
N
ELDORADO GOLD CORP
5493004PWQ01YDD1IH62
Eldorado Gold Corp
284902AF0
592000.00000000
PA
USD
569771.52000000
0.101489501133
Long
DBT
CORP
CA
N
2
2029-09-01
Fixed
6.25000000
N
N
N
N
N
N
U.S FARMING REALTY TRUST
N/A
U.S FARMING REALTY TRUST LIMITED PARTNERSHIP
000000000
1300000.00000000
NS
USD
323060.40000000
0.057544537908
Long
EC
CORP
US
N
3
N
N
N
LCM Ltd Partnership
549300K6S4MWQOINB710
LCM XVII LP
50190BAB6
1000000.00000000
PA
USD
840497.00000000
0.149711977941
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
11.59000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287Y109
1242.00000000
NS
USD
213027.84000000
0.037945191098
Long
EC
CORP
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4013435 CDS USD R V 03MEVENT SP4013435PRO CCPCORPORATE / Short: BP4013435 CDS USD P F 1.00000 SP4013435FEE CCPCORPORATE
000000000
3100000.00000000
OU
Notional Amount
USD
-92450.34000000
-0.01646754630
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
American Express Co.
American Express Co.
Y
buy protection
2029-06-20
0.00000000
USD
-93832.95000000
USD
3100000.00000000
USD
1382.61000000
N
N
N
TELADOC HEALTH INC
549300I2PVFBC9MFAC61
Teladoc Health Inc
87918AAF2
195000.00000000
PA
USD
162083.42000000
0.028870810246
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
1.25000000
N
N
N
N
Y
Teladoc Health Inc
Teladoc Health Inc
USD
XXXX
N
N
N
ESCROW ALTEGRITY INC
N/A
ESCROW ALTEGRITY INC
021ESC017
114390.00000000
NS
USD
266528.70000000
0.047474933111
Long
EC
CORP
US
N
3
N
N
N
Ferguson PLC
213800DU1LGY3R2S2X42
Ferguson PLC
000000000
3759.00000000
NS
USD
727930.35000000
0.129661251024
Long
EC
CORP
JE
N
1
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT XCIV LLC
92873AAA6
38174.57000000
PA
USD
37794.57000000
0.006732088074
Long
ABS-O
CORP
US
N
2
2051-02-27
Variable
5.24000000
N
N
N
N
N
N
Octagon Investment Partners XVI LTD
N/A
Octagon Investment Partners XVI Ltd
67590DAE6
1500000.00000000
PA
USD
71677.50000000
0.012767422488
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Variable
0.00000000
N
N
N
N
N
N
CNX RESOURCES CORP
549300JK3KH8PWM3B226
CNX Resources Corp
12653CAL2
213000.00000000
PA
USD
217370.76000000
0.038718765713
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
7.25000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BQ9
905000.00000000
PA
USD
848669.07000000
0.151167612838
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.87500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bills
912797KA4
1380000.00000000
PA
USD
1335553.65000000
0.237893030657
Long
STIV
UST
US
N
2
2025-02-20
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382YHR7
14294819.39000000
PA
USD
833572.37000000
0.148478540994
Long
ABS-MBS
USGA
US
N
2
2071-11-20
Variable
0.90000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-10
362375AE7
525881.16000000
PA
USD
130155.27000000
0.023183667414
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
6.94800000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B9EB9
26840088.92000000
PA
USD
1115632.45000000
0.198719972522
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Variable
0.98700000
N
N
N
N
N
N
UZBEKISTAN INTL BOND
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
000000000
150000.00000000
PA
160418.16000000
0.028574188880
Long
DBT
NUSS
UZ
N
2
2027-05-29
Fixed
5.37500000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2007-A1
761136AH3
226810.69000000
PA
USD
69111.10000000
0.012310287221
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4015943 CDS EUR R F 1.00000 SP4015943FEE CCPCORPORATE / Short: SP4015943 CDS EUR P V 03MEVENT SP4015943PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
72713.48000000
0.012951954514
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Swiss Reinsurance Co. Ltd.
Swiss Reinsurance Co. Ltd.
Y
sell protection
2029-06-20
85616.49000000
EUR
0.00000000
EUR
3000000.00000000
EUR
-20711.25000000
N
N
N
XEROX HOLDINGS CORP
5493000Y33XDVO2CXC18
Xerox Holdings Corp
98421MAB2
406000.00000000
PA
USD
350683.35000000
0.062464824930
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
5.50000000
N
N
N
N
N
N
Citimortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2007-A6
18976GAE6
1151956.02000000
PA
USD
952767.85000000
0.169710016029
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Private Credit Student Loan Trust 2003-A
78443CAJ3
95000.00000000
PA
USD
94651.07000000
0.016859547272
Long
ABS-O
CORP
US
N
2
2032-06-15
Variable
8.29700000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4018373 CDS EUR R F 1.00000 SP4018373FEE CCPCORPORATE / Short: SP4018373 CDS EUR P V 03MEVENT SP4018373PRO CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
-179349.58000000
-0.03194631315
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Telecom Italia SpA
Telecom Italia SpA
Y
sell protection
2029-06-20
0.00000000
EUR
-160288.71000000
EUR
3200000.00000000
EUR
-4017.72000000
N
N
N
Wind River CLO Ltd
N/A
THL Credit Wind River 2014-2 CLO Ltd
87245LAA3
2000000.00000000
PA
USD
41760.00000000
0.007438422979
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
None
0.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR FUTR OPTN SEP24P 104.7
000000000
-330.00000000
NC
USD
-48984.54000000
-0.00872528084
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 5 Year U.S. Treasury Notes Future
N/A
330.00000000
NC
N/A
-48984.54000000
-0.01000000
DIR
US
Short
CBOT 5 Year U.S. Treasury Notes
FVU4 Comdty
2024-09-30
330.00000000
USD
1000.00000000
104.75000000
USD
2024-08-23
XXXX
97279.05000000
N
N
N
CANYON CAPITAL CLO LTD
N/A
Canyon CLO 2021-4 Ltd
13877QAA3
1000000.00000000
PA
USD
991291.00000000
0.176571881072
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
11.89000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300C2HE5FJAWYZL57
CSAIL 2016-C6 Commercial Mortgage Trust
12636MAL2
1130000.00000000
PA
USD
1009372.73000000
0.179792655879
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
5.08200000
N
N
N
N
N
N
ALPHA HOLDING SA
549300R872G37EN6NT94
Alpha Holding SA de CV
02074AAB0
565638.53000000
PA
USD
3094.06000000
0.000551123730
Long
DBT
CORP
MX
N
2
2025-02-10
None
0.00000000
Y
N
N
N
N
N
SHIMAO GROUP HOLDINGS LT
254900WTJ6B5CU69ZD26
Shimao Group Holdings Ltd
000000000
200000.00000000
PA
USD
10350.00000000
0.001843574660
Long
DBT
CORP
KY
Y
2
2027-01-16
None
0.00000000
Y
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT SEP24
000000000
-10.00000000
NC
USD
-16895.90000000
-0.00300955102
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CME Ultra Long Term U.S. Treasury Bond Futures
WNU4 Comdty
2024-09-19
-1236541.60000000
USD
-16895.90000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4024066 CDS USD R F 1.00000 SP4024066FEE CCPCORPORATE / Short: SP4024066 CDS USD P V 03MEVENT SP4024066PRO CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
11004.75000000
0.001960200796
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Dell, Inc.
Dell, Inc.
Y
sell protection
2029-06-20
11436.37000000
USD
0.00000000
USD
500000.00000000
USD
-431.62000000
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR10 Trust
74333WAN2
3398607.76000000
PA
USD
3035429.48000000
0.540680277684
Long
ABS-O
CORP
US
N
2
2040-12-17
Fixed
4.60800000
N
N
N
N
N
N
Battalion Oil Corp
3XHTN2NNIMMPORDAMJ28
Battalion Oil Corp
07134L107
11780.00000000
NS
USD
39345.20000000
0.007008291183
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AGNT3
14995.77000000
PA
USD
11288.93000000
0.002010819835
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Floating
0.00000000
N
N
N
N
N
N
DELEK LOG PART/FINANCE
N/A
Delek Logistics Partners LP / Delek Logistics Finance Corp
24665FAD4
237000.00000000
PA
USD
244106.68000000
0.043481052153
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
8.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382JPV2
5201058.56000000
PA
USD
604273.03000000
0.107635018968
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Floating
0.84700000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4019712 CDS USD R V 03MEVENT SP4019712PRO CCPCORPORATE / Short: BP4019712 CDS USD P F 1.00000 SP4019712FEE CCPCORPORATE
000000000
3400000.00000000
OU
Notional Amount
USD
15679.54000000
0.002792889143
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Apache Corp.
Apache Corp.
Y
buy protection
2029-06-20
50168.05000000
USD
0.00000000
USD
3400000.00000000
USD
-34488.51000000
N
N
N
LOGAN GROUP CO LTD
549300NJ0E6Q0S1VOG90
Logan Group Co Ltd
000000000
200000.00000000
PA
USD
19500.00000000
0.003473401534
Long
DBT
CORP
KY
Y
2
2025-07-12
None
0.00000000
Y
N
N
N
N
N
Byju's Alpha Inc
254900EAJ040Y8AVVN71
Byju's Alpha Inc Term Loan B
000000000
320940.58000000
PA
USD
72670.58000000
0.012944313031
Long
LON
CORP
US
N
2
2026-11-24
None
0.00000000
N
N
N
N
N
N
ENERGEAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energean Israel Finance Ltd
000000000
280000.00000000
PA
USD
248727.50000000
0.044304127193
Long
DBT
CORP
IL
Y
2
2028-03-30
Fixed
5.37500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4026158 CDS USD R F 1.00000 SP4026158FEE CCPCORPORATE / Short: SP4026158 CDS USD P V 03MEVENT SP4026158PRO CCPCORPORATE
000000000
400000.00000000
OU
Notional Amount
USD
4783.82000000
0.000852109114
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
BorgWarner, Inc.
BorgWarner, Inc.
Y
sell protection
2029-06-20
5295.51000000
USD
0.00000000
USD
400000.00000000
USD
-511.69000000
N
N
N
Thermo Fisher Scientific Inc
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556102
70.00000000
NS
USD
38710.00000000
0.006895147354
Long
EC
CORP
US
N
1
N
N
N
Costco Wholesale Corp
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160K105
56.00000000
NS
USD
47599.44000000
0.008478562459
Long
EC
CORP
US
N
1
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
Ovintiv Inc
292505AD6
70000.00000000
PA
USD
73414.40000000
0.013076804597
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
6.50000000
N
N
N
N
N
N
TELEDYNE TECHNOLOGIES IN
549300VSMO9KYQWDND94
Teledyne Technologies Inc
879360AE5
400000.00000000
PA
USD
343075.80000000
0.061109744117
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4020545 CDS USD R F 5.00000 SP4020545FEE CCPCORPORATE / Short: SP4020545 CDS USD P V 03MEVENT SP4020545PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
USD
494420.64000000
0.088067764607
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
KB Home
KB Home
Y
sell protection
2029-06-20
495047.72000000
USD
0.00000000
USD
3000000.00000000
USD
-627.08000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4024077 CDS USD R F 1.00000 SP4024077FEE CCPCORPORATE / Short: SP4024077 CDS USD P V 03MEVENT SP4024077PRO CCPCORPORATE
000000000
400000.00000000
OU
Notional Amount
USD
540.37000000
0.000096252409
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Whirlpool Corp.
Whirlpool Corp.
Y
sell protection
2029-06-20
0.00000000
USD
-7765.67000000
USD
400000.00000000
USD
8306.04000000
N
N
N
Holcim AG
529900EHPFPYHV6IQO98
Holcim AG
000000000
20980.00000000
NS
1857785.24000000
0.330914569440
Long
EC
CORP
CH
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4022750 CDS USD R V 03MEVENT SP4022750PRO CCPCORPORATE / Short: BP4022750 CDS USD P F 1.00000 SP4022750FEE CCPCORPORATE
000000000
1200000.00000000
OU
Notional Amount
USD
142326.31000000
0.025351611467
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Transocean, Inc.
Transocean, Inc.
Y
buy protection
2029-06-20
153000.00000000
USD
0.00000000
USD
1200000.00000000
USD
-10673.69000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HCD7
200000.00000000
PA
USD
214742.00000000
0.038250522687
Long
DBT
CORP
IT
N
2
2033-11-28
Fixed
7.20000000
N
N
N
N
N
N
M/I HOMES INC
5299005M71FH9CCSFB69
M/I Homes Inc
55305BAV3
710000.00000000
PA
USD
633739.11000000
0.112883610122
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.95000000
N
N
N
N
N
N
Steelcase Inc
GIE4CCPBJDI8SMV1OX95
Steelcase Inc
858155AE4
400000.00000000
PA
USD
379208.32000000
0.067545782601
Long
DBT
CORP
US
N
2
2029-01-18
Fixed
5.12500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4026068 CDS EUR R V 03MEVENT SP4026068PRO CCPCORPORATE / Short: BP4026068 CDS EUR P F 1.00000 SP4026068FEE CCPCORPORATE
000000000
1500000.00000000
OU
Notional Amount
-13633.91000000
-0.00242851507
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Adecco Group AG
Adecco Group AG
Y
buy protection
2029-06-20
0.00000000
EUR
-11600.61000000
EUR
1500000.00000000
EUR
-1216.63000000
N
N
N
BRIGHT BIDCO B.V. EQUITY
549300IL6Q1JWU688H15
BRIGHT BIDCO B.V. EQUITY
000000000
3818.00000000
NS
USD
381.80000000
0.000068007420
Long
EC
CORP
US
N
1
N
N
N
Uber Technologies Inc
549300B2FTG34FILDR98
Uber Technologies Inc
90353T100
5120.00000000
NS
USD
372121.60000000
0.066283473671
Long
EC
CORP
US
N
1
N
N
N
MAPS LTD
N/A
MAPS 2018-1 Ltd
56564RAA8
112863.46000000
PA
USD
107289.37000000
0.019110721150
Long
ABS-O
CORP
BM
N
2
2043-05-15
Fixed
4.21200000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
255840.00000000
PA
USD
27605.14000000
0.004917114648
Long
DBT
CORP
KY
N
2
2027-09-30
Fixed
6.50000000
N
N
Y
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398KZS2
37968.50000000
PA
USD
2293.05000000
0.000408445302
Long
ABS-MBS
USGSE
US
N
2
2039-11-15
Floating
0.90200000
N
N
N
N
N
N
ENVISION
549300OL60X0LPKY8N60
ENVISION
000000000
8428.00000000
NS
USD
84280.00000000
0.015012219556
Long
EC
CORP
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4021478 CDS EUR R V 03MEVENT SP4021478PRO CCPCORPORATE / Short: BP4021478 CDS EUR P F 1.00000 SP4021478FEE CCPCORPORATE
000000000
1200000.00000000
OU
Notional Amount
-25831.47000000
-0.00460118295
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Tesco PLC
Tesco PLC
Y
buy protection
2029-06-20
0.00000000
EUR
-28326.86000000
EUR
1200000.00000000
EUR
4673.71000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4020174 CDS USD R F 1.00000 SP4020174FEE CCPCORPORATE / Short: SP4020174 CDS USD P V 03MEVENT SP4020174PRO CCPCORPORATE
000000000
4000000.00000000
OU
Notional Amount
USD
-341447.24000000
-0.06081965987
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Nordstrom, Inc.
Nordstrom, Inc.
Y
sell protection
2029-06-20
0.00000000
USD
-535000.00000000
USD
4000000.00000000
USD
193552.76000000
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR7
45660NU45
106810.63000000
PA
USD
83727.04000000
0.014913724576
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
6.68000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAY8
535000.00000000
PA
USD
451407.44000000
0.080406117689
Long
DBT
CORP
FR
N
2
2035-07-08
Fixed
3.65300000
N
N
N
N
N
N
CONTRA CINCOR PHARMA I
N/A
CONTRA CINCOR PHARMA I
172CVR011
54961.00000000
NS
USD
191170.85000000
0.034051955067
N/A
DE
US
N
1
N/A
N/A
CinCor Pharma, Inc.
CinCor Pharma, Inc.
