NPORT-P false 0001070287 XXXXXXXX S000031707 C000098666 C000098667 C000098668 C000098669 Prudential Investment Portfolios 9 811-09101 0001070287 5493006TC8ECBK1GPV34 655 Broad Street Newark 07102-4077 1-800-225-1852 PGIM Absolute Return Bond Fund S000031707 EBKSE2F2Z4D82NLOW668 2025-10-31 2025-04-30 N 3645930181.12 249333995.64 3396596185.48 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 3522590.75000000 103995303.40000000 0.00000000 13016210.34000000 EUR GBP USD N N/A N/A CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -182.00000000 NC USD -269587.50000000 -0.00793699001 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-17 0.00000000 USD 2500.00000000 96.25000000 USD 2025-12-12 XXXX -97233.71000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 6440000.00000000 OU Other USD 64047.77000000 0.001885645702 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2032-05-29 0.00000000 USD 0.00000000 USD 0.00000000 USD 6440000.00000000 USD 3.55800000 USD 2025-05-27 XXXX 64047.77000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -282970.73000000 -0.00833100888 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 POST HOLDINGS INC Post Holdings Inc Y Default Event 2029-06-20 0.00000000 USD -258018.64000000 USD -1950000.00000000 USD -24952.09000000 N N N Sierra Receivables Funding Co N/A 82650BAD8 678879.40000000 PA USD 705849.38000000 0.020781080277 Long ABS-O CORP US N 2 2040-04-20 Fixed 9.72000000 N N N N N N Elmwood CLO 29 Ltd N/A 289913AC9 10000000.00000000 PA USD 10005579.00000000 0.294576642427 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.78947000 N N N N N N OneMain Financial Issuance Tru N/A 68269JAH4 200000.00000000 PA USD 209340.10000000 0.006163231911 Long ABS-O CORP US N 2 2038-06-14 Fixed 7.49000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LD1 980000.00000000 PA USD 969589.77000000 0.028545924126 Long DBT CORP US N 2 2028-01-10 Fixed 3.88700000 N N N N N N VCAT Asset Securitization, LLC N/A 92243QAA4 3292873.49000000 PA USD 3285335.44000000 0.096724345803 Long ABS-O CORP US N 2 2055-02-25 Variable 5.88900000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCK6 2188000.00000000 PA USD 2018648.80000000 0.059431521728 Long DBT CORP MX N 2 2028-02-12 Fixed 5.35000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95003YAE2 2500000.00000000 PA USD 2486723.50000000 0.073212220829 Long ABS-MBS CORP US N 2 2041-10-15 Floating 7.26154000 N N N N N N MINERAL RESOURCES LTD 5299007V1ACKFFX2P066 603051AE3 575000.00000000 PA USD 543352.00000000 0.015996956079 Long DBT CORP AU N 2 2028-10-01 Fixed 9.25000000 N N N N N WCORE Commercial Mortgage Trus N/A 951913AG7 6690000.00000000 PA USD 6639825.00000000 0.195484674580 Long ABS-MBS CORP US N 2 2041-11-15 Floating 7.26205000 N N N N N N FREEPORT INDONESIA PT 549300T4HTQHRKLNE619 000000000 600000.00000000 PA USD 592200.00000000 0.017435101721 Long DBT CORP ID N 2 2032-04-14 Fixed 5.31500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 5409.55000000 0.000159263854 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -157517485.00000000 CZK 7171376.18000000 USD 2025-07-22 5409.55000000 N N N Hudson Yards N/A 44855PAG3 5010000.00000000 PA USD 5155477.88000000 0.151783656298 Long ABS-MBS CORP US N 2 2040-01-13 Variable 6.55092000 N N N N N N Home Equity Asset Trust N/A 437084FL5 766194.47000000 PA USD 755676.15000000 0.022248042120 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.28109000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBW1 2930000.00000000 PA USD 2987298.79000000 0.087949777567 Long DBT CORP FR N 2 2030-01-19 Fixed 5.63400000 N N N N N N CELLNEX FINANCE CO SA 549300OUROMFTRFA7T23 000000000 1100000.00000000 PA 1101411.75000000 0.032426926542 Long DBT CORP ES N 2 2033-02-15 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133USKU4 945058.29000000 PA USD 788913.94000000 0.023226603838 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N UNIV OF CALIFORNIA REVENUES N/A 91412GXE0 625000.00000000 PA USD 570009.09000000 0.016781773836 Long DBT MUN US N 2 2045-05-15 Fixed 3.93100000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CKX8 38500000.00000000 PA USD 39351210.94000000 1.158548405259 Long DBT UST US N 2 2029-06-30 Fixed 4.25000000 N N N N N N Expand Energy Corp X2MT1W32SPAZ9WSKLE78 165167735 12570.00000000 NS USD 1306023.00000000 0.038450935250 Long EC CORP US Y 1 N N N BPR Trust N/A 05593UAG0 5350000.00000000 PA USD 5331194.75000000 0.156956978659 Long ABS-MBS CORP US N 2 2039-11-05 Variable 6.38943100 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179YRG1 920629.52000000 PA USD 903957.71000000 0.026613634963 Long ABS-MBS USGA US N 2 2054-02-20 Fixed 5.00000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -91422.76000000 -0.00269159932 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF CHILE Chile Government International Bond Y Default Event 2030-06-20 163.11000000 USD 0.00000000 USD -6000000.00000000 USD -91585.87000000 N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAB9 75000.00000000 PA USD 67457.73000000 0.001986039149 Long DBT CORP US N 2 2031-08-15 Fixed 4.12500000 N N N N N N TPC Group Rights N/A 000000000 56219.00000000 NS USD 1124380.00000000 0.033103140279 Long EC CORP US Y 3 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WNE4 2898629.56000000 PA USD 2470734.56000000 0.072741486625 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N JP Morgan Mortgage Trust N/A 46630GAM7 6795.28000000 PA USD 6712.72000000 0.000197630793 Long ABS-MBS CORP US N 2 2035-07-25 Variable 7.18804000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWNL3 12793740.10000000 PA USD 12981961.86000000 0.382205041491 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.00000000 N N N N N N KINGDOM OF MOROCCO 529900F3MBW9XY5K1X07 000000000 30000000.00000000 PA USD 27843900.00000000 0.819758913910 Long DBT NUSS MA N 2 2027-12-15 Fixed 2.37500000 N N N N N N XPO INC 54930096DB9LCLPN7H13 983793AK6 385000.00000000 PA USD 393976.31000000 0.011599150693 Long DBT CORP US N 2 2032-02-01 Fixed 7.12500000 N N N N N N Independence Plaza Trust N/A 45378YAS3 3000000.00000000 PA USD 2896409.70000000 0.085273890148 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 4.99600000 N N N N N N Towd Point Mortgage Trust N/A 89183QAC8 3750000.00000000 PA USD 3753371.25000000 0.110503899935 Long ABS-MBS CORP US N 2 2064-09-25 Variable 5.60100000 N N N N N N Bayview Financing Trust N/A 07336HAA0 982223.61000000 PA USD 983107.61000000 0.028943906084 Long ABS-MBS CORP US N 3 2026-07-01 Floating 8.33568000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -881.10000000 -0.00002594067 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1348873.00000000 EUR 217447405.00000000 JPY 2025-07-22 -881.10000000 N N N BIG RIVER STEEL/BRS FIN N/A 08949LAB6 1600000.00000000 PA USD 1610027.70000000 0.047401210272 Long DBT CORP US N 2 2029-01-31 Fixed 6.62500000 N N N N N N VIATRIS INC 254900ZZTSW7NL773X71 92556VAF3 2190000.00000000 PA USD 1379303.88000000 0.040608415150 Long DBT CORP US N 2 2050-06-22 Fixed 4.00000000 N N N N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 91153LAA5 1052000.00000000 PA USD 1047092.37000000 0.030827696694 Long DBT CORP US N 2 2025-11-15 Fixed 5.50000000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368L5Q5 2380000.00000000 PA USD 2335375.00000000 0.068756333472 Long DBT CORP CA N 2 2084-11-26 Fixed 7.30000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95003YAC6 1500000.00000000 PA USD 1493166.90000000 0.043960683533 Long ABS-MBS CORP US N 2 2041-10-15 Floating 6.61247000 N N N N N N Accredited Mortgage Loan Trust N/A 004375BL4 477774.77000000 PA USD 470515.36000000 0.013852555155 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.64109000 N N N N N N ROCC Trust N/A 74970WAJ9 4435000.00000000 PA USD 4636372.51000000 0.136500551046 Long ABS-MBS CORP US N 2 2041-11-13 Fixed 8.81906000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBD0 4010000.00000000 PA USD 3931074.04000000 0.115735690242 Long DBT CORP US N 2 2028-04-01 Fixed 4.25000000 N N N N N N Doncasters US Finance LLC N/A 000000000 4329350.00000000 PA USD 4275233.13000000 0.125868160256 Long LON CORP US N 3 2030-04-23 Floating 10.79917000 N N N N N N DIG HLDNG/DIG FIN/DIFL N/A 000000000 1176695.52000000 PA USD 1176695.52000000 0.034643374005 Long DBT CORP N/A N 2 2027-05-25 Fixed 12.00000000 N N Y N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -2034000.00000000 NC USD -27751.29000000 -0.00081703236 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A MXN N/A USD 2025-05-20 -2034000.00000000 USD 19.75000000 USD 2025-05-20 XXXX -8475.07000000 N N N AlbaCore Euro CLO 549300WN8XXHR94EX575 000000000 1000000.00000000 PA 1124782.75000000 0.033114997738 Long ABS-CBDO CORP IE N 2 2034-06-15 Floating 4.15100000 N N N N N N POWER FINANCE CORP LTD 3358003Q6D9LIJJZ1614 000000000 1100000.00000000 PA USD 1112034.00000000 0.032739658742 Long DBT CORP IN N 2 2028-08-10 Fixed 5.25000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BD8 1000000.00000000 PA USD 462597.86000000 0.013619454145 Long DBT CORP US Y 2 2030-12-01 Fixed 4.62500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PK1 7055000.00000000 PA USD 6987581.00000000 0.205723042081 Long DBT CORP US N 2 N/A Fixed 7.12500000 N N N N N N Signal Peak CLO, LLC N/A 826937AA2 12950000.00000000 PA USD 12950000.00000000 0.381264044732 Long ABS-CBDO CORP KY N 2 2037-10-20 Floating 5.65947000 N N N N N N MIZRAHI TEFAHOT BANK LTD YZO9YEGEO4VYDZMDWF93 000000000 1555000.00000000 PA USD 1505240.00000000 0.044316130555 Long DBT CORP IL N 2 2031-04-07 Fixed 3.07700000 N N N N N N EASTERN GAS TRAN H2VQBNB3NSKRM5QWBI71 276480AD2 125000.00000000 PA USD 104534.39000000 0.003077621957 Long DBT CORP US N 2 2044-12-15 Fixed 4.60000000 N N N N N N ANTERO MIDSTREAM PART/FI N/A 03690AAH9 1275000.00000000 PA USD 1244873.60000000 0.036650621151 Long DBT CORP US N 2 2029-06-15 Fixed 5.37500000 N N N N N N Fannie Mae - CAS N/A 20754RAF3 600000.00000000 PA USD 609564.00000000 0.017946319394 Long ABS-MBS CORP US N 2 2041-10-25 Floating 7.45369000 N N N N N N Bayview Opportunity Master Fun 254900S53K9VTUR1UX42 07336QAE2 894302.61000000 PA USD 898547.60000000 0.026454354622 Long ABS-O CORP US N 2 2031-12-26 Floating 7.95369000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -59166.33000000 -0.00174193006 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Abu Dhabi Government International Bond ABU DHABI GOVT INT'L Y Default Event 2030-06-20 54.37000000 USD 0.00000000 USD -2000000.00000000 USD -59220.70000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179Y2N3 3088024.08000000 PA USD 3160882.77000000 0.093060305005 Long ABS-MBS USGA US N 2 2054-07-20 Fixed 6.50000000 N N N N N N Doncasters US Finance LLC N/A 000000000 356500.00000000 PA USD 352043.75000000 0.010364604173 Long LON CORP US N 3 2030-04-23 Floating 0.00000000 N N N N N N CA MAGNUM HOLDINGS 549300ZRDHFR078MFZ78 12674CAA1 5225000.00000000 PA USD 5087843.75000000 0.149792423713 Long DBT CORP MU N 2 2026-10-31 Fixed 5.37500000 N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CP9 1500000.00000000 PA USD 1449233.81000000 0.042667238931 Long DBT CORP US N 2 2029-02-01 Fixed 4.62500000 N N N N N N COPT DEFENSE PROP LP H0TWO5VRNEP6CQAWPX27 22003BAN6 2170000.00000000 PA USD 1941506.84000000 0.057160366849 Long DBT CORP US N 2 2029-01-15 Fixed 2.00000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XRYX7 1991374.05000000 PA USD 1867393.99000000 0.054978392721 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 4.00000000 N N N N N N TALKTALK TELECOM GROUP 213800WF53FVDRRHRF44 000000000 3045264.06870000 PA 1147519.22000000 0.033784387585 Long DBT CORP GB N 2 2028-03-01 Fixed 11.75000000 N N Y N N N IVORY COAST 254900ICW11T82O6H590 000000000 4202000.00000000 PA 4422258.97000000 0.130196783147 Long DBT NUSS CI N 2 2030-03-22 Fixed 5.25000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BB2 300000.00000000 PA USD 205515.33000000 0.006050625943 Long DBT CORP US Y 2 2030-12-01 Fixed 4.12500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCG5 960000.00000000 PA USD 936384.00000000 0.027568305116 Long DBT CORP MX N 2 2027-03-13 Fixed 6.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -454541.44000000 -0.01338226315 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -1199059698.00000000 INR 13665000.00000000 USD 2025-06-18 -454541.44000000 N N N NEW GENERATION GAS GATHERING LLC N/A 000000000 351351.35000000 PA USD 346081.08000000 0.010189055781 Long DBT CORP US N 3 2029-09-30 Floating 0.01000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 9148000.00000000 PA USD 9038315.48000000 0.266099205982 Long DBT CORP N/A Y 2 2028-10-20 Fixed 4.75000000 N N N N N N Auxilior Term Funding LLC N/A 05335JAE3 1500000.00000000 PA USD 1584723.15000000 0.046656212969 Long ABS-O CORP US N 2 2030-12-16 Fixed 7.27000000 N N N N N N Barclays Commercial Mortgage S N/A 05555PAJ1 28469000.00000000 PA USD 2962242.15000000 0.087212079041 Long ABS-MBS CORP US N 2 2057-09-15 Variable 2.89519200 N N N N N N TENNECO INC 549300U0EXXFAQFAD785 880349AU9 3875000.00000000 PA USD 3695142.30000000 0.108789567502 Long DBT CORP US N 2 2028-11-17 Fixed 8.00000000 N N N N N N CASSA DEPOSITI E PRESTIT 81560029E2CE4D14F425 147918AB2 2415000.00000000 PA USD 2444950.59000000 0.071982374603 Long DBT NUSS IT N 2 2026-05-05 Fixed 5.75000000 N N N N N HILCORP ENERGY I/HILCORP N/A 431318AS3 700000.00000000 PA USD 678270.56000000 0.019969125647 Long DBT CORP US N 2 2028-11-01 Fixed 6.25000000 N N N N N N PRP Advisors, LLC N/A 69381KAA7 4607227.97000000 PA USD 4606294.55000000 0.135615018638 Long ABS-MBS CORP US N 2 2029-09-25 Variable 5.68900000 N N N N N N QUIKRETE HOLDINGS INC 5493007KIN86DIZWZT22 74843PAB6 530000.00000000 PA USD 532022.77000000 0.015663409511 Long DBT CORP US N 2 2033-03-01 Fixed 6.75000000 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CQ7 2695000.00000000 PA USD 2594021.30000000 0.076371201000 Long DBT CORP US N 2 2031-02-01 Fixed 5.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -2770.02000000 -0.00008155282 N/A DCR CORP GB N 3 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 IHS MARKIT LTD CDX.NA.HY.43.V1 Y Default Event 2026-03-23 0.00000000 USD 0.00000000 USD 5800000.00000000 USD -2770.02000000 N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 000000000 700000.00000000 PA 816651.91000000 0.024043244042 Long DBT CORP GB N 2 2030-08-15 Fixed 4.12500000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BJ0 950000.00000000 PA USD 950712.50000000 0.027990153909 Long DBT CORP LR Y 2 2026-08-31 Fixed 5.50000000 N N N N N TALLGRASS NRG PRTNR/FIN N/A 87470LAD3 1000000.00000000 PA USD 974212.39000000 0.028682019786 Long DBT CORP US N 2 2028-01-15 Fixed 5.50000000 N N N N N N FRONTIER COMMUNICATIONS N/A 35906ABF4 1650000.00000000 PA USD 1633932.76000000 0.048105004857 Long DBT CORP US N 2 2028-05-01 Fixed 5.00000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29278GBD9 6560000.00000000 PA USD 6656897.10000000 0.195987298356 Long DBT CORP NL N 2 2029-06-26 Fixed 5.12500000 N N N N N N SOLVAY FINANCE (AMERICA) 54930073OEL5K0Y7NK81 834423AE5 3060000.00000000 PA USD 3136870.87000000 0.092353364918 Long DBT CORP US N 2 2029-06-04 Fixed 5.65000000 N N N N N N ASCENT RESOURCES/ARU FIN N/A 04364VAK9 899000.00000000 PA USD 1053756.17000000 0.031023887222 Long DBT CORP US N 2 2027-11-01 Fixed 9.00000000 N N N N N N CASSA DEPOSITI E PRESTIT 81560029E2CE4D14F425 147918AC0 2200000.00000000 PA USD 2285009.76000000 0.067273518405 Long DBT NUSS IT N 2 2029-04-30 Fixed 5.87500000 N N N N N N QUIKRETE HOLDINGS INC 5493007KIN86DIZWZT22 74843PAA8 1110000.00000000 PA USD 1117451.08000000 0.032899144289 Long DBT CORP US N 2 2032-03-01 Fixed 6.37500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 318689.14000000 0.009382603129 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 FED REPUBLIC OF BRAZIL Brazilian Government International Bond Y Default Event 2030-06-20 244.65000000 USD 0.00000000 USD -9000000.00000000 USD 318444.49000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1442.00000000 NC USD -218638.86000000 -0.00643699892 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-06-17 345036888.86000000 USD -218638.86000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 -6440000.00000000 OU Other USD -35450.23000000 -0.00104369869 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Call Written JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2032-05-29 0.00000000 USD 0.00000000 USD 0.00000000 USD -6440000.00000000 USD 3.40800000 USD 2025-05-27 XXXX -34645.23000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 298082.11000000 0.008775906634 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -6812198.04000000 USD 140375559.00000000 MXN 2025-06-18 298082.11000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -289594.99000000 -0.00852603530 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 ANTERO RESOURCES CORP Antero Resources Corp Y Default Event 2029-06-20 0.00000000 USD -282203.95000000 USD -1950000.00000000 USD -7391.04000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -296128.13000000 -0.00871837904 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 HUB INTERNATIONAL LTD HUB International Ltd Y Default Event 2029-06-20 0.00000000 USD -230508.82000000 USD -1950000.00000000 USD -65619.31000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 17118.65000000 0.000503994265 N/A DCR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 BANK OF AMERICA CORP Bank of America Corp Y Default Event 2025-12-20 13909.78000000 USD 0.00000000 USD 3030000.00000000 USD 3208.87000000 N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 4084000.00000000 NC USD 0.10000000 0.000000002944 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A KRW 2025-05-08 4084000.00000000 USD 1650.00000000 USD 2025-05-08 XXXX -119.11000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -4067000.00000000 NC USD -31541.89000000 -0.00092863232 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A TRY 2025-05-19 -4067000.00000000 USD 40.00000000 USD 2025-05-19 XXXX 27298.62000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 13483.63000000 0.000396974773 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2035000.00000000 USD 14833725.50000000 CNY 2025-06-18 13483.63000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 23631.28000000 0.000695734161 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 KINGDOM OF MOROCCO Morocco Government International Bond Y Default Event 2030-06-20 54.37000000 USD 0.00000000 USD -2000000.00000000 USD 23576.91000000 N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 4070000.00000000 NC USD 0.21000000 0.000000006182 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A MXN 2025-05-08 4070000.00000000 USD 27.00000000 USD 2025-05-08 XXXX -595.78000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -3653781.03000000 -0.10757184046 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -98067493.13000000 EUR 108021869.43000000 USD 2025-07-22 -3653781.03000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 -6440000.00000000 OU Other USD -22627.27000000 -0.00066617486 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Call Written JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2032-05-29 0.00000000 USD 0.00000000 USD 0.00000000 USD -6440000.00000000 USD 3.30800000 USD 2025-05-27 XXXX -22627.27000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -284115.41000000 -0.00836470968 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 TENET HEALTHCARE CORP Tenet Healthcare Corp Y Default Event 2029-06-20 0.00000000 USD -261210.72000000 USD -1950000.00000000 USD -22904.69000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 10577.58000000 0.000311417060 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 HELLENIC REPUBLIC GOVERNMENT BOND HELLENIC REPUBLIC GOVERNMENT BOND Y Default Event 2027-12-20 9431.36000000 USD 0.00000000 USD 565000.00000000 USD 1146.22000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -396228.39000000 -0.01166545471 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -29426288.92000000 SGD 22196795.83000000 USD 2025-06-18 -396228.39000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -977.19000000 -0.00002876968 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -1720000.00000000 USD 68326140.00000000 TRY 2025-05-27 -977.19000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 20426.51000000 0.000601381762 N/A DCR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 PACIFIC LIFE GLOBAL FUNDING II PACIFIC LIFE GLOBAL FUNDING II Y Default Event 2035-08-20 0.00000000 USD -3.73000000 USD 1000000.00000000 USD 20430.24000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -4312894.21000000 -0.12697694911 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 IHS MARKIT LTD CDX.EM.43.V1 Y Default Event 2030-06-20 0.00000000 USD -32076.74000000 USD 100000000.00000000 USD -4280817.47000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 298536.68000000 0.008789289738 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -11334610.26000000 USD 649620518.00000000 PHP 2025-06-18 298536.68000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -317747.42000000 -0.00935487772 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 EXPAND ENERGY CORP Expand Energy Corp Y Default Event 2029-06-20 0.00000000 USD -305294.07000000 USD -1950000.00000000 USD -12453.35000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -7181.49000000 -0.00021143196 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -2074000.00000000 USD 1814967.80000000 EUR 2025-07-22 -7181.49000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -182482.81000000 -0.00537252001 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -191544190.00000000 TWD 5846000.00000000 USD 2025-06-18 -182482.81000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 -9770000.00000000 OU Other USD -87858.58000000 -0.00258666544 N/A DIR CORP DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP DE US 2032-09-29 0.00000000 USD 0.00000000 USD 0.00000000 USD -9770000.00000000 USD 3.20750000 USD 2025-09-25 XXXX -87858.58000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -212397.09000000 -0.00625323348 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -634818206.00000000 THB 18861121.77000000 USD 2025-06-18 -212397.09000000 N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD -497108.84000000 -0.01463550015 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.HY.44.V1 Y Default Event 2030-06-20 0.00000000 USD -340891.74000000 USD -11830000.00000000 USD -156217.10000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -104177.13000000 -0.00306710378 N/A DCR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 KINGDOM OF MOROCCO Morocco Government International Bond Y Default Event 2027-12-20 0.00000000 USD -104553.60000000 USD -15000000.00000000 USD 376.47000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -4115000.00000000 NC USD -14569.96000000 -0.00042895767 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A BRL 2025-05-22 -4115000.00000000 USD 5.90000000 USD 2025-05-22 XXXX 28686.92000000 N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 -4084000.00000000 NC USD -97563.09000000 -0.00287237824 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Put Written CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A BRL N/A USD 2025-05-08 -4084000.00000000 USD 5.80000000 USD 2025-05-08 XXXX -70885.17000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 2034000.00000000 NC USD 8.35000000 0.000000245834 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A MXN N/A USD 2025-05-20 2034000.00000000 USD 17.50000000 USD 2025-05-20 XXXX 6.32000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 29686.94000000 0.000874020294 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -3747000.00000000 USD 3577338300.00000000 CLP 2025-06-18 29686.94000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -18378.37000000 -0.00054108198 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF INDONESIA REPUBLIC OF INDONESIA Y Default Event 2030-06-20 217.47000000 USD 0.00000000 USD -8000000.00000000 USD -18595.84000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -306296.56000000 -0.00901775022 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 GFL ENVIRONMENTAL INC GFL Environmental Inc Y Default Event 2029-06-20 0.00000000 USD -269234.64000000 USD -1950000.00000000 USD -37061.92000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 113449.23000000 0.003340085892 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 DOMINICAN REPUBLIC Dominican Republic International Bond Y Default Event 2030-06-20 54.37000000 USD 0.00000000 USD -2000000.00000000 USD 113394.86000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 4885000.00000000 OU Other USD 87510.55000000 0.002576419015 N/A DIR CORP DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP DE US 2035-09-29 0.00000000 USD 0.00000000 USD 0.00000000 USD 4885000.00000000 USD 3.53250000 USD 2025-09-25 XXXX 