NPORT-P false 0001104631 XXXXXXXX S000050053 C000158017 C000158018 C000183669 C000158016 Prudential Investment Portfolios 3 811-09805 0001104631 549300IKC66S6EOWJB51 655 Broad Street Newark 07102-4077 1-800-225-1852 PGIM Strategic Bond Fund S000050053 549300406PT1FBJ8QB78 2025-02-28 2024-08-30 N 1301831277.75 246231717.72 1055599560.03 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 24950615.12000000 188769258.28000000 0.00000000 30358124.94000000 EUR GBP USD N PGIM Strategic Bond Fund - ExDerivatives N/A MGM CHINA HOLDINGS LTD 529900VZFN87OS7WJM66 55300RAG6 2160000.00000000 PA USD 2086425.00000000 0.197653075939 Long DBT CORP KY N 2 2027-02-01 Fixed 4.75000000 N N N N N N Fidelity Grand Harbour CLO 635400KPYNGCFZ6MDR25 000000000 9000000.00000000 PA 9938657.37000000 0.941517763584 Long ABS-CBDO CORP IE N 2 2034-10-15 Floating 5.43500000 N N N N N N HECLA MINING CO 5493009Y6HOBZD1QD537 422704AH9 500000.00000000 PA USD 508457.46000000 0.048167646070 Long DBT CORP US N 2 2028-02-15 Fixed 7.25000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BD8 475000.00000000 PA USD 185582.60000000 0.017580776558 Long DBT CORP US N 2 2030-12-01 Fixed 4.62500000 N N N N N N 20 TSQ GroundCo LLC N/A 90137LAN0 5000000.00000000 PA USD 3779729.00000000 0.358064662313 Long ABS-MBS CORP US Y 2 2035-05-15 Variable 3.20323000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MG3 975000.00000000 PA USD 973772.13000000 0.092248250839 Long DBT CORP US N 2 N/A Fixed 5.00000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AN7 1075000.00000000 PA USD 808561.25000000 0.076597346249 Long DBT CORP CA Y 2 2028-06-01 Fixed 4.87500000 N N N N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -194564.83000000 -0.01843168919 N/A DIR CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 US TREASURY N/B United States Treasury Note/Bond Y Performance Leg 2025-02-21 0.00000000 USD 0.00000000 USD 15147241.87000000 USD -194564.83000000 N N N PG&E CORP 8YQ2GSDWYZXO2EDN3511 69331CAJ7 546000.00000000 PA USD 534716.51000000 0.050655241840 Long DBT CORP US N 2 2030-07-01 Fixed 5.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -136874.63000000 -0.01296652965 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -223674059.00000000 TWD 6956120.63000000 USD 2024-12-18 -136874.63000000 N N N Tank Holding Corp 549300WQKU58ILVYFJ26 87583FAP3 95703.20000000 PA USD 94746.17000000 0.008975578769 Long LON CORP US N 2 2028-03-31 Floating 11.34674000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -361747.27000000 -0.03426936536 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -28280090.00000000 EUR 30974532.13000000 USD 2024-10-21 -361747.27000000 N N N FIRST QUANTUM MINERALS L 549300I7UVBGWRYMYZ18 335934AT2 300000.00000000 PA USD 296718.00000000 0.028108954497 Long DBT CORP CA N 2 2027-10-15 Fixed 6.87500000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AZ1 2915000.00000000 PA USD 3170307.94000000 0.300332442342 Long DBT CORP CH N 2 2033-08-12 Fixed 6.53700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWCP6 8297194.06000000 PA USD 7102269.09000000 0.672818496608 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N CODERE FINANCE 2 LUXEMBO 2221005CUH65GSJUKB29 000000000 153458.00000000 PA 75109.31000000 0.007115322215 Long DBT CORP LU N 2 2026-09-30 Variable 11.00000000 N N Y N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 1222000.00000000 PA USD 1162256.42000000 0.110103912885 Long DBT CORP IL N 2 2026-03-30 Fixed 4.87500000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD -2294.36000000 -0.00021735136 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -3701888.18000000 USD 310397771.00000000 INR 2024-09-18 -2294.36000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 3276.30000000 0.000310373376 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -3309150.18000000 SGD 2542000.00000000 USD 2024-09-18 3276.30000000 N N N Cordatus CLO PLC 213800XV458LVR3TU384 000000000 324015.36000000 PA 349732.54000000 0.033131175233 Long ABS-CBDO CORP IE N 2 2032-08-15 Fixed 1.75000000 N N N N N N Fannie Mae - CAS N/A 207932AB0 300000.00000000 PA USD 320844.66000000 0.030394542793 Long ABS-MBS CORP US N 2 2042-12-25 Floating 9.09784000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -137354.40000000 -0.01301197965 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 -112216.50000000 USD -920000.00000000 USD -25137.90000000 N N N PREEM HOLDING AB N/A 000000000 2000000.00000000 PA 2348466.52000000 0.222477027172 Long DBT CORP SE N 2 2027-06-30 Fixed 12.00000000 N N N N N N HUNT COS INC 549300ODPWDNCH5TKM49 445587AE8 2000000.00000000 PA USD 1886199.30000000 0.178685116157 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAQ7 210000.00000000 PA USD 218400.00000000 0.020689663795 Long DBT CORP CA Y 2 2031-01-15 Fixed 6.75000000 N N N N N N CLECO CORPORATE HOLDINGS 5493002H80P81B3HXL31 18551PAE9 295000.00000000 PA USD 268940.18000000 0.025477481251 Long DBT CORP US N 2 2029-09-15 Fixed 3.37500000 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAD9 920000.00000000 PA USD 895469.06000000 0.084830374500 Long DBT CORP US Y 2 2028-08-01 Fixed 5.37500000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834DU9 110000.00000000 PA USD 59859.77000000 0.005670689176 Long DBT UST US N 2 2038-11-15 None 0.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 40349.86000000 0.003822458963 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2866000.00000000 USD 3788339.85000000 SGD 2024-09-18 40349.86000000 N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AL1 4025000.00000000 PA USD 1932000.00000000 0.183023948962 Long DBT CORP CA Y 2 2031-02-15 Fixed 5.25000000 N N N N N N LORCA TELECOM BONDCO 9598004HFBAS82YM7X35 000000000 1275000.00000000 PA 1429045.08000000 0.135377574424 Long DBT CORP ES N 2 2029-04-30 Fixed 5.75000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD -1620.93000000 -0.00015355538 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -2693000.00000000 USD 225808050.00000000 INR 2024-09-18 -1620.93000000 N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AS6 225000.00000000 PA USD 172546.78000000 0.016345855619 Long DBT CORP US N 2 2028-02-01 Fixed 5.37500000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834JP4 230000.00000000 PA USD 111181.64000000 0.010532558387 Long DBT UST US N 2 2041-02-15 None 0.00000000 N N N N N N PENNYMAC FIN SVCS INC 549300W1D516HBDEU871 70932MAB3 1800000.00000000 PA USD 1700913.06000000 0.161132414639 Long DBT CORP US N 2 2029-02-15 Fixed 4.25000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 79373.90000000 0.007519319162 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-05-08 0.00000000 USD -18241.72000000 USD -340000.00000000 GBP 97615.62000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 -800000.00000000 NC USD -9386.57000000 -0.00088921692 N/A DFE 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 DFE CORP DE US N/A USD N/A COP 2024-10-01 -800000.00000000 USD 4250.00000000 USD 2024-10-01 XXXX -2951.90000000 N N N SCOTTS MIRACLE-GRO CO 2TH9E0JTOUXOEGI2R879 810186AW6 1175000.00000000 PA USD 1059393.70000000 0.100359429855 Long DBT CORP US N 2 2032-02-01 Fixed 4.37500000 N N N N N N ONE Park Mortgage Trust N/A 682413AG4 772000.00000000 PA USD 729919.44000000 0.069147380089 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.95148000 N N N N N N ACCO BRANDS CORP JCT8P4Y190IH4I1NX328 00081TAK4 2675000.00000000 PA USD 2488138.68000000 0.235708574938 Long DBT CORP US N 2 2029-03-15 Fixed 4.25000000 N N N N N N DANA INC KVWHW7YLZPFJM8QYNJ51 235825AF3 3015000.00000000 PA USD 2987154.70000000 0.282981806085 Long DBT CORP US N 2 2027-11-15 Fixed 5.37500000 N N N N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAJ1 1155000.00000000 PA USD 1143527.03000000 0.108329623590 Long DBT CORP US N 2 2030-08-01 Fixed 5.12500000 N N N N N N Fannie Mae - CAS N/A 20754MAF4 500000.00000000 PA USD 561158.15000000 0.053160134889 Long ABS-MBS CORP US N 2 2042-06-25 Floating 12.14784000 N N N N N N CHESAPEAKE ENERGY CORP X2MT1W32SPAZ9WSKLE78 165167DF1 475000.00000000 PA USD 474734.37000000 0.044972960199 Long DBT CORP US Y 2 2026-02-01 Fixed 5.50000000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 000000000 583000.00000000 PA USD 576033.15000000 0.054569286669 Long DBT CORP MX N 2 2030-09-17 Fixed 5.20000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAX6 675000.00000000 PA USD 650777.63000000 0.061650047484 Long DBT CORP N/A N 2 2027-05-01 Fixed 3.15000000 N N N N N N KB HOME 549300LGUCWQURMWLG09 48666KAX7 941000.00000000 PA USD 977852.80000000 0.092634824513 Long DBT CORP US N 2 2027-06-15 Fixed 6.87500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BA1 50000.00000000 PA USD 47837.10000000 0.004531746867 Long DBT CORP US N 2 2045-10-23 Fixed 6.48400000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CR4 1500000.00000000 PA USD 1008589.05000000 0.095546558391 Long DBT CORP US N 2 2059-08-01 Fixed 3.95000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CH3 1275000.00000000 PA USD 1263142.03000000 0.119661098566 Long DBT CORP US N 2 2029-06-15 Fixed 5.25000000 N N N N N N DIGICEL GROUP HOLDINGS N/A 25381HAD0 139131.73000000 PA USD 0.14000000 0.000000013262 Long DBT CORP BM Y 3 2030-12-31 None 0.00000000 N N N N N N DIG MIDCO/DIFL US II LLC N/A 000000000 2610225.00000000 PA USD 2124723.15000000 0.201281170479 Long DBT CORP LC N 2 2028-11-25 Fixed 10.50000000 N N Y N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 357078.36000000 0.033827066012 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -6724493.61000000 USD 109852000000.00000000 IDR 2024-09-18 357078.36000000 N N N PILGRIM'S PRIDE CORP 549300ZSLGV64ZL3HD75 72147KAJ7 2000000.00000000 PA USD 1879608.30000000 0.178060731661 Long DBT CORP US N 2 2031-04-15 Fixed 4.25000000 N N N N N N Carlyle Global Market Strategi 635400AWOJYIRR64GJ58 000000000 5000000.00000000 PA 5533013.93000000 0.524158415701 Long ABS-CBDO CORP IE N 2 2030-08-15 Floating 4.84200000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAY4 875000.00000000 PA USD 815570.00000000 0.077261305411 Long DBT CORP N/A N 2 2030-05-01 Fixed 3.40000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -1564000.00000000 NC USD -338.19000000 -0.00003203771 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 COP N/A USD 2024-09-11 -1564000.00000000 USD 4000.00000000 USD 2024-09-11 XXXX 12090.92000000 N N N ADAPTHEALTH LLC N/A 00653VAA9 575000.00000000 PA USD 570143.71000000 0.054011362981 Long DBT CORP US N 2 2028-08-01 Fixed 6.12500000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 000000000 925000.00000000 PA 1216691.52000000 0.115260707380 Long DBT CORP NL N 2 2026-12-14 Fixed 6.25000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298CD3 175000.00000000 PA USD 129626.67000000 0.012279909438 Long DBT CORP US N 2 2030-04-01 Fixed 4.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -3200000.00000000 NC USD -10707.56000000 -0.00101435813 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 COP N/A USD 2024-10-01 -3200000.00000000 USD 4050.00000000 USD 2024-10-01 XXXX 9324.44000000 N N N SoFi RR Funding III Trust N/A 78472DAA4 1044195.97000000 PA USD 1044219.99000000 0.098921980411 Long ABS-O CORP US N 2 2024-11-29 Floating 8.64243000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QZ4 4825000.00000000 PA USD 4092203.13000000 0.387666240584 Long DBT UST US N 2 2043-02-15 Fixed 3.12500000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AC1 350000.00000000 PA USD 343732.52000000 0.032562775982 Long DBT CORP US N 2 2028-07-01 Fixed 4.50000000 N N N N N N MEDLINE BORROWER LP 254900QT3R363TVK6F09 62482BAB8 150000.00000000 PA USD 147470.17000000 0.013970275811 Long DBT CORP US N 2 2029-10-01 Fixed 5.25000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD 81236.38000000 0.007695757281 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -3046000.00000000 USD 22117118.70000000 CNY 2024-09-19 81236.38000000 N N N ASCENT RESOURCES/ARU FIN N/A 04364VAK9 1004000.00000000 PA USD 1226527.05000000 0.116192455590 Long DBT CORP US N 2 2027-11-01 Fixed 9.00000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 -1564000.00000000 NC USD -608.68000000 -0.00005766201 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 0.00000000 0.00000000 DFE CORP US US N/A MXN N/A USD 2024-09-11 -1564000.00000000 USD 18.40000000 USD 2024-09-11 XXXX 9330.64000000 N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AD9 1225000.00000000 PA USD 704375.00000000 0.066727481392 Long DBT CORP CA Y 2 2028-01-15 Fixed 7.00000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBE2 810000.00000000 PA USD 614935.51000000 0.058254619771 Long DBT CORP US N 2 2052-03-15 Fixed 5.14100000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -62193.89000000 -0.00589180711 N/A DE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Y Performance Leg 2024-09-20 0.00000000 USD 0.00000000 USD -4152620.29000000 USD -62193.89000000 N N N Terrier Media Buyer Inc N/A 88145LAE4 120000.00000000 PA USD 103275.00000000 0.009783539507 Long LON CORP US N 2 2026-12-17 Floating 8.93458000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD 23432.34000000 0.002219813354 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -5489669.90000000 USD 31085942.00000000 BRL 2024-09-04 23432.34000000 N N N CODERE FINANCE 2 LUXEMBO 2221005CUH65GSJUKB29 000000000 25249.00000000 PA 27631.14000000 0.002617577824 Long DBT CORP LU N 2 2024-09-30 Fixed 13.00000000 N N N N N N Battalion CLO LTD 549300WYAEH0STKIKE49 07134QAQ9 3000000.00000000 PA USD 2992723.80000000 0.283509383038 Long ABS-CBDO CORP KY N 2 2036-10-15 Floating 7.31298000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -176158.07000000 -0.01668796356 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -299941376.00000000 TWD 9218000.00000000 USD 2024-09-18 -176158.07000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -553504.07000000 -0.05243504174 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -207661180.00000000 CNY 28808620.62000000 USD 2024-09-19 -553504.07000000 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBX9 2580000.00000000 PA USD 2666177.42000000 0.252574699815 Long DBT CORP FR N 2 2035-01-19 Fixed 6.06600000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 91911KAP7 100000.00000000 PA USD 90250.00000000 0.008549643578 Long DBT CORP CA Y 2 2025-12-15 Fixed 9.00000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CQ1 1600000.00000000 PA USD 1335101.49000000 0.126478026379 Long DBT CORP US Y 2 2043-01-15 Fixed 4.75000000 N N N N N N VMED O2 UK FINAN 213800MRR46ECNGZ7L69 000000000 550000.00000000 PA 638970.68000000 0.060531540954 Long DBT CORP GB N 2 2029-01-31 Fixed 4.00000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 51112.00000000 0.004841987618 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -2830000.00000000 USD 20376424.50000000 CNY 2024-09-19 51112.00000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD -12650.61000000 -0.00119842888 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -26739750.00000000 MXN 1344219.40000000 USD 2024-09-03 -12650.61000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWCQ4 381010.02000000 PA USD 339165.08000000 0.032130089177 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N CODERE FINANCE 2 LUXEMBO 2221005CUH65GSJUKB29 000000000 10502.00000000 PA 11660.85000000 0.001104666053 Long DBT CORP LU N 2 2025-06-30 Fixed 13.