2499-12-31
XXXX
22990.19000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4022761 CDS EUR R V 03MEVENT SP4022761PRO CCPCORPORATE / Short: BP4022761 CDS EUR P F 5.00000 SP4022761FEE CCPCORPORATE
000000000
1400000.00000000
OU
Notional Amount
-269819.18000000
-0.04806104379
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CNH Industrial NV
CNH Industrial NV
Y
buy protection
2029-06-20
0.00000000
EUR
-271840.16000000
EUR
1400000.00000000
EUR
20872.93000000
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
Valvoline Inc
92047WAG6
740000.00000000
PA
USD
638470.22000000
0.113726330365
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FC82
23750.22000000
PA
USD
1145.55000000
0.000204048980
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Floating
0.27000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4020613 CDS USD R V 03MEVENT SP4020613PRO CCPCORPORATE / Short: BP4020613 CDS USD P F 5.00000 SP4020613FEE CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
USD
-505505.10000000
-0.09004216360
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ADT Security Corp.
ADT Security Corp.
Y
buy protection
2029-06-20
0.00000000
USD
-463990.62000000
USD
3000000.00000000
USD
-41514.48000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ACJZ3
75592.80000000
PA
USD
4675.20000000
0.000832761377
Long
ABS-MBS
USGSE
US
N
2
2041-06-15
Floating
0.50200000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Long: ST1000053 TRS USD R V 00MSOFR / Short: ST1000053 TRS USD P E
000000000
25000000.00000000
OU
Notional Amount
USD
-1645.64000000
-0.00029312658
N/A
DCR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Markit iBoxx USD Liquid High Yield Index
IBOXHY INDEX
Y
equity-performance leg
2024-09-20
0.00000000
USD
0.00000000
USD
25000000.00000000
USD
-1645.64000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4021760 CDS USD R V 03MEVENT SP4021760PRO CCPCORPORATE / Short: BP4021760 CDS USD P F 1.00000 SP4021760FEE CCPCORPORATE
000000000
3500000.00000000
OU
Notional Amount
USD
-67326.39000000
-0.01199238904
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Universal Health Services, Inc.
Universal Health Services, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-39992.23000000
USD
3500000.00000000
USD
-27334.16000000
N
N
N
HashiCorp Inc
549300XGOB9ZFQHMIP56
HashiCorp Inc
418100103
85337.00000000
NS
USD
2875003.53000000
0.512104701224
Long
EC
CORP
US
N
1
N
N
N
CROWNROCK LP/CROWNROCK F
N/A
CrownRock LP / CrownRock Finance Inc
228701AF5
3759000.00000000
PA
USD
3752612.33000000
0.668427150093
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.62500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4017068 CDS USD R F 1.00000 SP4017068FEE CCPCORPORATE / Short: SP4017068 CDS USD P V 03MEVENT SP4017068PRO CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
USD
74130.27000000
0.013204317620
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Sherwin-Williams Co.
Sherwin-Williams Co.
Y
sell protection
2029-06-20
73531.99000000
USD
0.00000000
USD
3200000.00000000
USD
598.28000000
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES
46651CAJ7
219000.00000000
PA
USD
210360.37000000
0.037470052924
Long
ABS-MBS
CORP
US
N
2
2032-05-05
Fixed
4.34300000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4018249 CDS EUR R F 1.00000 SP4018249FEE CCPCORPORATE / Short: SP4018249 CDS EUR P V 03MEVENT SP4018249PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
46379.43000000
0.008261250428
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Enel SpA
Enel SpA
Y
sell protection
2029-06-20
53673.47000000
EUR
0.00000000
EUR
3000000.00000000
EUR
-12331.29000000
N
N
N
BioMarin Pharmaceutical Inc
NSLL8ITTRR0J5HEMR848
BioMarin Pharmaceutical Inc
09061G101
1327.00000000
NS
USD
109251.91000000
0.019460294968
Long
EC
CORP
US
N
1
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AR1
450000.00000000
PA
USD
453890.75000000
0.080848452703
Long
DBT
CORP
US
N
2
2034-03-11
Fixed
5.61100000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2007-1
52521FAB3
759957.40000000
PA
USD
728599.43000000
0.129780429665
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
5.75000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-6936.38000000
-0.00123552989
N/A
DFE
XX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
468116.36000000
USD
430000.00000000
EUR
2024-07-31
-6936.38000000
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BP1
560000.00000000
PA
USD
521638.03000000
0.092915812002
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.62500000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
03880XAG1
420000.00000000
PA
USD
408612.96000000
0.072783429868
Long
ABS-CBDO
CORP
KY
N
2
2037-01-15
Floating
7.63300000
N
N
N
N
N
N
Bristol Park CLO, Ltd.
549300XRS6MFERKEPO61
Bristol Park CLO LTD
11014PAN5
260000.00000000
PA
USD
260437.58000000
0.046389963595
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
7.54000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2024-5C27
05555FAK0
2125000.00000000
PA
USD
246490.01000000
0.043905578413
Long
ABS-MBS
CORP
US
N
2
2057-07-15
Variable
2.96800000
N
N
N
N
N
N
Access CIG LLC
5493002EU9Z6IQMPAN35
Access CIG LLC 2023 Term Loan
00435CAS7
0.00000000
PA
USD
0.00000000
0.000000
Long
LON
CORP
US
N
2
2028-08-18
Floating
10.33000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4015864 CDS USD R F 5.00000 SP4015864FEE CCPCORPORATE / Short: SP4015864 CDS USD P V 03MEVENT SP4015864PRO CCPCORPORATE
000000000
2700000.00000000
OU
Notional Amount
USD
466688.68000000
0.083128060380
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Radian Group, Inc.
Radian Group, Inc.
Y
sell protection
2029-06-20
465711.83000000
USD
0.00000000
USD
2700000.00000000
USD
976.85000000
N
N
N
Williams Cos Inc/The
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457100
1070.00000000
NS
USD
45475.00000000
0.008100150502
Long
EC
CORP
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4012489 CDS EUR R V 03MEVENT SP4012489PRO CCPCORPORATE / Short: BP4012489 CDS EUR P F 1.00000 SP4012489FEE CCPCORPORATE
000000000
3050000.00000000
OU
Notional Amount
-106958.03000000
-0.01905170182
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Telenor ASA
Telenor ASA
Y
buy protection
2029-06-20
0.00000000
EUR
-111523.37000000
EUR
3050000.00000000
EUR
14167.43000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4025832 CDS USD R V 03MEVENT SP4025832PRO CCPCORPORATE / Short: BP4025832 CDS USD P F 1.00000 SP4025832FEE CCPCORPORATE
000000000
700000.00000000
OU
Notional Amount
USD
83023.68000000
0.014788439874
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Transocean, Inc.
Transocean, Inc.
Y
buy protection
2029-06-20
88375.00000000
USD
0.00000000
USD
700000.00000000
USD
-5351.32000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4020837 CDS USD R V 03MEVENT SP4020837PRO CCPCORPORATE / Short: BP4020837 CDS USD P F 1.00000 SP4020837FEE CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
USD
-65069.85000000
-0.01159044701
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
FirstEnergy Corp.
FirstEnergy Corp.
Y
buy protection
2029-06-20
0.00000000
USD
-59083.42000000
USD
3000000.00000000
USD
-5986.43000000
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding LIX Ltd
55822EAQ2
305000.00000000
PA
USD
306355.73000000
0.054569049374
Long
ABS-CBDO
CORP
KY
N
2
2037-04-18
Floating
7.58400000
N
N
N
N
N
N
PITNEY BOWES INC
549300N2O26NW4ST6W55
Pitney Bowes Inc
724479AP5
60000.00000000
PA
USD
56737.05000000
0.010106182387
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
6.87500000
N
N
N
N
N
N
Octagon Investment Partners 26 Ltd
549300ZYOSZSIH0Y3392
Octagon Investment Partners 26 Ltd
675714AG4
1000000.00000000
PA
USD
820724.00000000
0.146189948785
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
13.68000000
N
N
N
N
N
N
Axonics Inc
549300LJY4X7N57VJL05
Axonics Inc
05465P101
71704.00000000
NS
USD
4820659.92000000
0.858671157192
Long
EC
CORP
US
N
1
N
N
N
Canyon Capital CLO Ltd
N/A
Canyon CLO 2018-1 Ltd
13877AAA8
500000.00000000
PA
USD
484814.00000000
0.086356599575
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
11.34000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-F
63941XAB3
320000.00000000
PA
USD
257037.15000000
0.045784268273
Long
ABS-O
CORP
US
N
2
2069-07-15
Fixed
2.69000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967424
23940.00000000
NS
USD
1519232.40000000
0.270610469230
Long
EC
CORP
US
N
1
N
N
N
Network International Holdings PLC
213800XVRNKWENNLKK60
Network International Holdings PLC
000000000
207502.00000000
NS
1025241.19000000
0.182619196049
Long
EC
CORP
GB
Y
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4025450 CDS EUR R F 1.00000 SP4025450FEE CCPCORPORATE / Short: SP4025450 CDS EUR P V 03MEVENT SP4025450PRO CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
-3783.45000000
-0.00067392005
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
BNP Paribas SA
BNP Paribas SA
Y
sell protection
2029-06-20
5944.32000000
EUR
0.00000000
EUR
500000.00000000
EUR
-10139.99000000
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital Inc
98877DAG0
150000.00000000
PA
USD
155161.17000000
0.027637797232
Long
DBT
CORP
US
N
2
2032-04-23
Fixed
6.87500000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BLQ29
67855000.00000000
PA
USD
613629.73000000
0.109301663898
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
0.26600000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4022570 CDS EUR R V 03MEVENT SP4022570PRO CCPCORPORATE / Short: BP4022570 CDS EUR P F 1.00000 SP4022570FEE CCPCORPORATE
000000000
2200000.00000000
OU
Notional Amount
46400.84000000
0.008265064044
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SES SA
SES SA
Y
buy protection
2029-06-20
10727.36000000
EUR
0.00000000
EUR
2200000.00000000
EUR
34983.18000000
N
N
N
Uber Technologies Inc
549300B2FTG34FILDR98
Uber Technologies Inc 2023 Term Loan B
90351JAH7
230992.62000000
PA
USD
232370.49000000
0.041390564955
Long
LON
CORP
US
N
2
2030-03-03
Floating
8.08900000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4025089 CDS EUR R F 1.00000 SP4025089FEE CCPCORPORATE / Short: SP4025089 CDS EUR P V 03MEVENT SP4025089PRO CCPCORPORATE
000000000
1000000.00000000
OU
Notional Amount
677.20000000
0.000120625000
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Clariant AG
Clariant AG
Y
sell protection
2029-06-20
0.00000000
EUR
-453.23000000
EUR
1000000.00000000
EUR
1162.06000000
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B4KD9
24101688.87000000
PA
USD
317146.89000000
0.056491204846
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Variable
0.61000000
N
N
N
N
N
N
DT MIDSTREAM INC
N/A
DT Midstream Inc
23345MAA5
408000.00000000
PA
USD
377968.70000000
0.067324977575
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
62886HBA8
370000.00000000
PA
USD
366089.32000000
0.065208984922
Long
DBT
CORP
BM
N
2
2026-03-15
Fixed
5.87500000
N
N
N
N
N
N
FIRSTCASH INC
549300V2X3UU7K0DG350
FirstCash Inc
31944TAA8
850000.00000000
PA
USD
805921.98000000
0.143553366273
Long
DBT
CORP
US
N
2
2030-01-01
Fixed
5.62500000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N4
14687HAE3
81633.06000000
PA
USD
78794.08000000
0.014035050174
Long
ABS-O
CORP
US
N
2
2028-09-11
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398MQW9
100403.04000000
PA
USD
3420.60000000
0.000609288066
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Floating
0.00000000
N
N
N
N
N
N
KYNDRYL HOLDINGS INC
549300LQ4LWX2R8ZV130
Kyndryl Holdings Inc
50155QAL4
60000.00000000
PA
USD
50349.65000000
0.008968438543
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.15000000
N
N
N
N
N
N
ARCELORMITTAL SA
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBF0
190000.00000000
PA
USD
200590.60000000
0.035729830662
Long
DBT
CORP
LU
N
2
2032-11-29
Fixed
6.80000000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAY7
65000.00000000
PA
USD
65039.55000000
0.011585049887
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
5.95000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAQ2
1475000.00000000
PA
USD
858927.90000000
0.152994948010
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37300000
N
N
N
N
N
N
Colombia Government International Bonds
549300MHDRBVRF6B9117
Colombia Government International Bonds
195325EL5
445000.00000000
PA
USD
458840.07000000
0.081730041200
Long
DBT
NUSS
CO
N
2
2035-11-14
Fixed
8.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4026215 CDS USD R F 1.00000 SP4026215FEE CCPCORPORATE / Short: SP4026215 CDS USD P V 03MEVENT SP4026215PRO CCPCORPORATE
000000000
600000.00000000
OU
Notional Amount
USD
-2862.65000000
-0.00050990425
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Olin Corp.
Olin Corp.
Y
sell protection
2029-06-20
0.00000000
USD
-2086.19000000
USD
600000.00000000
USD
-776.46000000
N
N
N
BLOCK FINANCIAL LLC
N/A
Block Financial LLC
093662AH7
300000.00000000
PA
USD
275347.96000000
0.049045847532
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.87500000
N
N
N
N
N
N
Philippines Government International Bonds
529900RAHBALMYIJ3T08
Philippines Government International Bonds
718286CH8
200000.00000000
PA
USD
138686.00000000
0.024703187962
Long
DBT
NUSS
PH
N
2
2045-05-05
Fixed
2.95000000
N
N
N
N
N
N
Bollore SE
969500LEKCHH6VV86P94
Bollore SE
000000000
120875.00000000
NS
709458.34000000
0.126370958312
Long
EC
CORP
FR
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4026361 CDS USD R V 03MEVENT SP4026361PRO CCPCORPORATE / Short: BP4026361 CDS USD P F 5.00000 SP4026361FEE CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
-85055.39000000
-0.01515033447
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Royal Caribbean Cruises Ltd.
Royal Caribbean Cruises Ltd.
Y
buy protection
2029-06-20
0.00000000
USD
-83931.76000000
USD
500000.00000000
USD
-1123.63000000
N
N
N
RAKUTEN GROUP INC
529900IMXUCQKUL1H943
Rakuten Group Inc
75102WAG3
782000.00000000
PA
USD
837031.86000000
0.149094756270
Long
DBT
CORP
JP
N
2
2027-02-15
Fixed
11.25000000
N
N
N
N
N
N
Social Professional Loan Program LLC
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC
83401B106
133000.00000000
PA
USD
1176208.38000000
0.209509948329
Long
ABS-O
CORP
US
N
2
2041-01-25
None
0.00000000
N
N
N
N
N
N
RELX CAPITAL INC
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAE2
130000.00000000
PA
USD
126271.00000000
0.022491788985
Long
DBT
CORP
US
N
2
2032-05-20
Fixed
4.75000000
N
N
N
N
N
N
Ross Acquisition Corp II
N/A
Ross Acquisition Corp II
000000000
1039.00000000
NS
USD
93.72000000
0.000016693702
N/A
DE
KY
N
1
N/A
N/A
Call
Purchased
Ross Acquisition Corp. II
Ross Acquisition Corp. II
1.00000000
11.50000000
USD
2026-02-12
XXXX
-109.28000000
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust
74333HAL9
125000.00000000
PA
USD
114785.81000000
0.020446010699
Long
ABS-O
CORP
US
N
2
2038-07-17
Fixed
2.52500000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
270000.00000000
PA
USD
187801.69000000
0.033451829656
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
I-Logic Technologies Bidco Limited
213800PHEXJH1L7ZN896
I-Logic Technologies Bidco Limited 2021 USD Term Loan B
00510DAB0
0.00000000
PA
USD
0.00000000
0.000000
Long
LON
CORP
US
N
2
2028-02-16
None
0.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4024022 CDS USD R V 03MEVENT SP4024022PRO CCPCORPORATE / Short: BP4024022 CDS USD P F 1.00000 SP4024022FEE CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
-3390.10000000
-0.00060385530
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Freeport-McMoRan, Inc.
Freeport-McMoRan, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-3982.67000000
USD
500000.00000000
USD
592.57000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2004-16CB
12667FLT0
33718.70000000
PA
USD
32592.29000000
0.005805441544
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4023346 CDS USD R F 1.00000 SP4023346FEE CCPCORPORATE / Short: SP4023346 CDS USD P V 03MEVENT SP4023346PRO CCPCORPORATE
000000000
1700000.00000000
OU
Notional Amount
USD
-177770.31000000
-0.03166500859
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Newell Brands, Inc.
Newell Brands, Inc.