87510.55000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD 13115.89000000 0.000386148051 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -2204762.12000000 USD 795246674.00000000 HUF 2025-07-22 13115.89000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 219358.92000000 0.006458198385 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -4694000.00000000 USD 27917565.00000000 BRL 2025-05-05 219358.92000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 1615.59000000 0.000047564971 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -1430616.90000000 USD 5424513.00000000 PLN 2025-07-22 1615.59000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD 77326.94000000 0.002276600919 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -4581000.00000000 USD 6614964000.00000000 KRW 2025-06-18 77326.94000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -4062000.00000000 NC USD -19002.43000000 -0.00055945508 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A MXN 2025-05-14 -4062000.00000000 USD 19.90000000 USD 2025-05-14 XXXX 63460.23000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 4126000.00000000 NC 19.17000000 0.000000564388 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A EUR N/A CZK 2025-05-15 4126000.00000000 USD 26.50000000 EUR 2025-05-15 XXXX -177.13000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 4130000.00000000 NC USD 284.74000000 0.000008383098 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A ZAR 2025-05-28 4130000.00000000 USD 22.00000000 USD 2025-05-28 XXXX -281.07000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD 9307.21000000 0.000274015793 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 HALLIBURTON CO Halliburton Co Y Default Event 2026-12-20 2858.54000000 USD 0.00000000 USD 910000.00000000 USD 6448.67000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 4148000.00000000 NC USD 192.43000000 0.000005665377 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A ZAR N/A USD 2025-05-28 4148000.00000000 USD 16.80000000 USD 2025-05-28 XXXX 9.92000000 N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 000000000 1.00000000 NC USD 221305.88000000 0.006515519299 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -6470000.00000000 USD 212604200.00000000 TWD 2025-06-18 221305.88000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 -17325000.00000000 OU OTHER USD -80028.17000000 -0.00235612847 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Call Written JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2028-07-29 0.00000000 USD 0.00000000 USD 0.00000000 USD -17325000.00000000 USD 3.04600000 USD 2025-07-25 XXXX -65128.67000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -33795.74000000 -0.00099498845 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF PHILIPPINES Philippine Government International Bond Y Default Event 2030-06-20 81.55000000 USD 0.00000000 USD -3000000.00000000 USD -33877.29000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 4062000.00000000 NC USD 20.10000000 0.000000591768 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A MXN 2025-05-14 4062000.00000000 USD 24.00000000 USD 2025-05-14 XXXX -394.22000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 566695.63000000 0.016684221469 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF SOUTH AFRICA REPUBLIC OF SOUTH AFRICA Y Default Event 2030-06-20 244.65000000 USD 0.00000000 USD -9000000.00000000 USD 566450.98000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 4054000.00000000 NC USD 1.80000000 0.000000052994 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A BRL 2025-05-08 4054000.00000000 USD 7.20000000 USD 2025-05-08 XXXX -427.92000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 3579000.00000000 NC 143.42000000 0.000004222462 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A EUR N/A MXN 2025-05-22 3579000.00000000 USD 27.00000000 EUR 2025-05-22 XXXX -542.61000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD 5726.51000000 0.000168595549 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 VERIZON COMMUNICATIONS Verizon Communications Inc Y Default Event 2026-06-20 3243.97000000 USD 0.00000000 USD 680000.00000000 USD 2482.54000000 N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 4084000.00000000 NC USD 21.47000000 0.000000632103 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A BRL N/A USD 2025-05-08 4084000.00000000 USD 5.20000000 USD 2025-05-08 XXXX -94.36000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD 33027.42000000 0.000972368164 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -1916192000.00000000 CLP 2056000.00000000 USD 2025-06-18 33027.42000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 4110000.00000000 NC USD 54.47000000 0.000001603664 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A KRW 2025-05-23 4110000.00000000 USD 1600.00000000 USD 2025-05-23 XXXX -52.39000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 664341.95000000 0.019559050111 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -21378267.29000000 USD 1871902462.00000000 INR 2025-06-18 664341.95000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 17325000.00000000 OU OTHER USD 57885.43000000 0.001704218777 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2028-07-29 0.00000000 USD 0.00000000 USD 0.00000000 USD 17325000.00000000 USD 2.89600000 USD 2025-07-25 XXXX 57885.43000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -4130000.00000000 NC USD -226.79000000 -0.00000667697 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A TRY 2025-05-02 -4130000.00000000 USD 40.00000000 USD 2025-05-02 XXXX 62796.76000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 12661000.00000000 NC USD 66.55000000 0.000001959314 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A BRL N/A USD 2025-05-08 12661000.00000000 USD 5.20000000 USD 2025-05-08 XXXX -60.06000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 52099.20000000 0.001533864997 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -20595086.99000000 USD 118184906.72000000 BRL 2025-06-03 52099.20000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 456774.28000000 0.013448000735 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ARAB REPUBLIC OF EGYPT Egypt Government International Bond Y Default Event 2030-06-20 54.37000000 USD 0.00000000 USD -2000000.00000000 USD 456719.91000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 320019.32000000 0.009421765276 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 IVORY COAST IVORY COAST Y Default Event 2030-06-20 54.37000000 USD 0.00000000 USD -2000000.00000000 USD 319964.95000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 25541.83000000 0.000751983120 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 OMAN GOVERNMENT INTERNATIONAL BOND OMAN GOVERNMENT INTERNATIONAL BOND Y Default Event 2030-06-20 54.37000000 USD 0.00000000 USD -2000000.00000000 USD 25487.46000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 5110.20000000 0.000150450619 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SPAIN GOVERNMENT INTERNATIONAL BOND SPAIN GOVERNMENT INTERNATIONAL BOND Y Default Event 2025-06-20 2721.84000000 USD 0.00000000 USD 2070000.00000000 USD 2388.36000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 6142000.00000000 NC USD 939.94000000 0.000027672998 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A INR N/A USD 2026-01-08 6142000.00000000 USD 75.00000000 USD 2026-01-08 XXXX 818.14000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 578210.41000000 0.017023230858 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF ARGENTINA Argentine Republic Government International Bond Y Default Event 2030-06-20 54.37000000 USD 0.00000000 USD -2000000.00000000 USD 578156.04000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -2065000.00000000 NC USD -14264.96000000 -0.00041997809 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A TRY 2025-05-27 -2065000.00000000 USD 41.50000000 USD 2025-05-27 XXXX 6178.54000000 N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 000000000 1.00000000 NC USD 1672.96000000 0.000049254015 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -18636803.91000000 PEN 5077000.00000000 USD 2025-06-18 1672.96000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -12661000.00000000 NC USD -1175492.82000000 -0.03460796502 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A BRL N/A USD 2025-05-08 -12661000.00000000 USD 6.20000000 USD 2025-05-08 XXXX -675079.46000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -349105.36000000 -0.01027809433 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 UBER TECHNOLOGIES INC Uber Technologies Inc Y Default Event 2029-06-20 0.00000000 USD -291214.85000000 USD -1950000.00000000 USD -57890.51000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -216141.46000000 -0.00636347237 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -9468286.51000000 USD 39374816286.00000000 COP 2025-06-18 -216141.46000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 16748.51000000 0.000493096885 N/A DCR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 CITIGROUP INC Citigroup Inc Y Default Event 2025-12-20 14101.76000000 USD 0.00000000 USD 3030000.00000000 USD 2646.75000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 122189.78000000 0.003597418513 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BAHRAIN GOVERNMENT INTERNATIONAL BOND BAHRAIN GOVERNMENT INTERNATIONAL BOND Y Default Event 2030-06-20 54.37000000 USD 0.00000000 USD -2000000.00000000 USD 122135.41000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -54050000.00000000 OU OTHER USD -22073.79000000 -0.00064987972 N/A DCR CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DCR CORP US IHS MARKIT LTD CDX.NA.IG.43.V1 Default Event 2029-12-20 0.00000000 USD 0.00000000 USD N/A N/A -54050000.00000000 USD 75.00000000 USD 2025-05-21 XXXX 28192.71000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -770.00000000 NC USD -1543618.80000000 -0.04544604997 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2025-06-18 -84864818.70000000 USD -1543618.80000000 N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 -11200000.00000000 OU OTHER USD -35338.95000000 -0.00104042247 N/A DCR CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Put Written CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DCR CORP US IHS MARKIT LTD CDX.NA.HY.44.V1 Default Event 2030-06-20 0.00000000 USD 0.00000000 USD N/A N/A -11200000.00000000 USD 98.00000000 USD 2025-06-18 XXXX 44741.05000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -93661.72000000 -0.00275751708 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 LINCOLN NATIONAL CORP LINCOLN NATIONAL CORP Y Default Event 2029-12-20 0.00000000 USD -97832.83000000 USD 5300000.00000000 USD 4171.11000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -13730000.00000000 NC USD -318182.21000000 -0.00936767848 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A INR N/A USD 2026-01-08 -13730000.00000000 USD 87.00000000 USD 2026-01-08 XXXX -211712.00000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -7376000.00000000 NC -79703.59000000 -0.00234657244 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A EUR N/A TRY 2025-05-27 -7376000.00000000 USD 47.00000000 EUR 2025-05-27 XXXX 23159.01000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -902.00000000 NC USD -1154286.92000000 -0.03398363705 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2025-06-18 -108015900.58000000 USD -1154286.92000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -851.29000000 -0.00002506303 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF PERU Peruvian Government International Bond Y Default Event 2030-06-20 81.55000000 USD 0.00000000 USD -3000000.00000000 USD -932.84000000 N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 1.00000000 NC USD 10587.31000000 0.000311703523 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -3897580.09000000 EUR 16850408.00000000 PLN 2025-07-22 10587.31000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 8869.51000000 0.000261129363 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ITALY GOV'T INT BOND Republic of Italy Government International Bond Y Default Event 2025-06-20 4756.59000000 USD 0.00000000 USD 3620000.00000000 USD 4112.92000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 4130000.00000000 NC USD 0.00000000 0.000000 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A TRY 2025-05-02 4130000.00000000 USD 70.00000000 USD 2025-05-02 XXXX -318.82000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -16003000.00000000 NC -16023.65000000 -0.00047175610 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A EUR N/A USD 2025-05-05 -16003000.00000000 USD 1.15000000 EUR 2025-05-05 XXXX 1201.98000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 83747.44000000 0.002465628394 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -4000000.00000000 USD 346800000.00000000 INR 2025-06-18 83747.44000000 N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -247.00000000 NC -201484.96000000 -0.00593196685 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESOBLIGATION Bundesobligation 2025-06-06 -30545583.43000000 USD -201484.96000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -292536.81000000 -0.00861264613 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 MEDLINE BORROWER LP Medline Borrower LP Y Default Event 2029-06-20 0.00000000 USD -241422.73000000 USD -1950000.00000000 USD -51114.08000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -325344.76000000 -0.00957855282 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 EQM MIDSTREAM PARTNERS L EQM Midstream Partners LP Y Default Event 2029-06-20 0.00000000 USD -292861.53000000 USD -1950000.00000000 USD -32483.23000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD 126267.99000000 0.003717486068 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 GENERAL MOTORS CO GENERAL MOTORS CO Y Default Event 2026-06-20 98897.49000000 USD 0.00000000 USD 2230000.00000000 USD 27370.50000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 17084.73000000 0.000502995618 N/A DCR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 MORGAN STANLEY Morgan Stanley Y Default Event 2025-12-20 13909.78000000 USD 0.00000000 USD 3030000.00000000 USD 3174.95000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 -56090000.00000000 OU OTHER USD -36616.87000000 -0.00107804602 N/A DCR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Put Written JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DCR CORP US IHS MARKIT LTD CDX.NA.IG.44.V1 Default Event 2030-06-20 0.00000000 USD 0.00000000 USD N/A N/A -56090000.00000000 USD 77.50000000 USD 2025-05-21 XXXX 8816.03000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 2065000.00000000 NC USD 1219.92000000 0.000035915956 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A TRY 2025-05-27 2065000.00000000 USD 75.00000000 USD 2025-05-27 XXXX 1178.62000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 6617000.00000000 NC USD 0.30000000 0.000000008832 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A CNY N/A USD 2025-05-08 6617000.00000000 USD 6.10000000 USD 2025-05-08 XXXX -46.88000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -43370.13000000 -0.00127687036 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SAUDI INTERNATIONAL BOND SAUDI INTERNATIONAL BOND Y Default Event 2030-06-20 135.92000000 USD 0.00000000 USD -5000000.00000000 USD -43506.05000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -347578.13000000 -0.01023313078 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 FRONTIER COMMUNICATIONS Frontier Communications Holdings LLC Y Default Event 2029-06-20 0.00000000 USD -68510.65000000 USD -1950000.00000000 USD -279067.48000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -11007.69000000 -0.00032408003 N/A DCR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 SOFTBANK GROUP CORP SOFTBANK GROUP CORP Y Default Event 2026-06-20 0.00000000 USD -16331.48000000 USD 2915000.00000000 USD 5323.79000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -4069000.00000000 NC USD -46517.39000000 -0.00136952959 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A KRW 2025-05-19 -4069000.00000000 USD 1420.00000000 USD 2025-05-19 XXXX -11483.30000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -1999.98000000 -0.00005888188 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -25434507.84000000 ZAR 1360000.00000000 USD 2025-06-18 -1999.98000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 -4062000.00000000 NC USD -73581.81000000 -0.00216633965 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 Put Written HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A BRL N/A USD 2025-05-14 -4062000.00000000 USD 5.75000000 USD 2025-05-14 XXXX -46687.31000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -182.00000000 NC USD -70525.00000000 -0.00207634337 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-17 0.00000000 USD 2500.00000000 96.25000000 USD 2025-12-12 XXXX 43903.79000000 N N N THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 000000000 1.00000000 NC USD 404739.02000000 0.011916018210 N/A DFE CORP US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 -99095848.00000000 EUR 113251442.15000000 USD 2025-07-22 404739.02000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 21318000.00000000 NC USD 3262.40000000 0.000096049098 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A INR N/A USD 2026-01-08 21318000.00000000 USD 75.00000000 USD 2026-01-08 XXXX 3057.47000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -2777.57000000 -0.00008177510 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 NORWEGIAN GOVERNMENT NORWEGIAN GOVERNMENT Y Default Event 2025-12-20 0.00000000 USD -3158.34000000 USD 10000000.00000000 USD 380.77000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -3130.53000000 -0.00009216668 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ISRAEL ELECTRIC CORP LTD Israel Electric Corp Ltd Y Default Event 2028-09-20 49332.74000000 USD 0.00000000 USD -3000000.00000000 USD -52463.27000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 000000000 -10880000.00000000 OU OTHER USD -33730.17000000 -0.00099305799 N/A DCR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Written GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 000000000 0.00000000 NC USD 0.00000000 0.00000000 DCR CORP US IHS MARKIT LTD CDX.NA.HY.43.V1 Default Event 2029-12-20 0.00000000 USD 0.00000000 USD N/A N/A -10880000.00000000 USD 102.00000000 USD 2025-05-21 XXXX 6525.83000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -775.00000000 NC USD -1367422.43000000 -0.04025861054 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2025-06-18 -87551722.07000000 USD -1367422.43000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 4130000.00000000 NC USD 0.02000000 0.000000000588 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A BRL N/A USD 2025-05-05 4130000.00000000 USD 5.00000000 USD 2025-05-05 XXXX -15.92000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 7376000.00000000 NC 3748.47000000 0.000110359601 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A EUR N/A TRY 2025-05-27 7376000.00000000 USD 80.00000000 EUR 2025-05-27 XXXX 2163.71000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -170585.19000000 -0.00502223934 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 China Government International Bond CHINA GOVT INTL BOND Y Default Event 2030-06-20 244.65000000 USD 0.00000000 USD -9000000.00000000 USD -170829.84000000 N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -253.00000000 NC -146392.33000000 -0.00430997157 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESSCHATZANWEISUNGEN BUNDESSCHATZANWEISUNGEN 2025-06-06 -28169424.60000000 USD -146392.33000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 64006.37000000 0.001884426835 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -3903000.00000000 USD 65785065000.00000000 IDR 2025-06-18 64006.37000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 4115000.00000000 NC USD 132.94000000 0.000003913918 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A BRL 2025-05-22 4115000.00000000 USD 7.00000000 USD 2025-05-22 XXXX -360.86000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD 44484.41000000 0.001309676145 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -1884501000.00000000 CLP 2034000.00000000 USD 2025-06-18 44484.41000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 4062000.00000000 NC USD 11.75000000 0.000000345934 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A COP 2025-05-14 4062000.00000000 USD 5200.00000000 USD 2025-05-14 XXXX -211.66000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -110535.11000000 -0.00325429058 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -7691181.63000000 USD 141563889.00000000 ZAR 2025-06-18 -110535.11000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -306333.87000000 -0.00901884867 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 ADT SEC CORP ADT Security Corp/The Y Default Event 2029-06-20 0.00000000 USD -255631.13000000 USD -1950000.00000000 USD -50702.74000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 8201000.00000000 NC 83.16000000 0.000002448333 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A EUR N/A TRY 2025-05-06 8201000.00000000 USD 70.00000000 EUR 2025-05-06 XXXX -2348.30000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 13730000.00000000 NC USD 48971.11000000 0.001441770152 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A INR 2026-01-08 13730000.00000000 USD 91.00000000 USD 2026-01-08 XXXX -49375.63000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -1096271.79000000 -0.03227559975 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -1250264080.00000000 TWD 38253371.31000000 USD 2025-06-18 -1096271.79000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 504811.49000000 0.014862275714 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF COLOMBIA Colombia Government International Bond Y Default Event 2030-06-20 190.28000000 USD 0.00000000 USD -7000000.00000000 USD 504621.21000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -4130000.00000000 NC USD -29209.85000000 -0.00085997417 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A ZAR 2025-05-28 -4130000.00000000 USD 19.00000000 USD 2025-05-28 XXXX 10396.85000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -260083.84000000 -0.00765719048 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -37055172060.00000000 COP 8447000.00000000 USD 2025-06-18 -260083.84000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 58298.52000000 0.001716380659 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -3133032470.00000000 CLP 3365920.51000000 USD 2025-06-18 58298.52000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -147939.70000000 -0.00435552806 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 VENTURE GLOBAL LNG INC Venture Global LNG Inc Y Default Event 2029-06-20 0.00000000 USD -199974.21000000 USD -1950000.00000000 USD 52034.51000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 110246.13000000 0.003245782659 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF PANAMA Panama Government International Bond Y Default Event 2030-06-20 54.37000000 USD 0.00000000 USD -2000000.00000000 USD 110191.76000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -4110000.00000000 NC USD -29135.72000000 -0.00085779169 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A KRW 2025-05-23 -4110000.00000000 USD 1435.00000000 USD 2025-05-23 XXXX 12173.89000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -4252.00000000 NC USD -7665076.06000000 -0.22566933604 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2025-06-30 -456633382.06000000 USD -7665076.06000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD 53295.90000000 0.001569097328 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -9910382460.00000000 COP 2382000.00000000 USD 2025-06-18 53295.90000000 N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 -4110000.00000000 NC USD -20732.98000000 -0.00061040461 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Call Written CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A BRL 2025-05-23 -4110000.00000000 USD 5.85000000 USD 2025-05-23 XXXX 11816.18000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -4126000.00000000 NC -7935.74000000 -0.00023363801 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A EUR N/A CZK 2025-05-15 -4126000.00000000 USD 25.07500000 EUR 2025-05-15 XXXX 15405.88000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -272594.57000000 -0.00802552187 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 GENWORTH HOLDINGS INC Genworth Holdings Inc Y Default Event 2029-06-20 0.00000000 USD -266017.55000000 USD -1950000.00000000 USD -6577.02000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 2035000.00000000 NC USD 0.28000000 0.000000008243 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A