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D6D9 978100.43000000 PA USD 873018.63000000 0.082703580321 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N VIKING CRUISES LTD 549300IJP90T4MV2GL84 92676XAD9 350000.00000000 PA USD 349520.50000000 0.033111088071 Long DBT CORP BM N 2 2027-09-15 Fixed 5.87500000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 -792000.00000000 NC USD -60328.23000000 -0.00571506774 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 MXN 2024-09-19 -792000.00000000 USD 18.25000000 USD 2024-09-19 XXXX -32894.93000000 N N N DANA FINANCING LUX SARL 222100DKCE3D036DQU13 235822AB9 126000.00000000 PA USD 125685.00000000 0.011906503636 Long DBT CORP LU N 2 2025-04-15 Fixed 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133APUF4 2659026.26000000 PA USD 2287921.68000000 0.216741439332 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 567310.29000000 0.053742944908 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-05-13 0.00000000 USD -18982.53000000 USD 28000000.00000000 USD 586292.82000000 N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAF2 3331000.00000000 PA USD 3551678.75000000 0.336460802418 Long DBT CORP MA N 2 2034-05-02 Fixed 6.75000000 N N N N N N VEON HOLDINGS BV 5493000XDKGUH5NQGE22 000000000 2950000.00000000 PA USD 2463250.00000000 0.233350798282 Long DBT CORP NL N 2 2027-11-25 Fixed 3.37500000 N N N N N N BOOST NEWCO BORROWER LLC 254900S8RE1OL7TTCU64 36268NAA8 200000.00000000 PA USD 213406.63000000 0.020216627410 Long DBT CORP US N 2 2031-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WBY3 2526003.72000000 PA USD 2210094.77000000 0.209368671007 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.50000000 N N N N N N AMERICAN AXLE & MFG INC RY5TAKFOBLDUGX31MS24 02406PAU4 950000.00000000 PA USD 955340.19000000 0.090502139842 Long DBT CORP US N 2 2027-04-01 Fixed 6.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 788000.00000000 NC USD 294.93000000 0.000027939572 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 MXN 2024-09-19 788000.00000000 USD 23.50000000 USD 2024-09-19 XXXX 220.07000000 N N N VICI PROPERTIES / NOTE N/A 92564RAG0 440000.00000000 PA USD 436685.15000000 0.041368447518 Long DBT CORP US N 2 2025-06-15 Fixed 4.62500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -738.11000000 -0.00006992329 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 -264.43000000 USD -615000.00000000 EUR -473.68000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -176143.99000000 -0.01668662972 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 -155182.66000000 USD -920000.00000000 USD -20961.33000000 N N N INTERNATIONAL GAME TECH 549300UQ6KHRCZDRGZ76 460599AC7 200000.00000000 PA USD 200000.00000000 0.018946578567 Long DBT CORP GB N 2 2025-02-15 Fixed 6.50000000 N N N N N N Zegona Holdco Limited 213800UXDFOAHVOOVX08 000000000 2500000.00000000 PA 2755110.01000000 0.260999541333 Long LON CORP GB N 2 2029-07-15 Floating 0.00000000 N N N N N N DIGICEL GROUP HOLDINGS N/A 25381HAK4 683.90000000 PA USD 328.82000000 0.000031150069 Long DBT CORP BM Y 3 2030-12-31 None 0.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CN8 25000.00000000 PA USD 22552.23000000 0.002136437987 Long DBT CORP US N 2 2045-07-20 Fixed 5.12500000 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAH0 400000.00000000 PA USD 380897.37000000 0.036083509734 Long DBT CORP US Y 2 2029-04-15 Fixed 4.62500000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 000000000 900000.00000000 PA 821381.29000000 0.077811825724 Long DBT NUSS EG N 2 2030-04-16 Fixed 5.62500000 N N N N N N DISH NETWORK CORP 529900U350CWHH15G169 25470MAG4 525000.00000000 PA USD 533547.74000000 0.050544520877 Long DBT CORP US N 2 2027-11-15 Fixed 11.75000000 N N N N N N VTB BANK (VTB CAPITAL SA 529900Z143LRJYE8LK88 000000000 2240000.00000000 PA USD 112000.00000000 0.010610083997 Long DBT CORP LU N 2 2022-10-17 Variable 0.01000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CR1 3525000.00000000 PA USD 3162786.51000000 0.299619915520 Long DBT CORP US N 2 2031-02-15 Fixed 3.62500000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -173481.38000000 -0.01643439298 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 -142812.38000000 USD -920000.00000000 USD -30669.00000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -5427.56000000 -0.00051416845 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -3832934.00000000 PEN 1017179.02000000 USD 2024-09-18 -5427.56000000 N N N ALBERTSONS COS/SAFEWAY N/A 013092AG6 200000.00000000 PA USD 185319.13000000 0.017555817283 Long DBT CORP US N 2 2029-03-15 Fixed 3.50000000 N N N N N N GS Mortgage Securities Trust N/A 36262MAL2 3090000.00000000 PA USD 2966302.97000000 0.281006461381 Long ABS-MBS CORP US N 2 2036-10-15 Floating 10.00148000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 43476.82000000 0.004118684929 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -2757000.00000000 USD 89415024.00000000 TWD 2024-09-18 43476.82000000 N N N INDO ASAHAN/MINERAL IND N/A 000000000 1710000.00000000 PA USD 1800843.75000000 0.170599137986 Long DBT CORP ID N 2 2028-11-15 Fixed 6.53000000 N N N N N N STRIP PRINC 254900HROIFWPRGM1V77 912803EK5 1145000.00000000 PA USD 475845.90000000 0.045078258652 Long DBT UST US N 2 2044-11-15 None 0.00000000 N N N N N N FREEDOM MORTGAGE CORP 549300LYRWPSYPK6S325 35640YAK3 150000.00000000 PA USD 163368.14000000 0.015476336499 Long DBT CORP US N 2 2028-10-01 Fixed 12.00000000 N N N N N N BANGKOK BANK PCL/HK 549300CCL2BKJGMYXV60 059895AV4 1185000.00000000 PA USD 1025202.75000000 0.097120422252 Long DBT CORP TH N 2 2036-09-23 Fixed 3.46600000 N N N N N N Invitation Homes Trust N/A 46188DAE8 1800000.00000000 PA USD 1705154.94000000 0.161534260202 Long ABS-O CORP US N 2 2029-09-17 Fixed 4.25000000 N N N N N N INTERNATIONAL GAME TECH 549300UQ6KHRCZDRGZ76 460599AD5 325000.00000000 PA USD 327843.75000000 0.031057586836 Long DBT CORP GB N 2 2027-01-15 Fixed 6.25000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2Q5 3150000.00000000 PA USD 2411048.21000000 0.228405571704 Long DBT CORP US N 2 2041-04-30 Fixed 3.06800000 N N N N N N VISTRA CORP 549300ZH5GKBTJZ7NM23 92840VAF9 405000.00000000 PA USD 400876.11000000 0.037976153569 Long DBT CORP US N 2 2027-07-31 Fixed 5.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -147159.17000000 -0.01394081388 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 -112216.50000000 USD -920000.00000000 USD -34942.67000000 N N N OneMain Financial Issuance Tru N/A 68269HAD7 2600000.00000000 PA USD 2722205.46000000 0.257882398124 Long ABS-O CORP US N 2 2036-09-15 Fixed 7.52000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCG5 3662000.00000000 PA USD 3521928.50000000 0.333642475173 Long DBT CORP MX N 2 2027-03-13 Fixed 6.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 572.00000000 NC USD -351029.70000000 -0.03325405895 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2024-12-19 65308779.70000000 USD -351029.70000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 350641.89000000 0.033217320589 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -24238635.09000000 USD 173905612.36000000 CNY 2024-09-19 350641.89000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD 234009.83000000 0.022168428148 N/A DIR CORP DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Y Performance Leg 2024-09-21 0.00000000 USD 0.00000000 USD 10000000.00000000 USD 234009.83000000 N N N AYDEM YENILENEBILIR ENER 9845009C50EDA74OA532 054644AA7 1895000.00000000 PA USD 1871904.69000000 0.177330946400 Long DBT CORP TR N 2 2027-02-02 Fixed 7.75000000 N N N N N N BANCO MERCANTIL DE NORTE 549300QTVYRPFHS0J362 05973KAB3 1395000.00000000 PA USD 1287236.25000000 0.121943613728 Long DBT CORP MX N 2 N/A Fixed 6.62500000 N N N N N N JPMorgan Chase Bank, NA - CACL N/A 48128U2R9 600000.00000000 PA USD 597191.28000000 0.056573657531 Long ABS-O CORP US N 2 2028-12-26 Fixed 4.39300000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDR8 875000.00000000 PA USD 837241.55000000 0.079314314035 Long DBT CORP US N 2 2030-01-15 Fixed 4.37500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -28725.25000000 -0.00272122602 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -6148359.45000000 PLN 1557000.00000000 USD 2024-10-21 -28725.25000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382BLB7 692553.01000000 PA USD 124852.83000000 0.011827669764 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 3.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -267337.97000000 -0.02532569926 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -156185128.06000000 CNY 21928428.38000000 USD 2024-11-12 -267337.97000000 N N N SOUTHWESTERN ENERGY CO EFWMP121W54QV9MGOP87 845467AT6 575000.00000000 PA USD 545168.68000000 0.051645406140 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAB1 285000.00000000 PA USD 277082.69000000 0.026248844778 Long DBT CORP US N 2 2029-12-01 Fixed 4.62500000 N N N N N N Rathlin Residential 635400C7HSB9QLJBUZ78 000000000 2672545.56000000 PA 2918949.47000000 0.276520527340 Long ABS-O CORP IE N 2 2075-09-27 Floating 5.60400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9X75 1797314.17000000 PA USD 1561357.14000000 0.147911878625 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N 20 TSQ GroundCo LLC N/A 90137LAL4 4900000.00000000 PA USD 3802134.42000000 0.360187192564 Long ABS-MBS CORP US Y 2 2035-05-15 Variable 3.20323000 N N N N N N Freddie Mac - STACR 5493000ISBDRXIMCHZ70 35564KPV5 390000.00000000 PA USD 394387.50000000 0.037361468774 Long ABS-MBS CORP US N 2 2042-01-25 Floating 7.19884000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 682691AC4 1800000.00000000 PA USD 1657911.26000000 0.157058729728 Long DBT CORP US N 2 2028-09-15 Fixed 3.87500000 N N N N N N SOUTHWESTERN ENERGY CO EFWMP121W54QV9MGOP87 845467AR0 500000.00000000 PA USD 493678.33000000 0.046767576332 Long DBT CORP US N 2 2029-02-01 Fixed 5.37500000 N N N N N N WESCO DISTRIBUTION INC 549300I2CEZJG9N4AH67 95081QAP9 1200000.00000000 PA USD 1231271.32000000 0.116641894011 Long DBT CORP US Y 2 2028-06-15 Fixed 7.25000000 N N N N N N RAINBOW MIDCO LIMITED N/A 000000000 4376775.65000000 PA 4838087.80000000 0.458326053097 Long DBT CORP N/A N 3 2030-01-30 Floating 6.69700000 N N N N N N NOVELIS CORP 549300G5F3W3B52WYL23 670001AG1 1500000.00000000 PA USD 1443892.20000000 0.136784085052 Long DBT CORP US N 2 2026-11-15 Fixed 3.25000000 N N N N N N FERTITTA ENTERTAINMENT N/A 31556TAC3 900000.00000000 PA USD 805881.74000000 0.076343508515 Long DBT CORP US N 2 2030-01-15 Fixed 6.75000000 N N N N N N Freddie Mac - STACR 5493000IS4CDPWRMWB65 35564KWT2 700000.00000000 PA USD 734468.49000000 0.069578324755 Long ABS-MBS CORP US N 2 2042-05-25 Floating 8.69884000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CE0 225000.00000000 PA USD 225181.21000000 0.021332067436 Long DBT CORP US N 2 2028-01-15 Fixed 5.75000000 N N N N N N Tank Holding Corp 549300WQKU58ILVYFJ26 87583FAN8 1605185.28000000 PA USD 1579101.02000000 0.149592807707 Long LON CORP US N 2 2028-03-31 Floating 11.09674000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAR4 1280000.00000000 PA USD 1136885.36000000 0.107700438977 Long DBT CORP US N 2 2050-05-15 Fixed 5.00000000 N N N N N N VISTRA CORP 549300KP43CPCUJOOG15 92840MAB8 3125000.00000000 PA USD 3230461.56000000 0.306030968780 Long DBT CORP US N 2 N/A Fixed 8.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -174570.71000000 -0.01653758836 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 STANDARD INDUSTRIES INC Standard Industries Inc/NY Y Default Event 2029-06-20 0.00000000 USD -156076.65000000 USD -920000.00000000 USD -18494.06000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -47378.74000000 -0.00448832509 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -2093678400.00000000 KRW 1520000.00000000 USD 2024-09-20 -47378.74000000 N N N BFLD Trust N/A 05555VAC3 1700000.00000000 PA USD 1690437.50000000 0.160140034536 Long ABS-MBS CORP US N 2 2041-07-15 Floating 7.92589000 N N N N N N LIMA METRO LINE 2 FIN LT 5493009BVQNQT1UKQ352 000000000 84291.77000000 PA USD 84923.96000000 0.008045092402 Long DBT CORP KY N 2 2034-07-05 Fixed 5.87500000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 682691AA8 750000.00000000 PA USD 663873.09000000 0.062890618292 Long DBT CORP US N 2 2030-09-15 Fixed 4.00000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BP8 2050000.00000000 PA USD 1850819.19000000 0.175333455988 Long DBT CORP US N 2 2032-01-15 Fixed 3.75000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD 9217.53000000 0.000873203281 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -779000.00000000 USD 5546456.63000000 CNY 2024-11-12 9217.53000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 43066.43000000 0.004079807498 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2034-05-08 0.00000000 USD -4016.85000000 USD -155000.00000000 GBP 47083.28000000 N N N Fannie Mae - CAS N/A 20755DAF3 500000.00000000 PA USD 548183.95000000 0.051931051390 Long ABS-MBS CORP US N 2 2042-07-25 Floating 10.94884000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834UB2 170000.00000000 PA USD 56803.91000000 0.005381198718 Long DBT UST US N 2 2048-11-15 None 0.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 45426.64000000 0.004303397019 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-05-08 0.00000000 USD -60426.62000000 USD -916000.00000000 GBP 105853.26000000 N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 756000.00000000 NC USD 1057.73000000 0.000100201822 N/A DFE CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A TRY 2025-02-21 756000.00000000 USD 85.00000000 USD 2025-02-21 XXXX -1807.51000000 N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAS1 100000.00000000 PA USD 85474.17000000 0.008097215387 Long DBT CORP US N 2 2046-11-01 Fixed 4.20000000 N N N N N N DBGS Mortgage Trust N/A 23306GAJ6 75000.00000000 PA USD 73929.35000000 0.007003541191 Long ABS-MBS CORP US N 2 2035-05-15 Floating 7.33301000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H060697 2500000.00000000 PA USD 2536914.93000000 0.240329290202 Long ABS-MBS USGA US N 2 2054-09-15 Fixed 6.