Y
sell protection
2029-06-20
0.00000000
USD
-152700.68000000
USD
1700000.00000000
USD
-25069.63000000
N
N
N
GCAT
N/A
GCAT 2019-RPL1 Trust
36167CAA4
33044.16000000
PA
USD
31287.95000000
0.005573108387
Long
ABS-MBS
CORP
US
N
2
2068-10-25
Variable
2.65000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
145000.00000000
PA
USD
118790.60000000
0.021159356531
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
TEMPUR SEALY INTL INC
549300HFEKVR3US71V91
Tempur Sealy International Inc
88023UAJ0
900000.00000000
PA
USD
755190.00000000
0.134516825903
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.87500000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030N101
40353.00000000
NS
USD
1580223.48000000
0.281474392865
Long
EC
CORP
US
N
1
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BZ5
60000.00000000
PA
USD
61415.00000000
0.010939433603
Long
DBT
CORP
US
N
2
2033-02-09
Fixed
5.87500000
N
N
N
N
N
N
MVW 2020-1 LLC
N/A
MVW 2020-1 LLC
55400EAC3
22638.09000000
PA
USD
21802.61000000
0.003883549694
Long
ABS-O
CORP
US
N
2
2037-10-20
Fixed
4.21000000
N
N
N
N
N
N
Hilton USA Trust
N/A
Hilton USA Trust 2016-SFP
43289VAA1
500000.00000000
PA
USD
436171.90000000
0.077692315227
Long
ABS-MBS
CORP
US
N
2
2035-11-05
Fixed
2.82800000
N
N
N
N
N
N
BROADRIDGE FINANCIAL SOL
549300KZDJZQ2YIHRC28
Broadridge Financial Solutions Inc
11133TAE3
350000.00000000
PA
USD
295867.77000000
0.052700900843
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
2.60000000
N
N
N
N
N
N
UNITED AIR 2019-2 B PTT
N/A
United Airlines 2019-2 Class B Pass Through Trust
90932KAA7
232545.04000000
PA
USD
217631.44000000
0.038765198858
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-13T1
12668BZP1
2005144.22000000
PA
USD
978048.80000000
0.174213138620
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4021816 CDS USD R V 03MEVENT SP4021816PRO CCPCDX / Short: BP4021816 CDS USD P F 5.00000 SP4021816FEE CCPCDX
000000000
9000000.00000000
OU
Notional Amount
USD
-565784.82000000
-0.10077937754
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.42
2I65BRAB2
Y
buy protection
2029-06-20
0.00000000
USD
-627300.00000000
USD
9000000.00000000
USD
61515.18000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4024831 CDS USD R V 03MEVENT SP4024831PRO CCPCORPORATE / Short: BP4024831 CDS USD P F 1.00000 SP4024831FEE CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
-7992.52000000
-0.00142365288
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Williams Cos., Inc.
Williams Cos., Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-7508.08000000
USD
500000.00000000
USD
-484.44000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397RKF2
11181.84000000
PA
USD
705.55000000
0.000125674792
Long
ABS-MBS
USGSE
US
N
2
2038-02-15
Floating
0.73200000
N
N
N
N
N
N
ADD HERO HOLDINGS
254900WMSDP48LFA7478
Add Hero Holdings Ltd
000000000
24631.00000000
PA
USD
615.78000000
0.000109684676
Long
DBT
CORP
VG
N
2
2030-09-30
Fixed
9.00000000
N
N
Y
N
N
N
Willis Engine Securitization Trust
N/A
Willis Engine Structured Trust V
97064FAA3
192786.68000000
PA
USD
175304.15000000
0.031225728393
Long
ABS-O
CORP
US
N
2
2045-03-15
Fixed
3.22800000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
18351.00000000
PA
USD
217.83000000
0.000038800566
Long
DBT
CORP
KY
N
2
2031-09-30
Fixed
5.50000000
N
N
Y
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BR2
75000.00000000
PA
USD
74157.38000000
0.013209146539
Long
DBT
CORP
PA
N
2
2029-05-01
Fixed
6.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4025652 CDS EUR R V 03MEVENT SP4025652PRO CCPCORPORATE / Short: BP4025652 CDS EUR P F 5.00000 SP4025652FEE CCPCORPORATE
000000000
1400000.00000000
OU
Notional Amount
-295770.01000000
-0.05268348752
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Leonardo SpA
Leonardo SpA
Y
buy protection
2029-06-20
0.00000000
EUR
-277225.59000000
EUR
1400000.00000000
EUR
681.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-54.04000000
-0.00000962577
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
18200.00000000
CAD
13267.25000000
USD
2024-09-16
-54.04000000
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BZ5
310000.00000000
PA
USD
273565.20000000
0.048728296695
Long
DBT
CORP
MX
N
2
2031-07-11
Fixed
3.87500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2011-GC5
36191YAJ7
130000.00000000
PA
USD
101598.61000000
0.018097065021
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
5.29600000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4017260 CDS USD R F 1.00000 SP4017260FEE CCPCORPORATE / Short: SP4017260 CDS USD P V 03MEVENT SP4017260PRO CCPCORPORATE
000000000
3300000.00000000
OU
Notional Amount
USD
54713.18000000
0.009745684276
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Verizon Communications, Inc.
Verizon Communications, Inc.
Y
sell protection
2029-06-20
53328.35000000
USD
0.00000000
USD
3300000.00000000
USD
1384.83000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4016652 CDS USD R F 5.00000 SP4016652FEE CCPCORPORATE / Short: SP4016652 CDS USD P V 03MEVENT SP4016652PRO CCPCORPORATE
000000000
1550000.00000000
OU
Notional Amount
USD
-48201.40000000
-0.00858578547
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
American Airlines Group, Inc.
American Airlines Group, Inc.
Y
sell protection
2029-06-20
14049.76000000
USD
0.00000000
USD
1550000.00000000
USD
-62251.16000000
N
N
N
Marriott International Inc/MD
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903202
2164.00000000
NS
USD
523190.28000000
0.093192303671
Long
EC
CORP
US
N
1
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-5
576434RF3
10926.34000000
PA
USD
10439.93000000
0.001859593276
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Fixed
5.50000000
N
N
N
N
N
N
MARTIN MARIETTA MATERIAL
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AW6
420000.00000000
PA
USD
348287.07000000
0.062037991975
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.40000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2007-1
126378AY4
650040.99000000
PA
USD
76540.18000000
0.013633578394
Long
ABS-MBS
CORP
US
N
2
2022-02-25
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
10.53000000
0.000001875636
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6800.00000000
EUR
7320.09000000
USD
2024-09-16
10.53000000
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR2 Trust
74333DAQ7
7000000.00000000
PA
USD
6470590.00000000
1.152561909618
Long
ABS-O
CORP
US
N
2
2038-04-19
Fixed
4.25400000
N
N
N
N
N
N
Apidos CLO Ltd
5493008YDOADR1DMZM86
Apidos CLO XX
03765LAV4
265000.00000000
PA
USD
265766.91000000
0.047339240672
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
7.53900000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4026169 CDS USD R F 1.00000 SP4026169FEE CCPCORPORATE / Short: SP4026169 CDS USD P V 03MEVENT SP4026169PRO CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
12588.79000000
0.002242355000
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Cardinal Health, Inc.
Cardinal Health, Inc.
Y
sell protection
2029-06-20
13171.07000000
USD
0.00000000
USD
500000.00000000
USD
-582.28000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382RPN2
4232185.41000000
PA
USD
54008.61000000
0.009620184044
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Floating
0.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CJ1
70000.00000000
PA
USD
61868.10000000
0.011020141205
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.40000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9
46639EAL5
173508.16000000
PA
USD
160575.94000000
0.028602293151
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
3.68600000
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBE6
130000.00000000
PA
USD
69170.99000000
0.012320955017
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A0R33
955144.56000000
PA
USD
78838.40000000
0.014042944593
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
1.05000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4012344 CDS EUR R V 03MEVENT SP4012344PRO CCPCORPORATE / Short: BP4012344 CDS EUR P F 1.00000 SP4012344FEE CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
-51925.00000000
-0.00924904485
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Prudential Funding Asia PLC
Prudential Funding Asia PLC
Y
buy protection
2029-06-20
0.00000000
EUR
-50432.60000000
EUR
3000000.00000000
EUR
2849.82000000
N
N
N
EVERGY INC
549300PGTHDQY6PSUI61
Evergy Inc
30034WAC0
40000.00000000
PA
USD
40370.00000000
0.007190831792
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.50000000
N
N
N
N
Y
Evergy, Inc.
Evergy, Inc.
USD
XXXX
N
N
N
ANTARES HOLDINGS
5493008EAIGV4283RM42
Antares Holdings LP
03666HAE1
430000.00000000
PA
USD
393748.58000000
0.070135739596
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-133.92000000
-0.00002385425
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
713400.00000000
CAD
522031.35000000
USD
2024-09-16
-133.92000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4025911 CDS USD R F 5.00000 SP4025911FEE CCPCORPORATE / Short: SP4025911 CDS USD P V 03MEVENT SP4025911PRO CCPCORPORATE
000000000
800000.00000000
OU
Notional Amount
USD
72557.70000000
0.012924206489
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CCO Holdings LLC/CCO Holdings Capital Corp.
CCO Holdings LLC/CCO Holdings Capital Corp.
Y
sell protection
2029-06-20
70521.71000000
USD
0.00000000
USD
800000.00000000
USD
2035.99000000
N
N
N
RCO Mortgage LLC
N/A
RCO VII Mortgage LLC 2024-1
754921AA2
87774.90000000
PA
USD
87962.12000000
0.015668090390
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Variable
7.02100000
N
N
N
N
N
N
Astra Acquisition Corp
N/A
Astra Acquisition Corp 2021 2nd Lien Term Loan
04629UAL0
839742.79000000
PA
USD
221221.84000000
0.039404732236
Long
LON
CORP
US
N
2
2029-10-25
Floating
14.47100000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBL4
755000.00000000
PA
USD
645371.23000000
0.114955560043
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
3.46900000
N
N
N
N
N
N
College Ave Student Loans
N/A
College Ave Student Loans 2021-A LLC
19424KAE3
66635.10000000
PA
USD
60012.57000000
0.010689628346
Long
ABS-O
CORP
US
N
2
2051-07-25
Fixed
4.12000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-10
12545CAE0
115014.64000000
PA
USD
51184.05000000
0.009117064504
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
FAIR ISAAC CORP
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250AF1
1454000.00000000
PA
USD
1361402.24000000
0.242497263077
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.00000000
N
N
N
N
N
N
Prime Mortgage Trust
N/A
Prime Mortgage Trust 2006-DR1
74159UAC1
664486.52000000
PA
USD
601706.63000000
0.107177883701
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAT4
608000.00000000
PA
USD
569071.71000000
0.101364848767
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.50000000
N
N
N
N
N
N
China Evergrande Group
549300CUF7B1LAB15T90
China Evergrande Group
000000000
200000.00000000
PA
USD
3724.00000000
0.000663330631
Long
DBT
CORP
KY
Y
2
2022-04-11
None
0.00000000
Y
N
N
N
N
N
Vail Resorts Inc
529900PSZHRNU9HKH870
Vail Resorts Inc
91879Q109
855.00000000
NS
USD
154011.15000000
0.027432952040
Long
EC
CORP
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4021524 CDS USD R F 1.00000 SP4021524FEE CCPCORPORATE / Short: SP4021524 CDS USD P V 03MEVENT SP4021524PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
USD
27397.20000000
0.004880075719
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Devon Energy Corp.
Devon Energy Corp.
Y
sell protection
2029-06-20
32898.21000000
USD
0.00000000
USD
3000000.00000000
USD
-5501.01000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4025315 CDS USD R F 5.00000 SP4025315FEE CCPCORPORATE / Short: SP4025315 CDS USD P V 03MEVENT SP4025315PRO CCPCORPORATE
000000000
700000.00000000
OU
Notional Amount
USD
124481.92000000
0.022173112409
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
United Rentals North America, Inc.
United Rentals North America, Inc.
Y
sell protection
2029-06-20
126342.39000000
USD
0.00000000
USD
700000.00000000
USD
-1860.47000000
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAQ0
980000.00000000
PA
USD
81242.00000000
0.014471081410
Long
ABS-MBS
CORP
US
N
3
2027-11-15
Floating
8.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bills
912797GW1
2090000.00000000
PA
USD
2061786.17000000
0.367251858844
Long
STIV
UST
US
N
2
2024-10-03
None
0.00000000
N
N
N
N
N
N
NVR INC
529900RWXR4JI3JYTV70
NVR Inc
62944TAF2
242000.00000000
PA
USD
214733.03000000
0.038248924922
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.00000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
2655000.00000000
PA
444583.82000000
0.079190672962
Long
DBT
NUSS
BR
N
2
2029-01-01
Fixed
10.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1773.07000000
0.000315824823
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
430000.00000000
EUR
462953.05000000
USD
2024-07-31
1773.07000000
N
N
N
Just Eat Takeaway.com NV
724500FVZIBSSQ7SHI95
Just Eat Takeaway.com NV
000000000
3470.00000000
NS
41755.38000000
0.007437600050
Long
EC
CORP
NL
Y
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379CFC5
2205687.16000000
PA
USD
160004.96000000
0.028500588392
Long
ABS-MBS
USGA
US
N
2
2044-06-16
Floating
0.80700000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4019475 CDS USD R F 1.00000 SP4019475FEE CCPCORPORATE / Short: SP4019475 CDS USD P V 03MEVENT SP4019475PRO CCPCORPORATE
000000000
3400000.00000000
OU
Notional Amount
USD
-35416.88000000
-0.00630856642
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Lincoln National Corp.
Lincoln National Corp.
Y
sell protection
2029-06-20
0.00000000
USD
-67621.85000000
USD
3400000.00000000
USD
32204.97000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4025562 CDS EUR R V 03MEVENT SP4025562PRO CCPCORPORATE / Short: BP4025562 CDS EUR P F 5.00000 SP4025562FEE CCPCORPORATE
000000000
2300000.00000000
OU
Notional Amount
-436989.63000000
-0.07783797187
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Stellantis NV
Stellantis NV
Y
buy protection
2029-06-20
0.00000000
EUR
-406602.64000000
EUR
2300000.00000000
EUR
-2189.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FJ36
61629.61000000
PA
USD
5224.45000000
0.000930595520
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
0.55000000
N
N
N
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2023-B
00792FAA6
110000.00000000
PA
USD
111512.06000000
0.019862880018
Long
ABS-O
CORP
US
N
2
2028-09-15
Fixed
6.82000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust Resecuritization 2008-2R
021482AG9
2685250.31000000
PA
USD
1239047.53000000
0.220703056025
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Variable
6.25000000
N
N
N
N
N
N
Apidos CLO
549300PPHIOJQEKPJH29
Apidos CLO XXIV
03762XAD1
1000000.00000000
PA
USD
1003452.00000000
0.178738036768
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
11.38600000
N
N
N
N
N
N
RAKUTEN GROUP INC
529900IMXUCQKUL1H943
Rakuten Group Inc
75102WAK4
507000.00000000
PA
USD
523350.75000000
0.093220887093
Long
DBT
CORP
JP
N
2
2029-04-15
Fixed
9.75000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2005-6
525221DJ3
1737590.31000000
PA
USD
744970.65000000
0.132696523033
Long
ABS-O
CORP
US
N
2
2035-11-25
Variable
6.26000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382VBP3
7415703.35000000
PA
USD
151487.99000000
0.026983518819
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Floating
0.00000000
N
N
N
N
N
N
Chenango Park CLO, Ltd.
N/A
Chenango Park CLO Ltd
16410LAA1
500000.00000000
PA
USD
501455.50000000
0.089320836070
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
11.39000000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
1940000.00000000
PA
USD
115177.80000000
0.020515833195
Long
DBT
CORP
KY
Y
2
2027-01-13
None
0.00000000
Y
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAN7
235000.00000000
PA
USD
79336.00000000
0.014131578675
Long
ABS-MBS
CORP
US
N
3
2027-11-15
Floating
8.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4022637 CDS USD R V 03MEVENT SP4022637PRO CCPCORPORATE / Short: BP4022637 CDS USD P F 1.00000 SP4022637FEE CCPCORPORATE
000000000
1000000.00000000
OU
Notional Amount
USD
166582.70000000
0.029672236198
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Nabors Industries, Inc.
Nabors Industries, Inc.