BRL 2025-05-08 2035000.00000000 USD 7.60000000 USD 2025-05-08 XXXX -48.04000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 471875.76000000 0.013892607016 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -13038110.56000000 USD 1147295058.00000000 INR 2025-06-18 471875.76000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -149465.91000000 -0.00440046157 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 WEATHERFORD INTERNATIONA Weatherford International Ltd Y Default Event 2029-06-20 0.00000000 USD -278133.62000000 USD -1950000.00000000 USD 128667.71000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 486.00000000 NC USD 337357.80000000 0.009932231610 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2025-06-18 56342392.20000000 USD 337357.80000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 9041.80000000 0.000266201794 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2026000.00000000 USD 64659790.00000000 TWD 2025-06-18 9041.80000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 461334.74000000 0.013582266328 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF NIGERIA Nigeria Government International Bond Y Default Event 2030-06-20 54.37000000 USD 0.00000000 USD -2000000.00000000 USD 461280.37000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -4130000.00000000 NC USD -1614.28000000 -0.00004752640 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A BRL N/A USD 2025-05-05 -4130000.00000000 USD 5.55000000 USD 2025-05-05 XXXX 28696.37000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -3847.00000000 -0.00011326044 N/A DCR CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 PETROLEOS MEXICANOS Petroleos Mexicanos Y Default Event 2025-06-20 0.00000000 USD -918.64000000 USD 1230000.00000000 USD -2928.36000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 17682.87000000 0.000520605601 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -2582000.00000000 USD 368230122.00000000 JPY 2025-07-22 17682.87000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -3698.00000000 NC USD -5519095.10000000 -0.16248899776 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2025-06-30 -764213828.64000000 USD -5519095.10000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -4062000.00000000 NC USD -61745.75000000 -0.00181787138 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A COP 2025-05-14 -4062000.00000000 USD 4200.00000000 USD 2025-05-14 XXXX 52038.99000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -334876.21000000 -0.00985917052 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SAFEWAY INC Safeway Inc Y Default Event 2029-06-20 0.00000000 USD -305294.07000000 USD -1950000.00000000 USD -29582.14000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 2815.11000000 0.000082880326 N/A DCR CORP US N 3 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 CANADIAN IMPERIAL BANK Canadian Imperial Bank of Commerce Y Default Event 2028-06-20 0.00000000 USD 0.00000000 USD 665000.00000000 USD 2815.11000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 292484.89000000 0.008611117543 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -12520000.00000000 USD 407093645.00000000 TWD 2025-06-18 292484.89000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -34725.71000000 -0.00102236792 N/A DCR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 KINGDOM OF MOROCCO Morocco Government International Bond Y Default Event 2027-12-20 0.00000000 USD -34851.20000000 USD -5000000.00000000 USD 125.49000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -31941.32000000 -0.00094039203 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 REPUBLIC OF SOUTH AFRICA Republic of South Africa Government International Bond Y Default Event 2026-06-20 68403.88000000 USD 0.00000000 USD -20000000.00000000 USD -100345.20000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 214424.89000000 0.006312934428 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ROMANIA Romanian Government International Bond Y Default Event 2029-12-20 162431.19000000 USD 0.00000000 USD -4500000.00000000 EUR 51993.70000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 24673000.00000000 NC USD 724.36000000 0.000021326055 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A CNY N/A USD 2025-06-26 24673000.00000000 USD 6.50000000 USD 2025-06-26 XXXX 576.32000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -56.00000000 NC USD 18446.97000000 0.000543101652 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-09-16 -13446546.97000000 USD 18446.97000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 53256.05000000 0.001567924094 N/A DE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Y Performance Leg 2025-09-19 0.00000000 USD 0.00000000 USD -2943587.63000000 USD 53256.05000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC USD 932412.01000000 0.027451364810 N/A DE CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Custom Equity Basket TRSBENCH23_INDEX Custom Equity Basket ALTRIA GRP INC 3625764.00000000 USD 2494255.00000000 USD AMAZONCOM INC 3625764.00000000 USD 2496654.00000000 USD BANK OF AMER CORP 3625764.00000000 USD 2813822.00000000 USD BAT CAP CORP 3625764.00000000 USD 2524665.00000000 USD BECTON DICKINSON & CO 3625764.00000000 USD 2735133.00000000 USD BRISTOL MYERS SQUIBB CO 3625764.00000000 USD 3050866.00000000 USD CATERPILLAR INC 3625764.00000000 USD 2507454.00000000 USD CIGNA CORP 3625764.00000000 USD 3191692.00000000 USD CONAGRA BRANDS INC 3625764.00000000 USD 3312880.00000000 USD DEERE & CO 3625764.00000000 USD 2795284.00000000 USD DOLLAR GEN CORP 3625764.00000000 USD 2650033.00000000 USD DUKE ENERGY CORP 3625764.00000000 USD 2459260.00000000 USD EBAY INC 3625764.00000000 USD 2603521.00000000 USD ELI LILLY & CO 3625764.00000000 USD 2921770.00000000 USD ENTERGY CORP 3625764.00000000 USD 2565611.00000000 USD ENTERPRISE PRODUCTS OPERATING LLC 3625764.00000000 USD 2837632.00000000 USD EQUINOR ASA 3625764.00000000 USD 2675337.00000000 USD EXXON MOBIL CORP 3625764.00000000 USD 2986541.00000000 USD FEDEX CORP 3625764.00000000 USD 3192791.00000000 USD FISERV INC 3625764.00000000 USD 2901735.00000000 USD FOX CORP 3625764.00000000 USD 3358305.00000000 USD GLOBAL PAYMENTS INC 3625764.00000000 USD 2617199.00000000 USD HCA INC 3625764.00000000 USD 3215743.00000000 USD HUMANA INC 3625764.00000000 USD 2606154.00000000 USD INTEL CORP 3625764.00000000 USD 2857672.00000000 USD JOHNSON & JOHNSON 3625764.00000000 USD 2910110.00000000 USD KEURIG DR PEPPER INC 3625764.00000000 USD 3247245.00000000 USD MASTERCARD INC 3625764.00000000 USD 2847545.00000000 USD MCDONALDS CORP 3625764.00000000 USD 2862303.00000000 USD MORGAN STANLEY 3625764.00000000 USD 3533628.00000000 USD NIKE INC 3625764.00000000 USD 2528672.00000000 USD NORTHROP GRUMMAN CORP 3625764.00000000 USD 3443253.00000000 USD NVIDIA CORP 3625764.00000000 USD 2693358.00000000 USD ORACLE CORP 3625764.00000000 USD 2625295.00000000 USD PARAMOUNT GLOBAL 3625764.00000000 USD 2747858.00000000 USD PROGRESSIVE CORP 3625764.00000000 USD 2815655.00000000 USD ROGERS COMMS INC 3625764.00000000 USD 2605933.00000000 USD STARBUCKS CORP 3625764.00000000 USD 2494462.00000000 USD SYSCO CORP 3625764.00000000 USD 3857450.00000000 USD T MOBILE USA INC 3625764.00000000 USD 2947363.00000000 USD TELEFONICA EMISIONES SAU 3625764.00000000 USD 3328973.00000000 USD THERMO FISHER SCIENTIFIC INC 3625764.00000000 USD 2936630.00000000 USD UNION ELEC CO ESG 3625764.00000000 USD 2736677.00000000 USD UNION PACIFIC CORP 3625764.00000000 USD 2498190.00000000 USD UNITED PARCEL SVC INC 3625764.00000000 USD 3397726.00000000 USD VERIZON COMMS INC 3625764.00000000 USD 2569849.00000000 USD VODAFONE GRP PLC 3625764.00000000 USD 2767164.00000000 USD WALGREENS BOOTS ALLIANCE INC 3625764.00000000 USD 3173655.00000000 USD WALT DISNEY CO 3625764.00000000 USD 3198853.00000000 USD WELLS FARGO & CO 3625764.00000000 USD 3197532.00000000 USD Y Performance Leg 2025-09-19 0.00000000 USD 0.00000000 USD -53916341.84000000 USD 932412.01000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -198087.85000000 -0.00583195172 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2026-09-25 2236.23000000 USD 0.00000000 USD -12090000.00000000 USD -200324.08000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -341379.11000000 -0.01005062395 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2052-11-15 0.00000000 USD 0.00000000 USD -24771000.00000000 USD -341379.11000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 298326.67000000 0.008783106784 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2031-05-08 0.00000000 USD -30881.61000000 USD -1340000.00000000 GBP 329208.28000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 8711.17000000 0.000256467637 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -216338321.00000000 JPY 1348873.00000000 EUR 2025-07-22 8711.17000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 184293.87000000 0.005425839868 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2026-05-08 0.00000000 USD -28953.30000000 USD -2090000.00000000 GBP 213247.17000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 25143.99000000 0.000740270218 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2054-12-20 0.00000000 USD 0.00000000 USD -31500000.00000000 USD 25143.99000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 1502157.12000000 0.044225366748 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-05-11 1776547.73000000 USD 0.00000000 USD -16000000.00000000 USD -274390.61000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 1833095.48000000 0.053968602091 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-05-08 1652770.24000000 USD 0.00000000 USD -15780000.00000000 GBP 180325.24000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -264141.44000000 -0.00777665125 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-05-13 0.00000000 USD 0.00000000 USD -110000000.00000000 USD -264141.44000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 707183.60000000 0.020820361367 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2054-12-14 624695.05000000 USD 0.00000000 USD -42715000.00000000 USD 82488.55000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -7170.66000000 -0.00021111311 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-05-07 0.00000000 USD 0.00000000 USD 246380000.00000000 USD -7170.66000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -753344.96000000 -0.02217940899 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2055-01-15 0.00000000 USD -252470.60000000 USD -13780000.00000000 USD -500874.36000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 139127.32000000 0.004096080676 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2054-12-16 53717.14000000 USD 0.00000000 USD -6930000.00000000 USD 85410.18000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC USD -34415.81000000 -0.00101324408 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 IBOXX IG INDEX IBOXX IG INDEX Y Performance Leg 2025-09-22 0.00000000 USD 0.00000000 USD -17440000.00000000 USD -34415.81000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -115046.18000000 -0.00338710207 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CLEVELAND-CLIFFS INC Cleveland-Cliffs Inc Y Default Event 2029-06-20 0.00000000 USD -212835.30000000 USD -1950000.00000000 USD 97789.12000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -65511.28000000 -0.00192873325 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-08-31 0.00000000 USD 0.00000000 USD -24570000.00000000 USD -65511.28000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC USD -343521.57000000 -0.01011370063 N/A DFE CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 -4500000.00000000 EUR 4882950.00000000 USD 2029-09-27 -343521.57000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC USD -1683995.74000000 -0.04957892101 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 IBOXX IG INDEX IBOXX IG INDEX Y Performance Leg 2025-06-20 0.00000000 USD 0.00000000 USD -88430000.00000000 USD -1683995.74000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 1580780.62000000 0.046540140001 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2054-05-11 1540576.13000000 USD 0.00000000 USD -3375000.00000000 USD 40204.49000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -69603.61000000 -0.00204921651 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-12-15 0.00000000 USD 0.00000000 USD -10000000.00000000 USD -69603.61000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -98766.97000000 -0.00290782196 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2049-12-16 0.00000000 USD -55686.18000000 USD 7820000.00000000 USD -43080.79000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 549266.29000000 0.016171080105 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2044-12-20 0.00000000 USD 0.00000000 USD 41330000.00000000 USD 549266.29000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -375499.43000000 -0.01105516845 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2026-05-13 0.00000000 USD 0.00000000 USD -45000000.00000000 USD -375499.43000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -2471469.22000000 -0.07276311592 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2029-01-28 0.00000000 USD 0.00000000 USD -91780000.00000000 USD -2471469.22000000 N N N NAVIENT CORP 54930067J0ZNOEBRW338 63938CAH1 575000.00000000 PA USD 575749.38000000 0.016950775086 Long DBT CORP US N 2 2025-06-25 Fixed 6.75000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 4067000.00000000 NC USD 3385.18000000 0.000099663893 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A TRY 2025-05-19 4067000.00000000 USD 65.00000000 USD 2025-05-19 XXXX 2584.67000000 N N N Laurel Road Prime Student Loan N/A 51889RAD1 1310175.12200000 PA USD 401479.74000000 0.011820060969 Long ABS-O CORP US N 2 2048-10-25 None 0.00000000 N N N N N N DIVERSIFIED HEALTHCARE T N/A 81721MAM1 25000.00000000 PA USD 22368.82000000 0.000658565775 Long DBT CORP US N 2 2028-02-15 Fixed 4.75000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CS9 1050000.00000000 PA USD 940651.71000000 0.027693951786 Long DBT CORP US N 2 2032-02-15 Fixed 3.87500000 N N N N N ISRAEL ELECTRIC CORP LTD 254900JW7GE35YNJGJ55 465077AL9 3000000.00000000 PA USD 2908440.00000000 0.085628077085 Long DBT CORP IL Y 2 2028-08-14 Fixed 4.25000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95003PAJ0 2900000.00000000 PA USD 2883049.50000000 0.084880549307 Long ABS-MBS CORP US N 2 2035-07-15 Variable 7.82677700 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AU8 660000.00000000 PA USD 665733.73000000 0.019600025838 Long DBT CORP US N 2 2032-02-15 Fixed 6.25000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQD37 1811319.12000000 PA USD 1853354.38000000 0.054565049207 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 6.00000000 N N N N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CH5 730000.00000000 PA USD 722781.48000000 0.021279582279 Long DBT CORP US N 2 2032-10-15 Fixed 5.75000000 N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179W2W7 1077747.96000000 PA USD 981266.24000000 0.028889693870 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.50000000 N N N N N N Tikehau US CLO Ltd 254900B2V9LYKTKKHF52 88675YAA2 13250000.00000000 PA USD 13279156.63000000 0.390954823736 Long ABS-CBDO CORP BM N 2 2036-01-15 Floating 6.20610000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 8140000.00000000 NC USD 0.48000000 0.000000014131 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 Call Purchased HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A COP 2025-05-08 8140000.00000000 USD 5500.00000000 USD 2025-05-08 XXXX -146.04000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EL57 906292.11000000 PA USD 922314.08000000 0.027154069239 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6.00000000 N N N N N N NMLT Trust N/A 62916TAD1 578000.00000000 PA USD 578084.56000000 0.017019525679 Long ABS-MBS CORP US N 2 2070-02-25 Variable 6.31400000 N N N N N N BX Trust N/A 05593VAL7 5020000.00000000 PA USD 4838200.70000000 0.142442623020 Long ABS-MBS CORP US N 2 2030-03-15 Floating 6.31450000 N N N N N N Palmer Square European CLO 2549005G74H3SLK9WL32 000000000 15000000.00000000 PA 16850248.80000000 0.496092201717 Long ABS-CBDO CORP IE N 2 2039-10-15 Floating 3.80300000 N N N N N N BANGKOK BANK PCL/HK 549300CCL2BKJGMYXV60 059895AV4 945000.00000000 PA USD 830428.20000000 0.024448835088 Long DBT CORP TH N 2 2036-09-23 Fixed 3.46600000 N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 937000.00000000 PA USD 962299.00000000 0.028331274824 Long DBT NUSS RS N 2 2028-05-26 Fixed 6.25000000 N N N N N N ICG Euro CLO 5493000GNZH2JWC7EQ58 000000000 6000000.00000000 PA 6814723.52000000 0.200633903704 Long ABS-CBDO CORP IE N 2 2038-01-26 Floating 3.89100000 N N N N N N European Loan Conduit 635400BIYQM1LPPW1N05 000000000 9316824.05000000 PA 12385639.08000000 0.364648560018 Long ABS-MBS CORP IE N 2 2029-01-23 Floating 6.45261000 N N N N N N Radnor Re LTD 254900P3K895250PCC81 75050KAA4 483403.66000000 PA USD 486050.15000000 0.014309918620 Long ABS-MBS CORP BM N 2 2033-07-25 Floating 7.05369000 N N N N N N Atlas Static Senior Loan Fund N/A 04942PAJ6 1661218.61000000 PA USD 1661218.61000000 0.048908334087 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.00610000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD 18909.27000000 0.000556712336 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SIMON PROPERTY GROUP LP SIMON PROPERTY GROUP LP Y Default Event 2026-06-20 5230.08000000 USD 0.00000000 USD 1980000.00000000 USD 13679.19000000 N N N NMLT Trust N/A 62916TAB5 795446.19000000 PA USD 798704.74000000 0.023514857121 Long ABS-MBS CORP US N 2 2070-02-25 Variable 5.70800000 N N N N N N MHC Commercial Mortgage Trust N/A 55316VAL8 5260866.40000000 PA USD 5221409.90000000 0.153724776654 Long ABS-MBS CORP US N 2 2038-04-15 Floating 7.03744200 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EKV1 22928965.47000000 PA USD 23017950.72000000 0.677676987873 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XEX0 2355000.00000000 PA USD 2379727.11000000 0.070062114541 Long DBT CORP US N 2 2027-07-15 Fixed 5.35000000 N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F042657 -5000000.00000000 PA USD -4781251.55000000 -0.14076596948 Short ABS-MBS USGSE US N 2 2055-05-15 Fixed 4.50000000 N N N N N N TFS_18-3-A1 N/A 000000000 3378663.87000000 PA 2851501.93000000 0.083951749760 Long ABS-MBS CORP LU N 3 2026-03-15 Floating 0.01000000 N N N N N N AGL CLO Ltd. 549300U1G1VA46DEO184 001207AQ2 19500000.00000000 PA USD 19500000.00000000 0.574104160022 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.79947000 N N N N N N NMLT Trust N/A 62916TAC3 1365897.58000000 PA USD 1370197.56000000 0.040340313807 Long ABS-MBS CORP US N 2 2070-02-25 Variable 5.86000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AM0 615000.00000000 PA USD 614833.15000000 0.018101449699 Long DBT CORP CH N 2 2026-05-12 Fixed 4.48800000 N N N N N N BX Trust N/A 05612FAA3 5600000.00000000 PA USD 5614852.88000000 0.165308225452 Long ABS-MBS CORP US N 2 2041-03-15 Floating 6.41186000 N N N N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 12970000.00000000 OU Other USD 17057.71000000 0.000502200116 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Put Purchased JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2030-08-25 0.00000000 USD 0.00000000 USD 0.00000000 USD 12970000.00000000 USD 4.21200000 USD 2025-08-21 XXXX 17057.71000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -4054000.00000000 NC USD -554.87000000 -0.00001633606 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A BRL 2025-05-08 -4054000.00000000 USD 6.05000000 USD 2025-05-08 XXXX 36895.98000000 N N N VIKING CRUISES LTD 549300IJP90T4MV2GL84 92676XAD9 575000.00000000 PA USD 573562.50000000 0.016886390629 Long DBT CORP BM N 2 2027-09-15 Fixed 5.87500000 N N N N N N Arbour CLO 635400DBGXHI7ZJXYU29 000000000 5000000.00000000 PA 5562937.53000000 0.163779773226 Long ABS-CBDO CORP IE N 2 2034-04-15 Floating 3.57900000 N N N N N N Chase Funding Mortgage Loan As N/A 161546DB9 213530.07000000 PA USD 209447.38000000 0.006166390367 Long ABS-O CORP US N 2 2032-08-25 Floating 5.08109000 N N N N N N Rad CLO Ltd N/A 750104AA9 7000000.00000000 PA USD 7011125.80000000 0.206416230165 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 6.27238000 N N N N N N BENCHMARK Mortgage Trust N/A 08163VAD9 50577382.81000000 PA USD 1211459.82000000 0.035666878069 Long ABS-MBS CORP US N 2 2056-07-15 Variable 1.05290400 N N N N N N FRONTIER COMMUNICATIONS N/A 35908MAD2 2000000.00000000 PA USD 2093256.35000000 0.061628060437 Long DBT CORP US N 2 2030-05-15 Fixed 8.75000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 5370000.00000000 PA 5619544.91000000 0.165446364628 Long DBT CORP MX N 2 2027-04-21 Fixed 2.75000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397D83 1035000.00000000 PA USD 1029480.82000000 0.030309190842 Long DBT CORP US N 2 2027-03-05 Fixed 5.80000000 N N N N N N NMLT Trust N/A 62916TAA7 7097291.44000000 PA USD 7123930.41000000 0.209737337645 Long ABS-MBS CORP US N 2 2070-02-25 Variable 5.50600000 N N N N N N ADAPTHEALTH LLC N/A 00653VAA9 725000.00000000 PA USD 703640.51000000 0.020716048407 Long DBT CORP US N 2 2028-08-01 Fixed 6.12500000 N N N N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 000000000 1.00000000 NC USD -11641.47000000 -0.00034273930 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -5008242.88000000 USD 707739843.00000000 JPY 2025-07-22 -11641.47000000 N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAF8 5290000.00000000 PA USD 4533978.45000000 0.133485943056 Long DBT CORP US N 2 N/A Fixed 9.00000000 N N N N N RHP HOTEL PPTY/RHP FINAN N/A 749571AK1 975000.00000000 PA USD 972440.21000000 0.028629844611 Long DBT CORP US N 2 2032-04-01 Fixed 6.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08164BAD2 13330000.00000000 PA USD 13842207.92000000 0.407531751321 Long ABS-MBS CORP US N 2 2057-04-15 Fixed 5.65990000 N N N N N N BELRON UK FINANCE PLC 9845006BC9D1A77B8178 080782AA3 680000.00000000 PA USD 676151.20000000 0.019906729062 Long DBT CORP GB N 2 2029-10-15 Fixed 5.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CCP4 117305000.00000000 PA USD 112796089.06000000 3.320856613517 Long DBT UST US N 2 2026-07-31 Fixed 0.62500000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680AT0 255000.00000000 PA USD 205863.07000000 0.006060863840 Long DBT CORP US N 2 2047-07-13 Fixed 4.95000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020653 37500000.00000000 PA USD 29735971.88000000 0.875463854287 Long ABS-MBS USGSE US N 2 2055-05-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ERA0 1276294.02000000 PA USD 1299218.88000000 0.038250613527 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.00000000 N N N N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAJ3 1605000.00000000 PA USD 1636841.30000000 0.048190635878 Long DBT CORP US N 2 2027-05-20 Fixed 5.70000000 N N N N N N BPR Trust N/A 05592VAG9 1900000.00000000 PA USD 1861518.92000000 0.054805423381 Long ABS-MBS CORP US N 2 2041-11-05 Variable 5.85000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 -11110000.00000000 OU OTHER USD -77067.16000000 -0.00226895267 N/A DCR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DCR CORP US IHS MARKIT LTD CDX.NA.HY.44.V1 Default Event 2030-06-20 0.00000000 USD 0.00000000 USD N/A N/A -11110000.00000000 USD 99.00000000 USD 2025-07-16 XXXX -5407.66000000 N N N PRP Advisors, LLC N/A 693986AA9 2559202.27000000 PA USD 2564455.29000000 0.075500741034 Long ABS-MBS CORP US N 2 2029-05-25 Variable 6.99400000 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAF0 2760000.00000000 PA USD 2602275.11000000 0.076614203393 Long DBT CORP NO N 2 2030-01-15 Fixed 3.75000000 N N N N N N Ferrellgas Partners LP 529900YP52A6C5K57L34 315293308 6534.00000000 NS USD 1066432.44000000 0.031397092317 Long EC CORP US Y 2 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EGK0 3754902.40000000 PA USD 3597434.33000000 0.105912923808 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.50000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CR1 1475000.00000000 PA USD 1324697.58000000 0.039000738023 Long DBT CORP US N 2 2031-02-15 Fixed 3.62500000 N N N N N N ICG Euro CLO 5493000GNZH2JWC7EQ58 000000000 5000000.00000000 PA 5696236.59000000 0.167704262707 Long ABS-CBDO CORP IE N 2 2038-01-26 Floating 4.91100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWEB5 796304.58000000 PA USD 762911.76000000 0.022461067443 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.50000000 N N N N N N HECLA MINING CO 5493009Y6HOBZD1QD537 422704AH9 1200000.00000000 PA USD 1202814.43000000 0.035412347076 Long DBT CORP US N 2 2028-02-15 Fixed 7.25000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AV6 1055000.00000000 PA USD 1045350.95000000 0.030776427132 Long DBT CORP US N 2 2033-03-01 Fixed 6.37500000 N N N N N N DIVERSIFIED HEALTHCARE T N/A 25525PAB3 1000000.00000000 PA USD 774899.43000000 0.022813999300 Long DBT CORP US N 2 2031-03-01 Fixed 4.37500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -69451.42000000 -0.00204473585 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 MOROCCO GOVERNMENT INTERNATIONAL BOND MOROCCO GOVERNMENT INTERNATIONAL BOND Y Default Event 2027-12-20 0.00000000 USD 0.00000000 USD -10000000.00000000 USD -69451.42000000 N N N Fannie Mae - CAS N/A 20754LAF6 318000.00000000 PA USD 323962.50000000 0.009537857381 Long ABS-MBS CORP US N 2 2041-12-25 Floating 7.50369000 N N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 17888HAA1 200000.00000000 PA USD 196487.62000000 0.005784838976 Long DBT CORP US N 2 2028-07-01 Fixed 8.