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -6419.43000000 -0.00060813117 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -4003263.92000000 USD 140224327.00000000 TRY 2024-09-23 -6419.43000000 N N N ITALY GOV'T INT BOND 815600DE60799F5A9309 465410BY3 1000000.00000000 PA USD 919243.90000000 0.087082633870 Long DBT NUSS IT N 2 2029-10-17 Fixed 2.87500000 N N N N N N Morgan Stanley Capital I Trust N/A 61771LAC6 297065000.00000000 PA USD 861.49000000 0.000081611439 Long ABS-MBS CORP US N 2 2036-11-10 Variable 0.11300000 N N N N N N CRESCENT ENERGY FINANCE 54930061FUL6DBLFUW14 45344LAD5 470000.00000000 PA USD 484848.05000000 0.045931058363 Long DBT CORP US N 2 2032-04-01 Fixed 7.62500000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -134941.11000000 -0.01278336171 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 BOMBARDIER INC BOMBARDIER INC Y Default Event 2029-06-20 0.00000000 USD -100369.71000000 USD -920000.00000000 USD -34571.40000000 N N N MEXICO CITY ARPT TRUST N/A 59284MAC8 2330000.00000000 PA USD 2222237.50000000 0.210518986947 Long DBT CORP MX N 2 2028-04-30 Fixed 3.87500000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 6773.12000000 0.000641637251 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -42086392.95000000 TRY 1233120.22000000 USD 2024-09-04 6773.12000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 83424.38000000 0.007903032850 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -43148590.80000000 MXN 2268000.00000000 USD 2024-09-18 83424.38000000 N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 817477AG7 425000.00000000 PA USD 437351.56000000 0.041431578465 Long DBT NUSS RS N 2 2028-05-26 Fixed 6.25000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 2317000.00000000 NC USD 0.00000000 0.000000 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased JPMORGAN CHASE BANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A TRY 2024-08-30 2317000.00000000 USD 45.00000000 USD 2024-08-30 XXXX -313.83000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD 1245.46000000 0.000117986028 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 MURPHY OIL CORP MURPHY OIL CORP Y Default Event 2029-06-20 3808.25000000 USD 0.00000000 USD -920000.00000000 USD -2562.79000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -39.00000000 NC USD 3341.13000000 0.000316514910 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 -9338478.63000000 USD 3341.13000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -24016.15000000 -0.00227511936 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -47581089.60000000 THB 1384000.00000000 USD 2024-09-18 -24016.15000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC USD -191854.77000000 -0.01817495736 N/A DFE CORP US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 -7699918.00000000 SGD 5715391.27000000 USD 2024-09-18 -191854.77000000 N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BJ0 950000.00000000 PA USD 948812.50000000 0.089883752885 Long DBT CORP LR Y 2 2026-08-31 Fixed 5.50000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAP5 1250000.00000000 PA USD 1199681.23000000 0.113649273401 Long DBT CORP US N 2 2038-04-01 Fixed 5.15000000 N N N N N N SENSATA TECHNOLOGIES INC 5493002MMDDCUNV7NY90 81728UAB0 665000.00000000 PA USD 601732.76000000 0.057003885070 Long DBT CORP US N 2 2031-02-15 Fixed 3.75000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BD8 75000.00000000 PA USD 70237.88000000 0.006653837559 Long DBT CORP US Y 2 2044-09-15 Fixed 4.90000000 N N N N N N GENON HLDGS CLASS A N/A 000000000 677.00000000 NS USD 20310.00000000 0.001924025053 Long EC CORP US Y 3 N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAG1 1600000.00000000 PA USD 1580000.00000000 0.149677970683 Long DBT CORP KY N 2 2026-01-15 Fixed 5.50000000 N N N N N N Bank5 N/A 06211EBE0 11949000.00000000 PA USD 1355138.48000000 0.128376188406 Long ABS-MBS CORP US N 2 2056-09-15 Variable 3.55913900 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2220.32000000 -0.00021033733 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 -797.97000000 USD -1850000.00000000 EUR -1422.35000000 N N N MEDLINE BORROWER LP 254900QT3R363TVK6F09 62482BAA0 975000.00000000 PA USD 922086.84000000 0.087351953800 Long DBT CORP US N 2 2029-04-01 Fixed 3.87500000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RFX7 700000.00000000 PA USD 703355.03000000 0.066630856683 Long ABS-O CORP US N 2 2027-04-20 Fixed 6.24000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AK3 1250000.00000000 PA USD 631250.00000000 0.059800138603 Long DBT CORP CA Y 2 2029-02-15 Fixed 6.25000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BR9 175000.00000000 PA USD 174784.35000000 0.016557827098 Long DBT CORP US N 2 2025-02-01 Fixed 5.37500000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD 220315.84000000 0.020871156861 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 GENERAL MOTORS CO GENERAL MOTORS CO Y Default Event 2026-06-20 167290.60000000 USD 0.00000000 USD 2390000.00000000 USD 53025.24000000 N N N 1011778 BC / NEW RED FIN N/A 68245XAM1 1350000.00000000 PA USD 1236937.50000000 0.117178667634 Long DBT CORP CA N 2 2030-10-15 Fixed 4.00000000 N N N N N N TFS_18-3-A1 N/A 000000000 254368.82000000 PA 210153.40000000 0.019908439521 Long ABS-MBS CORP LU N 3 2026-03-15 Floating 0.01000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDC3 400000.00000000 PA USD 360160.00000000 0.034118998684 Long DBT CORP MX N 2 2030-01-23 Fixed 6.84000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAH8 75000.00000000 PA USD 74291.87000000 0.007037883759 Long DBT CORP US N 2 2026-09-01 Fixed 4.50000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -172999.00000000 -0.01638869572 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 -160116.92000000 USD -920000.00000000 USD -12882.08000000 N N N AUTONATION INC N/A 05329WAQ5 1880000.00000000 PA USD 1857221.94000000 0.175940007018 Long DBT CORP US N 2 2030-06-01 Fixed 4.75000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 400000.00000000 PA 501023.95000000 0.047463448164 Long DBT CORP MX N 2 2025-11-16 Fixed 3.75000000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD 139046.70000000 0.013172296130 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -27546500.00000000 MXN 1533702.04000000 USD 2024-09-18 139046.70000000 N N N HPS Investment Partners CLO N/A 44330BAM6 750000.00000000 PA USD 750234.98000000 0.071071929963 Long ABS-CBDO CORP US N 2 2029-10-20 Floating 7.16862000 N N N N N N Home Re Ltd 254900GFKVQN72ENGJ20 43731AAA1 137935.30000000 PA USD 138176.49000000 0.013089858619 Long ABS-MBS CORP BM N 2 2029-05-25 Floating 7.11332000 N N N N N N TPC Group Rights N/A 000000000 70274.00000000 NS USD 2670412.00000000 0.252975853828 Long EC CORP US N 3 N N N CA MAGNUM HOLDINGS 549300ZRDHFR078MFZ78 12674CAA1 535000.00000000 PA USD 521290.63000000 0.049383369389 Long DBT CORP MU N 2 2026-10-31 Fixed 5.37500000 N N N N N N LEGACY LIFEPOINT HEALTH N/A 53219LAS8 50000.00000000 PA USD 48818.78000000 0.004624744254 Long DBT CORP US N 2 2027-02-15 Fixed 4.37500000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBM6 2865000.00000000 PA USD 2531661.26000000 0.239831594845 Long DBT CORP GB N 2 2031-06-24 Fixed 2.64500000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -54.00000000 NC -228664.79000000 -0.02166207704 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESREPUB. DEUTSCHLAND Bundesrepublik Deutschland Bundesanleihe 2024-09-06 -7635390.64000000 USD -228664.79000000 N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAY6 628875.00000000 PA USD 621351.14000000 0.058862390960 Long LON CORP US Y 2 2027-07-31 Floating 8.65970500 N N N N N N SEALED AIR/SEALED AIR US N/A 812127AA6 100000.00000000 PA USD 101783.30000000 0.009642226451 Long DBT CORP US N 2 2028-02-01 Fixed 6.12500000 N N N N N N STATE OF MINAS GERAIS N/A 000000000 1212000.00000000 PA USD 1204049.28000000 0.114063071413 Long DBT CORP KY N 2 2028-02-15 Fixed 5.33300000 N N N N N N ANGLOGOLD HOLDINGS PLC 213800745ZIXC4L6A131 03512TAF8 1405000.00000000 PA USD 1304022.65000000 0.123533837960 Long DBT CORP IM N 2 2028-11-01 Fixed 3.37500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHV4 1000000.00000000 PA USD 937156.26000000 0.088779523550 Long DBT CORP US N 2 2030-07-23 Fixed 3.19400000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -30192.93000000 -0.00286026360 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -1187258083.00000000 CLP 1268696.00000000 USD 2024-09-23 -30192.93000000 N N N MidOcean Credit CLO 549300T32RO3I7BJ4V26 59801MAE8 250000.00000000 PA USD 250250.63000000 0.023706966114 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 7.04002000 N N N N N N BRINKER INTERNATIONAL IN 52990067JY6PBGJNTG76 109641AH3 2900000.00000000 PA USD 2897670.60000000 0.274504718429 Long DBT CORP US N 2 2024-10-01 Fixed 5.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46649XAN7 9825000.00000000 PA USD 3942168.26000000 0.373453003323 Long ABS-MBS CORP US N 2 2031-07-05 Variable 4.76697300 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDT7 8418619.77000000 PA USD 7758517.06000000 0.734986765225 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAS8 520000.00000000 PA USD 488881.76000000 0.046313183380 Long DBT CORP US N 2 2045-05-14 Fixed 4.70000000 N N N N N N UNITED GROUP BV 213800PC85O8BJ7DU398 000000000 1000000.00000000 PA 1083209.09000000 0.102615530643 Long DBT CORP NL N 2 2027-11-15 Fixed 4.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAP3 3780000.00000000 PA USD 3686027.95000000 0.349188090784 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 25041.21000000 0.002372226263 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 0.00000000 USD 4070000.00000000 USD 25041.21000000 N N N PHINIA INC 254900HG6MORZE1FFM18 71880KAA9 200000.00000000 PA USD 205332.25000000 0.019451718035 Long DBT CORP US N 2 2029-04-15 Fixed 6.75000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163XAC7 13473000.00000000 PA USD 1501874.38000000 0.142276904696 Long ABS-MBS CORP US N 2 2057-01-10 Variable 3.20498100 N N N N N N Radnor Re LTD N/A 75049GAB5 3544642.33000000 PA USD 3629818.67000000 0.343863223085 Long ABS-MBS CORP BM Y 2 2031-11-25 Floating 9.04884000 N N N N N N Level 3 Financing Inc 254900AE5FEFIJOXWL19 52729KAR7 74725.88000000 PA USD 75115.05000000 0.007115865982 Long LON CORP US N 2 2029-04-15 Floating 11.83795000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -84144.49000000 -0.00797125095 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 -37457.00000000 USD -920000.00000000 USD -46687.49000000 N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAD4 1865000.00000000 PA USD 1997881.25000000 0.189265070358 Long DBT CORP NL N 2 2030-07-28 Fixed 7.00000000 N N N N N N COMM Mortgage Trust N/A 12654FAC4 1900000.00000000 PA USD 60058.62000000 0.005689526812 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.89432100 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAN0 655000.00000000 PA USD 650245.09000000 0.061599598429 Long DBT CORP US N 2 N/A Fixed 6.50000000 N N N N N N TOTAL PLAY TELECOM 4469000001BSAPAMOQ06 89157FAC4 1710000.00000000 PA USD 988602.30000000 0.093653155745 Long DBT CORP MX N 2 2028-09-20 Fixed 6.37500000 N N N N N N DISH DBS CORP N/A 25470XBD6 225000.00000000 PA USD 102665.45000000 0.009725795072 Long DBT CORP US N 2 2029-06-01 Fixed 5.12500000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1564000.00000000 NC USD 0.05000000 0.000000004736 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 COP N/A USD 2024-09-11 1564000.00000000 USD 3600.00000000 USD 2024-09-11 XXXX -15.59000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC USD -121008.64000000 -0.01146349852 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Y 2028-09-22 0.00000000 USD 0.00000000 USD -3600000.00000000 USD -121008.64000000 N N N BOF URSA FUNDING N/A 07336MAA9 706993.04000000 PA USD 714143.36000000 0.067652866393 Long ABS-O CORP US N 2 2032-07-29 Fixed 6.97100000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 000000000 -130950000.00000000 OU OTHER USD -10660.19000000 -0.00100987063 N/A DCR CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP Paribas (Suisse) SA QHSFEYI7HUOXXZ413E03 BNP Paribas (Suisse) SA QHSFEYI7HUOXXZ413E03 000000000 0.00000000 NC USD 0.00000000 0.00000000 DCR CORP US IHS MARKIT LTD CDX.NA.IG.42.V1 Default Event 2024-09-18 0.00000000 USD 0.00000000 USD N/A N/A -130950000.00000000 USD 85.00000000 USD 2024-09-18 XXXX 107194.81000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 -1564000.00000000 NC -1461.10000000 -0.00013841422 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A EUR N/A PLN 2024-09-05 -1564000.00000000 USD 4.31000000 EUR 2024-09-05 XXXX 9911.74000000 N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAP9 76000.00000000 PA USD 68653.07000000 0.006503703923 Long DBT CORP US N 2 2045-01-15 Fixed 4.90000000 N N N N N N JELD-WEN INC 549300XWE6NM0N1HFW16 475795AC4 448000.00000000 PA USD 447809.02000000 0.042422243903 Long DBT CORP US N 2 2025-12-15 Fixed 4.62500000 N N N N N N MINERAL RESOURCES LTD 5299007V1ACKFFX2P066 603051AE3 450000.00000000 PA USD 476437.50000000 0.045134302631 Long DBT CORP AU N 2 2028-10-01 Fixed 9.25000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680AT0 25000.00000000 PA USD 22282.61000000 0.002110896105 Long DBT CORP US N 2 2047-07-13 Fixed 4.95000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCK7 450000.00000000 PA USD 390641.27000000 0.037006577568 Long DBT CORP US N 2 2031-02-01 Fixed 4.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAG6 2065000.00000000 PA USD 2054462.39000000 0.194625165431 Long DBT CORP US Y 2 N/A Fixed 4.60000000 N N N N N N ALTA EQUIPMENT GROUP 549300DGOB28CLGS1X27 02128LAC0 385000.00000000 PA USD 349445.62000000 0.033103994472 Long DBT CORP US N 2 2029-06-01 Fixed 9.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -159909.66000000 -0.01514870468 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 -141067.18000000 USD -920000.00000000 USD -18842.48000000 N N N YAMANA GOLD INC 54930002VY22NXG01418 98462YAF7 5000000.00000000 PA USD 4263925.00000000 0.403933950093 Long DBT CORP CA N 2 2031-08-15 Fixed 2.63000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WT24 5545833.97000000 PA USD 5171696.20000000 0.489929741904 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.50000000 N N N N N N Barclays Commercial Mortgage S N/A 05491LAJ7 250000.00000000 PA USD 209544.45000000 0.019850751926 Long ABS-MBS CORP US N 2 2036-08-14 Variable 3.72919700 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0326A7 8500000.00000000 PA USD 7829905.48000000 0.741749596767 Long ABS-MBS USGSE US N 2 2054-10-15 Fixed 3.50000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AJ6 1175000.00000000 PA USD 564000.00000000 0.053429351560 Long DBT CORP CA Y 2 2030-01-30 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLE3 12710595.74000000 PA USD 11084326.11000000 1.050050277558 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D2K7 3533982.10000000 PA USD 2769721.58000000 0.262383737628 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 1.50000000 N N N N N N NATIONSTAR MTG HLD INC N/A 63861CAC3 1590000.00000000 PA USD 1562979.54000000 0.148065573270 Long DBT CORP US N 2 2028-08-15 Fixed 5.