Y
buy protection
2029-06-20
183750.00000000
USD
0.00000000
USD
1000000.00000000
USD
-17167.30000000
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K305
11000.00000000
NS
USD
2003650.00000000
0.356896460787
Long
EC
CORP
US
N
1
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAT5
410000.00000000
PA
USD
350513.47000000
0.062434565368
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAE9
446000.00000000
PA
USD
419571.16000000
0.074735339032
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.75000000
N
N
N
N
N
N
SHIMAO GROUP HLDGS LTD
254900WTJ6B5CU69ZD26
Shimao Group Holdings Ltd
000000000
340000.00000000
PA
USD
16221.40000000
0.002889406956
Long
DBT
CORP
KY
Y
2
2022-07-03
None
0.00000000
Y
N
N
N
N
N
DELIVERY HERO AG
529900C3EX1FZGE48X78
Delivery Hero SE
000000000
100000.00000000
PA
97224.94000000
0.017318013119
Long
DBT
CORP
DE
Y
2
2026-04-30
Fixed
1.00000000
N
N
N
N
N
Delivery Hero SE
Delivery Hero SE
EUR
XXXX
N
N
N
Sierra Receivables Funding Co LLC
N/A
Sierra Timeshare 2020-2 Receivables Funding LLC
826525AC1
85999.83000000
PA
USD
83898.66000000
0.014944294072
Long
ABS-O
CORP
US
N
2
2037-07-20
Fixed
3.51000000
N
N
N
N
N
N
Nexon Co Ltd
5299005SFO0GAJFLKN43
Nexon Co Ltd
000000000
15442.00000000
NS
285563.01000000
0.050865384473
Long
EC
CORP
JP
N
1
N
N
N
CBI STS de LLC
N/A
CBI STS de LLC Term Loan
000000000
231854.11000000
PA
USD
234172.65000000
0.041711571381
Long
LON
CORP
US
N
2
2026-12-31
Floating
13.09600000
N
N
N
N
N
N
Carbon Capital VI Commercial Mortgage
N/A
Carbon Capital VI Commercial Mortgage 2019-FL2 Trust
140817AC1
343565.34000000
PA
USD
299245.21000000
0.053302501113
Long
ABS-MBS
CORP
US
N
2
2035-10-15
Floating
8.29300000
N
N
N
N
N
N
Microchip Technology Inc
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017104
362.00000000
NS
USD
33123.00000000
0.005899973284
Long
EC
CORP
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4015123 CDS EUR R V 03MEVENT SP4015123PRO CCPCORPORATE / Short: BP4015123 CDS EUR P F 1.00000 SP4015123FEE CCPCORPORATE
000000000
3050000.00000000
OU
Notional Amount
-70555.56000000
-0.01256757899
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
EDP Finance BV
EDP Finance BV
Y
buy protection
2029-06-20
0.00000000
EUR
-61096.62000000
EUR
3050000.00000000
EUR
-4198.57000000
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAL4
60000.00000000
PA
USD
71490.00000000
0.012734024396
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
0.87500000
N
N
N
N
Y
Uber Technologies, Inc.
Uber Technologies, Inc.
USD
XXXX
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398VC20
56014.38000000
PA
USD
54901.53000000
0.009779233772
Long
ABS-MBS
USGSE
US
N
2
2040-03-15
Fixed
4.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4026260 CDS USD R F 1.00000 SP4026260FEE CCPCORPORATE / Short: SP4026260 CDS USD P V 03MEVENT SP4026260PRO CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
2578.92000000
0.000459365368
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Lamb Weston Holdings, Inc.
Lamb Weston Holdings, Inc.
Y
sell protection
2029-06-20
2628.70000000
USD
0.00000000
USD
500000.00000000
USD
-49.78000000
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAK6
995000.00000000
PA
USD
949970.58000000
0.169211757469
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
4.50000000
N
N
N
N
N
N
Synopsys Inc
QG7T915N9S0NY5UKNE63
Synopsys Inc
871607107
-2792.00000000
NS
USD
-1661407.52000000
-0.29593515025
Short
EC
CORP
US
N
1
N
N
N
Castlelake Aircraft Structured Trust
N/A
Castlelake Aircraft Securitization Trust 2018-1
14856CAC3
4274025.11000000
PA
USD
1560028.14000000
0.277877135175
Long
ABS-O
CORP
US
N
2
2043-06-15
Fixed
6.62500000
N
Y
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B4TD0
19790698.39000000
PA
USD
259529.28000000
0.046228174333
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Variable
0.44300000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4020523 CDS USD R V 03MEVENT SP4020523PRO CCPCORPORATE / Short: BP4020523 CDS USD P F 5.00000 SP4020523FEE CCPCORPORATE
000000000
2500000.00000000
OU
Notional Amount
USD
730462.67000000
0.130112315853
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Realogy Group LLC/Realogy Co.-Issuer Corp.
Realogy Group LLC/Realogy Co.-Issuer Corp.
Y
buy protection
2029-06-20
343750.00000000
USD
0.00000000
USD
2500000.00000000
USD
386712.67000000
N
N
N
EL PASO ENERGY CAP TRST
N/A
El Paso Energy Capital Trust I
283678209
509.00000000
NS
USD
24096.06000000
0.004292066245
Long
EP
CORP
US
N
1
N
N
N
IDEX CORP
549300U5Y5EL6PHYLF13
IDEX Corp
45167RAG9
220000.00000000
PA
USD
194293.83000000
0.034608230119
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
ENDEAVOR ENERGY RESOURCE
N/A
Endeavor Energy Resources LP / EER Finance Inc
29260FAE0
924000.00000000
PA
USD
933239.08000000
0.166231489891
Long
DBT
CORP
US
N
2
2028-01-30
Fixed
5.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4017743 CDS USD R V 03MEVENT SP4017743PRO CCPCORPORATE / Short: BP4017743 CDS USD P F 1.00000 SP4017743FEE CCPCORPORATE
000000000
3500000.00000000
OU
Notional Amount
USD
-91412.72000000
-0.01628272215
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Omnicom Group, Inc./Omnicom Capital, Inc.
Omnicom Group, Inc./Omnicom Capital, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-91538.38000000
USD
3500000.00000000
USD
125.66000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NPE8
18680.40000000
PA
USD
1478.90000000
0.000263426334
Long
ABS-MBS
USGSE
US
N
2
2039-11-25
Floating
1.15000000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAX9
175000.00000000
PA
USD
178434.85000000
0.031783378557
Long
DBT
CORP
BM
N
2
2028-07-18
Fixed
6.50000000
N
N
N
N
N
N
VISTA OUTDOOR INC
549300QI2D33ESTJLN81
Vista Outdoor Inc
928377AC4
1979000.00000000
PA
USD
1987436.48000000
0.354008457441
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300MNOMKDMDFI8J66
Hertz Vehicle Financing III LLC
42806MAM1
357000.00000000
PA
USD
344850.75000000
0.061425903813
Long
ABS-O
CORP
US
N
2
2026-06-25
Fixed
4.85000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2021-NMR1
59982HAL4
305000.00000000
PA
USD
244481.56000000
0.043547826961
Long
ABS-MBS
CORP
US
N
2
2060-11-25
Variable
2.50000000
N
N
N
N
N
N
Cook Park CLO, Ltd
N/A
Cook Park CLO Ltd
21623RAA1
1000000.00000000
PA
USD
998816.00000000
0.177912257818
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
10.97900000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1496.40000000
-0.00026654349
N/A
DFE
XX
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
942460.60000000
USD
876509.00000000
EUR
2024-08-20
-1496.40000000
N
N
N
ECARX Holdings Inc
N/A
ECARX Holdings Inc
000000000
2253.00000000
NS
USD
77.50000000
0.000013804544
N/A
DE
KY
N
1
N/A
N/A
Call
Purchased
ECARX Holdings, Inc.
ECARX Holdings, Inc.
1.00000000
11.50000000
USD
2027-12-21
XXXX
-375.57000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-9F
362341S26
498340.66000000
PA
USD
224447.10000000
0.039979225725
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
16056.97000000
0.002860118166
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
830000.00000000
GBP
1065469.09000000
USD
2024-09-16
16056.97000000
N
N
N
Neuberger Berman CLO Ltd
549300UHUHCR3388B324
Neuberger Berman CLO XVI-S Ltd
64131RAJ7
500000.00000000
PA
USD
501789.50000000
0.089380329204
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
11.84000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11
61762TAH9
560000.00000000
PA
USD
378296.80000000
0.067383419782
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.21300000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KVY6
6043634.10000000
PA
USD
769036.73000000
0.136983249146
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Floating
0.84700000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2010-RR6 Trust
05533CDC9
117489.94000000
PA
USD
57075.71000000
0.010166505575
Long
ABS-MBS
CORP
US
N
2
2037-07-26
Variable
9.30000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4012186 CDS EUR R V 03MEVENT SP4012186PRO CCPCORPORATE / Short: BP4012186 CDS EUR P F 5.00000 SP4012186FEE CCPCORPORATE
000000000
2500000.00000000
OU
Notional Amount
-464837.24000000
-0.08279827604
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Anglo American Capital PLC
Anglo American Capital PLC
Y
buy protection
2029-06-20
0.00000000
EUR
-427725.43000000
EUR
2500000.00000000
EUR
-284.90000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4006583 CDS USD R F 1.00000 SP4006583FEE CCPCORPORATE / Short: SP4006583 CDS USD P V 03MEVENT SP4006583PRO CCPCORPORATE
000000000
700000.00000000
OU
Notional Amount
USD
10172.06000000
0.001811879426
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Baxter International, Inc.
Baxter International, Inc.
Y
sell protection
2028-12-20
3410.93000000
USD
0.00000000
USD
700000.00000000
USD
6761.13000000
N
N
N
Elevance Health Inc
8MYN82XMYQH89CTMTH67
Elevance Health Inc
036752103
332.00000000
NS
USD
179897.52000000
0.032043913953
Long
EC
CORP
US
N
1
N
N
N
Canyon Capital CLO Ltd
N/A
Canyon Capital CLO 2016-1 Ltd
13876EAF0
1000000.00000000
PA
USD
968546.00000000
0.172520469897
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
11.34000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397GPZ7
127262.20000000
PA
USD
8845.73000000
0.001575629341
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Floating
0.63200000
N
N
N
N
N
N
Social Professional Loan Program LLC
N/A
SoFi Professional Loan Program 2020-ATrust
83406TAC6
360000.00000000
PA
USD
312149.88000000
0.055601121656
Long
ABS-O
CORP
US
N
2
2046-05-15
Fixed
3.12000000
N
N
N
N
N
N
NXP Semiconductors NV
724500M9BY5293JDF951
NXP Semiconductors NV
000000000
2748.00000000
NS
USD
739459.32000000
0.131714827541
Long
EC
CORP
NL
N
1
N
N
N
Squarespace Inc
549300T4QP7KELU8ST60
Squarespace Inc
85225A107
23574.00000000
NS
USD
1028533.62000000
0.183205654070
Long
EC
CORP
US
N
1
N
N
N
PULTEGROUP INC
N/A
PulteGroup Inc
745867AT8
275000.00000000
PA
USD
283775.86000000
0.050547051676
Long
DBT
CORP
US
N
2
2035-02-15
Fixed
6.00000000
N
N
N
N
N
N
TD SYNNEX CORP
5493004HI6PFLF46NS53
TD SYNNEX Corp
87162WAL4
135000.00000000
PA
USD
135740.48000000
0.024178522644
Long
DBT
CORP
US
N
2
2034-04-12
Fixed
6.10000000
N
N
N
N
N
N
OI SA
254900YEMWCRRAGD4978
Oi SA
67117EAA6
36684.19000000
PA
USD
36500.77000000
0.006501632335
Long
DBT
CORP
BR
N
2
2024-12-15
Fixed
12.50000000
N
N
Y
N
N
N
PENTAIR FINANCE SARL
549300H2U8U8TZPV3T89
Pentair Finance Sarl
709629AS8
260000.00000000
PA
USD
266354.15000000
0.047443841714
Long
DBT
CORP
LU
N
2
2032-07-15
Fixed
5.90000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFX4
2475000.00000000
PA
USD
2466760.03000000
0.439387080737
Long
DBT
UST
US
N
2
2024-11-30
Fixed
4.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES
46651CAQ1
274000.00000000
PA
USD
258600.95000000
0.046062817264
Long
ABS-MBS
CORP
US
N
2
2032-05-05
Variable
4.60100000
N
N
N
N
N
N
SPIRIT AEROSYSTEMS INC
ZD2NBKV6GCC3UMGBM518
Spirit AeroSystems Inc
85205TAR1
899000.00000000
PA
USD
993088.44000000
0.176892046757
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
9.75000000
N
N
N
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718109
413.00000000
NS
USD
68111.96000000
0.012132317251
Long
EC
CORP
US
N
1
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES
46651CAN8
261000.00000000
PA
USD
247632.75000000
0.044109126868
Long
ABS-MBS
CORP
US
N
2
2032-05-05
Variable
4.60100000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
3340.31000000
0.000594986557
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
181998.22000000
EUR
198722.00000000
USD
2024-08-20
3340.31000000
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
127764.00000000
PA
USD
14949.67000000
0.002662882396
Long
DBT
CORP
KY
N
2
2026-09-30
Fixed
6.25000000
N
N
Y
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4021917 CDS USD R V 03MEVENT SP4021917PRO CCPCORPORATE / Short: BP4021917 CDS USD P F 1.00000 SP4021917FEE CCPCORPORATE
000000000
1500000.00000000
OU
Notional Amount
USD
-7736.76000000
-0.00137809610
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Lamb Weston Holdings, Inc.
Lamb Weston Holdings, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-1358.61000000
USD
1500000.00000000
USD
-6378.15000000
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2021-1 LLC
783897AG6
295000.00000000
PA
USD
282724.90000000
0.050359851364
Long
ABS-O
CORP
US
N
2
2032-08-20
Fixed
3.56000000
N
N
N
N
N
N
GAP INC/THE
T2ZG1WRWZ4BUCMQL9224
Gap Inc/The
364760AQ1
550000.00000000
PA
USD
459608.55000000
0.081866925282
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
3.87500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4021030 CDS USD R F 5.00000 SP4021030FEE CCPCORPORATE / Short: SP4021030 CDS USD P V 03MEVENT SP4021030PRO CCPCORPORATE
000000000
1700000.00000000
OU
Notional Amount
USD
-52866.06000000
-0.00941666943
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
American Airlines Group, Inc.
American Airlines Group, Inc.
Y
sell protection
2029-06-20
28787.11000000
USD
0.00000000
USD
1700000.00000000
USD
-81653.17000000
N
N
N
CONTRA ABIOMED INC
N/A
CONTRA ABIOMED INC
003CVR016
22138.00000000
NS
USD
38741.50000000
0.006900758234
N/A
DE
US
N
1
N/A
N/A
ABIOMED Inc.
ABIOMED Inc.