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DWS7 1905098.90000000 PA USD 1598464.79000000 0.047060783876 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N DIAMOND SPORTS GRP LLC- WARRANTS N/A 000000000 53155.69000000 NS USD 14394.56000000 0.000423793680 Long EC CORP US N 2 N N N Affirm Inc N/A 00834BAK3 2350000.00000000 PA USD 2374000.55000000 0.069893517520 Long ABS-O CORP US N 2 2029-02-15 Fixed 9.17000000 N N N N N N NMLT Trust N/A 62916TAH2 10760633.03000000 PA USD 360481.21000000 0.010613013449 Long ABS-MBS CORP US N 3 2070-02-25 Variable 0.90082600 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 225000.00000000 PA USD 212504.63000000 0.006256399595 Long DBT CORP US N 2 2030-04-15 Fixed 4.62500000 N N N N N N ADAPTHEALTH LLC N/A 00653VAC5 750000.00000000 PA USD 671134.34000000 0.019759026488 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAM2 3360000.00000000 PA USD 3320235.89000000 0.097751858292 Long DBT CORP US N 2 N/A Fixed 7.12500000 N N N N N N XPO INC 54930096DB9LCLPN7H13 98379KAB8 225000.00000000 PA USD 230407.10000000 0.006783470492 Long DBT CORP US N 2 2031-06-01 Fixed 7.12500000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -63538.60000000 -0.00187065510 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -117388876.51000000 BRL 20596346.44000000 USD 2025-05-05 -63538.60000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBZ5 465140.21000000 PA USD 389062.42000000 0.011454479683 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N 20 TSQ GroundCo LLC N/A 90137LAQ3 2700000.00000000 PA USD 1984500.00000000 0.058426138746 Long ABS-MBS CORP US Y 2 2035-05-15 Variable 3.20323000 N N N N N N VENTURE GLOBAL PLAQUE 549300TKP4I6OJ02BF90 922966AA4 438000.00000000 PA USD 449593.33000000 0.013236584670 Long DBT CORP US N 2 2033-05-01 Fixed 7.50000000 N N N N N N NMLT Trust N/A 62916TAG4 200000.00000000 PA USD 178370.46000000 0.005251447339 Long ABS-MBS CORP US N 2 2070-02-25 Variable 6.60382600 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YED3 2865000.00000000 PA USD 2441239.08000000 0.071873103150 Long DBT CORP US N 2 2032-07-21 Fixed 2.23900000 N N N N N N APTIV SWISS HOLDINGS LTD N/A 03837AAB6 540000.00000000 PA USD 503412.73000000 0.014821094487 Long DBT CORP JE N 2 2034-09-13 Fixed 5.15000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA46 3110000.00000000 PA USD 3299090.70000000 0.097129317700 Long DBT CORP US N 2 2029-10-24 Fixed 6.48400000 N N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 17888HAC7 225000.00000000 PA USD 217344.80000000 0.006398900196 Long DBT CORP US N 2 2030-11-01 Fixed 8.62500000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 758000.00000000 PA 681060.97000000 0.020051278774 Long DBT NUSS RS N 2 2033-03-03 Fixed 1.65000000 N N N N N N TOTAL PLAY TELECOM 4469000001BSAPAMOQ06 89157PAD0 696000.00000000 PA USD 629880.00000000 0.018544447605 Long DBT CORP MX N 2 2032-12-31 Fixed 11.12500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 4718.68000000 0.000138923785 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1360000.00000000 USD 25485278.00000000 ZAR 2025-06-18 4718.68000000 N N N NMLT Trust N/A 62916TAE9 405000.00000000 PA USD 392945.78000000 0.011568810613 Long ABS-MBS CORP US N 2 2070-02-25 Variable 6.60382600 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810UD8 30000000.00000000 PA USD 27806250.00000000 0.818650451262 Long DBT UST US N 2 2044-08-15 Fixed 4.12500000 N N N N N N Barrow Hanley CLO LTD N/A 06875VAA8 19500000.00000000 PA USD 19526884.65000000 0.574895677427 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.88947000 N N N N N N OneMain Direct Auto Receivable N/A 682684AD7 4600000.00000000 PA USD 4658628.38000000 0.137155791433 Long ABS-O CORP US N 2 2037-07-14 Fixed 6.10000000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834PT9 430000.00000000 PA USD 155752.62000000 0.004585550106 Long DBT UST US N 2 2045-11-15 None 0.00000000 N N N N N N AGCO CORP LYOM0B2GCF1JWXK5ZG04 001084AR3 850000.00000000 PA USD 857543.47000000 0.025247142232 Long DBT CORP US N 2 2027-03-21 Fixed 5.45000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AN8 1925000.00000000 PA USD 1926198.70000000 0.056709676241 Long DBT CORP CH N 2 2026-05-12 Floating 5.93593100 N N N N N N VENTURE GLOBAL PLAQUE 549300TKP4I6OJ02BF90 922966AB2 488000.00000000 PA USD 501116.22000000 0.014753482387 Long DBT CORP US N 2 2035-05-01 Fixed 7.75000000 N N N N N N NMLT Trust N/A 62916TAF6 319000.00000000 PA USD 299581.77000000 0.008820058483 Long ABS-MBS CORP US N 2 2070-02-25 Variable 6.60382600 N N N N N N Pretium Mortgage Credit Partne N/A 74143VAA2 5715587.68000000 PA USD 5719826.93000000 0.168398791544 Long ABS-O CORP US N 2 2055-02-25 Variable 6.06300000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC USD -102603.80000000 -0.00302078299 N/A DFE CORP US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 -496165600.00000000 INR 5740000.00000000 USD 2025-06-18 -102603.80000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEZ7 3340000.00000000 PA USD 3281550.00000000 0.096612897760 Long DBT NUSS DO N 2 2036-06-01 Fixed 6.60000000 N N N N N N Affirm Master Trust N/A 00833BAD0 5000000.00000000 PA USD 4953670.00000000 0.145842182275 Long ABS-O CORP US N 2 2033-02-15 Fixed 5.62000000 N N N N N N FREEDOM MORTGAGE HOLD 254900ROJ91RGM43S156 35641AAC2 610000.00000000 PA USD 596345.13000000 0.017557139484 Long DBT CORP US N 2 2032-04-01 Fixed 8.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWC92 873623.38000000 PA USD 792171.37000000 0.023322506613 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.50000000 N N N N N N JEFFERIES FIN LLC / JFIN N/A 47232MAF9 400000.00000000 PA USD 372011.64000000 0.010952483594 Long DBT CORP US N 2 2028-08-15 Fixed 5.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F052664 -9500000.00000000 PA USD -9473183.02000000 -0.27890224515 Short ABS-MBS USGSE US N 2 2055-06-15 Fixed 5.50000000 N N N N N N SWF HOLDINGS I CORP 5493000CMZKPQ7BKPB20 78500AAA6 325000.00000000 PA USD 137428.99000000 0.004046079736 Long DBT CORP US Y 2 2029-10-01 Fixed 6.50000000 N N N N N N CELLNEX TELECOM SA 5493008T4YG3AQUI7P67 000000000 700000.00000000 PA 733366.61000000 0.021591221621 Long DBT CORP ES N 2 2030-10-23 Fixed 1.75000000 N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBD3 6990000.00000000 PA USD 6029297.20000000 0.177509979719 Long DBT CORP FR N 2 2032-06-09 Fixed 2.88900000 N N N N N N Citigroup Mortgage Loan Trust N/A 17332HAA3 10000053.27000000 PA USD 9428024.22000000 0.277572714127 Long ABS-MBS CORP US N 2 2064-01-25 Variable 3.97703100 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -6704.66000000 -0.00019739349 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -7661046.58000000 USD 306729152.27000000 TRY 2025-06-03 -6704.66000000 N N N Clover CLO N/A 18914GAC5 15000000.00000000 PA USD 15014334.00000000 0.442040595352 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.79947000 N N N N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAA0 2560000.00000000 PA USD 2573997.58000000 0.075781677875 Long DBT CORP US N 2 2027-06-15 Fixed 5.87500000 N N N N N N RUTGERS NJ ST UNIV 549300BOYDHNW8J60112 783186NH8 200000.00000000 PA USD 202584.73000000 0.005964345448 Long DBT MUN US N 2 2040-05-01 Fixed 5.66500000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAU1 905000.00000000 PA USD 920964.92000000 0.027114348297 Long DBT CORP US N 2 2033-03-15 Fixed 6.75000000 N N N N N N H&E EQUIPMENT SERVICES 254900KVLRCDMQRYY541 404030AJ7 4125000.00000000 PA USD 4110564.24000000 0.121020104113 Long DBT CORP US Y 2 2028-12-15 Fixed 3.87500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CCW9 40000000.00000000 PA USD 38442187.50000000 1.131785628928 Long DBT UST US N 2 2026-08-31 Fixed 0.75000000 N N N N N N Penta CLO S.A. 635400CJ99MQCYBUGV50 000000000 10000000.00000000 PA 11262564.73000000 0.331583859693 Long ABS-CBDO CORP IE N 2 2035-04-20 Floating 3.78600000 N N N N N N 20 TSQ GroundCo LLC N/A 90137LAN0 2700000.00000000 PA USD 2119500.00000000 0.062400706008 Long ABS-MBS CORP US Y 2 2035-05-15 Variable 3.20323000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWEL3 2043566.11000000 PA USD 2004318.18000000 0.059009610520 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 5.00000000 N N N N N N FANNIE MAE OR FREDDIE MAC B1V7KEBTPIMZEU4LTD58 01F022667 16500000.00000000 PA USD 13719473.96000000 0.403918311474 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -56.00000000 NC USD -28802.48000000 -0.00084798069 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-12-16 -13462297.52000000 USD -28802.48000000 N N N Citigroup Mortgage Loan Trust N/A 17332HAF2 235634.00000000 PA USD 153011.36000000 0.004504844015 Long ABS-MBS CORP US N 2 2064-01-25 Variable 3.97703200 N N N N N N LD CELULOSE INTERNATIONA 529900EHUSQJVOTP9J45 50206BAA0 3085000.00000000 PA USD 3159811.25000000 0.093028758128 Long DBT CORP AT N 2 2032-01-26 Fixed 7.95000000 N N N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAD8 1025000.00000000 PA USD 991687.50000000 0.029196508676 Long DBT CORP KY N 2 2027-10-01 Fixed 5.50000000 N N N N N N Grosvenor Place CLO 635400XBQAMTXICTXN06 000000000 17500000.00000000 PA 19845274.80000000 0.584269477921 Long ABS-CBDO CORP IE N 2 2038-05-24 Floating 4.13400000 N N N N N N Citigroup Mortgage Loan Trust N/A 17332HAG0 176744.00000000 PA USD 105863.91000000 0.003116764673 Long ABS-MBS CORP US N 2 2064-01-25 Variable 3.97703200 N N N N N N Anchorage Capital Europe CLO 635400ZNDJ8ARDAHOM33 000000000 5000000.00000000 PA 5691527.33000000 0.167565616258 Long ABS-CBDO CORP IE N 2 2038-01-22 Floating 4.98600000 N N N N N N NMLT Trust N/A 62916TAK5 10760633.03000000 PA USD 92864.26000000 0.002734038870 Long ABS-MBS CORP US N 2 2070-02-25 Variable 0.39882400 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAS6 775000.00000000 PA USD 773913.78000000 0.022784980543 Long DBT CORP US N 2 2025-05-15 Fixed 3.60000000 N N N N N N Generate CLO Ltd. 25490036G9JNQQPHIX69 37149LAL1 5050000.00000000 PA USD 5057028.59000000 0.148885187224 Long ABS-CBDO CORP KY N 2 2037-04-22 Floating 5.89238000 N N N N N N ONE Park Mortgage Trust N/A 682413AG4 2350000.00000000 PA USD 2174161.72000000 0.064010014769 Long ABS-MBS CORP US N 2 2036-03-15 Floating 5.93648000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -299847.51000000 -0.00882788219 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 STANDARD INDUSTRI INC/NY Standard Industries Inc/NY Y Default Event 2029-06-20 0.00000000 USD -285471.67000000 USD -1950000.00000000 USD -14375.84000000 N N N CAMELOT RETURN MERGER SU N/A 13323NAA0 1875000.00000000 PA USD 1624785.68000000 0.047835703488 Long DBT CORP US N 2 2028-08-01 Fixed 8.75000000 N N N N N N GEN DIGITAL INC YF6ZV0M6AU4FY94MK914 668771AM0 1494000.00000000 PA USD 1490459.88000000 0.043880985510 Long DBT CORP US N 2 2033-04-01 Fixed 6.25000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAN4 50000.00000000 PA USD 40529.78000000 0.001193246938 Long DBT CORP US N 2 2042-09-30 Fixed 4.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46590RAE9 10495000.00000000 PA USD 10211017.89000000 0.300625017882 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 2.87040000 N N N N N N Digicel International Finance Ltd 5493007V023VOEW4FK27 000000000 196214.19000000 PA USD 192453.35000000 0.005666065068 Long LON CORP LC N 2 2027-05-25 Floating 11.77965000 N N Y N N N Wellfleet CLO Ltd 2549008BRKHJZB917M86 94949FAL7 15000000.00000000 PA USD 15000000.00000000 0.441618584632 Long ABS-CBDO CORP KY N 2 2037-10-18 Floating 5.68947000 N N N N N N Citigroup Mortgage Loan Trust N/A 17332HAD7 441861.00000000 PA USD 329780.26000000 0.009709139444 Long ABS-MBS CORP US N 2 2064-01-25 Variable 3.97703200 N N N N N N Monument CLO 254900PSVC5Y0GWN0R36 000000000 4150000.00000000 PA 4757591.58000000 0.140069390654 Long ABS-CBDO CORP IE N 2 2037-05-15 Floating 6.90600000 N N N N N N NEW GOLD INC 5493005G0GNCHP0H6L96 644535AJ5 305000.00000000 PA USD 311862.50000000 0.009181618389 Long DBT CORP CA N 2 2032-04-01 Fixed 6.87500000 N N N N N N Finance America Mortgage Loan N/A 317350AC0 705430.60000000 PA USD 698430.05000000 0.020562646009 Long ABS-O CORP US N 2 2033-09-25 Floating 5.49109000 N N N N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 -25940000.00000000 OU Other USD -13901.92000000 -0.00040928974 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Put Written JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2030-08-25 0.00000000 USD 0.00000000 USD 0.00000000 USD -25940000.00000000 USD 4.53050000 USD 2025-08-21 XXXX -13901.92000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD -446469.20000000 -0.01314460641 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -44407563.00000000 GBP 58754225.56000000 USD 2025-07-22 -446469.20000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XEN2 695000.00000000 PA USD 710065.95000000 0.020905221322 Long DBT CORP US N 2 2029-01-07 Fixed 5.80000000 N N N N N N Warwick Capital CLO Ltd 254900MNDJAT8Y3XZ919 936557AA5 12500000.00000000 PA USD 12528465.00000000 0.368853532061 Long ABS-CBDO CORP JE N 2 2037-01-15 Floating 6.20610000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SK5 72235000.00000000 PA USD 46952750.00000000 1.382347133307 Long DBT UST US N 2 2049-11-15 Fixed 2.37500000 N N N N N N VMED O2 UK FINAN 213800MRR46ECNGZ7L69 000000000 2250000.00000000 PA 2744700.65000000 0.080807387752 Long DBT CORP GB N 2 2029-01-31 Fixed 4.00000000 N N N N N N DIGICEL INTL FIN LTD N/A 000000000 9592.00000000 NS USD 110680.17000000 0.003258561334 Long EC CORP US Y 3 N N N Mcafee Corp 2549009UKR8UEZYVCR93 57906HAF4 852033.48000000 PA USD 795230.96000000 0.023412584734 Long LON CORP US N 2 2029-03-01 Floating 7.31896000 N N N N N N Citigroup Mortgage Loan Trust N/A 17332HAE5 377067.00000000 PA USD 265999.65000000 0.007831359263 Long ABS-MBS CORP US N 2 2064-01-25 Variable 3.97703200 N N N N N N MCAFEE CORP 2549009UKR8UEZYVCR93 579063AB4 675000.00000000 PA USD 583285.60000000 0.017172650740 Long DBT CORP US N 2 2030-02-15 Fixed 7.37500000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 02557TAD1 2075000.00000000 PA USD 2079195.72000000 0.061214098069 Long DBT CORP US N 2 2025-08-15 Fixed 5.69900000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 682691AC4 1200000.00000000 PA USD 1110424.50000000 0.032692273068 Long DBT CORP US N 2 2028-09-15 Fixed 3.87500000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 4120000.00000000 NC USD 58.07000000 0.000001709652 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A ZAR 2025-05-20 4120000.00000000 USD 23.00000000 USD 2025-05-20 XXXX -305.18000000 N N N ALBERTSONS COS/SAFEWAY N/A 01309QAA6 450000.00000000 PA USD 457247.20000000 0.013461924086 Long DBT CORP US N 2 2028-02-15 Fixed 6.50000000 N N N N N N YARA INTERNATIONAL ASA 213800WKOUWXWFJ5Z514 984851AG0 4755000.00000000 PA USD 4340245.13000000 0.127782194084 Long DBT CORP NO N 2 2030-06-04 Fixed 3.14800000 N N N N N N RB GLOBAL HOLDINGS INC 254900LH3N0EGB1LQ203 76774LAB3 75000.00000000 PA USD 76293.75000000 0.002246182526 Long DBT CORP US N 2 2028-03-15 Fixed 6.75000000 N N N N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CH2 2400000.00000000 PA USD 2312748.62000000 0.068090184811 Long DBT CORP US N 2 2028-10-15 Fixed 4.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SF6 4085000.00000000 PA USD 3040771.88000000 0.089524091589 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BV4 4222203.00000000 PA USD 4723308.66000000 0.139060059014 Long DBT CORP US N 2 2029-11-15 Fixed 11.00000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397B28 2650000.00000000 PA USD 2616885.99000000 0.077044365803 Long DBT CORP US N 2 2025-11-13 Fixed 3.37500000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEP9 1915000.00000000 PA USD 1888190.00000000 0.055590653021 Long DBT NUSS DO Y 2 2029-02-22 Fixed 5.50000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17332HAJ4 141395.00000000 PA USD 59489.94000000 0.001751457540 Long ABS-MBS CORP US N 2 2064-01-25 Variable 0.15515000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179W7M4 5400940.03000000 PA USD 5048441.41000000 0.148632370005 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 4.00000000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 -2000000.00000000 NC USD -2368.38000000 -0.00006972804 N/A DIR CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Call Written Fannie Mae or Freddie Mac Fannie Mae or Freddie Mac 1.00000000 USD 101.52344000 USD 2025-05-06 XXXX 3569.12000000 N N N IVORY COAST 254900ICW11T82O6H590 221625AT3 3025000.00000000 PA USD 2824593.75000000 0.083159539602 Long DBT NUSS CI Y 2 2033-01-30 Fixed 7.62500000 N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 000000000 213000.00000000 PA USD 209538.75000000 0.006169080413 Long DBT CORP ZA N 2 2028-08-10 Fixed 6.35000000 N N N N N N Asset Backed Securities Corp H N/A 04541GGM8 3176815.66000000 PA USD 3180197.06000000 0.093628941632 Long ABS-MBS CORP US N 2 2033-11-25 Floating 5.40109000 N N N N N N Level 3 Financing Inc 254900AE5FEFIJOXWL19 52729KAT3 975000.00000000 PA USD 971647.95000000 0.028606519496 Long LON CORP US N 2 2032-03-27 Floating 0.00000000 N N N N N N UNITED AIR 2013-1 A PTT N/A 909319AA3 1172219.55000000 PA USD 1168880.25000000 0.034413282773 Long DBT CORP US N 2 2025-08-15 Fixed 4.30000000 N N N N N ALTA EQUIPMENT GROUP 549300DGOB28CLGS1X27 02128LAC0 1000000.00000000 PA USD 841076.31000000 0.024762328639 Long DBT CORP US N 2 2029-06-01 Fixed 9.00000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABJ9 3745000.00000000 PA USD 3702464.29000000 0.109005135960 Long DBT CORP DK N 2 2030-10-02 Fixed 4.61300000 N N N N N N Carlyle Global Market Strategi 635400YFJCERZ9QJKR15 000000000 1584412.68000000 PA 1787639.01000000 0.052630307295 Long ABS-CBDO CORP IE N 2 2032-03-15 Floating 3.25100000 N N N N N N Citigroup Mortgage Loan Trust N/A 17332HAK1 141411.00000000 PA USD 50475.16000000 0.001486051247 Long ABS-MBS CORP US N 2 2064-01-25 Variable 0.01000000 N N N N N N Eagle Re Ltd N/A 26982AAC8 663995.58000000 PA USD 670592.77000000 0.019743081996 Long ABS-MBS CORP BM N 2 2034-04-25 Floating 7.80369000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -22054.93000000 -0.00064932446 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -14895793.00000000 CNY 2035000.00000000 USD 2025-06-18 -22054.93000000 N N N BOF URSA FUNDING N/A 07336MAA9 472453.26000000 PA USD 472170.73000000 0.013901291299 Long ABS-O CORP US N 2 2032-07-29 Fixed 6.97100000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SE9 68955000.00000000 PA USD 55088580.47000000 1.621876062438 Long DBT UST US N 2 2048-11-15 Fixed 3.37500000 N N N N N N SONA FIOS CLO 635400DKZUMF3VS6WZ22 000000000 13250000.00000000 PA 15157109.40000000 0.446244080023 Long ABS-CBDO CORP IE N 2 2036-07-15 Floating 4.12900000 N N N N N N Intelsat SA/Luxembourg N/A 000000000 19703.00000000 NS USD 790582.88000000 0.023275739500 Long EC CORP US N 2 N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GNR5 137537.66000000 PA USD 127126.05000000 0.003742748418 Long ABS-O CORP US N 2 2035-02-25 Floating 5.07109000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CAT1 10859.93000000 PA USD 10868.41000000 0.000319979456 Long ABS-O CORP US N 2 2032-05-15 Fixed 7.37500000 N N N N N N CDR Firefly Bidco Plc 213800OAU5VX61DYZ558 000000000 5525000.00000000 PA 7255348.64000000 0.213606453160 Long LON CORP GB N 2 2029-04-29 Floating 0.00000000 N N N N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CJ8 2000000.00000000 PA USD 1971114.10000000 0.058032041266 Long DBT CORP US N 2 2032-04-15 Fixed 6.50000000 N N N N N N CHART INDUSTRIES INC EM7QGKC1GYOF3LSZSL80 16115QAF7 850000.00000000 PA USD 883415.11000000 0.026008835368 Long DBT CORP US N 2 2030-01-01 Fixed 7.50000000 N N N N N N JP Morgan Chase Commercial Mor N/A 48128KAU5 5000000.00000000 PA USD 4813277.50000000 0.141708853132 Long ABS-MBS CORP US N 2 2050-07-15 Fixed 3.48980000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC USD 643452.79000000 0.018944047359 N/A DFE CORP US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 -101254312.00000000 EUR 115948135.25000000 USD 2025-07-22 643452.79000000 N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BX0 465000.00000000 PA USD 515642.77000000 0.015181162017 Long DBT CORP US N 2 2029-04-15 Fixed 10.50000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17332HAH8 111951.00000000 PA USD 57650.69000000 0.001697307741 Long ABS-MBS CORP US N 2 2064-01-25 Variable 3.97703200 N N N N N N LAUREL ROAD PRIME STUDENT LOAN TRUST 2018-D N/A 51889BAA2 1680402.00000000 PA USD 1597365.61000000 0.047028422655 Long ABS-O CORP US N 2 2043-11-25 Variable 0.01000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWEE9 4345351.21000000 PA USD 4274604.59000000 0.125849655259 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N ONE Park Mortgage Trust N/A 682413AJ8 1400000.00000000 PA USD 1281612.92000000 0.037732272251 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.18648000 N N N N N N Toro European CLO 6354001HJSVF7BJWDP89 000000000 8000000.00000000 PA 9010081.69000000 0.265267968224 Long ABS-CBDO CORP IE N 2 2038-04-15 Floating 3.60500000 N N N N N N OVINTIV INC 2549003MEX7YMKLGI239 69047QAB8 2145000.00000000 PA USD 2185332.36000000 0.064338892251 Long DBT CORP US N 2 2028-05-15 Fixed 5.65000000 N N N N N N ASHLAND INC 529900E4L9R04SB8HB11 044209AM6 4100000.00000000 PA USD 4258262.84000000 0.125368533892 Long DBT CORP US N 2 2043-05-15 Fixed 6.87500000 N N N N N N Freddie Mac - STACR 5493000ISA3AUOXQEF68 35564KRF8 1400000.00000000 PA USD 1429092.00000000 0.042074239089 Long ABS-MBS CORP US N 2 2042-02-25 Floating 6.75369000 N N N N N N Freddie Mac - STACR 5493000ISONLNOUKGB71 35564KKY4 1459718.61000000 PA USD 1457441.45000000 0.042908882022 Long ABS-MBS CORP US N 2 2041-10-25 Floating 5.85369000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD 8032.28000000 0.000236480274 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -8724150120.00000000 COP 2058000.00000000 USD 2025-06-18 8032.28000000 N N N Toro European CLO 635400O88YIWGH2M9N44 000000000 9000000.00000000 PA 10216101.45000000 0.300774684187 Long ABS-CBDO CORP IE N 2 2037-04-15 Floating 3.92900000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAR0 1110000.00000000 PA USD 1126583.40000000 0.033168011105 Long DBT CORP CA N 2 2029-06-15 Fixed 6.12500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBF5 55000.00000000 PA USD 46473.77000000 0.001368245368 Long DBT CORP US N 2 2045-03-15 Fixed 5.15000000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 682691AH3 1750000.00000000 PA USD 1756936.44000000 0.051726385594 Long DBT CORP US N 2 2029-05-15 Fixed 6.62500000 N N N N N N MPT OPER PARTNERSP/FINL N/A 55342UAH7 200000.00000000 PA USD 178023.10000000 0.005241220630 Long DBT CORP US N 2 2027-10-15 Fixed 5.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CP8 5710000.00000000 PA USD 4698619.93000000 0.138333192214 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N Barclays Commercial Mortgage S N/A 05491VAG1 900000.00000000 PA USD 802272.06000000 0.023619883441 Long ABS-MBS CORP US N 2 2038-08-05 Variable 4.40871700 N N N N N N OLYMPUS WTR US HLDG CORP 549300YU2GGVCBN3MY89 25259KAA8 2425000.00000000 PA USD 2534385.66000000 0.074615453872 Long DBT CORP US N 2 2028-11-15 Fixed 9.75000000 N N N N N N BRIXMOR OPERATING PART 549300CJHBL7JBUA6503 11120VAH6 1441000.00000000 PA USD 1403136.49000000 0.041310076717 Long DBT CORP US N 2 2029-05-15 Fixed 4.12500000 N N N N N N MILLICOM INTL CELLULAR 549300CTHC1CP86P2G96 600814AR8 515000.00000000 PA USD 458350.00000000 0.013494391884 Long DBT CORP LU N 2 2031-04-27 Fixed 4.50000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -202385.87000000 -0.00595849076 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -8381565000.00000000 KRW 5700000.00000000 USD 2025-06-18 -202385.87000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F060659 2000000.00000000 PA USD 2028822.36000000 0.059731043939 Long ABS-MBS USGSE US N 2 2055-05-15 Fixed 6.