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -122.00000000 NC USD 31589.24000000 0.002992540087 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2024-12-17 -29031751.74000000 USD 31589.24000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -13234.69000000 -0.00125376046 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -1364000.00000000 USD 1804435600.00000000 KRW 2024-09-19 -13234.69000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -172074.10000000 -0.01630107727 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CHESAPEAKE ENERGY CORP Chesapeake Energy Corp Y Default Event 2029-06-20 0.00000000 USD -166914.19000000 USD -920000.00000000 USD -5159.91000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -28653.56000000 -0.00271443462 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -71168400.00000000 ZAR 3957053.58000000 USD 2024-09-18 -28653.56000000 N N N PERMIAN RESOURC OPTG LLC 5493004CTVUMQLRPOE23 27034RAA1 650000.00000000 PA USD 672136.54000000 0.063673438816 Long DBT CORP US N 2 2027-04-15 Fixed 8.00000000 N N N N N N CHART INDUSTRIES INC EM7QGKC1GYOF3LSZSL80 16115QAF7 125000.00000000 PA USD 131432.65000000 0.012450995147 Long DBT CORP US N 2 2030-01-01 Fixed 7.50000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 93469.40000000 0.008854626653 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -1551000.00000000 USD 55571554.50000000 THB 2024-09-18 93469.40000000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 19767QAS4 1500000.00000000 PA USD 1770138.66000000 0.167690355985 Long DBT CORP US N 2 2036-07-15 Fixed 7.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDK6 2231693.44000000 PA USD 1982802.49000000 0.187836615803 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D7G1 10744578.62000000 PA USD 9599919.33000000 0.909428129140 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Level 3 Financing Inc 254900AE5FEFIJOXWL19 52729KAS5 75274.12000000 PA USD 75575.22000000 0.007159459217 Long LON CORP US N 2 2030-04-15 Floating 11.83795000 N N N N N N Barclays Commercial Mortgage S N/A 05491VAJ5 250000.00000000 PA USD 213992.00000000 0.020272081204 Long ABS-MBS CORP US N 2 2038-08-05 Variable 4.40871700 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AM9 1100000.00000000 PA USD 561000.00000000 0.053145152882 Long DBT CORP CA Y 2 2029-02-15 Fixed 5.00000000 N N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 097793AE3 1000000.00000000 PA USD 988075.61000000 0.093603260877 Long DBT CORP US N 2 2026-10-15 Fixed 5.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -27086.15000000 -0.00256594934 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-03-08 0.00000000 USD 0.00000000 USD 16748000.00000000 USD -27086.15000000 N N N BROOKFIELD RESID PROPERT N/A 11283YAG5 1200000.00000000 PA USD 1122000.00000000 0.106290305764 Long DBT CORP CA N 2 2029-06-15 Fixed 5.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD 79933.85000000 0.007572364846 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -5619000.00000000 USD 7428389.30000000 SGD 2024-09-18 79933.85000000 N N N FALABELLA SA 5493004CKJQ7H391LM41 30607FAA8 2855000.00000000 PA USD 2438348.44000000 0.230991801467 Long DBT CORP CL N 2 2032-01-15 Fixed 3.37500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCP5 100000.00000000 PA USD 91781.25000000 0.008694703320 Long DBT CORP MX N 2 2029-01-23 Fixed 6.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -788000.00000000 NC USD -46945.58000000 -0.00444729059 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 2024-09-19 -788000.00000000 USD 18.60000000 USD 2024-09-19 XXXX -19014.92000000 N N N Santander Bank Auto Credit-Lin N/A 80290CBJ2 87461.30000000 PA USD 89406.85000000 0.008469769540 Long ABS-O CORP US N 2 2032-12-15 Fixed 11.36600000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298CB7 75000.00000000 PA USD 59544.92000000 0.005640862525 Long DBT CORP US N 2 2029-06-15 Fixed 4.87500000 N N N N N N AMERICAN AIRLINES/AADVAN N/A 00253XAB7 1925000.00000000 PA USD 1882890.63000000 0.178371676277 Long DBT CORP N/A N 2 2029-04-20 Fixed 5.75000000 N N N N N N TALKTALK TELECOM GROUP 213800WF53FVDRRHRF44 000000000 4900000.00000000 PA 4761539.30000000 0.451074392250 Long DBT CORP GB N 2 2025-02-20 Fixed 3.87500000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCY0 1365000.00000000 PA USD 1267780.17000000 0.120100482986 Long DBT CORP US N 2 2030-06-21 Fixed 3.60000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AZ7 1030000.00000000 PA USD 1042867.52000000 0.098793857016 Long DBT CORP US N 2 2035-10-23 Fixed 6.38400000 N N N N N N PUERTO RICO SALES TAX FING COR N/A 74529JPX7 125000.00000000 PA USD 125634.66000000 0.011901734782 Long DBT MUN US N 2 2058-07-01 Fixed 5.00000000 N N N N N N Elevation CLO Ltd 549300JPI8D017HI2768 28623RAG3 4500000.00000000 PA USD 4499601.75000000 0.426260290395 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 7.29362000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCA5 1355000.00000000 PA USD 1226574.33000000 0.116196934561 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N MPT OPER PARTNERSP/FINL N/A 55342UAH7 450000.00000000 PA USD 381374.96000000 0.036128753216 Long DBT CORP US N 2 2027-10-15 Fixed 5.00000000 N N N N N N NATIONSTAR MTG HLD INC N/A 63861CAA7 800000.00000000 PA USD 798827.34000000 0.075675224796 Long DBT CORP US N 2 2027-01-15 Fixed 6.00000000 N N N N N N Ferrellgas Partners LP 529900YP52A6C5K57L34 315293308 4838.00000000 NS USD 991357.48000000 0.093914161916 Long EC CORP US Y 3 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ED80 1341088.52000000 PA USD 1273174.42000000 0.120611495893 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJB6 2820000.00000000 PA USD 2528610.36000000 0.239542574262 Long DBT CORP US N 2 2031-04-29 Fixed 2.59200000 N N N N N N BMO Mortgage Trust N/A 09660SAA8 16130000.00000000 PA USD 1652463.66000000 0.156542662821 Long ABS-MBS CORP US N 2 2057-05-15 Variable 3.00369400 N N N N N N St Pauls CLO N/A 000000000 8500000.00000000 PA 8553127.23000000 0.810262485308 Long ABS-CBDO CORP IE N 2 2032-01-17 Fixed 2.50000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CS9 1475000.00000000 PA USD 1323466.58000000 0.125375817697 Long DBT CORP US N 2 2032-02-15 Fixed 3.87500000 N N N N N N DIGICEL INTL FIN LTD N/A 000000000 12312.00000000 NS USD 131758.10000000 0.012481825967 Long EC CORP US Y 3 N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BV4 2745637.00000000 PA USD 3014446.01000000 0.285567190830 Long DBT CORP US N 2 2029-11-15 Fixed 11.00000000 N N N N N N GRIFFON CORPORATION 5493000C2SGNC7ZN3242 398433AP7 515000.00000000 PA USD 505273.00000000 0.047865972962 Long DBT CORP US N 2 2028-03-01 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3AL4 1500000.00000000 PA USD 1311631.35000000 0.124254632122 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D2M3 1675959.99000000 PA USD 1437366.61000000 0.136165897033 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD 71741.10000000 0.006796241938 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 VERIZON COMMUNICATIONS Verizon Communications Inc Y Default Event 2026-06-20 38625.83000000 USD 0.00000000 USD 5130000.00000000 USD 33115.27000000 N N N (PIPA070) PGIM Core Government Money Market Fund N/A 000000000 53307453.35000000 NS USD 53307453.35000000 5.049969265664 Long STIV RF US N 1 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEL5 6820000.00000000 PA USD 5991236.06000000 0.567567123638 Long DBT CORP US N 2 2033-01-21 Fixed 2.94300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XF7L9 5218156.50000000 PA USD 4659337.28000000 0.441392499241 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 221625AT3 1865000.00000000 PA USD 1860710.50000000 0.176270488398 Long DBT NUSS CI Y 2 2033-01-30 Fixed 7.62500000 N N N N N N GAP INC/THE T2ZG1WRWZ4BUCMQL9224 364760AP3 825000.00000000 PA USD 739070.06000000 0.070014244793 Long DBT CORP US N 2 2029-10-01 Fixed 3.62500000 N N N N N N KB HOME 549300LGUCWQURMWLG09 48666KAZ2 615000.00000000 PA USD 567379.71000000 0.053749521265 Long DBT CORP US N 2 2031-06-15 Fixed 4.00000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CU4 225000.00000000 PA USD 250285.64000000 0.023710282712 Long DBT CORP US N 2 N/A Fixed 10.25000000 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBA8 350000.00000000 PA USD 348578.13000000 0.033021814634 Long DBT CORP BM N 2 2026-03-15 Fixed 5.87500000 N N N N N N BPR Trust N/A 05610WAE0 3800000.00000000 PA USD 3943977.82000000 0.373624428176 Long ABS-MBS CORP US N 2 2038-10-05 Variable 8.63034100 N N N N N N CRESCENT ENERGY FINANCE 54930061FUL6DBLFUW14 45344LAC7 310000.00000000 PA USD 328048.70000000 0.031077002342 Long DBT CORP US N 2 2028-02-15 Fixed 9.25000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 800000.00000000 PA 798651.50000000 0.075658566964 Long DBT CORP MX N 2 2027-04-21 Fixed 2.75000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2082.77000000 0.000197306827 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 US TREASURY N/B United States Treasury Note/Bond Y Default Event 2024-12-20 901.10000000 USD 0.00000000 USD 1850000.00000000 EUR 1181.67000000 N N N MEG ENERGY CORP 5493002WXPTG5ZC1T326 552704AF5 950000.00000000 PA USD 941687.50000000 0.089208781024 Long DBT CORP CA N 2 2029-02-01 Fixed 5.87500000 N N N N N N BRASKEM NETHERLANDS 2549000TLMHFQ74DS330 10554TAB1 212000.00000000 PA USD 197637.00000000 0.018722724741 Long DBT CORP NL N 2 2028-01-10 Fixed 4.50000000 N N N N N N BRIXMOR OPERATING PART 549300CJHBL7JBUA6503 11120VAJ2 1590000.00000000 PA USD 1523257.52000000 0.144302591406 Long DBT CORP US N 2 2030-07-01 Fixed 4.05000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC USD -55.37000000 -0.00000524536 N/A DFE CORP US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 -5297.00000000 GBP 6903.92000000 USD 2024-10-21 -55.37000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MU2 605000.00000000 PA USD 587563.68000000 0.055661607132 Long DBT CORP US N 2 N/A Fixed 4.00000000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TBC8 2800000.00000000 PA USD 2685536.00000000 0.254408594100 Long DBT CORP LU N 2 2030-03-15 Fixed 6.50000000 N N N N N N DP WORLD LTD UAE 549300M3U2DNF4QVSS04 000000000 500000.00000000 PA 623817.50000000 0.059096036377 Long DBT CORP AE N 2 2030-09-25 Fixed 4.25000000 N N N N N N BROOKFIELD RESID PROPERT N/A 11283YAD2 1325000.00000000 PA USD 1225625.00000000 0.116107001784 Long DBT CORP CA N 2 2030-02-15 Fixed 4.87500000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAM4 825609.12150000 PA USD 786908.69000000 0.074546136602 Long LON CORP US N 2 2028-01-18 Floating 9.83689000 N N N N N N PUGET ENERGY INC SYBSJ96YIDMIUY7WDR33 745310AK8 4130000.00000000 PA USD 3936004.28000000 0.372869071666 Long DBT CORP US N 2 2030-06-15 Fixed 4.10000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 509000.00000000 PA 529944.65000000 0.050203189738 Long DBT NUSS CI N 2 2030-03-22 Fixed 5.25000000 N N N N N N JAPAN FIN ORG MUNICIPAL 5493007YYYNZ4NMEOD64 471068AQ9 200000.00000000 PA USD 199956.64000000 0.018942470949 Long DBT NUSS JP N 2 2024-09-05 Fixed 1.75000000 N N N N N N LHOME Mortgage Trust N/A 50205PAA0 3100000.00000000 PA USD 3128297.73000000 0.296352693620 Long ABS-MBS CORP US N 2 2039-07-25 Variable 5.92100000 N N N N N N BANCO DE CREDITO DEL PER 549300EQYQ8SCQZ4BY14 05971U2D8 1315000.00000000 PA USD 1240702.50000000 0.117535336976 Long DBT CORP PE N 2 2031-09-30 Fixed 3.25000000 N N N N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CH2 1500000.00000000 PA USD 1460992.67000000 0.138404062043 Long DBT CORP US N 2 2028-10-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DQH8 2770402.85000000 PA USD 2394138.65000000 0.226803680169 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N DIGICEL GROUP HOLDINGS N/A 25381HAM0 84021.00000000 PA USD 0.08000000 0.000000007578 Long DBT CORP BM Y 3 2030-12-31 None 0.00000000 N N N N N N Diamond Sports Group LLC 5493002K6DHWNZH8YA34 25277BAG3 2332404.42390000 PA USD 37416.43000000 0.003544566653 Long LON CORP US N 2 2026-08-24 Floating 10.66540000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 7062.72000000 0.000669071896 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -231727918.50000000 INR 2769000.00000000 USD 2024-09-18 7062.72000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -122775.63000000 -0.01163089059 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -1377213.73000000 EUR 27669601.00000000 MXN 2024-09-18 -122775.63000000 N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AH0 1250000.00000000 PA USD 687500.00000000 0.065128863826 Long DBT CORP CA Y 2 2028-01-30 Fixed 5.00000000 N N N N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAA0 400000.00000000 PA USD 405178.96000000 0.038383774997 Long DBT CORP US N 2 2027-06-15 Fixed 5.