2499-12-31
XXXX
16160.74000000
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2007-S3
16163HAQ4
1264076.15000000
PA
USD
546518.77000000
0.097347647926
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AL3
294897.16000000
PA
USD
293986.25000000
0.052365758563
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
7.09100000
N
N
N
N
N
N
DOCUFORMAS SA
549300HM88E943FM9K17
Mexarrend SAPI de CV
25615WAB9
300000.00000000
PA
USD
39300.00000000
0.007000240016
Long
DBT
CORP
MX
N
2
2024-07-24
Fixed
10.25000000
N
Y
N
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830109
575.00000000
NS
USD
268582.50000000
0.047840762448
Long
EC
CORP
US
N
1
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd
03881CAG6
1000000.00000000
PA
USD
984801.75000000
0.175415995384
Long
ABS-CBDO
CORP
KY
N
2
2035-12-15
Floating
7.44300000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-5
576434RG1
13277.33000000
PA
USD
12891.53000000
0.002296280004
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Fixed
6.00000000
N
N
N
N
N
N
CENTRAL CHN REAL ESTATE
549300JDML9PYG0CIJ22
Central China Real Estate Ltd
000000000
230000.00000000
PA
USD
6612.50000000
0.001177839366
Long
DBT
CORP
KY
N
2
2025-08-27
None
0.00000000
Y
N
N
N
N
N
Babson CLO Ltd
549300JWUNSCHZHF6H67
Barings CLO Ltd 2018-IV
06760YAA0
500000.00000000
PA
USD
494160.00000000
0.088021338588
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
11.41000000
N
N
N
N
N
N
IRON MOUNTAIN INFO MGMT
N/A
Iron Mountain Information Management Services Inc
46285MAA8
882000.00000000
PA
USD
807139.28000000
0.143770195590
Long
DBT
US
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
365000.00000000
PA
USD
345508.85000000
0.061543126661
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
Delivery Hero SE
529900C3EX1FZGE48X78
Delivery Hero SE
000000000
2970.00000000
NS
70459.58000000
0.012550482734
Long
EC
CORP
DE
Y
1
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
731011AZ5
400000.00000000
PA
USD
389256.00000000
0.069335507069
Long
DBT
NUSS
PL
N
2
2054-03-18
Fixed
5.50000000
N
N
N
N
N
N
Carlyle Global Market Strategies
5493007AYUHLOG0AMH17
Carlyle Global Market Strategies CLO 2015-5 Ltd
14312JBJ0
405000.00000000
PA
USD
405303.75000000
0.072193982940
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
7.23600000
N
N
N
N
N
N
Vornado Realty LP
549300BMOJ05INE4YK86
Vornado Realty LP
929043AJ6
70000.00000000
PA
USD
68978.76000000
0.012286714402
Long
DBT
US
N
2
2025-01-15
Fixed
3.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4026024 CDS EUR R V 03MEVENT SP4026024PRO CCPCORPORATE / Short: BP4026024 CDS EUR P F 1.00000 SP4026024FEE CCPCORPORATE
000000000
700000.00000000
OU
Notional Amount
2074.62000000
0.000369537861
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Continental AG
Continental AG
Y
buy protection
2029-06-20
1262.99000000
EUR
0.00000000
EUR
700000.00000000
EUR
722.73000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-LC4 Mortgage Trust
126192AG8
40000.00000000
PA
USD
34370.84000000
0.006122242482
Long
ABS-MBS
CORP
US
N
2
2044-12-10
Variable
5.46800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ARRY4
2006902.53000000
PA
USD
97977.58000000
0.017452075731
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Floating
1.25200000
N
N
N
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
77313LAA1
185000.00000000
PA
USD
172911.08000000
0.030799467213
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.87500000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW 2021-1W LLC
55389TAD3
160217.85000000
PA
USD
147753.86000000
0.026318383800
Long
ABS-O
CORP
US
N
2
2041-01-22
Fixed
3.17000000
N
N
N
N
N
N
CINEPLEX INC
549300WDU0AS30W35T75
Cineplex Inc
172454AH3
688000.00000000
PA
513367.19000000
0.091442583882
Long
DBT
CORP
CA
N
2
2029-03-31
Fixed
7.62500000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAY1
790000.00000000
PA
USD
748797.87000000
0.133378239536
Long
DBT
US
N
2
2027-01-15
Fixed
4.37500000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
5493004IHDYOZ9K9WF47
Hertz Vehicle Financing LLC
42806MBG3
270000.00000000
PA
USD
263260.26000000
0.046892748264
Long
ABS-O
CORP
US
N
2
2026-09-25
Fixed
6.56000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4018328 CDS EUR R F 1.00000 SP4018328FEE CCPCORPORATE / Short: SP4018328 CDS EUR P V 03MEVENT SP4018328PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
79482.94000000
0.014157752091
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Koninklijke KPN NV
Koninklijke KPN NV
Y
sell protection
2029-06-20
76881.69000000
EUR
0.00000000
EUR
3000000.00000000
EUR
-4614.08000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4013402 CDS USD R V 03MEVENT SP4013402PRO CCPCORPORATE / Short: BP4013402 CDS USD P F 5.00000 SP4013402FEE CCPCORPORATE
000000000
2800000.00000000
OU
Notional Amount
USD
-469547.15000000
-0.08363722007
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
AES Corp.
AES Corp.
Y
buy protection
2029-06-20
0.00000000
USD
-449571.30000000
USD
2800000.00000000
USD
-19975.85000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAK3
540000.00000000
PA
USD
443753.96000000
0.079042855680
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
4.97100000
N
N
N
N
N
N
Albertsons Cos Inc
549300YKWOC0AOR16R51
Albertsons Cos Inc
013091103
130503.00000000
NS
USD
2577434.25000000
0.459100722051
Long
EC
CORP
US
N
1
N
N
N
ChampionX Corp
549300EP2909K6DYYP38
ChampionX Corp
15872M104
98561.00000000
NS
USD
3273210.81000000
0.583034638534
Long
EC
CORP
US
N
1
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2020-2
682696AC3
265000.00000000
PA
USD
239150.71000000
0.042598279137
Long
ABS-O
CORP
US
N
2
2035-09-14
Fixed
2.76000000
N
N
N
N
N
N
CHOICE HOTELS INTL INC
5493003CYRY5RFGTIR97
Choice Hotels International Inc
169905AH9
35000.00000000
PA
USD
34576.26000000
0.006158832541
Long
DBT
CORP
US
N
2
2034-08-01
Fixed
5.85000000
N
N
N
N
N
N
IDEX CORP
549300U5Y5EL6PHYLF13
IDEX Corp
45167RAH7
72000.00000000
PA
USD
60804.96000000
0.010830771353
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.62500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4022176 CDS USD R V 03MEVENT SP4022176PRO CCPCORPORATE / Short: BP4022176 CDS USD P F 1.00000 SP4022176FEE CCPCORPORATE
000000000
3500000.00000000
OU
Notional Amount
USD
-77033.25000000
-0.01372140557
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Dell, Inc.
Dell, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-80500.57000000
USD
3500000.00000000
USD
3467.32000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4012074 CDS EUR R F 1.00000 SP4012074FEE CCPCORPORATE / Short: SP4012074 CDS EUR P V 03MEVENT SP4012074PRO CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
77673.87000000
0.013835514834
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Banco Santander SA
Banco Santander SA
Y
sell protection
2029-06-20
30676.56000000
EUR
0.00000000
EUR
3200000.00000000
EUR
44448.11000000
N
N
N
Gilbert Park CLO Ltd
N/A
Gilbert Park CLO Ltd
375414AA7
500000.00000000
PA
USD
502107.50000000
0.089436972367
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
11.99000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAC7
120000.00000000
PA
USD
102335.51000000
0.018228323974
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.87500000
N
N
N
N
N
N
INEOS Quattro Holdings UK Ltd
N/A
INEOS Quattro Holdings UK Ltd 2023 USD 1st Lien Term Loan B
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
LON
CORP
US
N
2
2029-04-02
None
0.00000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2005-15
863579UL0
210358.44000000
PA
USD
108747.07000000
0.019370371274
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.73500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4024369 CDS EUR R V 03MEVENT SP4024369PRO CCPCORPORATE / Short: BP4024369 CDS EUR P F 1.00000 SP4024369FEE CCPCORPORATE
000000000
400000.00000000
OU
Notional Amount
-6171.03000000
-0.00109920333
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Assicurazioni Generali SpA
Assicurazioni Generali SpA
Y
buy protection
2029-06-20
0.00000000
EUR
-7362.83000000
EUR
400000.00000000
EUR
1731.50000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4026181 CDS USD R F 1.00000 SP4026181FEE CCPCORPORATE / Short: SP4026181 CDS USD P V 03MEVENT SP4026181PRO CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
8816.09000000
0.001570349771
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CVS Health Corp.
CVS Health Corp.
Y
sell protection
2029-06-20
9763.28000000
USD
0.00000000
USD
500000.00000000
USD
-947.19000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2004-S1
466247EV1
157907.83000000
PA
USD
153673.61000000
0.027372828350
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
146.00000000
NS
USD
65254.70000000
0.011623373083
Long
EC
CORP
US
N
1
N
N
N
Blue Stream Issuer, LLC
N/A
Blue Stream Issuer LLC
09606BAE4
1000000.00000000
PA
USD
934611.80000000
0.166476003109
Long
ABS-O
CORP
US
N
2
2053-05-20
Fixed
8.89800000
N
N
N
N
N
N
VERISIGN INC
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343EAM4
402000.00000000
PA
USD
337219.02000000
0.060066515982
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.70000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4021007 CDS USD R F 1.00000 SP4021007FEE CCPCORPORATE / Short: SP4021007 CDS USD P V 03MEVENT SP4021007PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
USD
72430.02000000
0.012901463725
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Marriott International, Inc.
Marriott International, Inc.
Y
sell protection
2029-06-20
75507.35000000
USD
0.00000000
USD
3000000.00000000
USD
-3077.33000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BD8
2075000.00000000
PA
USD
757666.12000000
0.134957880211
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.62500000
N
N
N
N
N
N
Paramount Global
5KYC8KF17ROCY24M3H09
Paramount Global
92556H206
15622.00000000
NS
USD
162312.58000000
0.028911628948
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
167.82000000
0.000029892627
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
40831.00000000
EUR
44001.38000000
USD
2024-08-20
167.82000000
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
6676600.00000000
PA
315312.92000000
0.056164532322
Long
DBT
NUSS
MX
N
2
2033-05-26
Fixed
7.50000000
N
N
N
N
N
N
Citimortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2006-A5
18974BAN9
132129.50000000
PA
USD
96620.27000000
0.017210307390
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.91000000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027X100
299.00000000
NS
USD
58119.62000000
0.010352450118
Long
EC
US
N
1
N
N
N
Wells Fargo Alternative Loan Trust
N/A
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAM0
119397.32000000
PA
USD
6819.43000000
0.001214698391
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.19000000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAC7
200000.00000000
PA
USD
206609.40000000
0.036801918311
Long
DBT
CORP
US
N
2
2033-08-04
Fixed
5.95000000
N
N
N
N
N
N
CG-CCRE Commercial Mortgage Trust
N/A
CG-CCRE Commercial Mortgage Trust 2014-FL2
12528PAP7
190677.11000000
PA
USD
143882.87000000
0.025628870846
Long
ABS-MBS
CORP
US
N
2
2031-11-15
Floating
9.94300000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BV3
155000.00000000
PA
USD
253483.13000000
0.045151215015
Long
DBT
CORP
PA
N
2
2027-12-01
Fixed
5.75000000
N
N
N
N
Y
Carnival Corp.
Carnival Corp.
USD
XXXX
N
N
N
Wise CLO 2024-2 Ltd
N/A
Wise CLO 2024-2 Ltd
97718GAG8
250000.00000000
PA
USD
250625.00000000
0.044642115880
Long
ABS-CBDO
CORP
KY
N
2
2037-07-15
Floating
8.36100000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2016-C7
12532BAY3
7346000.00000000
PA
USD
155804.25000000
0.027752344671
Long
ABS-MBS
CORP
US
N
2
2054-12-10
Variable
1.05500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397PJG6
118195.16000000
PA
USD
8752.15000000
0.001558960576
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
0.85200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378VWH4
631981.90000000
PA
USD
35985.87000000
0.006409916722
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Floating
0.69700000
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
63938CAN8
145000.00000000
PA
USD
152625.26000000
0.027186092940
Long
DBT
CORP
US
N
2
2030-07-25
Fixed
9.37500000
N
N
N
N
N
N
Packaging Corp of America
549300XZP8MFZFY8TJ84
Packaging Corp of America
695156109
114.00000000
NS
USD
20811.84000000
0.003707070615
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394DRP7
72286.58000000
PA
USD
818.09000000
0.000145720772
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
1.35000000
N
N
N
N
N
N
BARINGS BDC INC
549300GSF4KFZP6ONG49
Barings BDC Inc
06759LAD5
160000.00000000
PA
USD
160722.91000000
0.028628471912
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
7.00000000
N
N
N
N
N
N
Madison Avenue Trust
N/A
Eleven Madison Trust 2015-11MD Mortgage Trust
556227AA4
100000.00000000
PA
USD
95536.94000000
0.017017341232
Long
ABS-MBS
CORP
US
N
2
2035-09-10
Variable
3.67300000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4016720 CDS USD R F 1.00000 SP4016720FEE CCPCORPORATE / Short: SP4016720 CDS USD P V 03MEVENT SP4016720PRO CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
USD
54932.58000000
0.009784764496
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Goldman Sachs Group, Inc.
Goldman Sachs Group, Inc.
Y
sell protection
2029-06-20
51864.01000000
USD
0.00000000
USD
3200000.00000000
USD
3068.57000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2011-C2
617459AJ1
134678.56000000
PA
USD
129720.65000000
0.023106251528
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
5.38500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4020275 CDS USD R F 5.00000 SP4020275FEE CCPCORPORATE / Short: SP4020275 CDS USD P V 03MEVENT SP4020275PRO CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
USD
200575.42000000
0.035727126753
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
United Airlines Holdings, Inc.
United Airlines Holdings, Inc.
Y
sell protection
2029-06-20
186510.18000000
USD
0.00000000
USD
3200000.00000000
USD
14065.24000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2004-J10
12667FVB8
32206.69000000
PA
USD
30988.68000000
0.005519801470
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
LANDSEA HOMES CORP
549300RP8AZAKHNILS36
Landsea Homes Corp
51509PAA1
160000.00000000
PA
USD
158594.40000000
0.028249334993
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
8.87500000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBS0
250000.00000000
PA
USD
238671.63000000
0.042512943896
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 5 Ltd
67113GAJ6
475000.00000000
PA
USD
476332.19000000
0.084845792813
Long
ABS-CBDO
CORP
KY
N
2
2033-04-18
Floating
7.58900000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4015280 CDS EUR R V 03MEVENT SP4015280PRO CCPCORPORATE / Short: BP4015280 CDS EUR P F 1.00000 SP4015280FEE CCPCORPORATE
000000000
3100000.00000000
OU
Notional Amount
31754.76000000
0.005656258057
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
PostNL NV
PostNL NV
Y
buy protection
2029-06-20
40914.30000000
EUR
0.00000000
EUR
3100000.00000000
EUR
-12682.25000000
N
N
N
Catskill Park CLO, LTD.
549300QY7L9WFVGWC115
Catskill Park CLO Ltd
149421AA7
1000000.00000000
PA
USD
1004947.00000000
0.179004330885
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
11.58600000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
540000.00000000
PA
USD
33215.40000000
0.005916431863
Long
DBT
CORP
KY
Y
2
2025-02-20
None
0.00000000
Y
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAE1
1050000.00000000
PA
USD
842625.00000000
0.150091024016
Long
DBT
UST
US
N
2
2030-08-15
Fixed
0.62500000
N
N
N
N
N
N
Cologix Data Centers Issuer LLC
N/A
Cologix Data Centers US Issuer LLC
19521UAE3
1500000.00000000
PA
USD
1344475.95000000
0.239482298889
Long
ABS-O
CORP
US
N
2
2051-12-26
Fixed
5.99000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4013749 CDS USD R V 03MEVENT SP4013749PRO CCPCORPORATE / Short: BP4013749 CDS USD P F 1.00000 SP4013749FEE CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
USD
-59115.10000000
-0.01052976815
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Valero Energy Corp.
Valero Energy Corp.
Y
buy protection
2029-06-20
0.00000000
USD
-55126.66000000
USD
3200000.00000000
USD
-3988.44000000
N
N
N
Bain Capital Credit CLO, Limited
N/A
Bain Capital Credit CLO 2021-2 Ltd
05684RAJ1
500000.00000000
PA
USD
501183.50000000
0.089272386572
Long
ABS-CBDO
CORP
KY
N
2
2034-07-16
Floating
8.73900000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B9NV5
6961360.70000000
PA
USD
283657.35000000
0.050525942300
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
1.33300000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBD6
220000.00000000
PA
USD
87315.60000000
0.015552930208
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.12500000
N
N
N
N
N
N
DANAOS CORP
734IM3DNDNT36T7YTD24
Danaos Corp
23585WAA2
390000.00000000
PA
USD
401010.87000000
0.071429321608
Long
DBT
CORP
MH
N
2
2028-03-01
Fixed
8.50000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAP7
345000.00000000
PA
USD
229647.51000000
0.040905539164
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.37500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KM8
115000.00000000
PA
USD
119139.61000000
0.021221523294
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
6.40000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2011-C3
92935VAS7
214000.12000000
PA
USD
84423.05000000
0.015037700074
Long
ABS-MBS
CORP
US
N
2
2044-03-15
Variable
6.05000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
183000.00000000
PA
USD
169358.27000000
0.030166629485
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAH5
1120000.00000000
PA
USD
1043756.83000000
0.185917260274
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.37500000
N
N
N
N
N
N
Wells Fargo Alternative Loan Trust
N/A
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAL2
81048.73000000
PA
USD
53714.51000000
0.009567798024
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.81000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380Q2P6
40046258.52000000
PA
USD
1150136.55000000
0.204865951696
Long
ABS-MBS
USGA
US
N
2
2071-05-20
Variable
0.10600000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
384690.00000000
PA
USD
35583.83000000
0.006338304089
Long
DBT
CORP
KY
N
2
2029-09-30
Fixed
7.00000000
N
N
Y
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375JWD3
298768.47000000
PA
USD
10614.02000000
0.001890602736
Long
ABS-MBS
USGA
US
N
2
2037-04-16
Floating
0.75700000
N
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty Ltd
30251GBE6
660000.00000000
PA
USD
652947.57000000
0.116305081632
Long
DBT
CORP
AU
N
2
2032-04-15
Fixed
6.12500000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-40.68000000
-0.00000724604
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
20141.97000000
USD
18700.00000000
EUR
2024-09-16
-40.68000000
N
N
N
MAIN STREET CAPITAL CORP
5493001FS9QJLJNF3E20
Main Street Capital Corp
56035LAH7
240000.00000000
PA
USD
242633.54000000
0.043218651807
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
6.95000000
N
N
N
N
N
N
Kestrel Aircraft Funding Limited
N/A
Kestrel Aircraft Funding Ltd
49255PAA1
281150.75000000
PA
USD
264497.60000000
0.047113147169
Long
ABS-O
CORP
KY
N
2
2038-12-15
Fixed
4.25000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AS8
40000.00000000
PA
USD
42086.08000000
0.007496505377
Long
DBT
US
N
2
2033-12-01
Fixed
6.75000000
N
N
N
N
N
N
Post CLO LTD
N/A
Post CLO 2023-1 Ltd
73743CAA0
370000.00000000
PA
USD
373095.79000000
0.066456999468
Long
ABS-CBDO
CORP
KY
N
2
2036-04-20
Floating
7.27500000
N
N
N
N
N
N
GACP II LP
N/A
GACP II LP GACP II LP
000000000
35594.45000000
NS
USD
102335.26000000
0.018228279443
Long
EC
CORP
US
N
3
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4017541 CDS USD R V 03MEVENT SP4017541PRO CCPCORPORATE / Short: BP4017541 CDS USD P F 1.00000 SP4017541FEE CCPCORPORATE
000000000
3300000.00000000
OU
Notional Amount
USD
-69732.76000000
-0.01242101926
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
HP, Inc.