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3A9 6475000.00000000 PA USD 6516034.04000000 0.191840115344 Long DBT CORP US Y 2 2028-07-25 Fixed 4.80800000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AL1 275000.00000000 PA USD 148500.00000000 0.004372023987 Long DBT CORP CA Y 2 2031-02-15 Fixed 5.25000000 N N N N N N MONG DUONG FIN HLDGS BV 549300995KGQFMWSV879 000000000 987374.10000000 PA USD 943870.40000000 0.027788714008 Long DBT CORP NL N 2 2029-05-07 Fixed 5.12500000 N N N N N N AlbaCore Euro CLO 549300WN8XXHR94EX575 000000000 4000000.00000000 PA 4499130.99000000 0.132459990658 Long ABS-CBDO CORP IE N 2 2034-06-15 Floating 4.15100000 N N N N N N Citigroup Mortgage Loan Trust N/A 173106AH8 299249.00000000 PA USD 24184.59000000 0.000712024293 Long ABS-MBS CORP US N 2 2063-02-25 None 0.00000000 N N N N N N NATIONSTAR MTG HLD INC N/A 63861CAE9 1675000.00000000 PA USD 1679755.02000000 0.049454068964 Long DBT CORP US N 2 2031-11-15 Fixed 5.75000000 N N N N N BRAVO Residential Funding Trus N/A 10569PAA4 395990.46000000 PA USD 398798.63000000 0.011741125768 Long ABS-MBS CORP US N 2 2055-02-25 Variable 5.70300000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SS8 48600000.00000000 PA USD 25909875.00000000 0.762818821700 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N Fannie Mae - CAS N/A 207942AB9 1400000.00000000 PA USD 1454032.86000000 0.042808528909 Long ABS-MBS CORP US N 2 2043-06-25 Floating 7.45269000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -107225.55000000 -0.00315685304 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -477620482.50000000 INR 5517000.00000000 USD 2025-06-18 -107225.55000000 N N N TALKTALK TELECOM GROUP 213800WF53FVDRRHRF44 000000000 5158488.78999000 PA 5260614.38000000 0.154879005119 Long DBT CORP GB N 2 2027-09-01 Fixed 8.25000000 N N Y N N N Chase Funding Mortgage Loan As N/A 161546FV3 239702.22000000 PA USD 234299.96000000 0.006898081114 Long ABS-O CORP US N 2 2033-05-25 Variable 4.87062200 N N N N N N NEW GENERATION GAS GATHERING LLC N/A 000000000 421621.00000000 PA USD 415296.69000000 0.012226849096 Long DBT CORP US N 3 2029-09-30 Floating 0.01000000 N N N N N N Zegona Holdco Limited 213800UXDFOAHVOOVX08 000000000 6100000.00000000 PA 6869662.10000000 0.202251363567 Long LON CORP GB N 2 2029-07-17 Floating 5.65700000 N N N N N N ARES Commercial Mortgage Trust N/A 039955AJ8 3160000.00000000 PA USD 3140099.27000000 0.092448413014 Long ABS-MBS CORP US N 2 2042-04-15 Floating 6.85000000 N N N N N N Citigroup Mortgage Loan Trust N/A 173106AG0 164547.00000000 PA USD 19929.78000000 0.000586757415 Long ABS-MBS CORP US N 2 2063-02-25 None 0.00000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AM9 275000.00000000 PA USD 173250.00000000 0.005100694652 Long DBT CORP CA Y 2 2029-02-15 Fixed 5.00000000 N N N N N N DIGICEL GROUP HOLDINGS N/A 25381HAM0 44435.82000000 PA USD 0.04000000 0.000000001177 Long DBT CORP BM Y 3 2030-12-31 None 0.00000000 N N N N N N PRP Advisors, LLC N/A 74390WAA0 3795757.06000000 PA USD 3682281.76000000 0.108410937271 Long ABS-MBS CORP US N 2 2055-03-25 Variable 4.00000000 N N N N N N Carlyle Global Market Strategi 635400YFJCERZ9QJKR15 000000000 6500000.00000000 PA 7039284.69000000 0.207245262774 Long ABS-CBDO CORP IE N 2 2032-03-15 Fixed 2.10000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 1166.50000000 0.000034343205 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -2697745.00000000 EUR 435309482.00000000 JPY 2025-07-22 1166.50000000 N N N Codere Group Topco S.A. A1 Equity N/A 000000000 10406.00000000 NS 229874.52000000 0.006767790677 Long EC CORP N/A N 3 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAL4 145000.00000000 PA USD 123763.30000000 0.003643744891 Long DBT CORP US N 2 2047-03-01 Fixed 5.20000000 N N N N N N Freddie Mac - STACR 5493000IS4CDPWRMWB65 35564KWT2 200000.00000000 PA USD 207250.00000000 0.006101696777 Long ABS-MBS CORP US N 2 2042-05-25 Floating 7.70369000 N N N N N N BLACKSTONE PRIVATE CR FUND N/A 000000000 950000.00000000 PA USD 941528.85000000 0.027719775875 Long DBT CORP US N 3 2027-05-03 Fixed 5.61000000 N N N N N N Citigroup Mortgage Loan Trust N/A 173106AK1 12964.01000000 PA USD 11144.04000000 0.000328094344 Long ABS-MBS CORP US N 2 2063-02-25 Variable 0.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECR9 3609477.35000000 PA USD 3140470.78000000 0.092459350729 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N Monument CLO 254900PSVC5Y0GWN0R36 000000000 20000000.00000000 PA 22716889.25000000 0.668813365189 Long ABS-CBDO CORP IE N 2 2037-05-15 Floating 4.14600000 N N N N N N BFLD Trust N/A 05555HAN0 3059090.24000000 PA USD 3041585.51000000 0.089548045864 Long ABS-MBS CORP US N 2 2026-08-15 Floating 8.01076000 N N N N N N Citigroup Mortgage Loan Trust N/A 173106AJ4 9143243.30000000 PA USD 10181.00000000 0.000299741254 Long ABS-MBS CORP US N 2 2063-02-25 Variable 0.01000000 N N N N N N CAMERON INTERNATIONAL CO P2PV5Z2Z2UKRY3P3V155 13342BAF2 100000.00000000 PA USD 96091.65000000 0.002829057231 Long DBT CORP US N 2 2041-06-01 Fixed 5.95000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -54853.08000000 -0.00161494263 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Y Default Event 2030-06-20 81.55000000 USD 0.00000000 USD -3000000.00000000 USD -54934.63000000 N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AN7 275000.00000000 PA USD 223341.25000000 0.006575443114 Long DBT CORP CA Y 2 2028-06-01 Fixed 4.87500000 N N N N N N OFSI Fund LTD N/A 67115PAL9 10000000.00000000 PA USD 10023267.00000000 0.295097399062 Long ABS-CBDO CORP KY N 2 2035-10-18 Floating 6.31947000 N N N N N N Pretium Mortgage Credit Partne 254900S0KCA0ULKWBW61 69392JAA7 5523596.64000000 PA USD 5500788.05000000 0.161950015533 Long ABS-O CORP US N 2 2055-03-25 Variable 5.83540000 N N N N N N Crown City CLO 549300TQXORNUWLBOD84 22823KAQ7 2750000.00000000 PA USD 2750000.00000000 0.080963407182 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 5.60947000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418FE45 2594010.48000000 PA USD 2633306.34000000 0.077527801251 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWV2 35000.00000000 PA USD 34330.33000000 0.001010727449 Long DBT CORP US N 2 2029-04-23 Fixed 3.81400000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 12769GAB6 1450000.00000000 PA USD 1485757.14000000 0.043742531018 Long DBT CORP US Y 2 2030-02-15 Fixed 7.00000000 N N N N N N Barclays Commercial Mortgage S N/A 05491VAE6 2650000.00000000 PA USD 2421656.66000000 0.071296572443 Long ABS-MBS CORP US N 2 2038-08-05 Variable 4.40871700 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452151LF8 814117.65000000 PA USD 813771.00000000 0.023958426482 Long DBT MUN US N 2 2033-06-01 Fixed 5.10000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397G49 2310000.00000000 PA USD 2271764.17000000 0.066883551824 Long DBT CORP US N 2 2029-11-07 Fixed 5.87500000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 11695000.00000000 OU Other USD 4614.27000000 0.000135849825 N/A DIR CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2035-05-23 0.00000000 USD 0.00000000 USD 0.00000000 USD 11695000.00000000 USD 4.10000000 USD 2025-05-21 XXXX -22401.18000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 221.43000000 0.000006519173 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 US TREASURY N/B United States Treasury Note/Bond Y Default Event 2025-06-20 0.00000000 USD -88.66000000 USD -1110000.00000000 EUR 310.09000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EJF8 3684800.34000000 PA USD 3619866.79000000 0.106573363223 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5.00000000 N N N N N N JELD-WEN INC 549300XWE6NM0N1HFW16 475795AD2 2400000.00000000 PA USD 2214938.82000000 0.065210543115 Long DBT CORP US N 2 2027-12-15 Fixed 4.87500000 N N N N N CLEVELAND-CLIFFS INC 549300TM2WLI2BJMDD86 185899AS0 1000000.00000000 PA USD 968796.33000000 0.028522564270 Long DBT CORP US N 2 2031-09-15 Fixed 7.50000000 N N N N N BOYD GAMING CORP 254900787YGRYS2A1Z35 103304BV2 545000.00000000 PA USD 508436.39000000 0.014968997261 Long DBT CORP US N 2 2031-06-15 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBJ1 6193806.03000000 PA USD 5182836.29000000 0.152589121784 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDC3 500000.00000000 PA USD 445200.00000000 0.013107239591 Long DBT CORP MX N 2 2030-01-23 Fixed 6.84000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWFR9 853465.74000000 PA USD 837986.25000000 0.024671353444 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N WYNN RESORTS FINANCE LLC N/A 983133AD1 1190000.00000000 PA USD 1151397.16000000 0.033898558943 Long DBT CORP US N 2 2033-03-15 Fixed 6.25000000 N N N N N N PRP Advisors, LLC N/A 74390WAD4 393000.00000000 PA USD 352312.91000000 0.010372528577 Long ABS-MBS CORP US N 2 2055-03-25 Variable 4.00000000 N N N N N N DIAMOND SPORTS GRP LLC- CS N/A 000000000 28420.00000000 NS USD 406406.00000000 0.011965096167 Long EC CORP US N 2 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 110023.58000000 0.003239230511 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -216993969.00000000 CNY 30076102.83000000 USD 2025-06-18 110023.58000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPKN6 2381188.70000000 PA USD 2161764.97000000 0.063645039090 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAJ4 993000.00000000 PA USD 1005205.01000000 0.029594480918 Long DBT CORP US N 2 2027-02-01 Fixed 5.75000000 N N N N N N Citigroup Mortgage Loan Trust N/A 173106AD7 304204.00000000 PA USD 242027.47000000 0.007125588582 Long ABS-MBS CORP US N 2 2063-02-25 Variable 4.22171300 N N N N N N DISH DBS CORP N/A 25470XBD6 425000.00000000 PA USD 264971.06000000 0.007801076299 Long DBT CORP US N 2 2029-06-01 Fixed 5.12500000 N N N N N N Ford Credit Floorplan Master O 5493001DTG5N7T8BG747 34528QHV9 2600000.00000000 PA USD 2611457.42000000 0.076884541976 Long ABS-O CORP US N 2 2028-05-15 Fixed 4.92000000 N N N N N N Codere Group Topco S.A. A2 Equity N/A 000000000 14649.00000000 NS 323604.83000000 0.009527327133 Long EC CORP N/A N 3 N N N MPT OPER PARTNERSP/FINL N/A 55342UAM6 250000.00000000 PA USD 166598.80000000 0.004904875083 Long DBT CORP US N 2 2031-03-15 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CCZ2 25440000.00000000 PA USD 24444262.50000000 0.719669373842 Long DBT UST US N 2 2026-09-30 Fixed 0.87500000 N N N N N N PARK INTERMED HOLDINGS N/A 70052LAC7 1375000.00000000 PA USD 1287558.90000000 0.037907329269 Long DBT CORP US N 2 2029-05-15 Fixed 4.87500000 N N N N N N Palmer Square European CLO 549300NBMUBW6AHGY771 000000000 10000000.00000000 PA 11339291.53000000 0.333842791747 Long ABS-CBDO CORP IE N 2 2038-01-15 Floating 3.87900000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -27.00000000 NC 17713.82000000 0.000521516807 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESREPUB. DEUTSCHLAND Bundesrepublik Deutschland Bundesanleihe 2025-06-06 -3716644.37000000 USD 17713.82000000 N N N WYNN RESORTS FINANCE LLC N/A 983133AC3 680000.00000000 PA USD 701883.40000000 0.020664316912 Long DBT CORP US Y 2 2031-02-15 Fixed 7.12500000 N N N N N First Franklin Mtg Loan Asset N/A 32027NJU6 333662.52000000 PA USD 302283.60000000 0.008899603705 Long ABS-O CORP US N 2 2034-08-25 Floating 5.20109000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBL2 125000.00000000 PA USD 105462.02000000 0.003104932533 Long DBT CORP US N 2 2047-04-15 Fixed 5.30000000 N N N N N N PRP Advisors, LLC N/A 74390WAE2 139000.00000000 PA USD 122043.25000000 0.003593104488 Long ABS-MBS CORP US N 2 2055-03-25 Variable 4.00000000 N N N N N N Citigroup Mortgage Loan Trust N/A 173106AC9 398943.00000000 PA USD 332654.43000000 0.009793758569 Long ABS-MBS CORP US N 2 2063-02-25 Variable 4.22171300 N N N N N N BOOST NEWCO BORROWER LLC 254900S8RE1OL7TTCU64 36268NAA8 200000.00000000 PA USD 210912.78000000 0.006209533558 Long DBT CORP US N 2 2031-01-15 Fixed 7.50000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAT6 1335000.00000000 PA USD 1326509.40000000 0.039054080248 Long DBT CORP CA N 2 2029-09-15 Fixed 5.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ED80 1596598.64000000 PA USD 1490748.94000000 0.043889495795 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HBA2 3400000.00000000 PA USD 3451725.90000000 0.101623087099 Long DBT CORP ES N 2 2028-03-14 Fixed 5.55200000 N N N N N N CLEVELAND-CLIFFS INC 549300TM2WLI2BJMDD86 185899AQ4 580000.00000000 PA USD 562026.88000000 0.016546767684 Long DBT CORP US N 2 2029-11-01 Fixed 6.87500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -2120.58000000 -0.00006243250 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -25436760.00000000 ZAR 1360000.00000000 USD 2025-06-18 -2120.58000000 N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAK1 315000.00000000 PA USD 319151.93000000 0.009396228240 Long DBT CORP US N 2 2026-03-01 Fixed 7.62500000 N N N N N N Eagle Re Ltd N/A 26982EAA4 250800.07000000 PA USD 251478.86000000 0.007403849214 Long ABS-MBS CORP BM N 2 2033-09-26 Floating 6.35369000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 344000.00000000 PA USD 338427.20000000 0.009963716071 Long DBT CORP KY N 2 2028-08-08 Variable 5.40000000 N N N N N N Citigroup Mortgage Loan Trust N/A 173106AF2 64822.00000000 PA USD 44478.34000000 0.001309497437 Long ABS-MBS CORP US N 2 2063-02-25 Variable 0.01000000 N N N N N N PRP Advisors, LLC N/A 74390WAB8 683000.00000000 PA USD 635125.46000000 0.018698880447 Long ABS-MBS CORP US N 2 2055-03-25 Variable 4.00000000 N N N N N N BX Trust N/A 12433FAG3 6500000.00000000 PA USD 6273186.40000000 0.184690379940 Long ABS-MBS CORP US N 2 2040-04-15 Floating 6.81375000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BPW39 19964925.73000000 PA USD 182553.29000000 0.005374595036 Long ABS-MBS USGSE US N 2 2026-03-25 Variable 1.46023700 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 28228PAC5 2175000.00000000 PA USD 2391543.00000000 0.070409988983 Long DBT CORP GB N 2 2028-11-30 Fixed 12.00000000 N N N N N N Codere Group Topco S.A. Warrants N/A 000000000 34.00000000 NS 308.14000000 0.000009072023 Long EC CORP N/A N 3 N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325ES0 10255000.00000000 PA USD 10419080.00000000 0.306750624184 Long DBT NUSS CO N 2 2035-04-25 Fixed 8.50000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 154551.55000000 0.004550189117 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2030-06-20 244.65000000 USD 0.00000000 USD -9000000.00000000 USD 154306.90000000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HBB0 2200000.00000000 PA USD 2254178.08000000 0.066365795546 Long DBT CORP ES N 2 2030-03-14 Fixed 5.53800000 N N N N N CLEVELAND-CLIFFS INC 549300TM2WLI2BJMDD86 185899AR2 375000.00000000 PA USD 352293.66000000 0.010371961833 Long DBT CORP US N 2 2033-05-01 Fixed 7.37500000 N N N N N N CD&R Firefly Bidco Plc 213800OAU5VX61DYZ558 000000000 1450000.00000000 PA 1888935.66000000 0.055612606175 Long LON CORP GB N 3 2028-06-21 Floating 9.82950000 N N N N N N DISH DBS CORP N/A 25470XBB0 350000.00000000 PA USD 236503.20000000 0.006962947229 Long DBT CORP US N 2 2028-07-01 Fixed 7.37500000 N N N N N N Barclays Commercial Mortgage S N/A 05491VAJ5 1490000.00000000 PA USD 1277171.23000000 0.037601503395 Long ABS-MBS CORP US N 2 2038-08-05 Variable 4.40871700 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BY7 775000.00000000 PA USD 766281.25000000 0.022560269403 Long DBT CORP PA N 2 2030-03-15 Fixed 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWG23 1296280.55000000 PA USD 1319232.42000000 0.038839836941 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.00000000 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882PAR3 110000.00000000 PA USD 121823.49000000 0.003586634481 Long DBT CORP US N 2 2034-06-01 Fixed 6.70000000 N N N N N N UNIV OF CALIFORNIA REVENUES N/A 91412GXY6 675000.00000000 PA USD 602383.68000000 0.017734921877 Long DBT MUN US N 2 2045-05-15 Fixed 4.13100000 N N N N N N FERRELLGAS ESCROW LLC 3/30/31 Equity Preferred N/A 000000000 545000.00000000 NS USD 545000.00000000 0.016045475241 Long EP CORP US Y 3 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -9159.61000000 -0.00026967026 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2026000.00000000 USD 2863973860.00000000 KRW 2025-06-18 -9159.61000000 N N N Citigroup Mortgage Loan Trust N/A 173106AE5 179547.00000000 PA USD 134203.52000000 0.003951117903 Long ABS-MBS CORP US N 2 2063-02-25 Variable 3.11291100 N N N N N N PRP Advisors, LLC N/A 74390WAC6 403000.00000000 PA USD 367620.59000000 0.010823205642 Long ABS-MBS CORP US N 2 2055-03-25 Variable 4.00000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HDC6 935000.00000000 PA USD 1041751.96000000 0.030670468407 Long DBT CORP US N 2 2031-10-30 Fixed 7.62400000 N N N N N N CT TRUST 213800MJB7WO427HQD34 12659BAA2 760000.00000000 PA USD 685672.00000000 0.020187033210 Long DBT CORP GT N 2 2032-02-03 Fixed 5.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EF21 4383911.42000000 PA USD 4200069.29000000 0.123655243680 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.50000000 N N N N N N MENLO CLO 2549005RHPY3C68SIP61 586915AE0 12500000.00000000 PA USD 12462586.25000000 0.366913980039 Long ABS-CBDO CORP KY N 2 2038-01-20 Floating 6.51947000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGZY8 980718.64000000 PA USD 921489.58000000 0.027129794938 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 4.00000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAQ7 310000.00000000 PA USD 322623.20000000 0.009498426730 Long DBT CORP CA Y 2 2031-01-15 Fixed 6.75000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 000000000 800000.00000000 PA 1042437.94000000 0.030690664508 Long DBT CORP NL N 2 2029-10-01 Fixed 5.37500000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AH7 4990000.00000000 PA USD 4924825.68000000 0.144992969757 Long DBT CORP US N 2 2028-03-01 Fixed 4.50000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 199780.06000000 0.005881772489 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -20195222.30000000 USD 115883820.71000000 BRL 2025-05-05 199780.06000000 N N N SELECT MEDICAL CORP 549300X05KS0JKR8CB50 816196AV1 670000.00000000 PA USD 665321.86000000 0.019587899875 Long DBT CORP US N 2 2032-12-01 Fixed 6.25000000 N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CJT9 68890000.00000000 PA USD 69272124.22000000 2.039457163501 Long DBT UST US N 2 2027-01-15 Fixed 4.00000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AD9 275000.00000000 PA USD 224812.50000000 0.006618758537 Long DBT CORP CA Y 2 2028-01-15 Fixed 7.00000000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TBC8 1400000.00000000 PA USD 1376060.00000000 0.040512911304 Long DBT CORP LU N 2 2030-03-15 Fixed 6.50000000 N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFL0 4110000.00000000 PA USD 4140825.00000000 0.121911018380 Long DBT UST US N 2 2029-09-30 Fixed 3.87500000 N N N N N N Bayview Opportunity Master Fun N/A 07336PAD6 846243.83000000 PA USD 862500.94000000 0.025393096291 Long ABS-O CORP US N 2 2047-06-25 Floating 7.10369000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 000000000 300000.00000000 PA 390364.49000000 0.011492814237 Long DBT CORP NL N 2 2034-01-16 Fixed 6.62500000 N N N N N N MASTR Asset Backed Securities N/A 57643LBZ8 392218.53000000 PA USD 426828.95000000 0.012566373118 Long ABS-MBS CORP US N 2 2033-08-25 Floating 4.05060000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMBW5 1049866.22000000 PA USD 954586.28000000 0.028104202792 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N BANCO DE CREDITO DEL PER 549300EQYQ8SCQZ4BY14 05971U2D8 1055000.00000000 PA USD 1010737.48000000 0.029757363690 Long DBT CORP PE N 2 2031-09-30 Fixed 3.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -171476.24000000 -0.00504847296 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -26412509.20000000 BRL 4477000.00000000 USD 2025-05-05 -171476.24000000 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAE1 316000.00000000 PA USD 329681.92000000 0.009706244192 Long DBT CORP US N 2 2029-03-01 Fixed 6.15000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WT24 10572288.18000000 PA USD 9645593.40000000 0.283978220349 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.50000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325ER2 6175000.00000000 PA USD 6267625.00000000 0.184526645433 Long DBT NUSS CO N 2 2030-04-25 Fixed 7.37500000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 000000000 20000000.00000000 PA 22707978.25000000 0.668551014308 Long DBT NUSS ZA N 2 2026-07-24 Fixed 3.75000000 N N N N N N Bain Capital Credit CLO, Limit N/A 05684UAA3 1500000.00000000 PA USD 1500000.00000000 0.044161858463 Long ABS-CBDO CORP KY N 2 2035-04-18 Floating 5.58947000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWC84 2599263.34000000 PA USD 2262081.83000000 0.066598491739 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N PGIM Ultra Short Bond ETF 549300GB8HES91GNEF23 69344A107 2350000.00000000 NS USD 116677500.00000000 3.435130160564 Long EC RF US N 1 N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 29646AAD8 290000.00000000 PA USD 293262.50000000 0.008634011345 Long DBT CORP ZA N 2 2028-08-10 Fixed 8.45000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDK4 255240000.00000000 PA USD 245748262.50000000 7.235133324077 Long DBT UST US N 2 2026-11-30 Fixed 1.25000000 N N N N N N MEXICO CITY ARPT TRUST N/A 59284MAD6 6995000.00000000 PA USD 5468760.95000000 0.161007098028 Long DBT CORP MX N 2 2047-07-31 Fixed 5.50000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -163208.25000000 -0.00480505309 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 ORGANON & CO/ORGANON FOR Organon & Co / Organon Foreign Debt Co-Issuer BV Y Default Event 2029-06-20 0.00000000 USD -205249.36000000 USD -1950000.00000000 USD 42041.11000000 N N N Madison Park Funding Ltd N/A 55822EAN9 10000000.00000000 PA USD 9980999.00000000 0.293852976773 Long ABS-CBDO CORP KY N 2 2037-04-18 Floating 6.18947000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKEA4 656367.15000000 PA USD 614182.12000000 0.018082282569 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.50000000 N N N N N N Freddie Mac - STACR 5493000IS4M3TZMRB410 35564KUX5 2020000.00000000 PA USD 2073275.48000000 0.061039798868 Long ABS-MBS CORP US N 2 2042-04-25 Floating 7.25369000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F040669 1500000.00000000 PA USD 1397531.55000000 0.041145060339 Long ABS-MBS USGSE US N 2 2055-06-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EJ84 775321.62000000 PA USD 775695.95000000 0.022837449836 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.50000000 N N N N N N Canyon Capital CLO Ltd N/A 13887TAW7 10000000.00000000 PA USD 9981001.00000000 0.293853035655 Long ABS-CBDO CORP KY N 2 2037-07-15 Floating 6.05610000 N N N N N N BELLIS FINCO PLC 259400ELWH6Z4ICFTD70 000000000 2700000.00000000 PA 3402309.14000000 0.100168196459 Long DBT CORP GB N 2 2027-02-16 Fixed 4.00000000 N N N N N N Barclays Commercial Mortgage S N/A 05493BAA6 5745000.00000000 PA USD 5752181.25000000 0.169351342811 Long ABS-MBS CORP US N 2 2037-10-15 Floating 6.57648000 N N N N N N Freddie Mac - STACR 5493000IRJ8RDHSNEL96 35564KE70 600000.00000000 PA USD 642186.00000000 0.018906751492 Long ABS-MBS CORP US N 2 2042-08-25 Floating 9.70369000 N N N N N N SINCLAIR TELEVISION GROU 549300CQGEN0CH65UD62 829259BH2 275000.00000000 PA USD 272494.02000000 0.008022561562 Long DBT CORP US N 2 2033-02-15 Fixed 8.12500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 996724.60000000 0.029344807141 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 TURKEY GOVERNMENT INTERNATIONAL BOND TURKEY GOVERNMENT INTERNATIONAL BOND Y Default Event 2030-06-20 244.65000000 USD 0.00000000 USD -9000000.00000000 USD 996479.95000000 N N N Cent CLO LP 549300CTF5B701OF6K35 197363AY0 11335000.00000000 PA USD 11319132.13000000 0.333249274034 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 6.23108000 N N N N N N AMN HEALTHCARE INC 549300H27NUKBFFQEE84 00175PAC7 3950000.00000000 PA USD 3542161.65000000 0.104285627627 Long DBT CORP US N 2 2029-04-15 Fixed 4.00000000 N N N N N N Woodward Capital Management N/A 74942BAA9 4615489.44000000 PA USD 4640442.16000000 0.136620366584 Long ABS-MBS CORP US N 2 2055-02-25 Variable 5.50300000 N N N N N N SMITHFIELD FOODS INC CVTIPZRZJC0JQEZLL598 832248BC1 8270000.00000000 PA USD 7343610.46000000 0.216204990495 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N WINDSTREAM SERVICES/ESCR N/A 97381AAA0 345000.00000000 PA USD 353742.87000000 0.010414628371 Long DBT CORP US N 2 2031-10-01 Fixed 8.25000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17308CC53 870000.00000000 PA USD 806841.89000000 0.023754424898 Long DBT CORP US N 2 2030-11-05 Fixed 2.97600000 N N N N N N INTERNATIONAL PARK HLDGS BV N/A 000000000 2700000.00000000 PA 2979431.98000000 0.087718168934 Long DBT CORP US N 3 2031-12-31 Floating 0.01000000 N N N N N N New Residential Mortgage Loan N/A 64828FCQ3 808855.69000000 PA USD 788571.05000000 0.023216508732 Long ABS-MBS CORP US N 2 2048-01-25 Floating 5.19109000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EGT1 2081166.08000000 PA USD 2045028.98000000 0.060208186912 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VVX5 9089699.53000000 PA USD 7417143.82000000 0.218369903720 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.00000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 11695000.00000000 OU Other USD 121.10000000 0.000003565334 N/A DIR CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2035-05-23 0.00000000 USD 0.00000000 USD 0.00000000 USD 11695000.00000000 USD 4.50000000 USD 2025-05-21 XXXX 121.10000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -287969.10000000 -0.00847816709 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 PG&E CORP PG&E Corp Y Default Event 2029-06-20 0.00000000 USD -248501.99000000 USD -1950000.00000000 USD -39467.11000000 N N N Freddie Mac - STACR 5493000ISOMSKCX2AW62 35564KMH9 100000.00000000 PA USD 100297.38000000 0.002952879133 Long ABS-MBS CORP US N 2 2041-11-25 Floating 6.15369000 N N N N N N GOVT OF BERMUDA 549300FP5PUZXX9FVJ40 085209AG9 685000.00000000 PA USD 595696.55000000 0.017538044485 Long DBT NUSS BM N 2 2030-08-20 Fixed 2.37500000 N N N N N N GS Mortgage Securities Trust N/A 36262MAA6 2130000.00000000 PA USD 2110092.17000000 0.062123727837 Long ABS-MBS CORP US N 2 2036-10-15 Floating 5.38648000 N N N N N N Harvest CLO 635400AU6OVIWCGACH33 000000000 7000000.00000000 PA 7944536.35000000 0.233896993229 Long ABS-CBDO CORP IE N 2 2037-07-25 Floating 3.60800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPQG6 1690628.56000000 PA USD 1718916.70000000 0.050607037343 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.00000000 N N N N N N CORONADO FINANCE PTY LTD 549300NS5FS0W548RE27 21979LAB2 1150000.00000000 PA USD 782000.00000000 0.023023048878 Long DBT CORP AU N 2 2029-10-01 Fixed 9.25000000 N N N N N N Sunrun Issuer N/A 86771PAA8 3328150.28000000 PA USD 3288759.29000000 0.096825148189 Long ABS-O CORP US N 2 2060-04-30 Fixed 5.99000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 2829000.00000000 PA 3165773.75000000 0.093204301516 Long DBT NUSS RS N 2 2027-05-15 Fixed 3.12500000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCD3 1300000.00000000 PA USD 1228448.62000000 0.036167049390 Long DBT CORP US N 2 2030-03-01 Fixed 4.75000000 N N N N N BLP Commercial Mortgage Trust N/A 05625BAG4 5030000.00000000 PA USD 4830514.73000000 0.142216338540 Long ABS-MBS CORP US N 2 2042-03-15 Floating 6.57186000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 4110000.00000000 NC USD 137.67000000 0.000004053175 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A BRL 2025-05-23 4110000.00000000 USD 7.00000000 USD 2025-05-23 XXXX -176.07000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWE74 6940354.38000000 PA USD 6816262.86000000 0.200679223781 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.00000000 N N N N N N BRASKEM NETHERLANDS 2549000TLMHFQ74DS330 10554TAB1 1630000.00000000 PA USD 1461295.00000000 0.043022335308 Long DBT CORP NL N 2 2028-01-10 Fixed 4.50000000 N N N N N N Enterprise Fleet Financing LLC N/A 29375NAB1 1371244.47000000 PA USD 1379750.71000000 0.040621570379 Long ABS-O CORP US N 2 2030-04-22 Fixed 5.56000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BR2 1275000.00000000 PA USD 1263843.75000000 0.037209125871 Long DBT CORP PA N 2 2029-05-01 Fixed 6.