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382AXK6 4003931.81000000 PA USD 627755.65000000 0.059469108719 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 3.00000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -240543.29000000 -0.02278736171 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -12713840906.00000000 KRW 9276790.15000000 USD 2024-09-19 -240543.29000000 N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -810.08000000 -0.00007674122 N/A DCR CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2024-12-20 75.02000000 USD 0.00000000 USD -180000.00000000 USD -885.10000000 N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBM4 200000.00000000 PA USD 198493.80000000 0.018803891884 Long DBT CORP US N 2 2077-08-16 Floating 8.34314000 N N N N N N RHP HOTEL PPTY/RHP FINAN N/A 749571AK1 525000.00000000 PA USD 540404.18000000 0.051194051273 Long DBT CORP US N 2 2032-04-01 Fixed 6.50000000 N N N N N N DIVERSIFIED HEALTHCARE T N/A 81721MAM1 1750000.00000000 PA USD 1538045.51000000 0.145703500478 Long DBT CORP US N 2 2028-02-15 Fixed 4.75000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZT8 1720000.00000000 PA USD 1609216.28000000 0.152445713406 Long DBT CORP US N 2 2029-10-28 Fixed 3.75000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -189743.09000000 -0.01797491181 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SAFEWAY INC Safeway Inc Y Default Event 2029-06-20 0.00000000 USD -166914.19000000 USD -920000.00000000 USD -22828.90000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD 48056.68000000 0.004552548316 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -55717791.47000000 MXN 2869000.00000000 USD 2024-09-18 48056.68000000 N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAH5 225000.00000000 PA USD 215539.65000000 0.020418694565 Long DBT CORP US N 2 2029-05-01 Fixed 4.37500000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BT7 3709000.00000000 PA USD 3727545.00000000 0.353121121033 Long DBT CORP CA N 2 2027-04-15 Fixed 7.87500000 N N N N N N Park Avenue Institutional Advi N/A 70018AAL4 15000000.00000000 PA USD 15022125.00000000 1.423089357821 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 7.26298000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MK4 7301000.00000000 PA USD 7245082.30000000 0.686347605127 Long DBT CORP US N 2 N/A Fixed 4.70000000 N N N N N N TALLGRASS NRG PRTNR/FIN N/A 87470LAJ0 2150000.00000000 PA USD 2051550.02000000 0.194349268196 Long DBT CORP US N 2 2030-12-31 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -2943.74000000 -0.00027886900 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1103704.00000000 USD 39362499.46000000 TRY 2024-10-09 -2943.74000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397B51 550000.00000000 PA USD 508897.58000000 0.048209339911 Long DBT CORP US N 2 2028-02-16 Fixed 2.90000000 N N N N N N Tenneco Inc 549300U0EXXFAQFAD785 88037HAN4 391889.48000000 PA USD 373554.54000000 0.035387902206 Long LON CORP US N 2 2028-11-17 Floating 10.08204500 N N N N N N JEFFERIES FIN GROUP INC 549300HOF34RGOJ5YL07 47233JBH0 350000.00000000 PA USD 336640.24000000 0.031890903780 Long DBT CORP US N 2 2030-01-23 Fixed 4.15000000 N N N N N N GAP INC/THE T2ZG1WRWZ4BUCMQL9224 364760AQ1 750000.00000000 PA USD 647794.91000000 0.061367485789 Long DBT CORP US N 2 2031-10-01 Fixed 3.87500000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BX8 2750000.00000000 PA USD 2743125.00000000 0.259864166665 Long DBT CORP CA N 2 2028-02-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJ6F5 3956884.10000000 PA USD 3518102.81000000 0.333280056492 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N Fannie Mae - CAS N/A 20755CAB4 450000.00000000 PA USD 460408.50000000 0.043615829092 Long ABS-MBS CORP US N 2 2043-10-25 Floating 7.84884000 N N N N N N SPRINT CAPITAL CORP 549300L17W0GQBR1PO80 852060AT9 3000000.00000000 PA USD 3695844.66000000 0.350118056121 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BR2 225000.00000000 PA USD 225283.50000000 0.021341757663 Long DBT CORP PA N 2 2029-05-01 Fixed 6.00000000 N N N N N N EG Group Limited 2138003OUK4UQHRJLT65 000000000 5890000.00000000 PA 6051794.18000000 0.573303969530 Long LON CORP GB N 2 2027-04-30 Floating 10.72200000 N N N N N N AMN HEALTHCARE INC 549300H27NUKBFFQEE84 00175PAB9 1000000.00000000 PA USD 978728.19000000 0.092717752740 Long DBT CORP US N 2 2027-10-01 Fixed 4.62500000 N N N N N N ENDEAVOR ENERGY RESOURCE N/A 29260FAE0 1500000.00000000 PA USD 1528800.57000000 0.144827700568 Long DBT CORP US N 2 2028-01-30 Fixed 5.75000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -146197.37000000 -0.01384969978 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 -126026.66000000 USD -920000.00000000 USD -20170.71000000 N N N CASSA DEPOSITI E PRESTIT 81560029E2CE4D14F425 147918AB2 400000.00000000 PA USD 403173.12000000 0.038193755972 Long DBT NUSS IT N 2 2026-05-05 Fixed 5.75000000 N N N N N N Intelsat SA/Luxembourg N/A 000000000 44407.00000000 NS USD 1661554.52000000 0.157403866287 Long EC CORP US N 2 N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCB7 1350000.00000000 PA USD 1279558.85000000 0.121216311416 Long DBT CORP US N 2 2029-06-01 Fixed 5.37500000 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452151LF8 1138823.53000000 PA USD 1145045.99000000 0.108473519065 Long DBT MUN US N 2 2033-06-01 Fixed 5.10000000 N N N N N N ASHLAND INC 529900E4L9R04SB8HB11 04433LAA0 575000.00000000 PA USD 505528.68000000 0.047890194268 Long DBT CORP US N 2 2031-09-01 Fixed 3.37500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 709.00000000 NC USD -44859.52000000 -0.00424967210 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2024-12-31 147195594.64000000 USD -44859.52000000 N N N Fannie Mae - CAS N/A 20753YCK6 1000000.00000000 PA USD 1041846.70000000 0.098697151784 Long ABS-MBS CORP US N 2 2042-03-25 Floating 8.44884000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAM2 2900000.00000000 PA USD 2911686.71000000 0.275832505075 Long DBT CORP US N 2 N/A Fixed 7.12500000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1564000.00000000 NC 1.19000000 0.000000112732 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 HUF 2024-09-10 1564000.00000000 USD 440.00000000 EUR 2024-09-10 XXXX -41.46000000 N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CE9 50000.00000000 PA USD 49965.93000000 0.004733417092 Long DBT CORP US N 2 2025-06-15 Fixed 5.75000000 N N N N N N GN BONDCO LLC N/A 36267QAA2 1925000.00000000 PA USD 1960758.65000000 0.185748339071 Long DBT CORP US N 2 2031-10-15 Fixed 9.50000000 N N N N N N B&G FOODS INC 549300TRW1LZMDJZAQ78 05508WAB1 900000.00000000 PA USD 852434.69000000 0.080753604139 Long DBT CORP US N 2 2027-09-15 Fixed 5.25000000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834KV9 3440000.00000000 PA USD 1591000.00000000 0.150720032505 Long DBT UST US N 2 2041-11-15 None 0.00000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 692.38000000 0.000065591160 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 US TREASURY N/B United States Treasury Note/Bond Y Default Event 2024-12-20 298.40000000 USD 0.00000000 USD 615000.00000000 EUR 393.98000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RMN9 781000.00000000 PA USD 572025.50000000 0.054189630392 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAJ2 150000.00000000 PA USD 140272.16000000 0.013288387501 Long DBT CORP NO N 2 2031-01-15 Fixed 4.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 -152000000.00000000 OU OTHER USD -70547.74000000 -0.00668319149 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 0.00000000 NC USD 0.00000000 0.00000000 DCR CORP US IHS MARKIT LTD CDX.NA.IG.42.V1 Default Event 2024-11-20 0.00000000 USD 0.00000000 USD N/A N/A -152000000.00000000 USD 80.00000000 USD 2024-11-20 XXXX 54852.26000000 N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AT6 2105000.00000000 PA USD 2253002.55000000 0.213433449132 Long DBT CORP CO N 2 2029-01-19 Fixed 8.62500000 N N N N N N LITHIA MOTORS INC SE8N1EZEHPZQBCBVKD53 536797AG8 550000.00000000 PA USD 510548.24000000 0.048365711708 Long DBT CORP US N 2 2029-06-01 Fixed 3.87500000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F050692 1000000.00000000 PA USD 992802.09000000 0.094051014001 Long ABS-MBS USGSE US N 2 2054-09-15 Fixed 5.00000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 508000.00000000 PA USD 418465.00000000 0.039642400001 Long DBT NUSS RS N 2 2030-12-01 Fixed 2.12500000 N N N N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 -756000.00000000 NC USD -31972.72000000 -0.00302886825 N/A DFE CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A TRY 2025-02-21 -756000.00000000 USD 42.00000000 USD 2025-02-21 XXXX 23383.11000000 N N N ELECTRICIDAD FIRME DE ME 549300B9KK10OSYRIY06 000000000 537000.00000000 PA USD 515788.50000000 0.048862136697 Long DBT CORP MX N 2 2026-11-20 Fixed 4.90000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC USD -1703800.70000000 -0.16140596913 N/A DFE CORP US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 -71912103.00000000 EUR 77979741.74000000 USD 2024-10-21 -1703800.70000000 N N N UNIVISION COMMUNICATIONS 549300YQDE2JSGTL8V47 914906AU6 1875000.00000000 PA USD 1856020.05000000 0.175826148501 Long DBT CORP US N 2 2027-06-01 Fixed 6.62500000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377REP5 833333.33000000 PA USD 831604.25000000 0.078780276298 Long ABS-O CORP US N 2 2025-09-22 Fixed 3.04000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -183199.20000000 -0.01735499018 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 -163279.06000000 USD -920000.00000000 USD -19920.14000000 N N N MILLICOM INTL CELLULAR 549300CTHC1CP86P2G96 600814AR8 720000.00000000 PA USD 640353.60000000 0.060662548967 Long DBT CORP LU N 2 2031-04-27 Fixed 4.50000000 N N N N N N BELLEMEADE RE LT N/A 078777AC3 708147.67000000 PA USD 709638.39000000 0.067226097553 Long ABS-MBS CORP US N 2 2031-09-25 Floating 6.74884000 N N N N N N SMYRNA READY MIX CONCRET 549300S7RFWHQFOIOY93 85236FAA1 2125000.00000000 PA USD 2118913.34000000 0.200730790370 Long DBT CORP US N 2 2028-11-01 Fixed 6.00000000 N N N N N N CARNIVAL HLDGS BM LTD N/A 14366RAA7 875000.00000000 PA USD 946696.06000000 0.089683256401 Long DBT CORP BM N 2 2028-05-01 Fixed 10.37500000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDH0 825000.00000000 PA USD 806935.86000000 0.076443368352 Long DBT CORP US N 2 2028-06-15 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECR9 6760109.05000000 PA USD 6006781.22000000 0.569039761614 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N VECTOR GROUP LTD 549300TUIF4WWN6NDN50 92240MBL1 2325000.00000000 PA USD 2358464.96000000 0.223424208317 Long DBT CORP US N 2 2029-02-01 Fixed 5.75000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -174001.91000000 -0.01648370429 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 -154290.07000000 USD -920000.00000000 USD -19711.84000000 N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CQ3 200000.00000000 PA USD 183710.56000000 0.017403432793 Long DBT CORP US N 2 2029-02-15 Fixed 3.37500000 N N N N N N PACTIV EVERGREEN GROUP N/A 69527AAA4 1000000.00000000 PA USD 951922.32000000 0.090178355130 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 1040000.00000000 PA USD 1025510.75000000 0.097149599983 Long DBT CORP US N 2 2029-05-01 Fixed 4.22300000 N N N N N N Freddie Mac - STACR 5493000ISA3AUOXQEF68 35564KRF8 700000.00000000 PA USD 716825.97000000 0.067906997799 Long ABS-MBS CORP US N 2 2042-02-25 Floating 7.74884000 N N N N N N Laurel Road Prime Student Loan N/A 51889RAD1 486856.04300000 PA USD 124651.52000000 0.011808599086 Long ABS-O CORP US N 2 2048-10-25 None 0.00000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -24254.21000000 -0.00229767147 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -85799996.00000000 TWD 2663000.00000000 USD 2024-09-18 -24254.21000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -102486.49000000 -0.00970884167 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -149738240.00000000 PHP 2560000.00000000 USD 2024-09-18 -102486.49000000 N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CM6 670000.00000000 PA USD 649700.07000000 0.061547967108 Long DBT CORP US N 2 2028-02-15 Fixed 4.50000000 N N N N N N Freddie Mac - STACR 5493000ITF7RKPWPZQ19 35566ABD0 630000.00000000 PA USD 718230.43000000 0.068040046358 Long ABS-MBS CORP US N 2 2050-10-25 Floating 10.14884000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CAJ3 600000.00000000 PA USD 598956.24000000 0.056740857298 Long ABS-O CORP US N 2 2031-12-15 Fixed 5.00400000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 545.00000000 NC USD -462226.72000000 -0.04378807433 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2024-12-19 64465664.22000000 USD -462226.72000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WLP1 1786358.47000000 PA USD 1561296.70000000 0.147906152969 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BL2 235000.00000000 PA USD 234118.75000000 0.022178746455 Long DBT CORP KY N 2 2027-02-01 Fixed 8.00000000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD -144430.82000000 -0.01368234939 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -5639510.76000000 USD 31085942.00000000 BRL 2024-10-02 -144430.82000000 N N N PMT CREDIT RISK TRANSFER TRUST N/A 69392AAA6 4200000.00000000 PA USD 4200000.00000000 0.397878149918 Long ABS-MBS CORP US N 3 2049-12-31 Floating 8.44800000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -8382.14000000 -0.00079406437 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2329251.00000000 USD 79648737.95000000 TRY 2024-09-04 -8382.14000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -760288.61000000 -0.07202433941 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2026-05-17 0.00000000 USD 0.00000000 USD -67775000.00000000 USD -760288.61000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD -25628.94000000 -0.00242790362 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -105703416.00000000 TWD 3285000.00000000 USD 2024-09-18 -25628.94000000 N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AQ0 400000.00000000 PA USD 327317.37000000 0.031007721336 Long DBT CORP US N 2 2027-04-15 Fixed 5.50000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 380000.00000000 PA 423412.42000000 0.040111083410 Long DBT NUSS ID N 2 2028-06-14 Fixed 3.75000000 N N N N N N DISH DBS CORP N/A 25470XBB0 500000.00000000 PA USD 256814.67000000 0.024328796612 Long DBT CORP US N 2 2028-07-01 Fixed 7.37500000 N N N N N N DBWF Mortgage Trust N/A 23307CAJ4 250000.00000000 PA USD 190817.48000000 0.018076691884 Long ABS-MBS CORP US N 2 2036-12-10 Variable 3.93503700 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 94692.65000000 0.008970508664 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-08-31 0.00000000 USD 0.00000000 USD -62470000.00000000 USD 94692.65000000 N N N ALBERTSONS COS/SAFEWAY N/A 013092AB7 1775000.00000000 PA USD 1771542.05000000 0.167823303180 Long DBT CORP US N 2 2028-02-15 Fixed 5.87500000 N N N N N N INGLES MARKETS INC 549300XH5RYBMYP8TF26 457030AK0 350000.00000000 PA USD 313729.20000000 0.029720474683 Long DBT CORP US N 2 2031-06-15 Fixed 4.00000000 N N N N N N LIGHT SERVICOS ENERGIA N/A 53227QAB4 2000000.00000000 PA USD 930000.00000000 0.088101590339 Long DBT CORP BR N 2 2026-06-18 Fixed 4.37500000 Y N N N N N Fannie Mae - CAS N/A 20754RAF3 1220000.00000000 PA USD 1254572.60000000 0.118849291673 Long ABS-MBS CORP US N 2 2041-10-25 Floating 8.44884000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 395222.34000000 0.037440555582 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-05-17 0.00000000 USD 0.00000000 USD 132290000.00000000 USD 395222.34000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022691 5500000.00000000 PA USD 4689721.36000000 0.444270871036 Long ABS-MBS USGSE US N 2 2054-09-15 Fixed 2.50000000 N N N N N N NCR ATLEOS LLC N/A 638962AA8 656000.00000000 PA USD 723281.32000000 0.068518531779 Long DBT CORP US N 2 2029-04-01 Fixed 9.50000000 N N N N N N BLACKSTONE PRIVATE CR FUND N/A 000000000 1250000.00000000 PA USD 1230940.00000000 0.116610507109 Long DBT CORP US N 3 2027-05-03 Fixed 5.61000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BQ4 100000.00000000 PA USD 95250.00000000 0.009023308042 Long DBT CORP PA N 2 2028-08-01 Fixed 4.00000000 N N N N N N BELLEMEADE RE LT N/A 078915AB1 1750000.00000000 PA USD 1751854.30000000 0.165958225669 Long ABS-MBS CORP BM N 2 2034-08-25 Floating 8.83808000 N N N N N N AGILE GROUP HOLDINGS LTD 549300ZRISRT38EEYY07 000000000 2085000.00000000 PA USD 130312.50000000 0.012344880097 Long DBT CORP KY N 2 2025-10-13 Fixed 6.05000000 Y N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 17888HAA1 200000.00000000 PA USD 211244.41000000 0.020011794055 Long DBT CORP US N 2 2028-07-01 Fixed 8.