HP, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-39926.84000000
USD
3300000.00000000
USD
-29805.92000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-7.09000000
-0.00000126289
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
8176.60000000
USD
7600.00000000
EUR
2024-09-16
-7.09000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4025607 CDS EUR R V 03MEVENT SP4025607PRO CCPCORPORATE / Short: BP4025607 CDS EUR P F 1.00000 SP4025607FEE CCPCORPORATE
000000000
2700000.00000000
OU
Notional Amount
108980.71000000
0.019411987968
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Lanxess AG
Lanxess AG
Y
buy protection
2029-06-20
106024.63000000
EUR
0.00000000
EUR
2700000.00000000
EUR
-4396.67000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
9.30000000
0.000001656545
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4397.93000000
USD
4100.00000000
EUR
2024-09-16
9.30000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4017226 CDS USD R F 1.00000 SP4017226FEE CCPCORPORATE / Short: SP4017226 CDS USD P V 03MEVENT SP4017226PRO CCPCORPORATE
000000000
3400000.00000000
OU
Notional Amount
USD
54349.10000000
0.009680833197
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Williams Cos., Inc.
Williams Cos., Inc.
Y
sell protection
2029-06-20
47546.36000000
USD
0.00000000
USD
3400000.00000000
USD
6802.74000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382LNV9
9421082.68000000
PA
USD
1311767.06000000
0.233656088184
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4004301 CDS USD R V 03MEVENT SP4004301PRO CCPCORPORATE / Short: BP4004301 CDS USD P F 1.00000 SP4004301FEE CCPCORPORATE
000000000
4400000.00000000
OU
Notional Amount
USD
-63938.69000000
-0.01138896122
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Baxter International, Inc.
Baxter International, Inc.
Y
buy protection
2028-12-20
0.00000000
USD
-35891.22000000
USD
4400000.00000000
USD
-28047.47000000
N
N
N
GULFPORT ENERGY OP CORP
254900DJRGZBUZ3F5038
Gulfport Energy Corp
402635AQ9
9974.00000000
PA
USD
10095.34000000
0.001798213818
Long
DBT
CORP
US
N
2
2026-05-17
Fixed
8.00000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BN1
295000.00000000
PA
USD
291632.14000000
0.051946437061
Long
DBT
CORP
PA
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
DCAL Aviation Finance Limited
N/A
AIM Aviation Finance Ltd
001406AB3
637451.95000000
PA
USD
239044.48000000
0.042579357114
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
5.07200000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4015785 CDS USD R F 5.00000 SP4015785FEE CCPCORPORATE / Short: SP4015785 CDS USD P V 03MEVENT SP4015785PRO CCPCORPORATE
000000000
2700000.00000000
OU
Notional Amount
USD
506256.70000000
0.090176040965
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
PulteGroup, Inc.
PulteGroup, Inc.
Y
sell protection
2029-06-20
535296.19000000
USD
0.00000000
USD
2700000.00000000
USD
-29039.49000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4016887 CDS USD R F 1.00000 SP4016887FEE CCPCORPORATE / Short: SP4016887 CDS USD P V 03MEVENT SP4016887PRO CCPCORPORATE
000000000
3650000.00000000
OU
Notional Amount
USD
35017.11000000
0.006237358134
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Occidental Petroleum Corp.
Occidental Petroleum Corp.
Y
sell protection
2029-06-20
23658.26000000
USD
0.00000000
USD
3650000.00000000
USD
11358.85000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
8310000.00000000
PA
385931.30000000
0.068743301014
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4019060 CDS EUR R F 1.00000 SP4019060FEE CCPCORPORATE / Short: SP4019060 CDS EUR P V 03MEVENT SP4019060PRO CCPCORPORATE
000000000
3100000.00000000
OU
Notional Amount
47825.42000000
0.008518814729
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Assicurazioni Generali SpA
Assicurazioni Generali SpA
Y
sell protection
2029-06-20
52716.08000000
EUR
0.00000000
EUR
3100000.00000000
EUR
-9838.09000000
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
180932.00000000
PA
USD
15594.53000000
0.002777746894
Long
DBT
CORP
KY
N
2
2030-09-30
Fixed
7.25000000
N
N
Y
N
N
N
CONTRA ALBIREO PHARMA
549300835H8LC7O8VC29
CONTRA ALBIREO PHARMA
013CVR022
47716.00000000
NS
USD
116336.38000000
0.020722203120
N/A
DE
US
N
1
N/A
N/A
Albireo Pharma, Inc.
Albireo Pharma, Inc.
2499-12-31
XXXX
13746.98000000
N
N
N
Neuberger Berman CLO Ltd
549300E610NX15ZSSH14
Neuberger Berman Loan Advisers CLO 24 Ltd
64130KAA2
1000000.00000000
PA
USD
1004007.00000000
0.178836895119
Long
ABS-CBDO
CORP
KY
N
2
2030-04-19
Floating
11.60800000
N
N
N
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K107
7200.00000000
NS
USD
1320624.00000000
0.235233714286
Long
EC
CORP
US
N
1
N
N
N
Chile Government International Bonds
549300FLZTJM5YJF8D34
Chile Government International Bonds
168863DL9
205000.00000000
PA
USD
148519.18000000
0.026454705013
Long
DBT
NUSS
CL
N
2
2050-01-25
Fixed
3.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4019554 CDS USD R F 1.00000 SP4019554FEE CCPCORPORATE / Short: SP4019554 CDS USD P V 03MEVENT SP4019554PRO CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
USD
53686.08000000
0.009562733983
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
MetLife, Inc.
MetLife, Inc.
Y
sell protection
2029-06-20
46991.53000000
USD
0.00000000
USD
3200000.00000000
USD
6694.55000000
N
N
N
Rand Parent LLC
N/A
Rand Parent LLC 2023 Term Loan B
75223LAB2
121039.91000000
PA
USD
121414.53000000
0.021626739223
Long
LON
CORP
US
N
2
2030-03-17
Floating
9.58500000
N
N
N
N
N
N
Cie Financiere Richemont SA
549300YIPGJ6UX2QPS51
Cie Financiere Richemont SA
000000000
3270.00000000
NS
510056.72000000
0.090852912519
Long
EC
CORP
CH
N
1
N
N
N
WOLFSPEED INC
549300OGU88P3AW3TO93
Wolfspeed Inc
977852AD4
115000.00000000
PA
USD
63940.00000000
0.011389194571
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
1.87500000
N
N
N
N
Y
Wolfspeed, Inc.
Wolfspeed, Inc.
USD
XXXX
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-2N
525221HA8
70465.36000000
PA
USD
53994.09000000
0.009617597696
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
5.98000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-16CB
02152AAT6
358963.65000000
PA
USD
414810.50000000
0.073887355250
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
6.84200000
N
N
N
N
N
N
Webster Park CLO Ltd
N/A
Webster Park CLO Ltd
948210AE9
1000000.00000000
PA
USD
1000060.00000000
0.178133843024
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
11.08600000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B8UN7
7904860.65000000
PA
USD
792.07000000
0.000141086007
Long
ABS-MBS
USGSE
US
N
2
2024-10-25
Variable
1.41400000
N
N
N
N
N
N
BIOMARIN PHARMACEUTICAL
NSLL8ITTRR0J5HEMR848
BioMarin Pharmaceutical Inc
09061GAH4
1478000.00000000
PA
USD
1469573.42000000
0.261765055007
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
0.59900000
N
N
N
N
N
BioMarin Pharmaceutical Inc
BioMarin Pharmaceutical Inc
USD
XXXX
N
N
N
CSAB Mortgage Backed Trust
N/A
CSAB Mortgage-Backed Trust 2006-2
12627HAL4
1857684.28000000
PA
USD
124612.90000000
0.022196442980
Long
ABS-O
CORP
US
N
2
2036-09-25
Variable
6.20000000
N
N
N
N
N
N
HGI CRE CLO Ltd
549300VYJ293N0KO2L78
HGI CRE CLO 2021-FL1 Ltd
40441LAJ5
350000.00000000
PA
USD
343812.70000000
0.061241003071
Long
ABS-CBDO
CORP
KY
N
2
2036-06-16
Floating
7.79300000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2011-RR11 Trust
05533FAN1
1698046.07000000
PA
USD
1017477.19000000
0.181236247869
Long
ABS-MBS
CORP
US
N
2
2035-12-26
Fixed
5.50000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BH9
400000.00000000
PA
USD
258393.16000000
0.046025805053
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
SHIFT4 PAYMENTS INC
N/A
Shift4 Payments Inc
82452JAD1
45000.00000000
PA
USD
42727.50000000
0.007610757132
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
0.50000000
N
N
N
N
Y
Shift4 Payments Inc
Shift4 Payments Inc
USD
XXXX
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust Resecuritization 2008-2R
021482AC8
408893.90000000
PA
USD
188489.74000000
0.033574387293
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Variable
5.01000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4026394 CDS USD R V 03MEVENT SP4026394PRO CCPCORPORATE / Short: BP4026394 CDS USD P F 1.00000 SP4026394FEE CCPCORPORATE
000000000
400000.00000000
OU
Notional Amount
USD
-6631.90000000
-0.00118129495
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Verizon Communications, Inc.
Verizon Communications, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-6549.54000000
USD
400000.00000000
USD
-82.36000000
N
N
N
Neuberger Berman CLO Ltd
5493006JG853WBZS5J73
Neuberger Berman Loan Advisers CLO 37 Ltd
64133HAL2
500000.00000000
PA
USD
502156.00000000
0.089445611340
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
11.33600000
N
N
N
N
N
N
Crown Castle Inc
54930012H97VSM0I2R19
Crown Castle Inc
22822V101
3007.00000000
NS
USD
293783.90000000
0.052329715342
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397RVH6
21255.71000000
PA
USD
1073.83000000
0.000191273988
Long
ABS-MBS
USGSE
US
N
2
2038-03-15
Floating
0.20200000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities
N/A
First Horizon Alternative Mortgage Securities Trust 2006-FA6
32052FAD8
590411.77000000
PA
USD
261596.87000000
0.046596459988
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6.25000000
N
N
N
N
N
N
Labrador Aviation Finance Limited
N/A
Labrador Aviation Finance Ltd 2016-1A
50543LAA0
228472.52000000
PA
USD
209124.62000000
0.037249937235
Long
ABS-O
CORP
US
N
2
2042-01-15
Fixed
4.30000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BQ0
755000.00000000
PA
USD
788444.24000000
0.140440176070
Long
DBT
CORP
US
N
2
2033-10-06
Fixed
6.50000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAY0
190000.00000000
PA
USD
200134.24000000
0.035648542379
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
6.70000000
N
N
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAE0
500000.00000000
PA
USD
459762.60000000
0.081894365154
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
4.62500000
N
N
N
N
N
N
DELIVERY HERO AG
529900C3EX1FZGE48X78
Delivery Hero SE
000000000
1400000.00000000
PA
1245942.55000000
0.221931218745
Long
DBT
CORP
DE
Y
2
2027-01-23
Fixed
1.00000000
N
N
N
N
N
Delivery Hero SE
Delivery Hero SE
EUR
XXXX
N
N
N
Willis Engine Securitization Trust
N/A
Willis Engine Structured Trust VI
97064GAC7
1215916.24000000
PA
USD
1167851.07000000
0.208021317899
Long
ABS-O
CORP
US
N
2
2046-05-15
Fixed
7.38500000
N
N
N
N
N
N
KWG GROUP HOLDINGS
549300LK82ZOM9ZE7H90
KWG Group Holdings Ltd
000000000
210000.00000000
PA
USD
12402.60000000
0.002209190250
Long
DBT
CORP
KY
Y
2
2026-02-13
None
0.00000000
Y
N
N
N
N
N
Linde PLC
5299003QR1WT0EF88V51
Linde PLC
000000000
69.00000000
NS
USD
30277.89000000
0.005393193312
Long
EC
CORP
IE
N
1
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2016-C7
12532BAW7
16323000.00000000
PA
USD
343899.49000000
0.061256462379
Long
ABS-MBS
CORP
US
N
2
2054-12-10
Variable
1.05500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4018823 CDS EUR R F 1.00000 SP4018823FEE CCPCORPORATE / Short: SP4018823 CDS EUR P V 03MEVENT SP4018823PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
-2093.01000000
-0.00037281354
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Mediobanca Banca di Credito Finanziario SpA
Mediobanca Banca di Credito Finanziario SpA
Y
sell protection
2029-06-20
46815.63000000
EUR
0.00000000
EUR
3000000.00000000
EUR
-53302.28000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4016146 CDS EUR R F 1.00000 SP4016146FEE CCPCORPORATE / Short: SP4016146 CDS EUR P V 03MEVENT SP4016146PRO CCPCORPORATE
000000000
2900000.00000000
OU
Notional Amount
35620.82000000
0.006344892864
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Holcim AG
Holcim AG
Y
sell protection
2029-06-20
37105.44000000
EUR
0.00000000
EUR
2900000.00000000
EUR
-4868.65000000
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-9 LLC
69360XAA4
257695.78000000
PA
USD
253897.94000000
0.045225102281
Long
ABS-O
CORP
US
N
2
2026-10-25
Variable
2.36300000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4018104 CDS USD R V 03MEVENT SP4018104PRO CCPCORPORATE / Short: BP4018104 CDS USD P F 1.00000 SP4018104FEE CCPCORPORATE
000000000
3600000.00000000
OU
Notional Amount
USD
-4863.31000000
-0.00086626812
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Whirlpool Corp.
Whirlpool Corp.
Y
buy protection
2029-06-20
89826.70000000
USD
0.00000000
USD
3600000.00000000
USD
-94690.01000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4020310 CDS USD R F 1.00000 SP4020310FEE CCPCORPORATE / Short: SP4020310 CDS USD P V 03MEVENT SP4020310PRO CCPCORPORATE
000000000
3300000.00000000
OU
Notional Amount
USD
37130.87000000
0.006613867735
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Yum! Brands, Inc.
Yum! Brands, Inc.