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46639YAT4 26849842.98000000 PA USD 77410.78000000 0.002279069273 Long ABS-MBS CORP US N 2 2046-04-15 Variable 0.59347300 N N N N N N MAXIM CRANE WORKS LLC N/A 57779EAA6 1875000.00000000 PA USD 1851678.85000000 0.054515719528 Long DBT CORP US N 2 2028-09-01 Fixed 11.50000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 1362000.00000000 PA 1442650.49000000 0.042473417834 Long DBT CORP MX N 2 2028-02-21 Fixed 4.87500000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 139000.00000000 PA 124891.13000000 0.003676949604 Long DBT NUSS RS N 2 2033-03-03 Fixed 1.65000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AH0 400000.00000000 PA USD 305000.00000000 0.008979577887 Long DBT CORP CA Y 2 2028-01-30 Fixed 5.00000000 N N N N N N TFS_18-3 N/A 000000000 1.00000000 PA 1.13000000 0.000000033268 Long ABS-MBS CORP N/A N 3 2040-04-16 Fixed 0.00000100 N N N N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 1.00000000 NC USD -178801.59000000 -0.00526414034 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -20108020162.00000000 KRW 13981476.83000000 USD 2025-06-18 -178801.59000000 N N N MEXICO CITY ARPT TRUST N/A 59284MAB0 415000.00000000 PA USD 326553.13000000 0.009614128738 Long DBT CORP MX N 2 2046-10-31 Fixed 5.50000000 N N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 29646AAC0 1337000.00000000 PA USD 1315273.75000000 0.038723288791 Long DBT CORP ZA N 2 2028-08-10 Fixed 6.35000000 N N N N N N STATE OF MINAS GERAIS N/A 000000000 987000.00000000 PA USD 978097.26000000 0.028796395172 Long DBT CORP KY N 2 2028-02-15 Fixed 5.33300000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAZ4 6310000.00000000 PA USD 6410670.47000000 0.188738081300 Long DBT CORP US N 2 2029-08-01 Fixed 5.10000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CJP7 113060000.00000000 PA USD 114274511.72000000 3.364383208357 Long DBT UST US N 2 2026-12-15 Fixed 4.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWC43 7647085.05000000 PA USD 6926967.23000000 0.203938497593 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.50000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDL3 514000.00000000 PA USD 504439.60000000 0.014851326812 Long DBT CORP MX N 2 2029-06-02 Fixed 8.75000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71643VAB1 2660000.00000000 PA USD 2278024.00000000 0.067067848975 Long DBT CORP MX N 2 2032-02-16 Fixed 6.70000000 N N N N N N MEXICO CITY ARPT TRUST N/A 59284MAC8 2000000.00000000 PA USD 1901800.00000000 0.055991348283 Long DBT CORP MX N 2 2028-04-30 Fixed 3.87500000 N N N N N N GoodLeap Sustainable Home Impr N/A 38237BAA8 2043974.22000000 PA USD 1972437.37000000 0.058070999974 Long ABS-O CORP US N 2 2057-06-20 Fixed 6.25000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 -8140000.00000000 NC USD -29975.27000000 -0.00088250908 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 Call Written HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A COP 2025-05-08 -8140000.00000000 USD 4290.00000000 USD 2025-05-08 XXXX 262694.36000000 N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBG8 1614000.00000000 PA USD 1606064.40000000 0.047284525810 Long DBT CORP US N 2 2029-02-01 Fixed 4.56900000 N N N N N N OneMain Direct Auto Receivable N/A 682687AD0 200000.00000000 PA USD 195535.14000000 0.005756796784 Long ABS-O CORP US N 2 2030-11-14 Fixed 1.62000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 94973VBB2 120000.00000000 PA USD 104460.39000000 0.003075443305 Long DBT CORP US N 2 2043-01-15 Fixed 4.65000000 N N N N N N SCG Hotel Issuer Inc N/A 78398EAG0 3925000.00000000 PA USD 3769367.08000000 0.110974836988 Long ABS-MBS CORP US N 2 2035-03-15 Floating 6.47186000 N N N N N N BAY AREA CA TOLL AUTH TOLL BRI 5493001FUZGUQMIP5D78 072024ND0 550000.00000000 PA USD 580126.63000000 0.017079646749 Long DBT MUN US N 2 2049-04-01 Fixed 6.26300000 N N N N N N Anchorage Capital CLO LTD 549300NPGT86ACOLIL14 03330NAU8 16000000.00000000 PA USD 16000001.60000000 0.471059870714 Long ABS-CBDO CORP KY N 2 2037-07-22 Floating 5.80238000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F050668 16500000.00000000 PA USD 16143377.75000000 0.475281042209 Long ABS-MBS USGSE US N 2 2055-06-15 Fixed 5.00000000 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAD9 1375000.00000000 PA USD 1326317.14000000 0.039048419876 Long DBT CORP US Y 2 2028-08-01 Fixed 5.37500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CJS1 9525000.00000000 PA USD 9536162.11000000 0.280756427589 Long DBT UST US N 2 2025-12-31 Fixed 4.25000000 N N N N N N Wind River CLO Ltd N/A 973142AU6 5000000.00000000 PA USD 4966000.00000000 0.146205192752 Long ABS-CBDO CORP KY N 2 2037-07-20 Floating 6.36947000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 24827.75000000 0.000730959720 N/A DCR CORP US N 3 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Y Default Event 2026-05-07 0.00000000 USD 0.00000000 USD 4330000.00000000 USD 24827.75000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDT7 314148.82000000 PA USD 283980.08000000 0.008360725399 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 451000.00000000 PA USD 420050.13000000 0.012366796259 Long DBT NUSS DO N 2 2030-01-30 Fixed 4.50000000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229BE5 185000.00000000 PA USD 165968.50000000 0.004886318270 Long DBT CORP US N 2 2032-05-15 Fixed 6.62500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VBD1 2690000.00000000 PA USD 2716822.25000000 0.079986613116 Long DBT CORP US N 2 2030-04-01 Fixed 5.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EES5 2217484.51000000 PA USD 2070476.64000000 0.060957397551 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N (PIPA070) PGIM Core Government Money Market Fund N/A 000000000 74008939.06000000 NS USD 74008939.06000000 2.178914861188 Long STIV RF US N 1 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SY5 20165000.00000000 PA USD 14764560.94000000 0.434686967002 Long DBT UST US N 2 2041-05-15 Fixed 2.25000000 N N N N N N Madison Park Funding Ltd N/A 55819JAN3 5495032.04000000 PA USD 5495032.04000000 0.161780551467 Long ABS-CBDO CORP KY N 2 2032-10-15 Floating 5.54610000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AJ6 275000.00000000 PA USD 160187.50000000 0.004716118468 Long DBT CORP CA Y 2 2030-01-30 Fixed 5.25000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CU4 275000.00000000 PA USD 301049.68000000 0.008863275572 Long DBT CORP US N 2 N/A Fixed 10.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -106443.55000000 -0.00313382999 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -199311570.00000000 THB 5882000.00000000 USD 2025-06-18 -106443.55000000 N N N LITHIA MOTORS INC SE8N1EZEHPZQBCBVKD53 536797AG8 1350000.00000000 PA USD 1253450.66000000 0.036903140425 Long DBT CORP US N 2 2029-06-01 Fixed 3.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDU4 5992733.79000000 PA USD 5595447.66000000 0.164736911732 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BQ4 125000.00000000 PA USD 119218.75000000 0.003509947709 Long DBT CORP PA N 2 2028-08-01 Fixed 4.00000000 N N N N N N Structured Asset Investment Lo N/A 86358EKV7 1489748.62000000 PA USD 1508783.73000000 0.044420462357 Long ABS-O CORP US N 2 2034-09-25 Floating 5.16033000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229BF2 355000.00000000 PA USD 323356.10000000 0.009520004214 Long DBT CORP US N 2 2030-05-15 Fixed 6.37500000 N N N N N N PRP Advisors, LLC N/A 74390EAA0 8511328.04000000 PA USD 8533216.62000000 0.251228469739 Long ABS-MBS CORP US N 2 2029-08-25 Variable 6.41400000 N N N N N N PARK RIVER HOLDINGS INC 254900PGY077KWCROT75 70082LAA5 3050000.00000000 PA USD 2391020.69000000 0.070394611529 Long DBT CORP US N 2 2029-02-01 Fixed 5.62500000 N N N N N N Romark CLO Ltd N/A 77587AAC0 678621.86000000 PA USD 678621.86000000 0.019979468354 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.56108000 N N N N N N BRASKEM NETHERLANDS 2549000TLMHFQ74DS330 000000000 1422000.00000000 PA USD 1359005.40000000 0.040010802750 Long DBT CORP NL N 2 2031-01-12 Fixed 8.50000000 N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AK3 1000000.00000000 PA USD 655000.00000000 0.019284011528 Long DBT CORP CA Y 2 2029-02-15 Fixed 6.25000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 -4120000.00000000 NC USD -21585.91000000 -0.00063551593 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Call Written CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A ZAR 2025-05-20 -4120000.00000000 USD 19.00000000 USD 2025-05-20 XXXX 40511.56000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 135000.00000000 PA USD 133706.04000000 0.003936471476 Long DBT CORP US N 2 2029-05-01 Fixed 4.22300000 N N N N N N DIGICEL INTL FIN LTD Common Equity N/A 000000000 147816.00000000 NS USD 1034712.00000000 0.030463203262 Long EC CORP US N 2 N N N MEXICO CITY ARPT TRUST N/A 59284MAA2 218000.00000000 PA USD 213694.50000000 0.006291430842 Long DBT CORP MX N 2 2026-10-31 Fixed 4.25000000 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBA8 589000.00000000 PA USD 586155.13000000 0.017257133259 Long DBT CORP BM N 2 2026-03-15 Fixed 5.87500000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BN1 2375000.00000000 PA USD 2358897.50000000 0.069448865016 Long DBT CORP PA Y 2 2027-03-01 Fixed 5.75000000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834VE5 580000.00000000 PA USD 172466.08000000 0.005077615076 Long DBT UST US N 2 2049-11-15 None 0.00000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599CA0 2110000.00000000 PA USD 2144640.91000000 0.063140885547 Long DBT CORP US N 2 2029-07-01 Fixed 5.25000000 N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62912XAF1 500000.00000000 PA USD 499370.15000000 0.014702075923 Long DBT CORP US N 2 2027-08-15 Fixed 4.87500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWB6 3940000.00000000 PA USD 3907279.37000000 0.115035145676 Long DBT CORP US N 2 2027-01-26 Fixed 3.85000000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834KP2 165000.00000000 PA USD 74939.62000000 0.002206315261 Long DBT UST US N 2 2041-08-15 None 0.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -6033.93000000 -0.00017764637 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 PETROLEOS MEXICANOS Petroleos Mexicanos Y Default Event 2025-12-24 0.00000000 USD 0.00000000 USD 3227312.00000000 USD -6033.93000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECX1 6800000.00000000 PA USD 6845979.56000000 0.201554120247 Long DBT CORP GB N 2 2029-02-25 Fixed 5.08600000 N N N N N N GoodLeap Sustainable Home Impr N/A 38237CAA6 424455.09000000 PA USD 394807.50000000 0.011623621956 Long ABS-O CORP US N 2 2055-07-20 Fixed 6.50000000 N N N N N N LAMB WESTON HLD 5493005SMYID1D2OY946 513272AD6 175000.00000000 PA USD 164264.42000000 0.004836148044 Long DBT CORP US N 2 2030-01-31 Fixed 4.12500000 N N N N N N OHIO ST UNIV JFC10ZULKO4X2E3HBY86 677632PA3 180000.00000000 PA USD 153907.29000000 0.004531221304 Long DBT MUN US N 2 2111-06-01 Fixed 4.80000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BG6 25000.00000000 PA USD 24968.75000000 0.000735110935 Long DBT CORP LR N 2 2028-04-01 Fixed 5.50000000 N N N N N N Rockford Tower CLO Ltd N/A 77340LAN0 11500000.00000000 PA USD 11518988.80000000 0.339133302016 Long ABS-CBDO CORP KY N 2 2035-10-20 Floating 6.11947000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BP8 325000.00000000 PA USD 288904.29000000 0.008505700242 Long DBT CORP US N 2 2032-01-15 Fixed 3.75000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397C92 625000.00000000 PA USD 634405.73000000 0.018677690704 Long DBT CORP US N 2 2028-05-12 Fixed 6.80000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DB8 5555000.00000000 PA USD 5348640.54000000 0.157470604332 Long DBT CORP US N 2 2028-02-01 Fixed 3.25000000 N N N N N N Elevation CLO Ltd 549300JPI8D017HI2768 28623RBG2 16750000.00000000 PA USD 16543976.68000000 0.487075171041 Long ABS-CBDO CORP KY N 2 2038-01-20 Floating 5.96947000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -234222.00000000 -0.00689578587 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 BOMBARDIER INC BOMBARDIER INC Y Default Event 2029-06-20 0.00000000 USD -183581.02000000 USD -1950000.00000000 USD -50640.98000000 N N N DP WORLD LTD UAE 549300M3U2DNF4QVSS04 000000000 601000.00000000 PA 675949.29000000 0.019900784582 Long DBT CORP AE N 2 2026-09-25 Fixed 2.37500000 N N N N N N MEDLINE BORROWER LP 254900QT3R363TVK6F09 62482BAA0 1710000.00000000 PA USD 1595130.65000000 0.046962622663 Long DBT CORP US N 2 2029-04-01 Fixed 3.87500000 N N N N N N CLEAN RENEWABLE POWER 2138003P9CSDW7P4MT75 18452NAB0 382375.00000000 PA USD 367003.53000000 0.010805038631 Long DBT CORP MU N 2 2027-03-25 Fixed 4.25000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 4320000.00000000 PA 4382938.65000000 0.129039144209 Long DBT NUSS RS N 2 2029-06-26 Fixed 1.50000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 2043000.00000000 PA 2286205.65000000 0.067308726888 Long DBT NUSS RS N 2 2027-05-15 Fixed 3.12500000 N N N N N N RXO INC 549300KL8CA6GP8XPM30 98379JAA3 975000.00000000 PA USD 999154.46000000 0.029416345230 Long DBT CORP US N 2 2027-11-15 Fixed 7.50000000 N N N N N N GoodLeap Sustainable Home Impr N/A 38237YAA8 866584.61000000 PA USD 851123.01000000 0.025058115934 Long ABS-O CORP US N 2 2057-03-20 Fixed 6.48000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 1637000.00000000 PA USD 1614082.00000000 0.047520573888 Long DBT NUSS DO N 2 2029-02-22 Fixed 5.50000000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CBJ2 24305.57000000 PA USD 24501.27000000 0.000721347745 Long ABS-O CORP US N 2 2032-12-15 Fixed 11.36600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL52 3502028.08000000 PA USD 2971611.26000000 0.087487917247 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -3579000.00000000 NC -11140.59000000 -0.00032799277 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A EUR N/A MXN 2025-05-22 -3579000.00000000 USD 23.25000000 EUR 2025-05-22 XXXX 21332.97000000 N N N LAMB WESTON HLD 5493005SMYID1D2OY946 513272AE4 2325000.00000000 PA USD 2133976.34000000 0.062826907394 Long DBT CORP US N 2 2032-01-31 Fixed 4.37500000 N N N N N N ORGANON & CO/ORGANON FOR N/A 68622TAB7 450000.00000000 PA USD 377512.71000000 0.011114441911 Long DBT CORP US N 2 2031-04-30 Fixed 5.12500000 N N N N N N PGIM AAA CLO ETF 5493000IJ4TGDWNHKI54 69344A834 1797750.00000000 NS USD 92026822.50000000 2.709383673378 Long EC RF US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMLB0 5122766.58000000 PA USD 4638814.57000000 0.136572448318 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.00000000 N N N N N N CLUE OPCO LLC N/A 36267QAA2 7150000.00000000 PA USD 6853169.68000000 0.201765806288 Long DBT CORP US N 2 2031-10-15 Fixed 9.50000000 N N N N N N Elevation CLO Ltd N/A 28623MAS8 10000000.00000000 PA USD 10013827.00000000 0.294819473766 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.88947000 N N N N N N WOLVERINE WORLD WIDE 549300OVC7PK14LQ8D87 978097AG8 825000.00000000 PA USD 687193.83000000 0.020231837771 Long DBT CORP US N 2 2029-08-15 Fixed 4.00000000 N N N N N N ORGANON & CO/ORGANON FOR N/A 68622TAA9 650000.00000000 PA USD 613127.10000000 0.018051221473 Long DBT CORP US N 2 2028-04-30 Fixed 4.12500000 N N N N N N MVM ENERGETIKA ZRT 529900ELI5AQ9F74PF85 000000000 2330000.00000000 PA USD 2430562.80000000 0.071558780239 Long DBT CORP HU N 2 2028-06-09 Fixed 7.50000000 N N N N N N BRASKEM NETHERLANDS 2549000TLMHFQ74DS330 10554TAD7 629000.00000000 PA USD 521881.30000000 0.015364832070 Long DBT CORP NL N 2 2030-01-31 Fixed 4.50000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 -23390000.00000000 OU Other USD -1569.25000000 -0.00004620066 N/A DIR CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Put Written CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2035-05-23 0.00000000 USD 0.00000000 USD 0.00000000 USD -23390000.00000000 USD 4.30000000 USD 2025-05-21 XXXX -1569.25000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -32708.11000000 -0.00096296728 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -5151000.00000000 USD 84876890250.00000000 IDR 2025-06-18 -32708.11000000 N N N LORCA TELECOM BONDCO 9598004HFBAS82YM7X35 000000000 2350000.00000000 PA 2781570.44000000 0.081892880051 Long DBT CORP ES N 2 2029-04-30 Fixed 5.75000000 N N N N N N BALL CORP 0BGI85ALH27ZJP15DY16 058498AZ9 2375000.00000000 PA USD 2424158.38000000 0.071370226180 Long DBT CORP US N 2 2029-06-15 Fixed 6.00000000 N N N N N N PMT CREDIT RISK TRANSFER TRUST N/A 73015AAA5 30645057.23000000 PA USD 30761759.74000000 0.905664319812 Long ABS-MBS CORP US N 2 2033-05-25 Floating 7.85369000 N N N N N N ZAIS CLO 3, LTD 549300SYHU0CNKIXQ691 98887HAL8 11300000.00000000 PA USD 11313561.13000000 0.333085256892 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.70771000 N N N N N N LBA Trust N/A 50177BAL1 2930000.00000000 PA USD 2879640.63000000 0.084780187951 Long ABS-MBS CORP US N 2 2039-06-15 Floating 6.91156000 N N N N N N INDO ASAHAN/MINERAL IND N/A 000000000 1650000.00000000 PA USD 1726312.50000000 0.050824778858 Long DBT CORP ID N 2 2028-11-15 Fixed 6.53000000 N N N N N N ICG Euro CLO 635400IDZDV7D9IJ8J46 000000000 15750000.00000000 PA 17783284.59000000 0.523561931383 Long ABS-CBDO CORP IE N 2 2038-10-19 Floating 3.68440000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAM4 989873.40000000 PA USD 962156.94000000 0.028327092402 Long LON CORP US N 2 2028-01-18 Floating 8.82186000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PDT2 1570000.00000000 PA USD 1574906.25000000 0.046367191270 Long DBT NUSS DO N 2 2027-01-25 Fixed 5.95000000 N N N N N N CELANESE US HOLDINGS LLC CD30XVRLT4QO00B1C706 15089QAW4 1075000.00000000 PA USD 1085924.76000000 0.031970970368 Long DBT CORP US N 2 2028-11-15 Variable 6.60000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -325422.23000000 -0.00958083364 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 LOUISIANA-PACIFIC CORP Louisiana-Pacific Corp Y Default Event 2029-06-20 0.00000000 USD -298645.25000000 USD -1950000.00000000 USD -26776.98000000 N N N CAPSTONE COPPER CORP 549300III6KGKKC42W63 14071LAA6 445000.00000000 PA USD 437435.00000000 0.012878628371 Long DBT CORP CA N 2 2033-03-31 Fixed 6.75000000 N N N N N N Freddie Mac - STACR 5493000ISE4NWBTOSK36 35564KNS4 100000.00000000 PA USD 100563.00000000 0.002960699315 Long ABS-MBS CORP US N 2 2041-12-25 Floating 6.70369000 N N N N N N GS Mortgage Securities Trust N/A 36273XAA9 6445000.00000000 PA USD 6445144.37000000 0.189753035628 Long ABS-MBS CORP US N 2 2041-11-25 Floating 6.96994000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CHZ7 67260000.00000000 PA USD 70029220.31000000 2.061747010414 Long DBT UST US N 2 2030-09-30 Fixed 4.62500000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325EG6 1375000.00000000 PA USD 1341312.50000000 0.039489901853 Long DBT NUSS CO N 2 2034-02-02 Fixed 7.50000000 N N N N N N OneMain Direct Auto Receivable N/A 682685AD4 3700000.00000000 PA USD 3894618.89000000 0.114662405458 Long ABS-O CORP US N 2 2033-02-14 Fixed 7.07000000 N N N N N N PMT CREDIT RISK TRANSFER TRUST N/A 69391NAA9 8182968.79000000 PA USD 8194501.87000000 0.241256287839 Long ABS-MBS CORP US N 2 2027-03-29 Floating 7.70135000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFH3 2570000.00000000 PA USD 2719872.41000000 0.080076413605 Long DBT CORP US N 2 2029-11-01 Fixed 6.40700000 N N N N N N NOVELIS CORP 549300G5F3W3B52WYL23 670001AL0 700000.00000000 PA USD 710208.50000000 0.020909418170 Long DBT CORP US N 2 2030-01-30 Fixed 6.87500000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EDE7 16234846.53000000 PA USD 14676595.44000000 0.432097153695 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -3921.36000000 -0.00011544969 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -4336000.00000000 USD 144183273.60000000 THB 2025-06-18 -3921.36000000 N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BU6 125000.00000000 PA USD 93954.47000000 0.002766136004 Long DBT CORP US N 2 2042-12-01 Fixed 4.