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133A9UL7 9661032.66000000 PA USD 8345655.14000000 0.790608054039 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.50000000 N N N N N N Oaktown Re Ltd N/A 67389JAB4 3900000.00000000 PA USD 3966200.94000000 0.375729688622 Long ABS-MBS CORP BM N 2 2034-04-25 Floating 8.24884000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -38073.67000000 -0.00360682890 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -21676628.19000000 PEN 5745136.45000000 USD 2024-09-18 -38073.67000000 N N N HILCORP ENERGY I/HILCORP N/A 431318AU8 675000.00000000 PA USD 670711.01000000 0.063538394235 Long DBT CORP US N 2 2029-02-01 Fixed 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DV6U4 5821559.00000000 PA USD 5028962.53000000 0.476408168440 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.50000000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834NP9 2230000.00000000 PA USD 908986.33000000 0.086110904590 Long DBT UST US N 2 2044-05-15 None 0.00000000 N N N N N N MEG ENERGY CORP 5493002WXPTG5ZC1T326 552704AE8 122000.00000000 PA USD 123525.00000000 0.011701880587 Long DBT CORP CA N 2 2027-02-01 Fixed 7.12500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -18015.54000000 -0.00170666422 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -4300838.00000000 PLN 1091214.89000000 USD 2024-10-21 -18015.54000000 N N N Fannie Mae - CAS N/A 20753XAF1 1000000.00000000 PA USD 1105000.00000000 0.104679846585 Long ABS-MBS CORP US N 2 2042-03-25 Floating 11.59884000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -5598.00000000 -0.00053031473 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -1236634.35000000 USD 44021091.27000000 TRY 2024-10-09 -5598.00000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 000000000 -154760000.00000000 OU OTHER USD -99638.19000000 -0.00943901397 N/A DCR CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS SECURITIES CORP RCNB6OTYUAMMP879YW96 BNP PARIBAS SECURITIES CORP RCNB6OTYUAMMP879YW96 000000000 0.00000000 NC USD 0.00000000 0.00000000 DCR CORP US IHS MARKIT LTD CDX.NA.IG.42.V1 Default Event 2024-11-20 0.00000000 USD 0.00000000 USD N/A N/A -154760000.00000000 USD 70.00000000 USD 2024-11-20 XXXX 1729.61000000 N N N IVORY COAST 254900ICW11T82O6H590 221625AK2 82125.08910000 PA USD 77423.43000000 0.007334545497 Long DBT NUSS CI N 2 2032-12-31 Variable 5.75000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 1399000.00000000 PA 1440073.99000000 0.136422374973 Long DBT NUSS CI N 2 2031-10-17 Fixed 5.87500000 N N N N N N ATLAS LUXCO 4 / ALL UNI N/A 019579AA9 680000.00000000 PA USD 628830.00000000 0.059570885003 Long DBT CORP N/A N 2 2028-06-01 Fixed 4.62500000 N N N N N N BELLIS ACQUISITION CO PL 259400CYE2267UB4A481 000000000 1480000.00000000 PA 1885684.47000000 0.178636344822 Long DBT CORP GB N 2 2030-05-14 Fixed 8.12500000 N N N N N N Fannie Mae - CAS N/A 20755DAB2 635000.00000000 PA USD 670052.64000000 0.063476024940 Long ABS-MBS CORP US N 2 2042-07-25 Floating 8.94884000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAD7 200000.00000000 PA USD 179125.00000000 0.016969029429 Long DBT CORP MA N 2 2031-06-23 Fixed 3.75000000 N N N N N N Freddie Mac - STACR 5493000ISOMSKCX2AW62 35564KMH9 310000.00000000 PA USD 313281.26000000 0.029678040031 Long ABS-MBS CORP US N 2 2041-11-25 Floating 7.14884000 N N N N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 000000000 1.00000000 NC USD 176495.24000000 0.016719904657 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -5557000.00000000 USD 322451772.40000000 PHP 2024-09-18 176495.24000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EW30 14500000.04000000 PA USD 14597118.87000000 1.382827297653 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.50000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAH3 800000.00000000 PA USD 820643.26000000 0.077741910007 Long DBT CORP US N 2 2027-07-01 Fixed 6.50000000 N N N N N N Freddie Mac - STACR 5493000ITBQFEOXM0S98 35566CBD6 3240000.00000000 PA USD 3497476.32000000 0.331326049425 Long ABS-MBS CORP US Y 2 2050-12-25 Floating 8.34884000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBQ9 700000.00000000 PA USD 613253.76000000 0.058095302728 Long DBT CORP IT Y 2 2032-06-01 Fixed 4.19800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRF24 5981390.88000000 PA USD 6107892.27000000 0.578618303879 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6.00000000 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAG2 850000.00000000 PA USD 830264.84000000 0.078653390114 Long DBT CORP US Y 2 2026-04-15 Fixed 4.37500000 N N N N N N DISH DBS CORP N/A 25470XAY1 4570000.00000000 PA USD 3089510.39000000 0.292678256697 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N FIRST QUANTUM MINERALS L 549300I7UVBGWRYMYZ18 335934AV7 210000.00000000 PA USD 222406.80000000 0.021069239550 Long DBT CORP CA Y 2 2029-03-01 Fixed 9.37500000 N N N N N N SOUTHWEST AIRLINES CO UDTZ87G0STFETI6HGH41 844741BK3 695000.00000000 PA USD 701178.20000000 0.066424639280 Long DBT CORP US N 2 2027-06-15 Fixed 5.12500000 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89832QAD1 710000.00000000 PA USD 701652.22000000 0.066469544566 Long DBT CORP US N 2 N/A Fixed 4.80000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 1036000.00000000 PA 1065259.83000000 0.100915145319 Long DBT CORP MX N 2 2028-02-21 Fixed 4.87500000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834LX4 320000.00000000 PA USD 140137.50000000 0.013275630770 Long DBT UST US N 2 2042-11-15 None 0.00000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCK6 144000.00000000 PA USD 131283.36000000 0.012436852474 Long DBT CORP MX N 2 2028-02-12 Fixed 5.35000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2K9 2020000.00000000 PA USD 1842654.30000000 0.174559972339 Long DBT CORP FR N 2 2031-01-13 Fixed 3.05200000 N N N N N N AMERIGAS PART/FIN CORP N/A 030981AL8 295000.00000000 PA USD 288703.86000000 0.027349751831 Long DBT CORP US N 2 2027-05-20 Fixed 5.75000000 N N N N N N DIG HLDNG/DIG FIN/DIFL N/A 000000000 8209137.00000000 PA USD 8165525.96000000 0.773543895733 Long DBT CORP N/A N 2 2027-05-25 Fixed 12.00000000 N N Y N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -500748.20000000 -0.04743732556 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2029-05-13 10037.12000000 USD 0.00000000 USD -15700000.00000000 USD -510785.32000000 N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 67.55000000 0.000006399206 N/A DCR CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 PETROLEOS MEXICANOS Petroleos Mexicanos Y Default Event 2024-12-20 0.00000000 USD -1004.90000000 USD 180000.00000000 USD 1072.45000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XTE6 1000144.83000000 PA USD 1018282.89000000 0.096464883896 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 6.00000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1564000.00000000 NC 0.03000000 0.000000002841 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A EUR N/A PLN 2024-09-05 1564000.00000000 USD 4.75000000 EUR 2024-09-05 XXXX -15.11000000 N N N Morgan Stanley Capital I Trust N/A 61771LAL6 20580000.00000000 PA USD 18473488.82000000 1.750047036726 Long ABS-MBS CORP US N 2 2036-11-10 Variable 3.28300000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 000000000 500000.00000000 PA 611393.68000000 0.057919091969 Long DBT CORP GB N 2 2029-05-15 Fixed 5.25000000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834JH2 580000.00000000 PA USD 283293.75000000 0.026837236460 Long DBT UST US N 2 2040-11-15 None 0.00000000 N N N N N N LAMB WESTON HLD 5493005SMYID1D2OY946 513272AE4 725000.00000000 PA USD 666708.30000000 0.063159205938 Long DBT CORP US N 2 2032-01-31 Fixed 4.37500000 N N N N N N Freddie Mac - STACR 5493000IT4TAVS1FNX06 35565RBD4 845401.58000000 PA USD 962609.41000000 0.091190774082 Long ABS-MBS CORP US N 2 2050-09-25 Floating 10.71332000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834LB2 75000.00000000 PA USD 34195.31000000 0.003239420637 Long DBT UST US N 2 2042-02-15 None 0.00000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -92406.30000000 -0.00875391611 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -23305890000.00000000 IDR 1410000.00000000 USD 2024-09-18 -92406.30000000 N N N PLAINS ALL AMER PIPELINE N/A 72650RBM3 1600000.00000000 PA USD 1505981.17000000 0.142665952793 Long DBT CORP US N 2 2029-12-15 Fixed 3.55000000 N N N N N N TFS_18-3 N/A 000000000 1.00000000 PA 1.11000000 0.000000105153 Long ABS-MBS CORP N/A N 3 2040-04-16 Fixed 0.00000100 N N N N N N JELD-WEN INC 549300XWE6NM0N1HFW16 475795AD2 500000.00000000 PA USD 485366.76000000 0.045980197262 Long DBT CORP US N 2 2027-12-15 Fixed 4.87500000 N N N N N N Ocean Trails CLO IX 549300LD2JF1INLMST94 67515XAQ7 10000000.00000000 PA USD 10007658.00000000 0.948054392871 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 7.31298000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLJ9 1250000.00000000 PA USD 883105.73000000 0.083659160484 Long DBT CORP US N 2 2055-09-15 Fixed 3.55000000 N N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 000000000 2304000.00000000 PA USD 2389086.72000000 0.226325096226 Long DBT CORP ZA N 2 2028-08-10 Fixed 8.45000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AN9 745000.00000000 PA USD 745000.00000000 0.070576005164 Long DBT CORP US N 2 2024-09-01 Fixed 3.35000000 N N N N N N WESCO DISTRIBUTION INC 549300I2CEZJG9N4AH67 95081QAQ7 205000.00000000 PA USD 210676.94000000 0.019958035980 Long DBT CORP US N 2 2029-03-15 Fixed 6.37500000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BU6 645000.00000000 PA USD 693513.16000000 0.065698507867 Long DBT CORP US Y 2 2030-05-15 Fixed 10.50000000 N N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 29646AAB2 1155000.00000000 PA USD 1155360.94000000 0.109450684118 Long DBT CORP ZA N 2 2025-02-11 Fixed 7.12500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -48.00000000 NC USD 143005.35000000 0.013547310496 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2024-12-19 -6476005.35000000 USD 143005.35000000 N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDM9 325000.00000000 PA USD 312072.41000000 0.029563522174 Long DBT CORP US N 2 2029-06-01 Fixed 4.25000000 N N N N N N ATLAS LUXCO 4 / ALL UNI N/A 049362AA4 420000.00000000 PA USD 387450.00000000 0.036704259330 Long DBT CORP N/A N 2 2028-06-01 Fixed 4.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379WM25 2961641.29000000 PA USD 2647113.80000000 0.250768747944 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 1868.93000000 0.000177049145 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -37562345.00000000 TRY 1096390.69000000 USD 2024-09-04 1868.93000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -170094.15000000 -0.01611351088 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 -156076.65000000 USD -920000.00000000 USD -14017.50000000 N N N FERRELLGAS ESCROW LLC 3/30/31 Equity Preferred N/A 000000000 3925000.00000000 NS USD 3925000.00000000 0.371826604388 Long EP CORP US Y 3 N N N POWER FINANCE CORP LTD 3358003Q6D9LIJJZ1614 000000000 800000.00000000 PA USD 808250.00000000 0.076567860636 Long DBT CORP IN N 2 2028-08-10 Fixed 5.25000000 N N N N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 000000000 1.00000000 NC USD -43616.73000000 -0.00413193900 N/A DFE CORP US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 -634166541.00000000 HUF 1737000.00000000 USD 2024-10-21 -43616.73000000 N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAC9 730000.00000000 PA USD 702625.00000000 0.066561698830 Long DBT CORP US N 2 2026-09-18 Fixed 4.37500000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAA3 345000.00000000 PA USD 340155.81000000 0.032223943896 Long DBT CORP US N 2 2026-12-01 Fixed 4.25000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CM5 1035000.00000000 PA USD 981020.80000000 0.092934938318 Long DBT CORP US N 2 2027-02-01 Fixed 2.70000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -150526.33000000 -0.01425979468 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 -135864.12000000 USD -920000.00000000 USD -14662.21000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EKV1 1064802.01000000 PA USD 1074856.17000000 0.101824234368 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.50000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD 49913.34000000 0.004728435089 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -3334000.00000000 USD 3093088544.00000000 CLP 2024-09-23 49913.34000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAN1 18000000.00000000 PA USD 17344670.40000000 1.643110802310 Long DBT CORP US N 2 N/A Fixed 3.65000000 N N N N N N NATIONSTAR MTG HLD INC N/A 63861CAD1 150000.00000000 PA USD 142470.22000000 0.013496616083 Long DBT CORP US N 2 2030-12-15 Fixed 5.12500000 N N N N N N GREYSTONE COML CAP TRUST N/A 39810DAA7 6293306.29220000 PA USD 5412243.41000000 0.512717474971 Long DBT CORP US Y 3 2025-05-31 Floating 7.72605000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBW1 775000.00000000 PA USD 786302.60000000 0.074488719943 Long DBT CORP FR N 2 2030-01-19 Fixed 5.63400000 N N N N N N AMERIGAS PART/FIN CORP N/A 030981AJ3 496000.00000000 PA USD 490720.70000000 0.046487391486 Long DBT CORP US Y 2 2026-08-20 Fixed 5.87500000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD -5721.62000000 -0.00054202561 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -3356947.14000000 USD 118493520.00000000 TRY 2024-09-30 -5721.62000000 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 500000.00000000 PA 491903.00000000 0.046599394185 Long DBT CORP MX N 2 2029-02-26 Fixed 4.75000000 N N N N N N DIVERSIFIED HEALTHCARE T N/A 25525PAB3 2000000.00000000 PA USD 1529026.30000000 0.144849084624 Long DBT CORP US N 2 2031-03-01 Fixed 4.37500000 N N N N N N Hertz Vehicle Financing LLC N/A 42806MAF6 600000.00000000 PA USD 557964.06000000 0.052857549503 Long ABS-O CORP US N 2 2027-12-27 Fixed 2.12000000 N N N N N N Rockford Tower CLO Ltd N/A 77341NAE5 8700000.00000000 PA USD 8658481.86000000 0.820243034181 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 7.29362000 N N N N N N AMERICAN AXLE & MFG INC RY5TAKFOBLDUGX31MS24 02406PAY6 144000.00000000 PA USD 144510.94000000 0.013689939392 Long DBT CORP US N 2 2026-03-15 Fixed 6.25000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -89207.67000000 -0.00845090064 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -73675757.70000000 THB 2091000.00000000 USD 2024-09-18 -89207.67000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJT7 1605000.00000000 PA USD 1407762.19000000 0.133361384686 Long DBT CORP US N 2 2032-04-22 Fixed 2.68700000 N N N N N N Wells Fargo Commercial Mortgag N/A 95003EAJ5 11200000.00000000 PA USD 10453132.48000000 0.990255479047 Long ABS-MBS CORP US N 2 2031-05-15 Floating 9.95148000 N N N N N N MEXICO CITY ARPT TRUST N/A 59284MAD6 6142000.00000000 PA USD 5247571.25000000 0.497117604885 Long DBT CORP MX N 2 2047-07-31 Fixed 5.