Y
sell protection
2029-06-20
43817.03000000
USD
0.00000000
USD
3300000.00000000
USD
-6686.16000000
N
N
N
BLUE OWL FINANCE LLC
254900OF2NO2GYFV5T41
Blue Owl Finance LLC
09581JAM8
245000.00000000
PA
USD
246295.29000000
0.043870894272
Long
DBT
CORP
US
N
2
2034-04-18
Fixed
6.25000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR2 Trust
74333DAL8
170000.00000000
PA
USD
157470.30000000
0.028049106754
Long
ABS-O
CORP
US
N
2
2038-04-19
Fixed
2.64700000
N
N
N
N
N
N
GLOBAL ATLANTIC FIN CO
N/A
Global Atlantic Fin Co
37959GAB3
135000.00000000
PA
USD
112007.03000000
0.019951045636
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
TAPESTRY INC
549300LJNVY5SW3VTN33
Tapestry Inc
876030AF4
400000.00000000
PA
USD
421906.86000000
0.075151381287
Long
DBT
CORP
US
N
2
2033-11-27
Fixed
7.85000000
N
N
N
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
WTI CRUDE FUTURE SEP24
000000000
150.00000000
NC
USD
113005.05000000
0.020128816108
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NYMEX Light Sweet Crude Oil Futures
CLU4 Comdty
2024-08-20
11982994.95000000
USD
113005.05000000
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142103
685.00000000
NS
USD
46381.35000000
0.008261592424
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380REA4
9484199.11000000
PA
USD
678192.32000000
0.120801756165
Long
ABS-MBS
USGA
US
N
2
2062-12-16
Variable
0.97900000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4023515 CDS USD R F 1.00000 SP4023515FEE CCPCORPORATE / Short: SP4023515 CDS USD P V 03MEVENT SP4023515PRO CCPCORPORATE
000000000
4150000.00000000
OU
Notional Amount
USD
42400.30000000
0.007552475235
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Avnet, Inc.
Avnet, Inc.
Y
sell protection
2029-06-20
57638.52000000
USD
0.00000000
USD
4150000.00000000
USD
-15238.22000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4015369 CDS EUR R V 03MEVENT SP4015369PRO CCPCORPORATE / Short: BP4015369 CDS EUR P F 1.00000 SP4015369FEE CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
-99885.04000000
-0.01779183852
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Telia Co. AB
Telia Co. AB
Y
buy protection
2029-06-20
0.00000000
EUR
-107062.20000000
EUR
3000000.00000000
EUR
16395.15000000
N
N
N
Atlantic Coastal Acquisition Corp II
N/A
Atlantic Coastal Acquisition Corp II
04845A116
2542.00000000
NS
USD
196.75000000
0.000035045730
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Atlantic Coastal Acquisition Corp. II
Atlantic Coastal Acquisition Corp. II
1.00000000
11.50000000
USD
2028-06-02
XXXX
-9.97000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4020411 CDS USD R V 03MEVENT SP4020411PRO CCPCORPORATE / Short: BP4020411 CDS USD P F 5.00000 SP4020411FEE CCPCORPORATE
000000000
3100000.00000000
OU
Notional Amount
USD
-459858.96000000
-0.08191152910
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
MGM Resorts International
MGM Resorts International
Y
buy protection
2029-06-20
0.00000000
USD
-421252.58000000
USD
3100000.00000000
USD
-38606.38000000
N
N
N
ADD HERO HOLDINGS
254900WMSDP48LFA7478
Add Hero Holdings Ltd
000000000
31943.00000000
PA
USD
1677.01000000
0.000298714313
Long
DBT
CORP
VG
N
2
2029-09-30
Fixed
8.50000000
N
N
Y
N
N
N
Greystone Commercial Real Estate Notes
N/A
Greystone CRE Notes 2021-HC2 LTD
39809XAA6
355000.00000000
PA
USD
353316.06000000
0.062933771543
Long
ABS-CBDO
CORP
KY
N
2
2039-12-15
Floating
7.24300000
N
N
N
N
N
N
BRINKER INTERNATIONAL IN
52990067JY6PBGJNTG76
Brinker International Inc
109641AH3
1001000.00000000
PA
USD
998573.38000000
0.177869041578
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.00000000
N
N
N
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216100
879.00000000
NS
USD
55948.35000000
0.009965696654
Long
EC
CORP
US
N
1
N
N
N
TUTOR PERINI CORP
549300FHXYVPW8LJ6D98
Tutor Perini Corp
901109AG3
615000.00000000
PA
USD
662283.66000000
0.117968055444
Long
DBT
CORP
US
N
2
2029-04-30
Fixed
11.87500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4012210 CDS EUR R V 03MEVENT SP4012210PRO CCPCORPORATE / Short: BP4012210 CDS EUR P F 1.00000 SP4012210FEE CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
24214.14000000
0.004313099027
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
BNP Paribas SA
BNP Paribas SA
Y
buy protection
2029-06-20
0.00000000
EUR
-54973.61000000
EUR
3200000.00000000
EUR
83920.94000000
N
N
N
Northern Star Investment Corp IV
N/A
Northern Star Investment Corp IV
66575B119
956.00000000
NS
USD
0.10000000
0.000000017812
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Northern Star Investment Corp IV
Northern Star Investment Corp IV
1.00000000
11.50000000
USD
2027-12-31
XXXX
-33.50000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4024392 CDS EUR R F 5.00000 SP4024392FEE CCPCORPORATE / Short: SP4024392 CDS EUR P V 03MEVENT SP4024392PRO CCPCORPORATE
000000000
400000.00000000
OU
Notional Amount
77091.20000000
0.013731727815
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CNH Industrial NV
CNH Industrial NV
Y
sell protection
2029-06-20
75186.22000000
EUR
0.00000000
EUR
400000.00000000
EUR
-3606.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2DB6
6420.02000000
PA
USD
4701.86000000
0.000837510140
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
0.00000000
N
N
N
N
N
N
LIGHT AND WONDER INTRNTNL INC
RLTHESQ0RNFQJWPBJN60
LIGHT AND WONDER INTRNTNL INC 2024 TERM LOAN B2
000000000
18662.31000000
PA
USD
18694.04000000
0.003329841396
Long
LON
CORP
US
N
2
2029-04-14
None
0.00000000
N
N
N
N
N
N
TOPBUILD CORP
5493007YSKHOL4RWII46
TopBuild Corp
89055FAC7
866000.00000000
PA
USD
763521.46000000
0.136000851850
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
4.12500000
N
N
N
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498AP6
402000.00000000
PA
USD
370156.74000000
0.065933486608
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
4.62500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4022019 CDS USD R F 1.00000 SP4022019FEE CCPCORPORATE / Short: SP4022019 CDS USD P V 03MEVENT SP4022019PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
USD
47020.62000000
0.008375461214
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Eastman Chemical Co.
Eastman Chemical Co.
Y
sell protection
2029-06-20
57766.79000000
USD
0.00000000
USD
3000000.00000000
USD
-10746.17000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YDA7
16912.50000000
PA
USD
1347.94000000
0.000240099326
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Floating
0.85000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4014807 CDS EUR R F 1.00000 SP4014807FEE CCPCORPORATE / Short: SP4014807 CDS EUR P V 03MEVENT SP4014807PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
45354.66000000
0.008078715161
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Telefonica Emisiones SA
Telefonica Emisiones SA
Y
sell protection
2029-06-20
45109.71000000
EUR
0.00000000
EUR
3000000.00000000
EUR
-3638.99000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-232.41000000
-0.00004139760
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1430600.00000000
CAD
1046879.50000000
USD
2024-09-16
-232.41000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)SEP24
000000000
9.00000000
NC
USD
8657.92000000
0.001542176031
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYU4 Comdty
2024-09-19
981201.46000000
USD
8657.92000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4012658 CDS EUR R V 03MEVENT SP4012658PRO CCPCORPORATE / Short: BP4012658 CDS EUR P F 1.00000 SP4012658FEE CCPCORPORATE
000000000
2900000.00000000
OU
Notional Amount
-81069.84000000
-0.01444041572
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Bouygues SA
Bouygues SA
Y
buy protection
2029-06-20
0.00000000
EUR
-91661.46000000
EUR
2900000.00000000
EUR
18483.62000000
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2006-1
225470A94
226018.33000000
PA
USD
114334.36000000
0.020365597000
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
5.49600000
N
N
N
N
N
N
Rentokil Initial PLC
549300VN4WV7Z6T14K68
Rentokil Initial PLC
000000000
14.00000000
NS
81.59000000
0.000014533068
Long
EC
CORP
GB
N
1
N
N
N
APOLLO GLOBAL MANAGEMENT
254900LMFT1CY9IYB476
Apollo Global Management Inc
03769M304
612.00000000
NS
USD
40153.32000000
0.007152236067
Long
EP
CORP
US
N
1
N
N
N
Perficient Inc
549300HTBXKL2755T650
Perficient Inc
71375U101
32953.00000000
NS
USD
2464554.87000000
0.438994290679
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Mortgage Loan Trust
5493001INKZRJR8O7L63
Morgan Stanley Mortgage Loan Trust 2005-9AR
61748HQY0
878644.65000000
PA
USD
797242.09000000
0.142007276875
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
5.52500000
N
N
N
N
N
N
CIFC Funding Ltd
254900SVOWCOSOG16T40
CIFC Funding 2019-III Ltd
12554UAE8
500000.00000000
PA
USD
504251.50000000
0.089818868413
Long
ABS-CBDO
CORP
KY
N
2
2034-10-16
Floating
12.38900000
N
N
N
N
N
N
Gulfport Energy Corp
254900DJRGZBUZ3F5038
Gulfport Energy Corp
402635502
1160.00000000
NS
USD
175160.00000000
0.031200051940
Long
EC
CORP
US
N
1
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B18 Mortgage Trust
08163ABR3
547000.00000000
PA
USD
505481.17000000
0.090037901114
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Fixed
4.13900000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
JPN YEN CURR FUT SEP24
000000000
-753.00000000
NC
USD
1581795.53000000
0.281754411372
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME Japanese Yen Currency Futures
JYU4 Curncy
2024-09-16
-60809951.78000000
USD
1581795.53000000
N
N
N
Galaxy CLO Ltd
5493000B2531UL3WQV87
Galaxy XIX CLO Ltd
36319RAQ3
1000000.00000000
PA
USD
998912.00000000
0.177929357641
Long
ABS-CBDO
CORP
KY
N
2
2030-07-24
Floating
12.11500000
N
N
N
N
N
N
DELIVERY HERO AG
529900C3EX1FZGE48X78
Delivery Hero SE
000000000
100000.00000000
PA
83018.77000000
0.014787565289
Long
DBT
CORP
DE
Y
2
2028-01-15
Fixed
1.50000000
N
N
N
N
N
Delivery Hero SE
Delivery Hero SE
EUR
XXXX
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382QXL9
10685741.94000000
PA
USD
251232.48000000
0.044750322135
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Floating
0.00000000
N
N
N
N
N
N
Schlumberger NV
213800ZUA17OK3QLGM62
Schlumberger NV
806857108
-72515.00000000
NS
USD
-3421257.70000000
-0.60940521776
Short
EC
CORP
CW
N
1
N
N
N
Carnival Corporation
F1OF2ZSX47CR0BCWA982
Carnival Corporation 2024 Term Loan B1
000000000
413281.15000000
PA
USD
414895.01000000
0.073902408438
Long
LON
CORP
PA
N
2
2028-10-18
Floating
8.09400000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-4 Trust
05953YBT7
14975.74000000
PA
USD
12517.47000000
0.002229651256
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
5.50000000
N
N
N
N
N
N
ALPHA HOLDING SA
549300R872G37EN6NT94
ALPHA HOLDING SA
020ESCAC3
600000.00000000
PA
USD
0.01000000
0.000000001781
Long
DBT
CORP
MX
N
2
2025-02-10
None
0.00000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
488.00000000
NS
USD
56178.56000000
0.010006702386
Long
EC
CORP
US
N
1
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
48702.00000000
PA
USD
457.80000000
0.000081544780
Long
DBT
CORP
KY
N
2
2099-12-31
Variable
0.00000000
N
N
N
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
400000.00000000
PA
USD
9172.00000000
0.001633745583
Long
DBT
CORP
KY
Y
2
2026-03-22
None
0.00000000
Y
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4018902 CDS EUR R V 03MEVENT SP4018902PRO CCPCORPORATE / Short: BP4018902 CDS EUR P F 1.00000 SP4018902FEE CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
-39459.68000000
-0.00702868272
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
British Telecommunications PLC
British Telecommunications PLC
Y
buy protection
2029-06-20
0.00000000
EUR
-38226.88000000
EUR
3000000.00000000
EUR
2354.77000000
N
N
N
Cerevel Therapeutics Holdings Inc
254900RJNIRS9COSQR41
Cerevel Therapeutics Holdings Inc
15678U128
94330.00000000
NS
USD
3857153.70000000
0.687048388812
Long
EC
CORP
US
N
1
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2021-GSA3
36263UAB5
5673000.00000000
PA
USD
430176.22000000
0.076624345785
Long
ABS-MBS
CORP
US
N
2
2054-12-15
Variable
1.53400000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT SEP24
000000000
-97.00000000
NC
USD
18724.71000000
0.003335304433
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME E-Mini Standard & Poor's 500 Index Futures
ESU4 Index
2024-09-20
-26797999.71000000
USD
18724.71000000
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2021-ST8
91683LAB2
1000000.00000000
PA
USD
318923.00000000
0.056807571164
Long
ABS-O
CORP
US
N
2
2029-10-20
None
0.00000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AN1
1303000.00000000
PA
USD
1128975.49000000
0.201096676913
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.62500000
N
N
N
N
N
N
Silicon Motion Technology Corp
5299005RBVBZQJTYFC89
Silicon Motion Technology Corp
82706C108
7464.00000000
NS
USD
604509.36000000
0.107677114813
Long
EC
CORP
KY
N
1
N
N
N
Orion Corp/Republic of Korea
N/A
Orion Corp/Republic of Korea
000000000
1004.00000000
NS
67249.40000000
0.011978675342
Long
EC
CORP
KR
N
1
N
N
N
CANACOL ENERGY LTD
549300X5MNRWPMSM9N14
Canacol Energy Ltd
000000000
200000.00000000
PA
USD
105926.80000000
0.018868015882
Long
DBT
CORP
CA
Y
2
2028-11-24
Fixed
5.75000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-J1
12668BKM4
385647.67000000
PA
USD
45199.68000000
0.008051109635
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
7.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BB2
200000.00000000
PA
USD
129466.86000000
0.023061045653
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.12500000
N
N
N
N
N
N
Citicorp Mortgage Securities, Inc.
N/A
Citicorp Mortgage Securities Trust Series 2006-7
17311AAA3
1525941.72000000
PA
USD
1251301.51000000
0.222885773611
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Fixed
6.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR FUTR OPTN SEP24P 99
000000000
165.00000000
NC
USD
1289.15000000
0.000229627466
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 5 Year U.S. Treasury Notes Future
N/A
165.00000000
NC
N/A
1289.15000000
0.00000000
DIR
US
Long
CBOT 5 Year U.S. Treasury Notes
FVU4 Comdty
2024-09-30
165.00000000
USD
1000.00000000
99.00000000
USD
2024-08-23
XXXX
-344.85000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4016438 CDS EUR R V 03MEVENT SP4016438PRO CCPCORPORATE / Short: BP4016438 CDS EUR P F 1.00000 SP4016438FEE CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
117456.07000000
0.020921645836
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
thyssenkrupp AG
thyssenkrupp AG
Y
buy protection
2029-06-20
109518.26000000
EUR
0.00000000
EUR
3200000.00000000
EUR
-2050.29000000
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAN9
635000.00000000
PA
USD
485176.07000000
0.086421092626
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37300000
N
N
N
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BZ1
205000.00000000
PA
USD
203489.76000000
0.036246238190
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
5.40000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBX9
200000.00000000
PA
USD
198500.57000000
0.035357547923
Long
DBT
CORP
FR
N
2
2035-01-19
Fixed
6.06600000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAS6
950000.00000000
PA
USD
47500.00000000
0.008460849892
Long
ABS-MBS
CORP
US
N
3
2027-11-15
Floating
8.50000000
N
N
N
N
N
N
510 Assets Backed Trust
N/A
510 Asset Backed 2021-NPL1 Trust
33835CAA3
202889.50000000
PA
USD
200063.74000000
0.035635984696
Long
ABS-O
CORP
US
N
2
2061-06-25
Variable
5.24000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579TM0
442209.30000000
PA
USD
260908.93000000
0.046473921944
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
5.77000000
N
N
N
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
115000.00000000
PA
136642.59000000
0.024339209324
Long
DBT
CORP
NL
N
2
2029-09-15
Fixed
7.37500000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
1755000.00000000
PA
USD
1389277.64000000
0.247462517289
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
JDE Peet's NV
724500EHG519SE5ZRT89
JDE Peet's NV
000000000
25335.00000000
NS
504712.09000000
0.089900910157
Long
EC
CORP
NL
N
1
N
N
N
SLAM 2021-1 LLC
N/A
Slam 2021-1 Ltd
78449AAC6
207187.50000000
PA
USD
184051.27000000
0.032783793010
Long
ABS-O
CORP
US
N
2
2046-06-15
Fixed
3.42200000
N
N
N
N
N
N
TRI POINTE HOMES INC
N/A
Tri Pointe Homes Inc
87265HAG4
580000.00000000
PA
USD
569978.93000000
0.101526445656
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.70000000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
958102AR6
1680000.00000000
PA
USD
1367048.26000000
0.243502949976
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
3.10000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4015202 CDS EUR R V 03MEVENT SP4015202PRO CCPCORPORATE / Short: BP4015202 CDS EUR P F 1.00000 SP4015202FEE CCPCORPORATE
000000000
3100000.00000000
OU
Notional Amount
-50183.74000000
-0.00893888613
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
NatWest Group PLC
NatWest Group PLC
Y
buy protection
2029-06-20
0.00000000
EUR
-43047.43000000
EUR
3100000.00000000
EUR
-3429.96000000
N
N
N
CIFC Funding Ltd
254900JEH56UBUEZJW15
CIFC Funding 2017-IV Ltd
12551KAA1
500000.00000000
PA
USD
501563.50000000
0.089340073371
Long
ABS-CBDO
CORP
KY
N
2
2030-10-24
Floating
11.68500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A3G45
96236.68000000
PA
USD
6996.41000000
0.001246222627
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Floating
0.58200000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4020950 CDS USD R F 5.00000 SP4020950FEE CCPCORPORATE / Short: SP4020950 CDS USD P V 03MEVENT SP4020950PRO CCPCORPORATE
000000000
2500000.00000000
OU
Notional Amount
USD
421505.50000000
0.075079889777
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Motors Co.