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133USKS9 1977293.68000000 PA USD 1646215.39000000 0.048466620702 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLJG2 954306.86000000 PA USD 867702.33000000 0.025546231657 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.50000000 N N N N N N PGIM Floating Rate Income ETF 549300CYXIT4H0WK8H76 69344A883 50000.00000000 NS USD 2455400.00000000 0.072290018180 Long EC RF US N 1 N N N PHINIA INC 254900HG6MORZE1FFM18 71880KAA9 375000.00000000 PA USD 379231.56000000 0.011165046985 Long DBT CORP US N 2 2029-04-15 Fixed 6.75000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAP3 1750000.00000000 PA USD 1718631.20000000 0.050598631869 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N MVM ENERGETIKA ZRT 529900ELI5AQ9F74PF85 000000000 1200000.00000000 PA USD 1222500.00000000 0.035991914647 Long DBT CORP HU N 2 2031-03-13 Fixed 6.50000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 2812000.00000000 PA 2736185.25000000 0.080556683826 Long DBT NUSS CI N 2 2032-01-30 Fixed 4.87500000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A86 600000.00000000 PA USD 575354.40000000 0.016939146386 Long DBT CORP US N 2 2027-08-17 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMD78 9522846.09000000 PA USD 9182810.97000000 0.270353332234 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD -5164173.79000000 -0.15203967466 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.44.V1 Y Default Event 2030-06-20 0.00000000 USD -4370266.66000000 USD -324581000.00000000 USD -793907.13000000 N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BL7 700000.00000000 PA USD 691480.45000000 0.020358041175 Long DBT CORP US N 2 2030-01-15 Fixed 5.25000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWAX1 471969.54000000 PA USD 395545.17000000 0.011645339875 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAG8 6200000.00000000 PA USD 6360766.00000000 0.187268831873 Long DBT CORP GB N 2 2030-02-01 Fixed 5.50000000 N N N N N N DUPONT DE NEMOURS INC 5493004JF0SDFLM8GD76 26078JAD2 4070000.00000000 PA USD 4111206.77000000 0.121039020993 Long DBT CORP US N 2 2028-11-15 Fixed 4.72500000 N N N N N N DANA INC KVWHW7YLZPFJM8QYNJ51 235825AJ5 25000.00000000 PA USD 22463.56000000 0.000661355038 Long DBT CORP US N 2 2032-02-15 Fixed 4.50000000 N N N N N N Regatta VIII Funding Ltd 2549002R0TTC87W9EH67 75888KAL8 18000000.00000000 PA USD 18018599.40000000 0.530489890939 Long ABS-CBDO CORP KY N 2 2037-04-17 Floating 5.82979000 N N N N N N OneMain Direct Auto Receivable N/A 68269DAE4 2900000.00000000 PA USD 2912958.94000000 0.085761120278 Long ABS-O CORP US N 2 2030-12-16 Fixed 5.90000000 N N N N N N Elmwood CLO 40 Ltd N/A 29004FAA9 17500000.00000000 PA USD 17447500.00000000 0.513676017025 Long ABS-CBDO CORP KY N 2 2038-03-22 Floating 5.51617000 N N N N N N Ford Credit Auto Owner Trust/F N/A 34535CAD8 1200000.00000000 PA USD 1247141.76000000 0.036717398592 Long ABS-O CORP US N 2 2036-02-15 Fixed 6.60000000 N N N N N N JP Morgan Mortgage Trust 5299007DSRZLE19EYU93 465985AB5 1019000.00000000 PA USD 1023615.97000000 0.030136522391 Long ABS-O CORP US N 2 2054-05-25 Floating 6.45040000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -30507.14000000 -0.00089816799 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -7193925.00000000 EUR 8161669.78000000 USD 2025-07-22 -30507.14000000 N N N Hudson River Trading LLC 549300SMOBUC8O5UOE10 44413EAJ7 1156129.12000000 PA USD 1153479.27000000 0.033959858841 Long LON CORP US N 2 2030-03-18 Floating 7.29181000 N N N N N N Fannie Mae - CAS N/A 20754BAB7 1900000.00000000 PA USD 1938000.00000000 0.057057121134 Long ABS-MBS CORP US N 2 2042-01-25 Floating 7.35369000 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DBC3 3700000.00000000 PA USD 3729901.55000000 0.109812922888 Long DBT CORP NL N 2 2026-10-13 Fixed 6.57500000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 3100000.00000000 PA USD 2999360.67000000 0.088304894259 Long DBT CORP CH Y 2 2031-04-01 Fixed 4.19400000 N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668CQ3 2055000.00000000 PA USD 2052172.73000000 0.060418507762 Long DBT CORP US N 2 2030-03-27 Fixed 5.35000000 N N N N N N BRASKEM NETHERLANDS 2549000TLMHFQ74DS330 10554TAH8 4934000.00000000 PA USD 4715423.80000000 0.138827918966 Long DBT CORP NL N 2 2031-01-12 Fixed 8.50000000 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAG2 645000.00000000 PA USD 635676.37000000 0.018715099920 Long DBT CORP US Y 2 2026-04-15 Fixed 4.37500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JT9 405000.00000000 PA USD 404324.44000000 0.011903812461 Long DBT CORP US N 2 2025-06-10 Fixed 4.40000000 N N N N N N CARVANA CO 5493003WEAK2PJ5WS063 146869AL6 623078.00000000 PA USD 640440.16000000 0.018855351800 Long DBT CORP US N 2 2028-12-01 Fixed 9.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599ED3 1275000.00000000 PA USD 1320837.05000000 0.038887079236 Long DBT CORP US N 2 2030-09-01 Fixed 6.62500000 N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -4148000.00000000 NC USD -14016.58000000 -0.00041266548 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A ZAR N/A USD 2025-05-28 -4148000.00000000 USD 18.10000000 USD 2025-05-28 XXXX 3127.10000000 N N N DIGICEL GROUP HOLDINGS N/A 25381HAD0 128950.36000000 PA USD 0.13000000 0.000000003827 Long DBT CORP BM Y 3 2030-12-31 None 0.00000000 N N N N N N NOVELIS CORP 549300G5F3W3B52WYL23 670001AG1 1425000.00000000 PA USD 1383124.74000000 0.040720906003 Long DBT CORP US N 2 2026-11-15 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EHP8 701427.40000000 PA USD 689247.81000000 0.020292309487 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 5.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAT0 5265000.00000000 PA USD 5212109.78000000 0.153450969599 Long DBT CORP US N 2 2030-09-19 Fixed 4.54200000 N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAH0 170000.00000000 PA USD 159702.37000000 0.004701835640 Long DBT CORP US Y 2 2029-04-15 Fixed 4.62500000 N N N N N N Santander Drive Auto Receivabl N/A 80287JAE4 1250000.00000000 PA USD 1268643.25000000 0.037350429097 Long ABS-O CORP US N 2 2030-12-16 Fixed 5.47000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668CR1 1750000.00000000 PA USD 1746939.08000000 0.051432050929 Long DBT CORP US N 2 2032-03-25 Fixed 5.65000000 N N N N N N BALL CORP 0BGI85ALH27ZJP15DY16 058498AW6 1000000.00000000 PA USD 885069.91000000 0.026057554730 Long DBT CORP US N 2 2030-08-15 Fixed 2.87500000 N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHM4 1450000.00000000 PA USD 1440015.69000000 0.042395846057 Long DBT CORP US N 2 2029-07-23 Fixed 4.27100000 N N N N N N CARVANA CO 5493003WEAK2PJ5WS063 146869AM4 1450000.00000000 PA USD 1634544.78000000 0.048123023484 Long DBT CORP US N 2 2031-06-01 Fixed 9.00000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -2035000.00000000 NC USD -278.53000000 -0.00000820026 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A USD N/A BRL 2025-05-08 -2035000.00000000 USD 6.05000000 USD 2025-05-08 XXXX 48020.03000000 N N N BPR Trust N/A 05610WAE0 4300000.00000000 PA USD 4475033.65000000 0.131750535113 Long ABS-MBS CORP US N 2 2038-10-05 Variable 8.63034100 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AM9 1285000.00000000 PA USD 1353793.94000000 0.039857370911 Long DBT CORP US N 2 2028-12-12 Fixed 7.20000000 N N N N N N ROMANIA 315700IASY927EDWBK92 77586RAU4 2132000.00000000 PA USD 2014079.08000000 0.059296983509 Long DBT NUSS RO N 2 2034-01-30 Fixed 6.37500000 N N N N N N Island Finance Trust 2025-1 N/A 463920AA6 3000000.00000000 PA USD 3047910.30000000 0.089734255518 Long ABS-O CORP US N 2 2035-03-19 Fixed 6.54000000 N N N N N N CARVANA CO 5493003WEAK2PJ5WS063 146869AN2 3750000.00000000 PA USD 3973087.94000000 0.116972631512 Long DBT CORP US N 2 2030-06-01 Fixed 9.00000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BZ6 3440000.00000000 PA USD 3501582.13000000 0.103090916281 Long DBT CORP US N 2 2029-03-30 Fixed 5.35000000 N N N N N N BPR Trust N/A 05592AAJ9 2024000.00000000 PA USD 1997981.88000000 0.058823061997 Long ABS-MBS CORP US N 2 2038-09-15 Floating 6.13648000 N N N N N N Carlyle Global Market Strategi N/A 000000000 6000000.00000000 PA 6830857.80000000 0.201108916897 Long ABS-CBDO CORP IE N 2 2037-04-25 Floating 4.35800000 N N N N N N ROCKETMTGE CO-ISSUER INC N/A 77313LAA1 1396000.00000000 PA USD 1347663.52000000 0.039676883750 Long DBT CORP US N 2 2026-10-15 Fixed 2.87500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DG7 9286000.00000000 PA USD 9097691.38000000 0.267847306043 Long DBT CORP US N 2 2026-02-04 Fixed 2.19600000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 20422.30000000 0.000601257814 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -9997228.11000000 USD 36785213.00000000 PEN 2025-06-18 20422.30000000 N N N FERTITTA ENTERTAINMENT N/A 31556TAC3 1075000.00000000 PA USD 939025.43000000 0.027646072088 Long DBT CORP US N 2 2030-01-15 Fixed 6.75000000 N N N N N N Freddie Mac - STACR 5493000ISHRHX47NOH65 35564KJP5 100000.00000000 PA USD 100250.00000000 0.002951484207 Long ABS-MBS CORP US N 2 2041-09-25 Floating 6.45369000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834VM7 340000.00000000 PA USD 99926.97000000 0.002941973803 Long DBT UST US N 2 2050-02-15 None 0.00000000 N N N N N N STAR LEASING CO LLC 549300WXKNX4PT3HSN71 854938AA5 815000.00000000 PA USD 730841.63000000 0.021516883082 Long DBT CORP US N 2 2030-02-15 Fixed 7.62500000 N N N N N N Towd Point Mortgage Trust N/A 89183CAA3 514485.34000000 PA USD 516488.03000000 0.015206047519 Long ABS-MBS CORP US N 2 2064-01-25 Variable 5.84800000 N N N N N N UTAH ACQUISITION SUB 254900JOFV74IJ7H9933 62854AAP9 520000.00000000 PA USD 394532.10000000 0.011615513839 Long DBT CORP US N 2 2046-06-15 Fixed 5.25000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CD4 1220000.00000000 PA USD 1105401.04000000 0.032544376182 Long DBT CORP US N 2 2029-01-15 Fixed 2.25000000 N N N N N JACOBS ENTERTAINMENT INC 5493004U9JIWY3HSUO63 469815AK0 1125000.00000000 PA USD 1023240.65000000 0.030125472506 Long DBT CORP US N 2 2029-02-15 Fixed 6.75000000 N N N N N N INGLES MARKETS INC 549300XH5RYBMYP8TF26 457030AK0 275000.00000000 PA USD 247242.00000000 0.007279110806 Long DBT CORP US N 2 2031-06-15 Fixed 4.00000000 N N N N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAC9 350000.00000000 PA USD 335125.00000000 0.009866495211 Long DBT CORP US N 2 2026-09-18 Fixed 4.37500000 N N N N N N LLC BNY MELLON CAPITAL MARKETS, LLC VJW2DOOHGDT6PR0ZRO63 000000000 1.00000000 NC USD -186380.31000000 -0.00548726724 N/A DFE CORP US N 2 LLC BNY MELLON CAPITAL MARKETS, LLC VJW2DOOHGDT6PR0ZRO63 -20108020162.00000000 KRW 13973898.11000000 USD 2025-06-18 -186380.31000000 N N N MPT OPER PARTNERSP/FINL N/A 55342UAQ7 125000.00000000 PA USD 127299.69000000 0.003747860594 Long DBT CORP US N 2 2032-02-15 Fixed 8.50000000 N N N N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAD4 1770000.00000000 PA USD 1885050.00000000 0.055498207530 Long DBT CORP NL N 2 2030-07-28 Fixed 7.00000000 N N N N N N Bear Stearns Asset Backed Secu N/A 07384YLS3 45690.95000000 PA USD 45034.00000000 0.001325856756 Long ABS-MBS CORP US N 2 2043-06-25 Floating 5.62109000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BX8 525000.00000000 PA USD 520301.25000000 0.015318313440 Long DBT CORP CA N 2 2028-02-15 Fixed 6.00000000 N N N N N N Affirm Inc N/A 00835AAE8 1250000.00000000 PA USD 1218459.38000000 0.035872953788 Long ABS-O CORP US N 2 2029-09-15 Fixed 7.35000000 N N N N N N Structured Asset Securities Co N/A 86359BBZ3 163895.10000000 PA USD 157119.17000000 0.004625783031 Long ABS-MBS CORP US N 2 2033-12-25 Variable 6.23420400 N N N N N N NEW JERSEY ST TURNPIKE AUTH TU 5493005YN67D71KSMI84 646139W35 2000000.00000000 PA USD 2406979.07000000 0.070864446008 Long DBT MUN US N 2 2040-01-01 Fixed 7.41400000 N N N N N N Doncasters US Finance LLC N/A 000000000 1200000.00000000 PA USD 1186500.00000000 0.034932030044 Long DBT CORP US N 2 2030-04-23 Floating 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMQF5 1327402.48000000 PA USD 1131253.30000000 0.033305498747 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 2.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TN8 1000000.00000000 PA USD 827812.50000000 0.024371825639 Long DBT UST US N 2 2053-02-15 Fixed 3.62500000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -193352.03000000 -0.00569252332 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CAESARS ENTERTAIN INC Caesars Entertainment Inc Y Default Event 2029-06-20 0.00000000 USD -205249.36000000 USD -1950000.00000000 USD 11897.33000000 N N N STRIPS 254900HROIFWPRGM1V77 912834KV9 23665000.00000000 PA USD 10598656.93000000 0.312037591495 Long DBT UST US N 2 2041-11-15 None 0.00000000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BT7 1948000.00000000 PA USD 1944941.64000000 0.057261491616 Long DBT CORP CA N 2 2027-04-15 Fixed 7.87500000 N N N N N N JACOBS ENTERTAINMENT INC 5493004U9JIWY3HSUO63 469815AL8 690000.00000000 PA USD 627052.75000000 0.018461209862 Long DBT CORP US N 2 2029-02-15 Fixed 6.75000000 N N N N N N Diamond Sports Net, LLC 549300MPO5H6LGX4RJ82 25277EAB8 188441.16000000 PA USD 168497.87000000 0.004960786057 Long LON CORP US N 2 2028-01-02 Fixed 15.00000000 N N N N N N FIRST QUANTUM MINERALS L 549300I7UVBGWRYMYZ18 335934AV7 1600000.00000000 PA USD 1682000.00000000 0.049520163956 Long DBT CORP CA Y 2 2029-03-01 Fixed 9.37500000 N N N N N N UNITI GROUP/CSL CAPITAL N/A 91327TAA9 3636000.00000000 PA USD 3861441.98000000 0.113685636123 Long DBT CORP US N 2 2028-02-15 Fixed 10.50000000 N N N N N N Citigroup Mortgage Loan Trust N/A 173106AB1 593449.00000000 PA USD 497107.01000000 0.014635446277 Long ABS-MBS CORP US N 2 2063-02-25 Variable 4.22171300 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 4500000.00000000 PA 5414552.87000000 0.159411144991 Long DBT NUSS RO N 2 2029-09-27 Fixed 6.62500000 N N N N N N Lugo Funding DAC N/A 000000000 3100000.00000000 PA 3330589.20000000 0.098056672566 Long ABS-MBS CORP IE N 2 2066-05-26 Floating 4.52100000 N N N N N N Barings Euro CLO 5493007R4SFFXIAHHB67 000000000 3000000.00000000 PA 3423183.71000000 0.100782769663 Long ABS-CBDO CORP IE N 2 2034-10-21 Floating 3.21600000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 9890000.00000000 OU Other USD 95714.40000000 0.002817950523 N/A DIR CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2030-06-27 0.00000000 USD 0.00000000 USD 0.00000000 USD 9890000.00000000 USD 3.40000000 USD 2025-06-25 XXXX 95714.40000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -1279.28000000 -0.00003766358 N/A DCR CORP US N 3 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 BANK OF MONTREAL Bank of Montreal Y Default Event 2029-11-20 0.00000000 USD 0.00000000 USD 835000.00000000 USD -1279.28000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBC6 2633463.59000000 PA USD 2201163.32000000 0.064804975328 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N PERMIAN RESOURC OPTG LLC 5493004CTVUMQLRPOE23 27034RAA1 1025000.00000000 PA USD 1042453.64000000 0.030691126736 Long DBT CORP US N 2 2027-04-15 Fixed 8.00000000 N N N N N N PREMIER ENTERTAINMENT SU N/A 74052HAB0 625000.00000000 PA USD 329871.86000000 0.009711836261 Long DBT CORP US N 2 2031-09-01 Fixed 5.87500000 N N N N N N Radnor Re LTD 254900JO0CMUL2VM8206 75049GAB5 610518.07000000 PA USD 620665.55000000 0.018273162781 Long ABS-MBS CORP BM Y 2 2031-11-25 Floating 8.05369000 N N N N N N Indigo Credit Management 635400ZBUBZKOZYRMX14 000000000 6500000.00000000 PA 7363370.37000000 0.216786746728 Long ABS-CBDO CORP IE N 2 2038-07-15 Floating 4.92900000 N N N N N N VISTRA CORP 549300KP43CPCUJOOG15 92840MAB8 4125000.00000000 PA USD 4209330.55000000 0.123927906649 Long DBT CORP US N 2 N/A Fixed 8.00000000 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBN0 550000.00000000 PA USD 576125.00000000 0.016961833804 Long DBT CORP BM Y 2 2029-01-15 Fixed 8.12500000 N N N N N N VISTRA CORP 549300KP43CPCUJOOG15 92840MAD4 3250000.00000000 PA USD 3428539.81000000 0.100940459883 Long DBT CORP US N 2 N/A Fixed 8.87500000 N N N N N N FIRST QUANTUM MINERALS L 549300I7UVBGWRYMYZ18 335934AW5 1800000.00000000 PA USD 1784250.00000000 0.052530530642 Long DBT CORP CA N 2 2033-03-01 Fixed 8.00000000 N N N N N N SUBURBAN PROPANE PARTNRS N/A 864486AK1 2550000.00000000 PA USD 2533720.93000000 0.074595883397 Long DBT CORP US N 2 2027-03-01 Fixed 5.87500000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 18838.48000000 0.000554628191 N/A DCR CORP US N 3 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 IHS MARKIT LTD CDX.NA.HY.42.V1 Y Default Event 2027-08-02 0.00000000 USD -4863.84000000 USD 13567790.80000000 USD 23702.32000000 N N N AUTONATION INC N/A 05329WAR3 4000000.00000000 PA USD 3651056.07000000 0.107491614269 Long DBT CORP US N 2 2028-08-01 Fixed 1.95000000 N N N N N N PRP Advisors, LLC N/A 69382HAA3 3500000.00000000 PA USD 3508159.90000000 0.103284573980 Long ABS-MBS CORP US N 2 2030-05-25 Variable 6.46900000 N N N N N N Harvest CLO 635400AU6OVIWCGACH33 000000000 13750000.00000000 PA 15585770.27000000 0.458864387136 Long ABS-CBDO CORP IE N 2 2037-07-25 Floating 4.20800000 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 373298BN7 400000.00000000 PA USD 406468.36000000 0.011966932122 Long DBT CORP US N 2 2025-12-01 Fixed 7.37500000 N N N N N N Citigroup Mortgage Loan Trust N/A 173106AA3 7138468.60000000 PA USD 6788742.89000000 0.199869001767 Long ABS-MBS CORP US N 2 2063-02-25 Variable 4.10000000 N N N N N N VISTRA CORP 549300KP43CPCUJOOG15 92840MAC6 2255000.00000000 PA USD 2278709.33000000 0.067088025940 Long DBT CORP US N 2 N/A Fixed 7.00000000 N N N N N N Tenneco Inc 549300U0EXXFAQFAD785 88037HAN4 541438.34000000 PA USD 509531.92000000 0.015001251022 Long LON CORP US N 2 2028-11-17 Floating 9.17192000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 000000000 3800000.00000000 PA 4755244.36000000 0.140000285589 Long DBT CORP GB N 2 2028-11-30 Fixed 11.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL86 1621871.98000000 PA USD 1426093.27000000 0.041985952763 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAS7 2625000.00000000 PA USD 2441281.31000000 0.071874346454 Long DBT CORP US N 2 2030-06-01 Fixed 4.62500000 N N N N N N THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 000000000 1.00000000 NC USD -74658.98000000 -0.00219805287 N/A DFE CORP US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 -3853000.00000000 USD 16079674811.00000000 COP 2025-06-18 -74658.98000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAV1 60000.00000000 PA USD 51540.90000000 0.001517427953 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AS6 1600000.00000000 PA USD 1398033.68000000 0.041159843668 Long DBT CORP US Y 2 2028-02-01 Fixed 5.37500000 N N N N N N Fannie Mae - CAS N/A 20754XAC7 250000.00000000 PA USD 248909.50000000 0.007328204072 Long ABS-MBS CORP US N 2 2044-07-25 Floating 6.05369000 N N N N N N SALLY HOLDINGS/SALLY CAP N/A 79546VAQ9 415000.00000000 PA USD 418524.43000000 0.012321877760 Long DBT CORP US N 2 2032-03-01 Fixed 6.75000000 N N N N N N ARES Commercial Mortgage Trust N/A 039955AG4 3380000.00000000 PA USD 3363486.67000000 0.099025214842 Long ABS-MBS CORP US N 2 2042-04-15 Floating 6.40000000 N N N N N N Trinitas CLO Ltd N/A 89642XAA2 6000000.00000000 PA USD 6007618.20000000 0.176871723099 Long ABS-CBDO CORP BM N 2 2037-04-25 Floating 5.88177000 N N N N N N Fannie Mae - CAS N/A 20753XAF1 1000000.00000000 PA USD 1077500.00000000 0.031722934996 Long ABS-MBS CORP US N 2 2042-03-25 Floating 10.60369000 N N N N N N UNIVISION COMMUNICATIONS 549300YQDE2JSGTL8V47 914906AY8 2185000.00000000 PA USD 2124607.69000000 0.062551082730 Long DBT CORP US N 2 2028-08-15 Fixed 8.00000000 N N N N N N AUTONATION INC N/A 05329WAP7 4122000.00000000 PA USD 4009167.57000000 0.118034860521 Long DBT CORP US N 2 2027-11-15 Fixed 3.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL94 929297.02000000 PA USD 783866.27000000 0.023077994179 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 -10480000.00000000 OU OTHER USD -22807.87000000 -0.00067149195 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 0.00000000 NC USD 0.00000000 0.00000000 DCR CORP GB US IHS MARKIT LTD CDX.NA.HY.44.V1 Default Event 2030-06-20 0.00000000 USD 0.00000000 USD N/A N/A -10480000.00000000 USD 96.00000000 USD 2025-06-18 XXXX 81992.13000000 N N N Madison Park Euro Funding 635400X2NOVLPNW79680 000000000 2500000.00000000 PA 2812745.90000000 0.082810724219 Long ABS-CBDO CORP IE N 2 2034-05-25 Floating 3.06900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0VA7 6373528.66000000 PA USD 5967844.83000000 0.175700745808 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BK8 360000.00000000 PA USD 372910.09000000 0.010978935076 Long DBT CORP US N 2 2030-11-01 Fixed 5.80000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CU1 3300000.00000000 PA USD 3504137.67000000 0.103166154545 Long DBT CORP DE N 2 2029-11-20 Fixed 6.81900000 N N N N N BEAZER HOMES USA 549300DUPYT2T0F60I45 07556QBT1 3475000.00000000 PA USD 3377036.03000000 0.099424124788 Long DBT CORP US N 2 2029-10-15 Fixed 7.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XDD5 6216690.43000000 PA USD 5810939.85000000 0.171081268796 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 4.00000000 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BY4 335000.00000000 PA USD 270006.65000000 0.007949330307 Long DBT CORP KY N 2 2029-05-15 Fixed 8.25000000 N N N N N N Chase Mortgage Finance Corpora N/A 161630AC2 17742.90000000 PA USD 17315.01000000 0.000509775347 Long ABS-MBS CORP US N 2 2037-02-25 Variable 6.66152800 N N N N N N Battalion CLO LTD 549300RRK5G3IT4Y7N27 07132JBC7 4740000.00000000 PA USD 4740000.00000000 0.139551472743 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.70679000 N N N N N N ALGONQUIN PWR & UTILITY 549300K5VIUTJXQL7X75 015857AF2 1635000.00000000 PA USD 1643874.13000000 0.048397691106 Long DBT CORP CA N 2 2026-06-15 Variable 5.36500000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -162585.40000000 -0.00478671561 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -202255018.00000000 TWD 6203000.00000000 USD 2025-06-18 -162585.40000000 N N N LHOME Mortgage Trust 529900ZQNJ23BIJVY871 50205WAA5 6500000.00000000 PA USD 6475644.50000000 0.190650997244 Long ABS-MBS CORP US N 2 2039-09-25 Variable 5.32300000 N N N N N N BEAZER HOMES USA 549300DUPYT2T0F60I45 07556QBR5 150000.00000000 PA USD 145998.58000000 0.004298379083 Long DBT CORP US N 2 2027-10-15 Fixed 5.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWFH1 1453801.82000000 PA USD 1455177.16000000 0.042842218519 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.50000000 N N N N N N Rockford Tower Europe CLO 635400NARJYDXJRPGF02 000000000 8335000.00000000 PA 9368503.70000000 0.275820356274 Long ABS-CBDO CORP IE N 2 2027-10-25 Floating 3.42900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWFG3 1168757.81000000 PA USD 1147560.04000000 0.033785589376 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.00000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BJ1 2908000.00000000 PA USD 2998126.13000000 0.088268547872 Long DBT CORP US N 2 2028-11-01 Fixed 5.65000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AQ0 1500000.00000000 PA USD 1394292.08000000 0.041049686328 Long DBT CORP US Y 2 2027-04-15 Fixed 5.50000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46644ABJ0 52766000.00000000 PA USD 691.23000000 0.000020350667 Long ABS-MBS CORP US N 2 2048-02-15 Variable 0.55682900 N N N N N N Freddie Mac - STACR 5493000ISBDRXIMCHZ70 35564KQC6 70000.00000000 PA USD 70962.50000000 0.002089223920 Long ABS-MBS CORP US N 2 2042-01-25 Floating 6.85369000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DSUQ3 10279334.00000000 PA USD 10203316.68000000 0.300398284718 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -149840.91000000 -0.00441150203 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -15333658.12000000 USD 251794000000.00000000 IDR 2025-06-18 -149840.91000000 N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GAV2 1200000.00000000 PA USD 1232418.63000000 0.036283931403 Long DBT CORP US N 2 2031-11-15 Fixed 6.87500000 N N N N N N Sunrun Issuer N/A 86773AAB7 3387984.38000000 PA USD 3212958.74000000 0.094593486082 Long ABS-O CORP US N 2 2059-10-30 Fixed 5.88000000 N N N N N N REGL TRANSPRTN DIST CO SALES T N/A 759136QP2 1190000.00000000 PA USD 1195485.34000000 0.035196569586 Long DBT MUN US N 2 2050-11-01 Fixed 5.84400000 N N N N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 78410GAG9 1500000.00000000 PA USD 1389397.15000000 0.040905573525 Long DBT CORP US N 2 2029-02-01 Fixed 3.12500000 N N N N N N DCLI BIDCO LLC 2549007UUVJTHHNK9T70 233104AA6 1950000.00000000 PA USD 1816814.49000000 0.053489269574 Long DBT CORP US N 2 2029-11-15 Fixed 7.75000000 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBR1 995000.00000000 PA USD 967637.50000000 0.028488446879 Long DBT CORP BM N 2 2032-02-01 Fixed 6.75000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DXL1 1572910.65000000 PA USD 1315692.40000000 0.038735614366 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N BELLEMEADE RE LT N/A 078915AB1 4612000.00000000 PA USD 4660842.92000000 0.137220990235 Long ABS-MBS CORP BM N 2 2034-08-25 Floating 7.55369000 N N N N N N Genesis Sales Finance Master T N/A 37186XAY1 5000000.00000000 PA USD 5048854.00000000 0.148644517166 Long ABS-O CORP US N 2 2032-12-20 Fixed 6.26000000 N N N N N N DISH DBS CORP N/A 25470XAY1 550000.00000000 PA USD 479169.88000000 0.014107354946 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD -7228.81000000 -0.00021282512 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -6235102.31000000 USD 247539796.67000000 TRY 2025-05-27 -7228.81000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BDZ6 605000.00000000 PA USD 602679.76000000 0.017743638839 Long DBT CORP US N 2 2026-01-27 Fixed 3.87500000 N N N N N N Babson Euro CLO B.V. 549300D83T2O13OUPP03 000000000 2800000.00000000 PA 3150390.24000000 0.092751391921 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 2.99100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EM23 1197842.43000000 PA USD 1221120.17000000 0.035951290742 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6.00000000 N N N N N N PGIM Institutional Money Market Fund - D N/A 000000000 30826383.36600000 NS USD 30801722.26000000 0.906840865913 Long STIV RF US N 1 N N CLARIOS GLOBAL LP/US FIN N/A 18060TAD7 100000.00000000 PA USD 101375.00000000 0.002984605601 Long DBT CORP N/A N 2 2030-02-15 Fixed 6.75000000 N N N N N N PREEM HOLDING AB N/A 000000000 1760000.00000000 PA 2061805.13000000 0.060702097553 Long DBT CORP SE N 2 2027-06-30 Fixed 12.00000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 2770000.00000000 PA USD 2768047.66000000 0.081494752653 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BC0 54000.00000000 PA USD 60980.02000000 0.001795327341 Long DBT CORP US N 2 2039-12-16 Fixed 6.85000000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CBX1 147211.12000000 PA USD 148137.65000000 0.004361355954 Long ABS-O CORP US N 2 2033-06-15 Fixed 10.06800000 N N N N N N Sunrun Issuer N/A 86773AAA9 833928.35000000 PA USD 811451.65000000 0.023890141944 Long ABS-O CORP US N 2 2059-10-30 Fixed 5.49000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 4120000.00000000 NC USD 0.00000000 0.000000 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A ZAR 2025-05-01 4120000.00000000 USD 22.00000000 USD 2025-05-01 XXXX -659.90000000 N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BZ3 475000.00000000 PA USD 489250.00000000 0.014404126168 Long DBT CORP CA N 2 2029-02-01 Fixed 7.50000000 N N N N N N Elevation CLO Ltd N/A 28624DAC2 10000000.00000000 PA USD 10023366.00000000 0.295100313744 Long ABS-CBDO CORP KY N 2 2036-10-20 Floating 6.14238000 N N N N N N UNITED GROUP BV 213800PC85O8BJ7DU398 000000000 2950000.00000000 PA 3417451.32000000 0.100614000999 Long DBT CORP NL N 2 2031-02-15 Fixed 6.75000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 2890000.00000000 PA 2958410.87000000 0.087099281411 Long DBT NUSS RS N 2 2028-09-23 Fixed 1.00000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BZ5 750000.00000000 PA USD 832108.26000000 0.024498298136 Long DBT CORP US N 2 2030-12-15 Fixed 10.