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31397VSJ7 2638119.31000000 PA USD 310266.76000000 0.029392467726 Long ABS-MBS USGSE US N 2 2035-11-25 Fixed 3.50000000 N N N N N N MYLAN INC 30ZMPDNA1RHIBH89C294 628530BC0 3000000.00000000 PA USD 2713597.92000000 0.257066980960 Long DBT CORP US N 2 2043-11-29 Fixed 5.40000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 648.00000000 NC USD -137615.05000000 -0.01303667178 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2024-12-31 71027804.17000000 USD -137615.05000000 N N N MPT OPER PARTNERSP/FINL N/A 55342UAM6 500000.00000000 PA USD 341353.30000000 0.032337385588 Long DBT CORP US N 2 2031-03-15 Fixed 3.50000000 N N N N N N Carlyle Euro CLO 635400GXUD5SKWFXE966 000000000 9100000.00000000 PA 9175019.05000000 0.869176096448 Long ABS-CBDO CORP IE N 2 2035-10-15 Fixed 2.10000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 639589.22000000 0.060590137038 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2054-05-11 748605.88000000 USD 0.00000000 USD -1640000.00000000 USD -109016.66000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F0226A8 14500000.00000000 PA USD 12378537.48000000 1.172654664582 Long ABS-MBS USGSE US N 2 2054-10-15 Fixed 2.50000000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD 12707.24000000 0.001203793605 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -1341103.05000000 USD 26739750.00000000 MXN 2024-09-18 12707.24000000 N N N GoodLeap Sustainable Home Impr N/A 38237CAA6 451958.01000000 PA USD 468869.24000000 0.044417339467 Long ABS-O CORP US N 2 2055-07-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VTW0 2697420.39000000 PA USD 2362773.08000000 0.223832328987 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 2.50000000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834DV7 830000.00000000 PA USD 439737.89000000 0.041657642410 Long DBT UST US N 2 2039-05-15 None 0.00000000 N N N N N N CODERE FINANCE 2 LUXEMBO 2221005CUH65GSJUKB29 000000000 59796.16000000 PA 660.99000000 0.000062617494 Long DBT CORP LU N 2 2027-11-30 Variable 12.75000000 N N Y N N N TENNECO INC 549300U0EXXFAQFAD785 880349AU9 2025000.00000000 PA USD 1890163.13000000 0.179060621240 Long DBT CORP US N 2 2028-11-17 Fixed 8.00000000 N N N N N N UNIVISION COMMUNICATIONS 549300YQDE2JSGTL8V47 914906AY8 625000.00000000 PA USD 631952.55000000 0.059866693197 Long DBT CORP US N 2 2028-08-15 Fixed 8.00000000 N N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 17888HAC7 200000.00000000 PA USD 217814.08000000 0.020634157899 Long DBT CORP US N 2 2030-11-01 Fixed 8.62500000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 88137.38000000 0.008349508974 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2031-05-08 0.00000000 USD -18372.24000000 USD -422000.00000000 GBP 106509.62000000 N N N St Pauls CLO 549300IMSL8GGSOV5A04 000000000 9200000.00000000 PA 9638857.28000000 0.913116833785 Long ABS-CBDO CORP IE N 2 2030-04-25 Fixed 1.87000000 N N N N N N 20 TSQ GroundCo LLC N/A 90137LAQ3 100000.00000000 PA USD 73594.58000000 0.006971827460 Long ABS-MBS CORP US Y 2 2035-05-15 Variable 3.20323000 N N N N N N AETHON UN/AETHIN UN FIN N/A 00810GAC8 1575000.00000000 PA USD 1596066.29000000 0.151199976812 Long DBT CORP US N 2 2026-02-15 Fixed 8.25000000 N N N N N N TOPBUILD CORP 5493007YSKHOL4RWII46 89055FAC7 1050000.00000000 PA USD 957109.08000000 0.090669711909 Long DBT CORP US N 2 2032-02-15 Fixed 4.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDF7 382832.87000000 PA USD 354187.93000000 0.033553247217 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.50000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -1564000.00000000 NC -1708.26000000 -0.00016182841 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 HUF 2024-09-10 -1564000.00000000 USD 397.00000000 EUR 2024-09-10 XXXX 11896.56000000 N N N European Residential Loan Secu N/A 000000000 107656.42000000 PA 113450.23000000 0.010747468481 Long ABS-O CORP LU N 2 2060-11-25 Floating 5.80100000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VBC3 696415.38050000 PA USD 691714.58000000 0.065528123181 Long LON CORP US Y 2 2028-08-21 Floating 9.59674000 N N N N N N ALTA MESA HLDGS/FINANC S N/A 000000000 2950000.00000000 PA USD 295.00000000 0.000027946203 Long DBT CORP US N 2 2024-12-15 Fixed 7.87500000 Y N N N N N Santander Consumer Auto Receiv N/A 80282YAH9 1000000.00000000 PA USD 972115.20000000 0.092091285067 Long ABS-O CORP US N 2 2027-03-15 Fixed 3.28000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SE9 4670000.00000000 PA USD 3979715.63000000 0.377009974301 Long DBT UST US N 2 2048-11-15 Fixed 3.37500000 N N N N N N CORNERSTONE BUILDING 549300IW41QEWQ6T0H29 21925DAA7 175000.00000000 PA USD 146122.28000000 0.013842586292 Long DBT CORP US N 2 2029-01-15 Fixed 6.12500000 N N N N N N New Residential Mortgage Loan N/A 64828FCQ3 78185.00000000 PA USD 76400.26000000 0.007237617643 Long ABS-MBS CORP US N 2 2048-01-25 Floating 6.21406000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 204222.10000000 0.019346550314 N/A DCR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 EGYPT GOVERNMENT INTERNATIONAL BOND EGYPT GOVERNMENT INTERNATIONAL BOND Y Default Event 2030-06-20 196726.93000000 USD 0.00000000 USD -900000.00000000 USD 7495.17000000 N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AU8 590000.00000000 PA USD 605506.52000000 0.057361384271 Long DBT CORP US N 2 2032-02-15 Fixed 6.25000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -50082.59000000 -0.00474446863 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF ITALY GOVERNMENT INTERNATIONAL BOND REPUBLIC OF ITALY GOVERNMENT INTERNATIONAL BOND Y Default Event 2027-12-20 0.00000000 USD -36548.09000000 USD -1475000.00000000 EUR -13534.50000000 N N N Barclays Commercial Mortgage S N/A 07335CAL8 43170000.00000000 PA USD 2066478.83000000 0.195763517554 Long ABS-MBS CORP US N 2 2052-08-15 Variable 1.26308800 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -16998.45000000 -0.00161031234 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1814796.00000000 EUR 1993919.99000000 USD 2024-10-21 -16998.45000000 N N N Blackstone Mortgage Trust Inc 549300OLDJ20R2Y2UW20 09259GAC7 746567.11000000 PA USD 731635.77000000 0.069309972995 Long LON CORP US N 2 2026-04-23 Floating 7.61661000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 4453000.00000000 PA 4776989.32000000 0.452538017339 Long DBT NUSS RS N 2 2027-05-15 Fixed 3.12500000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -181448.75000000 -0.01718916498 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 -159216.62000000 USD -920000.00000000 USD -22232.13000000 N N N Adtalem Global Education Inc 549300Z467EZLMODV621 00737RAH3 422188.22000000 PA USD 423243.69000000 0.040095099129 Long LON CORP US N 2 2028-08-12 Floating 7.99674000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BX0 175000.00000000 PA USD 188326.52000000 0.017840716037 Long DBT CORP US N 2 2029-04-15 Fixed 10.50000000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD -713123.55000000 -0.06755625684 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.42.V1 Y Default Event 2029-06-20 0.00000000 USD -650501.17000000 USD -29400000.00000000 USD -62622.38000000 N N N STRIPS 254900HROIFWPRGM1V77 912834VV7 250000.00000000 PA USD 79775.39000000 0.007557353471 Long DBT UST US N 2 2050-05-15 None 0.00000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -380808.03000000 -0.03607504629 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -28280089.00000000 EUR 30955470.26000000 USD 2024-10-21 -380808.03000000 N N N BELLIS FINCO PLC 259400ELWH6Z4ICFTD70 000000000 3500000.00000000 PA 4151580.98000000 0.393291276085 Long DBT CORP GB N 2 2027-02-16 Fixed 4.00000000 N N N N N N Ally Bank Auto Credit-Linked N N/A 02007GZ89 903234.25000000 PA USD 904347.27000000 0.085671433017 Long ABS-O CORP US N 2 2032-05-17 Fixed 7.91700000 N N N N N N GOHL CAPITAL LTD 254900TF7OK6KSDZA888 000000000 1020000.00000000 PA USD 997050.00000000 0.094453430803 Long DBT CORP IM N 2 2027-01-24 Fixed 4.25000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -374.00000000 NC USD 602201.14000000 0.057048256062 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2024-12-19 -46650951.14000000 USD 602201.14000000 N N N NEMAK SAB DE CV 5493000MY3DAIB0BP706 64045DAC8 1190000.00000000 PA USD 969850.00000000 0.091876696118 Long DBT CORP MX N 2 2031-06-28 Fixed 3.62500000 N N N N N N SALLY HOLDINGS/SALLY CAP N/A 79546VAQ9 250000.00000000 PA USD 255097.25000000 0.024166100447 Long DBT CORP US N 2 2032-03-01 Fixed 6.75000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JT5 1650000.00000000 PA USD 1475540.12000000 0.139782184065 Long DBT CORP US N 2 2031-06-01 Fixed 3.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 2049.68000000 0.000194172115 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2765517260.00000000 COP 661607.00000000 USD 2024-09-18 2049.68000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 3040000.00000000 NC USD 1157.89000000 0.000109690269 N/A DFE CORP DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP DE US N/A CNY N/A USD 2024-12-20 3040000.00000000 USD 6.40000000 USD 2024-12-20 XXXX 963.33000000 N N N Tank Holding Corp 549300WQKU58ILVYFJ26 87583FAQ1 221200.00000000 PA USD 218988.00000000 0.020745366736 Long LON CORP US N 2 2028-03-31 Floating 11.34674000 N N N N N N GoodLeap Sustainable Home Impr N/A 38237BAA8 879805.09000000 PA USD 898942.96000000 0.085159467097 Long ABS-O CORP US N 2 2057-06-20 Fixed 6.25000000 N N N N N N CODERE FINANCE 2 LUXEMBO 2221005CUH65GSJUKB29 19200EAA5 271187.36000000 PA USD 1694.92000000 0.000160564674 Long DBT CORP LU N 2 2027-11-30 Variable 13.62500000 N N Y N N N CMG MEDIA CORPORATION N/A 88146LAA1 1608000.00000000 PA USD 854806.38000000 0.080978281193 Long DBT CORP US Y 2 2027-12-15 Fixed 8.87500000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BS7 200000.00000000 PA USD 201697.16000000 0.019107355443 Long DBT CORP US N 2 2026-02-15 Fixed 5.87500000 N N N N N N PUERTO RICO SALES TAX FING COR N/A 74529JPW9 240000.00000000 PA USD 237156.74000000 0.022466544036 Long DBT MUN US N 2 2053-07-01 Fixed 4.75000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -159802.87000000 -0.01513858815 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -2888211.76000000 USD 53890100.00000000 MXN 2024-09-18 -159802.87000000 N N N SUBURBAN PROPANE PARTNRS N/A 864486AK1 1850000.00000000 PA USD 1841243.77000000 0.174426348751 Long DBT CORP US N 2 2027-03-01 Fixed 5.87500000 N N N N N N ONE Park Mortgage Trust N/A 682413AJ8 400000.00000000 PA USD 374832.08000000 0.035508927266 Long ABS-MBS CORP US N 2 2036-03-15 Floating 7.20148000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 000000000 1917000.00000000 PA USD 1914603.75000000 0.181375951875 Long DBT CORP MX N 2 2029-11-19 Fixed 5.45000000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 800000.00000000 NC USD 219.73000000 0.000020815658 N/A DFE 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 DFE CORP DE US N/A USD N/A COP 2024-10-01 800000.00000000 USD 4900.00000000 USD 2024-10-01 XXXX 9.27000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC USD -392605.04000000 -0.03719261118 N/A DIR CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 IBOXX IG INDEX IBOXX IG INDEX Y Equity - Performance Leg 2024-12-20 0.00000000 USD 0.00000000 USD -14990000.00000000 USD -392605.04000000 N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BG6 25000.00000000 PA USD 25102.00000000 0.002377985076 Long DBT CORP LR N 2 2028-04-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBC6 1847864.80000000 PA USD 1596293.94000000 0.151221542755 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N MATTAMY GROUP CORP 5493008TNY7A82WCXU31 57701RAM4 3575000.00000000 PA USD 3382843.75000000 0.320466574455 Long DBT CORP CA N 2 2030-03-01 Fixed 4.62500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BPW39 1017985.57000000 PA USD 17919.91000000 0.001697604913 Long ABS-MBS USGSE US N 2 2026-03-25 Variable 1.46180400 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ANK78 2000974.14000000 PA USD 1723577.85000000 0.163279515761 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 1340000.00000000 PA USD 1393746.31000000 0.132033619828 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N ALTICE FINCO SA 549300IGQP5SEZB5Z419 000000000 3125000.00000000 PA 2325830.69000000 0.220332669514 Long DBT CORP LU N 2 2028-01-15 Fixed 4.75000000 N N N N N N MAXIM CRANE WORKS LLC N/A 57779EAA6 900000.00000000 PA USD 936533.61000000 0.088720538115 Long DBT CORP US N 2 2028-09-01 Fixed 11.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119AJ8 2000000.00000000 PA USD 2284291.14000000 0.216397507776 Long DBT CORP US N 2 2033-11-06 Fixed 7.50000000 N N N N N N Mcafee Corp 2549009UKR8UEZYVCR93 57906HAE7 1891312.50000000 PA USD 1884613.47000000 0.178534885894 Long LON CORP US N 2 2029-03-01 Floating 8.59233000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAH1 2265000.00000000 PA USD 2055487.50000000 0.194722277067 Long DBT CORP NL N 2 2032-01-19 Fixed 4.19300000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD -4309.17000000 -0.00040822013 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -874952.00000000 USD 3263343.47000000 PEN 2024-09-18 -4309.17000000 N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 000000000 400000.00000000 PA 330452.70000000 0.031304740217 Long DBT CORP US N 2 2039-10-01 Fixed 1.50000000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RGN8 500000.00000000 PA USD 502659.10000000 0.047618350654 Long ABS-O CORP US N 2 2027-10-20 Fixed 6.18000000 N N N N N N ASHTON WOODS USA/FINANCE N/A 045086AP0 825000.00000000 PA USD 776942.79000000 0.073602038066 Long DBT CORP US N 2 2030-04-01 Fixed 4.62500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137F2LL8 7123258.32000000 PA USD 118050.91000000 0.011183304206 Long ABS-MBS USGSE US N 2 2027-06-25 Variable 0.87942500 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834UH9 480000.00000000 PA USD 158962.50000000 0.015058977477 Long DBT UST US N 2 2049-02-15 None 0.00000000 N N N N N N JPMorgan Chase Bank, NA - CACL N/A 46591HAT7 278132.55000000 PA USD 281648.84000000 0.026681409377 Long ABS-O CORP US N 2 2028-01-25 Fixed 33.78400000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD 144030.06000000 0.013644384239 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -31085942.00000000 BRL 5657132.30000000 USD 2024-09-04 144030.06000000 N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BA4 4000000.00000000 PA USD 1579742.56000000 0.149653582647 Long DBT CORP US Y 2 2030-01-15 Fixed 5.75000000 N N N N N N TCW CLO 2017-1, Ltd N/A 87240NAY2 6000000.00000000 PA USD 5990736.00000000 0.567519751507 Long ABS-CBDO CORP KY N 2 2034-10-29 Floating 7.22517000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834KP2 1295000.00000000 PA USD 608700.58000000 0.057663966815 Long DBT UST US N 2 2041-08-15 None 0.