General Motors Co.
Y
sell protection
2029-06-20
441335.35000000
USD
0.00000000
USD
2500000.00000000
USD
-19829.85000000
N
N
N
Wind River CLO Ltd
N/A
THL Credit Wind River 2018-2 Clo Ltd
88433LAA3
500000.00000000
PA
USD
476322.50000000
0.084844066799
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
11.34000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A4MS3
82182.38000000
PA
USD
1104.39000000
0.000196717431
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Floating
1.05200000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAU4
388000.00000000
PA
USD
390366.80000000
0.069533366271
Long
DBT
NUSS
RO
N
2
2034-01-30
Fixed
6.37500000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
925524AX8
290000.00000000
PA
USD
272311.20000000
0.048504930258
Long
DBT
CORP
US
N
2
2036-04-30
Fixed
6.87500000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
6685000000.00000000
PA
407454.32000000
0.072577049255
Long
DBT
NUSS
ID
N
2
2029-04-15
Fixed
6.87500000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CG5
30000.00000000
PA
USD
57600.00000000
0.010259893764
Long
DBT
CORP
US
N
2
2048-06-01
Fixed
2.75000000
N
N
N
N
Y
NRG Energy Inc
NRG Energy Inc
USD
XXXX
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4016382 CDS EUR R V 03MEVENT SP4016382PRO CCPCORPORATE / Short: BP4016382 CDS EUR P F 1.00000 SP4016382FEE CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
-53447.23000000
-0.00952018926
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Vodafone Group PLC
Vodafone Group PLC
Y
buy protection
2029-06-20
0.00000000
EUR
-53246.40000000
EUR
3000000.00000000
EUR
4655.26000000
N
N
N
ALLISON TRANSMISSION INC
MWKQ3I0U1GXP2YDSZW75
Allison Transmission Inc
019736AG2
1454000.00000000
PA
USD
1275778.28000000
0.227245653123
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
3.75000000
N
N
N
N
N
N
TRUIST INSURANCE HOLDINGS LLC
N/A
Truist Insurance Holdings LLC 1st Lien Term Loan
89788VAB8
123000.00000000
PA
USD
123416.97000000
0.021983420155
Long
LON
CORP
US
N
2
2031-05-06
Floating
8.58500000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXVIII Ltd
55821MAA0
500000.00000000
PA
USD
502431.50000000
0.089494684270
Long
ABS-CBDO
CORP
KY
N
2
2034-07-17
Floating
11.57900000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4020994 CDS USD R V 03MEVENT SP4020994PRO CCPCORPORATE / Short: BP4020994 CDS USD P F 1.00000 SP4020994FEE CCPCORPORATE
000000000
2000000.00000000
OU
Notional Amount
USD
-10315.68000000
-0.00183746147
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Lamb Weston Holdings, Inc.
Lamb Weston Holdings, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-12832.19000000
USD
2000000.00000000
USD
2516.51000000
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2021-4
36263DAE7
1000000.00000000
PA
USD
941409.80000000
0.167686884321
Long
ABS-O
CORP
US
N
2
2028-10-16
Fixed
4.43000000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
Ares Capital Corp
04010LBB8
1554000.00000000
PA
USD
1377754.92000000
0.245410054041
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
2.87500000
N
N
N
N
N
N
Douglas Emmett Inc
N/A
Douglas Emmett Inc
25960P109
11040.00000000
NS
USD
146942.40000000
0.026173843984
Long
EC
US
N
1
N
N
N
Stericycle Inc
B8PTJH2P0AXSWSMP2136
Stericycle Inc
858912108
35347.00000000
NS
USD
2054721.11000000
0.365993408062
Long
EC
CORP
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4013806 CDS USD R V 03MEVENT SP4013806PRO CCPCORPORATE / Short: BP4013806 CDS USD P F 1.00000 SP4013806FEE CCPCORPORATE
000000000
1950000.00000000
OU
Notional Amount
USD
-19631.29000000
-0.00349678732
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Expedia Group, Inc.
Expedia Group, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-15093.81000000
USD
1950000.00000000
USD
-4537.48000000
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AL0
600000.00000000
PA
USD
484010.67000000
0.086213507901
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.75000000
N
N
N
N
N
N
TIF Funding III LLC
N/A
TIF Funding III LLC
88655AAA8
98125.00000000
PA
USD
97945.46000000
0.017446354415
Long
ABS-O
CORP
US
N
2
2049-04-20
Fixed
5.48000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B31 Mortgage Trust
08163MAY3
1637000.00000000
PA
USD
838304.92000000
0.149321517734
Long
ABS-MBS
CORP
US
N
2
2054-12-15
Fixed
2.25000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2018-A
43284BAC6
31625.03000000
PA
USD
30973.88000000
0.005517165247
Long
ABS-O
CORP
US
N
2
2032-02-25
Fixed
4.00000000
N
N
N
N
N
N
NVENT FINANCE SARL
549300KO1OQ4MVFB6X02
nVent Finance Sarl
67078AAF0
300000.00000000
PA
USD
299632.72000000
0.053371525617
Long
DBT
CORP
LU
N
2
2033-05-15
Fixed
5.65000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C10
92890NAY5
1020000.00000000
PA
USD
812148.07000000
0.144662377071
Long
ABS-MBS
CORP
US
N
2
2045-12-15
Variable
4.47700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382M3B3
6260757.05000000
PA
USD
951816.63000000
0.169540581721
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
3.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4020231 CDS USD R F 5.00000 SP4020231FEE CCPCORPORATE / Short: SP4020231 CDS USD P V 03MEVENT SP4020231PRO CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
USD
510332.34000000
0.090902006823
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Royal Caribbean Cruises Ltd.
Royal Caribbean Cruises Ltd.
Y
sell protection
2029-06-20
435586.27000000
USD
0.00000000
USD
3000000.00000000
USD
74746.07000000
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BGFS5
126418651.89000000
PA
USD
533878.61000000
0.095096142739
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Variable
0.15700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383FLN1
16210163.97000000
PA
USD
289938.23000000
0.051644712466
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Floating
0.00000000
N
N
N
N
N
N
GOLUB CAPITAL BDC
2549005WE0QLGK9APF78
Golub Capital BDC Inc
38173MAE2
160000.00000000
PA
USD
157120.46000000
0.027986792149
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
15281.25000000
0.002721944472
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1359000.00000000
EUR
1476118.21000000
USD
2024-09-16
15281.25000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)SEP24
000000000
-438.00000000
NC
USD
-325886.08000000
-0.05804785694
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year U.S. Treasury Notes
TYU4 Comdty
2024-09-19
-47847270.18000000
USD
-325886.08000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2014-GC21
17322MAA4
870000.00000000
PA
USD
686103.49000000
0.122210918730
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
4.96800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LVK6
5574782.60000000
PA
USD
291726.14000000
0.051963180637
Long
ABS-MBS
USGA
US
N
2
2069-06-20
Variable
0.43100000
N
N
N
N
N
N
PARKLAND CORP
549300UY5C6HUV0XLS53
Parkland Corp
70137WAL2
769000.00000000
PA
USD
702055.40000000
0.125052323278
Long
DBT
CORP
CA
N
2
2030-05-01
Fixed
4.62500000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp
86363TAC0
4776996.26000000
PA
USD
237573.88000000
0.042317409201
Long
ABS-MBS
CORP
US
N
2
2045-03-28
Floating
0.79000000
N
N
N
N
N
N
LOUISIANA-PACIFIC CORP
549300C7E2UAO5BVRR75
Louisiana-Pacific Corp
546347AM7
460000.00000000
PA
USD
417828.12000000
0.074424863247
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.62500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GZG6
1615453.54000000
PA
USD
1399216.84000000
0.249232918958
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
5.15600000
N
N
N
N
N
N
MAPS LTD
N/A
MAPS 2019-1 Ltd
55283LAA3
81376.50000000
PA
USD
74294.30000000
0.013233535161
Long
ABS-O
CORP
BM
N
2
2044-03-15
Fixed
4.45800000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AQ8
255000.00000000
PA
USD
257168.42000000
0.045807650500
Long
DBT
CORP
FR
N
2
2035-01-10
Fixed
6.25100000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4022648 CDS USD R V 03MEVENT SP4022648PRO CCPCORPORATE / Short: BP4022648 CDS USD P F 5.00000 SP4022648FEE CCPCORPORATE
000000000
2000000.00000000
OU
Notional Amount
USD
-230532.24000000
-0.04106313006
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Beazer Homes USA, Inc.
Beazer Homes USA, Inc.
Y
buy protection
2029-06-20
0.00000000
USD
-165976.36000000
USD
2000000.00000000
USD
-64555.88000000
N
N
N
Open Text Corporation
549300HP7ONDQODZJV16
Open Text Corporation 2023 Term Loan B
68371YAP8
62015.50000000
PA
USD
62355.97000000
0.011107042149
Long
LON
CORP
CA
N
2
2030-01-31
Floating
7.59400000
N
N
N
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2023-A
00834JAD2
850000.00000000
PA
USD
860504.81000000
0.153275832196
Long
ABS-O
CORP
US
N
2
2028-01-18
Fixed
9.09000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SILICON MOTION TECHNOLOGY CORP
000000000
-22.00000000
NC
USD
-6600.00000000
-0.00117561282
N/A
DE
KY
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Silicon Motion Technology Corp.
Silicon Motion Technology Corp.
100.00000000
80.00000000
USD
2024-07-19
XXXX
-845.55000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4023739 CDS USD R V 03MEVENT SP4023739PRO CCPCORPORATE / Short: BP4023739 CDS USD P F 1.00000 SP4023739FEE CCPCORPORATE
000000000
700000.00000000
OU
Notional Amount
USD
3228.14000000
0.000575006483
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Apache Corp.
Apache Corp.
Y
buy protection
2029-06-20
614.16000000
USD
0.00000000
USD
700000.00000000
USD
2613.98000000
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAQ4
60000.00000000
PA
USD
60872.04000000
0.010842719854
Long
DBT
CORP
US
N
2
2033-06-30
Fixed
5.95000000
N
N
N
N
N
N
National Western Life Group Inc
549300HPXNVHFT1BJ192
National Western Life Group Inc
638517102
2418.00000000
NS
USD
1201600.92000000
0.214032947684
Long
EC
CORP
US
N
1
N
N
N
Byju's Alpha Inc
254900EAJ040Y8AVVN71
Byju's Alpha Inc 2024 DIP New Money Term Loan
000000000
2745.54000000
PA
USD
2745.54000000
0.000489044248
Long
LON
CORP
US
N
2
2026-04-06
Floating
13.33200000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4021108 CDS EUR R F 5.00000 SP4021108FEE CCPCORPORATE / Short: SP4021108 CDS EUR P V 03MEVENT SP4021108PRO CCPCORPORATE
000000000
2500000.00000000
OU
Notional Amount
464784.33000000
0.082788851549
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Glencore Finance Europe Ltd.
Glencore Finance Europe Ltd.
Y
sell protection
2029-06-20
448069.61000000
EUR
0.00000000
EUR
2500000.00000000
EUR
-20407.82000000
N
N
N
NATIONAL HEALTH INVESTOR
549300ZPKZIG6DKDEC02
National Health Investors Inc
63633DAF1
160000.00000000
PA
USD
130996.44000000
0.023333499269
Long
DBT
US
N
2
2031-02-01
Fixed
3.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BP4020635 CDS EUR R V 03MEVENT SP4020635PRO CCPCORPORATE / Short: BP4020635 CDS EUR P F 1.00000 SP4020635FEE CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
-50774.31000000
-0.00904408032
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Centrica PLC
Centrica PLC
Y
buy protection
2029-06-20
0.00000000
EUR
-47947.47000000
EUR
3000000.00000000
EUR
1620.33000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4026248 CDS USD R F 1.00000 SP4026248FEE CCPCORPORATE / Short: SP4026248 CDS USD P V 03MEVENT SP4026248PRO CCPCORPORATE
000000000
600000.00000000
OU
Notional Amount
USD
6040.40000000
0.001075935109
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Expedia Group, Inc.
Expedia Group, Inc.
Y
sell protection
2029-06-20
7140.33000000
USD
0.00000000
USD
600000.00000000
USD
-1099.93000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DC6
262000.00000000
PA
USD
229788.46000000
0.040930645623
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AJPE8
213681.70000000
PA
USD
195710.36000000
0.034860546913
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
549300E4V6DCTUJSC749
Morgan Stanley Mortgage Loan Trust 2006-7
61749JAE6
239588.89000000
PA
USD
132908.89000000
0.023674150898
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
5.19000000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAZ0
502000.00000000
PA
USD
464684.53000000
0.082771074858
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
4.50000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BR4
160000.00000000
PA
USD
159623.12000000
0.028432573846
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
6.12500000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110L106
315.00000000
NS
USD
212587.20000000
0.037866702911
Long
EC
CORP
US
N
1
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS8 Trust
74922UAH6
269670.40000000
PA
USD
205327.80000000
0.036573635675
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-8
576434UQ5
55281.77000000
PA
USD
53065.44000000
0.009452183627
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
BINOM Securitization Trust
N/A
BINOM Securitization Trust 2022-RPL1
05552CAB0
530000.00000000
PA
USD
416770.75000000
0.074236521166
Long
ABS-MBS
CORP
US
N
2
2061-02-25
Variable
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VE69
58226.82000000
PA
USD
44796.70000000
0.007979329566
Long
ABS-MBS
USGA
US
N
2
2041-05-20
None
0.00000000
N
N
N
N
N
N
RPM INTERNATIONAL INC
549300TJCKW4BRXPJ474
RPM International Inc
749685AY9
300000.00000000
PA
USD
251920.34000000
0.044872845929
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.95000000
N
N
N
N
N
N
Juniper Networks Inc
AUHIXNGG7U2U7JEHM527
Juniper Networks Inc
48203R104
108015.00000000
NS
USD
3938226.90000000
0.701489403033
Long
EC
CORP
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SP4019239 CDS USD R F 1.00000 SP4019239FEE CCPCORPORATE / Short: SP4019239 CDS USD P V 03MEVENT SP4019239PRO CCPCORPORATE
000000000
3200000.00000000
OU
Notional Amount
USD
50009.28000000
0.008907810764
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Enbridge, Inc.
Enbridge, Inc.
Y
sell protection
2029-06-20
44361.29000000
USD
0.00000000
USD
3200000.00000000
USD
5647.99000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QDC3
9907059.32000000
PA
USD
639039.01000000
0.113827645034
Long
ABS-MBS
USGA
US
N
2
2070-06-20
Variable
0.79400000
N
N
N
N
N
N
Olink Holding AB
8945004Z7ZHV3LML4J27
Olink Holding AB
680710100
184573.00000000
NS
USD
4702920.04000000
0.837698958222
Long
EC
CORP
SE
N
1
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
200000.00000000
PA
USD
7250.00000000
0.001291392878
Long
DBT
CORP
KY
Y
2
2025-01-15
None
0.00000000
Y
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-19
02151ABK5
320324.61000000
PA
USD
153426.13000000
0.027328746432
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DK8
50000.00000000
PA
USD
50985.93000000
0.009081774744
Long
DBT