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWF57 2961231.76000000 PA USD 2906757.95000000 0.085578555449 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N BFLD Trust N/A 05555VAC3 4400000.00000000 PA USD 4334000.00000000 0.127598329719 Long ABS-MBS CORP US N 2 2041-07-15 Floating 6.91086000 N N N N N N CIFC Funding Ltd 5493001TP5YQV9X08Z14 12548MBF1 2738683.36000000 PA USD 2738683.36000000 0.080630231279 Long ABS-CBDO CORP KY N 2 2031-01-22 Floating 5.64399000 N N N N N N OneMain Financial Issuance Tru N/A 68269HAD7 2500000.00000000 PA USD 2592850.75000000 0.076336738558 Long ABS-O CORP US N 2 2036-09-15 Fixed 7.52000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CX5 2065000.00000000 PA USD 2067204.39000000 0.060861058457 Long DBT CORP DE N 2 2030-09-11 Fixed 4.99900000 N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -136017.50000000 -0.00400452372 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -5416913.18000000 SGD 4023000.00000000 USD 2025-06-18 -136017.50000000 N N N COMM Mortgage Trust N/A 200474AA2 123049000.00000000 PA USD 553.72000000 0.000016302202 Long ABS-MBS CORP US N 2 2048-02-10 Variable 0.25619100 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335CAN4 3663041.75000000 PA USD 3335367.94000000 0.098197364592 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.00000000 N N N N N N B&G FOODS INC 549300TRW1LZMDJZAQ78 05508WAB1 1275000.00000000 PA USD 1197203.49000000 0.035247154051 Long DBT CORP US N 2 2027-09-15 Fixed 5.25000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 817477AJ1 1942000.00000000 PA USD 1917725.00000000 0.056460200014 Long DBT NUSS RS N 2 2034-06-12 Fixed 6.00000000 N N N N N N INDIAN RAILWAY FINANCE 335800F2JHSOGXQEBY56 45434L2H6 360000.00000000 PA USD 326703.60000000 0.009618558761 Long DBT CORP IN N 2 2032-01-21 Fixed 3.57000000 N N N N N ANTERO MIDSTREAM PART/FI N/A 03690AAK2 580000.00000000 PA USD 585772.22000000 0.017245859914 Long DBT CORP US N 2 2032-02-01 Fixed 6.62500000 N N N N N N Fannie Mae - CAS N/A 20753YCK6 1000000.00000000 PA USD 1026797.70000000 0.030230196465 Long ABS-MBS CORP US N 2 2042-03-25 Floating 7.45369000 N N N N N N NEW GENERATION GAS - UNFUNDED N/A 000000000 527027.00000000 PA USD 519121.60000000 0.015283583082 Long DBT CORP US N 3 2029-09-30 Floating 0.01000000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAD7 213000.00000000 PA USD 187586.44000000 0.005522777208 Long DBT CORP MA Y 2 2031-06-23 Fixed 3.75000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWCQ4 1835350.57000000 PA USD 1603632.15000000 0.047212917356 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 16003000.00000000 NC 251053.50000000 0.007391326089 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A EUR N/A USD 2025-05-05 16003000.00000000 USD 1.12000000 EUR 2025-05-05 XXXX 193692.15000000 N N N Fannie Mae - CAS N/A 20753YAF9 290000.00000000 PA USD 307037.50000000 0.009039564411 Long ABS-MBS CORP US N 2 2042-03-25 Floating 9.60369000 N N N N N N FALABELLA SA 5493004CKJQ7H391LM41 30607FAA8 1805000.00000000 PA USD 1521795.50000000 0.044803544987 Long DBT CORP CL N 2 2032-01-15 Fixed 3.37500000 N N N N N N LINCOLN NATIONAL CORP EFQMQROEDSNBRIP7LE47 534187BA6 32000.00000000 PA USD 35279.68000000 0.001038677489 Long DBT CORP US N 2 2040-06-15 Fixed 7.00000000 N N N N N N EXPAND ENERGY CORP X2MT1W32SPAZ9WSKLE78 845467AR0 725000.00000000 PA USD 722672.19000000 0.021276364646 Long DBT CORP US N 2 2029-02-01 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EBT6 459643.98000000 PA USD 400016.37000000 0.011776977543 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89788MAQ5 1005000.00000000 PA USD 1085185.42000000 0.031949203282 Long DBT CORP US N 2 2029-10-30 Fixed 7.16100000 N N N N N N Bear Stearns Asset Backed Secu N/A 07384YPB6 1218222.62000000 PA USD 1215151.12000000 0.035775554515 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.51374500 N N N N N N B&G FOODS INC 549300TRW1LZMDJZAQ78 05508WAC9 1600000.00000000 PA USD 1586926.65000000 0.046721086739 Long DBT CORP US N 2 2028-09-15 Fixed 8.00000000 N N N N N N PENNYMAC FIN SVCS INC 549300W1D516HBDEU871 70932MAB3 2600000.00000000 PA USD 2429453.67000000 0.071526126078 Long DBT CORP US N 2 2029-02-15 Fixed 4.25000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BF3 1000000.00000000 PA USD 667957.29000000 0.019665490200 Long DBT CORP US Y 2 2031-02-15 Fixed 3.37500000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 -19780000.00000000 OU Other USD -97728.70000000 -0.00287725401 N/A DIR CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Call Written CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2030-06-27 0.00000000 USD 0.00000000 USD 0.00000000 USD -19780000.00000000 USD 3.15000000 USD 2025-06-25 XXXX -96653.70000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD -280350.86000000 -0.00825387666 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -101108883.95000000 MXN 4841000.00000000 USD 2025-06-18 -280350.86000000 N N N DIG MIDCO/DIFL US II LLC N/A 000000000 828847.00000000 PA USD 765647.42000000 0.022541608663 Long DBT CORP LC N 2 2028-11-25 Fixed 10.50000000 N N Y N N N CRESCENT ENERGY FINANCE 54930061FUL6DBLFUW14 45344LAC7 450000.00000000 PA USD 454822.84000000 0.013390547923 Long DBT CORP US N 2 2028-02-15 Fixed 9.25000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AT6 4495000.00000000 PA USD 4686037.50000000 0.137962749885 Long DBT CORP CO N 2 2029-01-19 Fixed 8.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X1AJ5 350105.44000000 PA USD 317045.37000000 0.009334208504 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.00000000 N N N N N N CD&R FIREFLY BIDCO LTD 213800OAU5VX61DYZ558 000000000 10700000.00000000 PA 14562912.66000000 0.428750191802 Long DBT CORP GB N 2 2029-04-30 Fixed 8.62500000 N N N N N N OneMain Direct Auto Receivable N/A 68267EAB0 1700000.00000000 PA USD 1687386.51000000 0.049678749484 Long ABS-O CORP US N 2 2028-11-14 Fixed 3.95000000 N N N N N N CCM MERGER INC 549300P77RSBKKFME089 14985VAE1 1525000.00000000 PA USD 1527391.05000000 0.044968284912 Long DBT CORP US N 2 2026-05-01 Fixed 6.37500000 N N N N N N IVORY COAST 254900ICW11T82O6H590 221625AV8 9630000.00000000 PA USD 8823487.50000000 0.259774404084 Long DBT NUSS CI N 2 2036-04-01 Fixed 8.07500000 N N N N N N Citigroup Mortgage Loan Trust N/A 17332HAL9 11699161.68000000 PA USD 1169.92000000 0.000034443894 Long ABS-MBS CORP US N 2 2064-01-25 Variable 0.01000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XDE3 5966232.06000000 PA USD 5746145.40000000 0.169173639909 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 4.50000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD 105291.73000000 0.003099918985 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 MURPHY OIL CORP MURPHY OIL CORP Y Default Event 2029-06-20 6965.49000000 USD 0.00000000 USD -1950000.00000000 USD 98326.24000000 N N N BELLIS ACQUISITION CO PL 259400CYE2267UB4A481 000000000 6950000.00000000 PA 8613165.47000000 0.253582262937 Long DBT CORP GB N 2 2030-05-14 Fixed 8.12500000 N N N N N N Long Beach Mortgage Loan Trust N/A 542514FT6 443787.63000000 PA USD 434871.67000000 0.012803160760 Long ABS-O CORP US N 2 2034-06-25 Floating 4.88109000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAF2 5469000.00000000 PA USD 5512478.55000000 0.162294198337 Long DBT CORP MA Y 2 2034-05-02 Fixed 6.75000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 817477AH5 915000.00000000 PA USD 943021.88000000 0.027763732528 Long DBT NUSS RS N 2 2033-09-26 Fixed 6.50000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AS8 2660000.00000000 PA USD 2661622.60000000 0.078361467029 Long DBT CORP CO N 2 2033-01-13 Fixed 8.87500000 N N N N N N Invesco Euro CLO 549300YQUO4XFJGG1T54 000000000 9250000.00000000 PA 10360710.18000000 0.305032144365 Long ABS-CBDO CORP IE N 2 2034-07-15 Floating 3.92900000 N N N N N N CRESCENT ENERGY FINANCE 54930061FUL6DBLFUW14 45344LAD5 860000.00000000 PA USD 781512.55000000 0.023008697746 Long DBT CORP US N 2 2032-04-01 Fixed 7.62500000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWES8 268807.50000000 PA USD 257544.03000000 0.007582415333 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N EXPAND ENERGY CORP X2MT1W32SPAZ9WSKLE78 845467AT6 1775000.00000000 PA USD 1666150.72000000 0.049053541516 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N ASCENT RESOURCES/ARU FIN N/A 04364VAX1 1710000.00000000 PA USD 1688325.65000000 0.049706398930 Long DBT CORP US N 2 2032-10-15 Fixed 6.62500000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 4062000.00000000 NC USD 15.15000000 0.000000446034 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 Put Purchased HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A BRL N/A USD 2025-05-14 4062000.00000000 USD 5.00000000 USD 2025-05-14 XXXX 2.96000000 N N N Citigroup Mortgage Loan Trust N/A 17332HAM7 20599.83000000 PA USD 18273.97000000 0.000538008317 Long ABS-MBS CORP US N 2 2064-01-25 Variable 0.01000000 N N N N N N KKR Financial CLO Ltd 549300I0HBY0ZQ3YIB77 48251FAG6 3300000.00000000 PA USD 3300000.00000000 0.097156088619 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 5.59771000 N N N N N N ANGLOGOLD HOLDINGS PLC 213800745ZIXC4L6A131 03512TAF8 730000.00000000 PA USD 691675.00000000 0.020363768968 Long DBT CORP IM N 2 2028-11-01 Fixed 3.37500000 N N N N N N PENNYMAC FIN SVCS INC 549300W1D516HBDEU871 70932MAD9 710000.00000000 PA USD 740200.79000000 0.021792428348 Long DBT CORP US N 2 2029-12-15 Fixed 7.87500000 N N N N N N Jubilee CDO BV 635400VJFOACD7V4YS84 000000000 10000000.00000000 PA 11156630.80000000 0.328465033544 Long ABS-CBDO CORP IE N 2 2035-04-15 Floating 3.67900000 N N N N N N Trinitas CLO Ltd N/A 89642MAE8 3750000.00000000 PA USD 3760500.38000000 0.110713790355 Long ABS-CBDO CORP BM N 2 2035-01-20 Floating 6.76947000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BW1 845000.00000000 PA USD 839190.63000000 0.024706811883 Long DBT CORP LR N 2 2031-09-30 Fixed 5.62500000 N N N N N Affirm Inc N/A 00833QAD7 4200000.00000000 PA USD 4198726.56000000 0.123615712045 Long ABS-O CORP US N 2 2029-12-17 Fixed 6.08000000 N N N N N N Clarios Global LP 549300474L1ZLXZY2P98 000000000 675000.00000000 PA USD 662133.15000000 0.019494020302 Long LON CORP US N 2 2032-01-28 Floating 7.07162000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 817477AG7 520000.00000000 PA USD 534040.00000000 0.015722799262 Long DBT NUSS RS N 2 2028-05-26 Fixed 6.25000000 N N N N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 1.00000000 NC USD 156630.11000000 0.004611384499 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -5067000.00000000 USD 103128144.30000000 MXN 2025-06-18 156630.11000000 N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAB8 2025000.00000000 PA USD 2023128.90000000 0.059563421423 Long DBT CORP US N 2 2027-02-15 Fixed 5.62500000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAE3 1325000.00000000 PA USD 1327924.42000000 0.039095740190 Long DBT CORP US N 2 2030-01-15 Fixed 6.25000000 N N N N N N CLYDESDALE ACQUISITION 254900QKSDYFR3K5YD98 18972EAD7 725000.00000000 PA USD 741687.38000000 0.021836195399 Long DBT CORP US N 2 2032-04-15 Fixed 6.75000000 N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AN9 2170000.00000000 PA USD 2101102.50000000 0.061859060814 Long DBT CORP CO N 2 2030-04-29 Fixed 6.87500000 N N N N N N FIRST QUANTUM MINERALS L 549300I7UVBGWRYMYZ18 335934AT2 566000.00000000 PA USD 558217.50000000 0.016434614817 Long DBT CORP CA N 2 2027-10-15 Fixed 6.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0UG5 2463181.70000000 PA USD 2306402.35000000 0.067903342760 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N JBS USA HOLD/FOOD/LUX CO N/A 47214BAC2 6110000.00000000 PA USD 6628745.11000000 0.195158468891 Long DBT CORP LU N 2 2034-03-15 Fixed 6.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGB1 11595000.00000000 PA USD 11680150.78000000 0.343878110383 Long DBT UST US N 2 2029-12-31 Fixed 3.87500000 N N N N N N Ally Bank Auto Credit-Linked N N/A 02007GZ89 1506114.71000000 PA USD 1523947.71000000 0.044866908716 Long ABS-O CORP US N 2 2032-05-17 Fixed 7.91700000 N N N N N N OCS Group Investments Limited 54930002RKY3Y4LURL90 000000000 975000.00000000 PA 1292885.59000000 0.038064153623 Long LON CORP GB N 2 2031-11-27 Floating 10.45000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 4130000.00000000 NC USD 0.02000000 0.000000000588 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A MXN 2025-05-05 4130000.00000000 USD 24.00000000 USD 2025-05-05 XXXX -376.03000000 N N N Elmwood CLO 29 Ltd N/A 289913AG0 10000000.00000000 PA USD 9977000.00000000 0.293735241258 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 6.26947000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912833X96 870000.00000000 PA USD 548365.13000000 0.016144548838 Long DBT UST US N 2 2035-11-15 None 0.00000000 N N N N N N COMM Mortgage Trust N/A 12654FAA8 1600000.00000000 PA USD 1675609.92000000 0.049332032084 Long ABS-MBS CORP US N 2 2044-08-10 Fixed 6.33800000 N N N N N N JP Morgan Chase Commercial Mor N/A 46649XAN7 7950000.00000000 PA USD 2444625.80000000 0.071972812383 Long ABS-MBS CORP US N 2 2031-07-05 Variable 4.76697300 N N N N N N ENN CLEAN ENERGY 3003009YZ3S5V395NR77 268733AA0 1350000.00000000 PA USD 1318005.00000000 0.038803700175 Long DBT CORP VG N 2 2026-05-12 Fixed 3.37500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGA3 8210000.00000000 PA USD 8207755.08000000 0.241646478762 Long DBT UST US N 2 2025-12-15 Fixed 4.00000000 N N N N N N Hudson Yards N/A 44855PAJ7 2575000.00000000 PA USD 2628311.26000000 0.077380739907 Long ABS-MBS CORP US N 2 2040-01-13 Variable 6.90084800 N N N N N N FREEDOM MORTGAGE CORP 549300LYRWPSYPK6S325 35640YAK3 175000.00000000 PA USD 187354.79000000 0.005515957145 Long DBT CORP US N 2 2028-10-01 Fixed 12.00000000 N N N N N N Oaktown Re Ltd N/A 67389JAB4 882708.81000000 PA USD 891431.92000000 0.026244860187 Long ABS-MBS CORP BM N 2 2034-04-25 Floating 7.25369000 N N N N N N CLYDESDALE ACQUISITION 254900QKSDYFR3K5YD98 18972EAB1 1540000.00000000 PA USD 1586535.58000000 0.046709573153 Long DBT CORP US N 2 2030-04-15 Fixed 8.75000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 4069000.00000000 NC USD 37.55000000 0.000001105518 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A KRW 2025-05-19 4069000.00000000 USD 1600.00000000 USD 2025-05-19 XXXX -60.11000000 N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AP4 440000.00000000 PA USD 357720.00000000 0.010531720006 Long DBT CORP CO N 2 2031-11-02 Fixed 4.62500000 N N N N N N Credit-Based Asset Servicing a N/A 12489WGJ7 50438.24000000 PA USD 48857.92000000 0.001438437698 Long ABS-O CORP US N 2 2032-12-25 Variable 3.37900000 N N N N N N Countrywide Asset-Backed Certi N/A 126673KY7 4362.11000000 PA USD 4956.53000000 0.000145926384 Long ABS-O CORP US N 2 2034-11-25 Floating 5.49109000 N N N N N N WSH Services Holding Ltd 213800Q4GRDGCYS3TU11 000000000 275000.00000000 PA 364660.04000000 0.010736043382 Long LON CORP GB N 2 2031-05-16 Floating 9.20900000 N N N N N N VIKING OCEAN CRUISES SHI N/A 92682RAA0 875000.00000000 PA USD 861875.00000000 0.025374667842 Long DBT CORP BM N 2 2029-02-15 Fixed 5.62500000 N N N N N N MGM CHINA HOLDINGS LTD 529900VZFN87OS7WJM66 55300RAG6 700000.00000000 PA USD 682850.00000000 0.020103950034 Long DBT CORP KY N 2 2027-02-01 Fixed 4.75000000 N N N N N N Tenneco Inc 549300U0EXXFAQFAD785 88037HAP9 3900000.00000000 PA USD 3684107.70000000 0.108464695207 Long LON CORP US N 2 2028-11-17 Floating 9.41054500 N N N N N N CORP ANDINA DE FOMENTO UKZ46SXGNYCZK0UOZE76 219868CH7 1665000.00000000 PA USD 1723744.03000000 0.050749159919 Long DBT NUSS N/A N 2 2027-04-26 Fixed 6.00000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 5923000.00000000 PA 6089207.52000000 0.179273813767 Long DBT NUSS CI N 2 2031-10-17 Fixed 5.87500000 N N N N N N PRECISION DRILLING CORP 549300WF2OE8T5BP4B84 740212AL9 359000.00000000 PA USD 358001.98000000 0.010540021846 Long DBT CORP CA N 2 2026-01-15 Fixed 7.12500000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 126645.48000000 0.003728599841 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -4358000.00000000 USD 250432470.00000000 PHP 2025-06-18 126645.48000000 N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 000000000 2700000.00000000 PA 3228034.95000000 0.095037348384 Long DBT CORP GB N 2 2030-01-15 Fixed 4.25000000 N N N N N N SAN ANTONIO TX ELEC & GAS REVE 5493002G2FEH20Q4GQ04 796253Z21 120000.00000000 PA USD 112408.31000000 0.003309439917 Long DBT MUN US N 2 2042-02-01 Fixed 4.42700000 N N N N N N OneMain Financial Issuance Tru N/A 68269JAE1 4800000.00000000 PA USD 4931142.24000000 0.145178937110 Long ABS-O CORP US N 2 2038-06-14 Fixed 5.50000000 N N N N N N Fremont Home Loan Trust N/A 35729PGT1 1279396.68000000 PA USD 1187085.39000000 0.034949264651 Long ABS-O CORP US N 2 2035-03-25 Floating 5.23609000 N N N N N N AYDEM YENILENEBILIR ENER 9845009C50EDA74OA532 054644AA7 567000.00000000 PA USD 562180.50000000 0.016551290447 Long DBT CORP TR N 2 2027-02-02 Fixed 7.75000000 N N N N N N NCR ATLEOS LLC 9845005FC3S0VA714741 638962AA8 761000.00000000 PA USD 819469.44000000 0.024126195616 Long DBT CORP US N 2 2029-04-01 Fixed 9.50000000 N N N N N N Generate CLO Ltd. 549300HNXZUJB12SQJ60 37148BAC4 13395000.00000000 PA USD 13395000.00000000 0.394365396076 Long ABS-CBDO CORP KY N 2 2037-07-20 Floating 5.69947000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VDQ0 1834206.36000000 PA USD 1721036.18000000 0.050669437460 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N BX Trust N/A 05612TAE5 6000000.00000000 PA USD 5925000.00000000 0.174439340929 Long ABS-MBS CORP US N 2 2029-07-15 Floating 6.46234100 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 75000.00000000 PA USD 71160.08000000 0.002095040920 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -314868.96000000 -0.00927013229 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 UNITED RENTALS NORTH AM United Rentals North America Inc Y Default Event 2029-06-20 0.00000000 USD -283836.54000000 USD -1950000.00000000 USD -31032.42000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWGS6 1740323.23000000 PA USD 1767259.08000000 0.052030296905 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWCK7 1327545.34000000 PA USD 1159054.17000000 0.034123990804 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBK4 1255000.00000000 PA USD 1254662.72000000 0.036938824973 Long DBT CORP US N 2 2030-03-01 Fixed 5.10000000 N N N N N N HILCORP ENERGY I/HILCORP N/A 431318AZ7 500000.00000000 PA USD 435552.73000000 0.012823212010 Long DBT CORP US Y 2 2032-04-15 Fixed 6.25000000 N N N N N N COMM Mortgage Trust N/A 12654FAC4 5300000.00000000 PA USD 150419.30000000 0.004428530557 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.89432100 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAM9 1850000.00000000 PA USD 1745949.54000000 0.051402917646 Long DBT CORP US Y 2 2040-04-15 Fixed 6.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMCJ1 1935215.29000000 PA USD 1686582.51000000 0.049655078728 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N AMER AIRLN 13-1 A PASS T N/A 023772AB2 1170611.79000000 PA USD 1164291.31000000 0.034278178694 Long DBT CORP US Y 2 2025-07-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B5PP1 1724183.45000000 PA USD 1439812.72000000 0.042389870369 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Peer Holding III BV 7245002S0K5Q59JCVQ03 000000000 4200000.00000000 PA 4736411.64000000 0.139445826979 Long LON CORP NL N 2 2031-07-01 Floating 5.10500000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -312952.31000000 -0.00921370374 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 HILTON DOMESTIC OPERATIN Hilton Domestic Operating Co Inc Y Default Event 2029-06-20 0.00000000 USD -285471.67000000 USD -1950000.00000000 USD -27480.64000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVMA0 521254.29000000 PA USD 459061.29000000 0.013515333143 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N MASTEC INC 549300TMDIT8WREDOF45 576323AT6 3705000.00000000 PA USD 3793545.44000000 0.111686677863 Long DBT CORP US N 2 2029-06-15 Fixed 5.90000000 N N N N N N Apidos CLO Ltd N/A 03767NAW6 14250000.00000000 PA USD 14250000.00000000 0.419537655400 Long ABS-CBDO CORP KY N 2 2038-01-22 Floating 5.60238000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAA1 75000.00000000 PA USD 68797.37000000 0.002025479811 Long DBT CORP US N 2 2029-08-15 Fixed 3.87500000 N N N N N N GS Mortgage Securities Trust N/A 36272JAA1 6900000.00000000 PA USD 6944168.97000000 0.204444938132 Long ABS-MBS CORP US N 2 2041-08-10 Variable 5.37159100 N N N N N N FRONTIER COMMUNICATIONS N/A 35906ABG2 1375000.00000000 PA USD 1381473.84000000 0.040672301461 Long DBT CORP US N 2 2029-05-01 Fixed 6.75000000 N N N N N N M/I HOMES INC 5299005M71FH9CCSFB69 55305BAS0 1000000.00000000 PA USD 976058.14000000 0.028736360953 Long DBT CORP US N 2 2028-02-01 Fixed 4.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWNM1 984151.67000000 PA USD 998681.08000000 0.029402408336 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.00000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298CD3 2625000.00000000 PA USD 2185868.08000000 0.064354664512 Long DBT CORP US N 2 2030-04-01 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CCF6 99695000.00000000 PA USD 96412074.80000000 2.838490934310 Long DBT UST US N 2 2026-05-31 Fixed 0.75000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 12706.54000000 0.000374096280 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 HELLENIC REPUBLIC GOVERNMENT BOND HELLENIC REPUBLIC GOVERNMENT BOND Y Default Event 2027-06-20 11189.56000000 USD 0.00000000 USD 750000.00000000 USD 1516.98000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D2N1 479533.64000000 PA USD 419784.32000000 0.012358970483 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.00000000 N N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 000000000 3984000.00000000 PA USD 4028820.00000000 0.118613452409 Long DBT CORP ZA N 2 2028-08-10 Fixed 8.45000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 1778000.00000000 PA 1803903.92000000 0.053109166397 Long DBT NUSS RS N 2 2029-06-26 Fixed 1.50000000 N N N N N N DISH NETWORK CORP 529900U350CWHH15G169 25470MAG4 3500000.00000000 PA USD 3677079.13000000 0.108257765398 Long DBT CORP US N 2 2027-11-15 Fixed 11.75000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298CB7 2975000.00000000 PA USD 2601776.10000000 0.076599511920 Long DBT CORP US N 2 2029-06-15 Fixed 4.87500000 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAL7 2440000.00000000 PA USD 2485967.40000000 0.073189960308 Long DBT CORP NO N 2 2028-06-13 Fixed 5.60000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WVW5 1473179.55000000 PA USD 1338613.64000000 0.039410444071 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 3.50000000 N N N N N N MidOcean Credit CLO 549300XSCUX0ONI5KZ96 59802UAN9 14657802.95000000 PA USD 14624236.58000000 0.430555643986 Long ABS-CBDO CORP KY N 2 2031-04-21 Floating 6.33108000 N N N N N N SEALED AIR/SEALED AIR US N/A 812127AA6 125000.00000000 PA USD 125809.52000000 0.003703988143 Long DBT CORP US N 2 2028-02-01 Fixed 6.12500000 N N N N N N AYDEM YENILENEBILIR ENER 9845009C50EDA74OA532 000000000 3150000.00000000 PA USD 3123225.00000000 0.091951613599 Long DBT CORP TR N 2 2027-02-02 Fixed 7.75000000 N N N N N N 2025-06-25 Prudential Investment Portfolios 9 Christian J. Kelly Christian J. Kelly Chief Financial Officer