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDB2 1150000.00000000 PA USD 1093331.52000000 0.103574457720 Long DBT CORP US N 2 2045-03-15 Fixed 4.75000000 N N N N N N BEAZER HOMES USA 549300DUPYT2T0F60I45 07556QBR5 125000.00000000 PA USD 124261.71000000 0.011771671257 Long DBT CORP US N 2 2027-10-15 Fixed 5.87500000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD 8834.53000000 0.000836920583 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -2779968.97000000 USD 107742712.50000000 TRY 2024-12-18 8834.53000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECE3 2645000.00000000 PA USD 3008113.54000000 0.284967297628 Long DBT CORP GB N 2 2033-11-02 Fixed 7.43700000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -7461.21000000 -0.00070682200 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-03-10 0.00000000 USD 0.00000000 USD 46221000.00000000 USD -7461.21000000 N N N Digicel International Finance Ltd 5493007V023VOEW4FK27 000000000 1655677.17000000 PA USD 1623942.81000000 0.153840800194 Long LON CORP LC N 2 2027-05-29 Floating 12.00211000 N N Y N N N PREMIER ENTERTAINMENT SU N/A 74052HAB0 1375000.00000000 PA USD 953681.37000000 0.090344995025 Long DBT CORP US N 2 2031-09-01 Fixed 5.87500000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -163937.12000000 -0.01553023762 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 -139761.85000000 USD -920000.00000000 USD -24175.27000000 N N N BAUSCH HEALTH AMERICAS KOO0397YRO83WY5MGD97 91911XAW4 40000.00000000 PA USD 29624.26000000 0.002806391847 Long DBT CORP US Y 2 2027-01-31 Fixed 8.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 9298000.00000000 NC USD 1058.36000000 0.000100261504 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 CNY N/A USD 2024-09-26 9298000.00000000 USD 6.70000000 USD 2024-09-26 XXXX 463.29000000 N N N ELECTRICIDAD FIRME DE ME 549300B9KK10OSYRIY06 28504MAA1 1180000.00000000 PA USD 1133390.00000000 0.107369313413 Long DBT CORP MX N 2 2026-11-20 Fixed 4.90000000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -241.00000000 NC -547776.29000000 -0.05189243257 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESOBLIGATION Bundesobligation 2024-09-06 -30283147.88000000 USD -547776.29000000 N N N PENN ENTERTAINMENT INC N/A 707569AS8 3125000.00000000 PA USD 3067409.75000000 0.290584599136 Long DBT CORP US N 2 2027-01-15 Fixed 5.62500000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 1052.91000000 0.000099745210 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-03-09 0.00000000 USD 0.00000000 USD 21412000.00000000 USD 1052.91000000 N N N STRIPS 254900HROIFWPRGM1V77 912834KH0 785000.00000000 PA USD 373089.65000000 0.035343861832 Long DBT UST US N 2 2041-05-15 None 0.00000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CE0 275000.00000000 PA 206691.56000000 0.019580489403 Long DBT CORP US N 2 2049-10-01 Fixed 1.87500000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -167208.41000000 -0.01584013638 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 -147199.33000000 USD -920000.00000000 USD -20009.08000000 N N N STANDARD INDUSTRIES INC N/A 853496AG2 1850000.00000000 PA USD 1731505.22000000 0.164030498454 Long DBT CORP US N 2 2030-07-15 Fixed 4.37500000 N N N N N N DBGS Mortgage Trust N/A 23306GAL1 262500.00000000 PA USD 257455.67000000 0.024389520396 Long ABS-MBS CORP US N 2 2035-05-15 Floating 7.63301000 N N N N N N REPUBLIC OF TURKIYE 5493000PCHOG3B6S3Q85 900123DK3 3130000.00000000 PA USD 3255200.00000000 0.308374512765 Long DBT NUSS TR N 2 2034-05-15 Fixed 7.62500000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 390110.55000000 0.036956300928 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -7094925.07000000 USD 133652070.00000000 ZAR 2024-09-18 390110.55000000 N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 29646AAD8 306000.00000000 PA USD 317300.58000000 0.030058801842 Long DBT CORP ZA N 2 2028-08-10 Fixed 8.45000000 N N N N N N EUTELSAT SA 549300MCOOY1V7P2PG30 000000000 1425000.00000000 PA 1657798.23000000 0.157048022069 Long DBT CORP FR N 2 2029-04-13 Fixed 9.75000000 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAC0 5940000.00000000 PA USD 108755.46000000 0.010302719337 Long DBT CORP US Y 2 2027-08-15 Fixed 6.62500000 Y N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAJ9 1500000.00000000 PA USD 1438113.45000000 0.136236647347 Long DBT CORP US Y 2 2046-02-01 Fixed 4.90000000 N N N N N N DIGICEL INTL FIN LTD Common Equity N/A 000000000 116510.00000000 NS USD 290109.90000000 0.027482950067 Long EC CORP US N 3 N N N THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 000000000 1.00000000 NC USD -359736.68000000 -0.03407889635 N/A DFE CORP US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 -22740233.00000000 GBP 29516754.21000000 USD 2024-10-21 -359736.68000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WNE4 2502131.41000000 PA USD 2186796.87000000 0.207161593543 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N PICARD GROUPE SAS 969500C0PA29TV19CT55 000000000 2525000.00000000 PA 2889103.84000000 0.273693164472 Long DBT CORP FR N 2 2029-07-01 Fixed 6.37500000 N N N N N N MEXICO CITY ARPT TRUST N/A 59284MAB0 938000.00000000 PA USD 800658.04000000 0.075848652303 Long DBT CORP MX N 2 2046-10-31 Fixed 5.50000000 N N N N N N UNITED AIR 2019-2 AA PTT N/A 90932JAA0 371654.03000000 PA USD 328171.95000000 0.031088678171 Long DBT CORP US N 2 2032-05-01 Fixed 2.70000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -143777.61000000 -0.01362046892 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -5609276.82000000 USD 107951671.00000000 MXN 2024-09-18 -143777.61000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -163657.22000000 -0.01550372188 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 -145440.44000000 USD -920000.00000000 USD -18216.78000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECS7 92774.91000000 PA USD 85503.42000000 0.008099986324 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD -2389.80000000 -0.00022639266 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -5547531.46000000 CNY 782000.00000000 USD 2024-09-19 -2389.80000000 N N N BEAZER HOMES USA 549300DUPYT2T0F60I45 07556QBT1 3233000.00000000 PA USD 3304328.45000000 0.313028592954 Long DBT CORP US N 2 2029-10-15 Fixed 7.25000000 N N N N N N Anchorage Capital CLO LTD 54930063NKPB83QNUF90 03331KAC3 7500000.00000000 PA USD 7503695.25000000 0.710846758006 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 7.29362000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -128524.94000000 -0.01217553936 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 -109332.40000000 USD -920000.00000000 USD -19192.54000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 -3040000.00000000 NC USD -61283.60000000 -0.00580557271 N/A DFE CORP DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP DE US N/A CNY N/A USD 2024-12-20 -3040000.00000000 USD 7.10000000 USD 2024-12-20 XXXX -32829.20000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAX3 1850000.00000000 PA USD 1669151.33000000 0.158123534075 Long DBT CORP US N 2 2040-04-15 Fixed 4.37500000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD 34197.80000000 0.003239656522 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -3219000.00000000 USD 103869726.00000000 TWD 2024-09-18 34197.80000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -11547.03000000 -0.00109388355 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -3701048.00000000 USD 13828987.52000000 PEN 2024-09-18 -11547.03000000 N N N Bayview Financing Trust N/A 07336HAA0 775255.35000000 PA USD 775953.08000000 0.073508279974 Long ABS-MBS CORP US N 3 2026-07-01 Floating 9.34583000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBL2 5000.00000000 PA USD 4634.31000000 0.000439021592 Long DBT CORP US N 2 2047-04-15 Fixed 5.30000000 N N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 29646AAC0 865000.00000000 PA USD 865268.15000000 0.081969354929 Long DBT CORP ZA N 2 2028-08-10 Fixed 6.35000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -249414.38000000 -0.02362774573 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -217441803.00000000 CZK 9364418.73000000 USD 2024-10-21 -249414.38000000 N N N FREEPORT INDONESIA PT 549300T4HTQHRKLNE619 000000000 820000.00000000 PA USD 822050.00000000 0.077875174557 Long DBT CORP ID N 2 2032-04-14 Fixed 5.31500000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBJ1 100000.00000000 PA USD 93573.75000000 0.008864512031 Long DBT CORP US N 2 2030-05-06 Fixed 3.40000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAH3 970000.00000000 PA USD 941952.45000000 0.089233880504 Long DBT CORP US N 2 2035-04-01 Fixed 5.00000000 N N N N N N Diamond Sports Group LLC 5493002K6DHWNZH8YA34 25277BAL2 559024.59000000 PA USD 684805.12000000 0.064873570047 Long LON CORP US N 2 2024-12-02 Fixed 10.00000000 N N Y N N N HILCORP ENERGY I/HILCORP N/A 431318AV6 675000.00000000 PA USD 671823.64000000 0.063643796894 Long DBT CORP US N 2 2031-02-01 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -15221.32000000 -0.00144195967 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -743908.00000000 NZD 449914.22000000 USD 2024-10-21 -15221.32000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WNF1 5541001.92000000 PA USD 5019783.14000000 0.475538578270 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -3049000.00000000 NC USD -20661.44000000 -0.00195731798 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 CNY N/A USD 2024-12-20 -3049000.00000000 USD 6.90000000 USD 2024-12-20 XXXX -477.06000000 N N N TALLGRASS NRG PRTNR/FIN N/A 87470LAD3 1250000.00000000 PA USD 1206439.41000000 0.114289495342 Long DBT CORP US N 2 2028-01-15 Fixed 5.50000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AF4 255000.00000000 PA USD 238761.39000000 0.022618557172 Long DBT CORP US N 2 2029-08-08 Fixed 3.90000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -9298000.00000000 NC USD -203914.65000000 -0.01931742468 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 CNY N/A USD 2024-09-26 -9298000.00000000 USD 7.22000000 USD 2024-09-26 XXXX -132134.09000000 N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 000000000 1106000.00000000 PA 1034983.95000000 0.098047023624 Long DBT CORP ID N 2 2031-11-05 Fixed 1.87500000 N N N N N N CMS ENERGY CORP 549300IA9XFBAGNIBW29 125896BU3 1550000.00000000 PA USD 1457525.03000000 0.138075562475 Long DBT CORP US N 2 2050-06-01 Fixed 4.75000000 N N N N N N Doncasters US Finance LLC N/A 000000000 187500.00000000 PA USD 186093.75000000 0.017629199276 Long LON CORP US N 2 2030-04-23 Floating 0.00000000 N N N N N N Chesapeake Energy Corp X2MT1W32SPAZ9WSKLE78 165167735 11102.00000000 NS USD 826987.98000000 0.078342963687 Long EC CORP US Y 1 N N N US BANCORP N1GZ7BBF3NP8GI976H15 902973BC9 3660000.00000000 PA USD 3247084.36000000 0.307605694711 Long DBT CORP US N 2 N/A Fixed 3.70000000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 3040000.00000000 NC USD 10079.52000000 0.000954862088 N/A DFE 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 DFE CORP DE US N/A USD N/A CNY 2024-12-20 3040000.00000000 USD 7.25000000 USD 2024-12-20 XXXX -18453.92000000 N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 792000.00000000 NC USD 462.08000000 0.000043774175 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 2024-09-19 792000.00000000 USD 23.00000000 USD 2024-09-19 XXXX 343.04000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC USD -6382.72000000 -0.00060465352 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -3705976.54000000 USD 310397771.00000000 INR 2024-09-18 -6382.72000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD -61872.25000000 -0.00586133722 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -55942793.22000000 ZAR 3071141.70000000 USD 2024-09-18 -61872.25000000 N N N H&E EQUIPMENT SERVICES 254900KVLRCDMQRYY541 404030AJ7 3500000.00000000 PA USD 3241995.96000000 0.307123655859 Long DBT CORP US Y 2 2028-12-15 Fixed 3.87500000 N N N N N N LAMB WESTON HLD 5493005SMYID1D2OY946 513272AD6 450000.00000000 PA USD 418915.49000000 0.039685076222 Long DBT CORP US N 2 2030-01-31 Fixed 4.12500000 N N N N N N TPC GROUP INC 549300K276KVW5JD1583 89236YAG9 785544.00000000 PA USD 797154.81000000 0.075516781190 Long DBT CORP US N 2 2027-12-16 Fixed 13.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 760647.27000000 0.072058316316 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2026-05-08 0.00000000 USD -187431.36000000 USD -8995000.00000000 GBP 948078.63000000 N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BF3 1480000.00000000 PA USD 955452.69000000 0.090512797293 Long DBT CORP US Y 2 2031-02-15 Fixed 3.37500000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 726.16000000 0.000068791237 N/A DCR CORP DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 US TREASURY N/B United States Treasury Note/Bond Y Default Event 2024-12-20 418.98000000 USD 0.00000000 USD 645000.00000000 EUR 307.18000000 N N N ASCENT RESOURCES/ARU FIN N/A 04364VAR4 825000.00000000 PA USD 849733.03000000 0.080497668071 Long DBT CORP US N 2 2028-12-31 Fixed 8.25000000 N N N N N N Freddie Mac - STACR 5493000ITFTMJUMPDE35 35565XBD1 1121303.30000000 PA USD 1300564.60000000 0.123206246880 Long ABS-MBS CORP US N 2 2050-08-25 Floating 11.46332000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834LR7 305000.00000000 PA USD 135308.01000000 0.012818119211 Long DBT UST US N 2 2042-08-15 None 0.00000000 N N N N N N MONG DUONG FIN HLDGS BV 549300995KGQFMWSV879 000000000 1075183.02000000 PA USD 1035196.96000000 0.098067202677 Long DBT CORP NL N 2 2029-05-07 Fixed 5.12500000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 792000.00000000 NC USD 4.46000000 0.000000422508 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 CLP 2024-09-16 792000.00000000 USD 1100.00000000 USD 2024-09-16 XXXX -6.63000000 N N N STRIPS 254900HROIFWPRGM1V77 912834MD7 5160000.00000000 PA USD 2226660.95000000 0.210938033162 Long DBT UST US N 2 2043-02-15 None 0.00000000 N N N N N N BROOKFIELD RESID PROPERT N/A 11283YAB6 275000.00000000 PA USD 273625.00000000 0.025921287802 Long DBT CORP CA N 2 2027-09-15 Fixed 6.25000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 1006000.00000000 PA 860782.58000000 0.081544423907 Long DBT NUSS RS N 2 2033-03-03 Fixed 1.65000000 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBE0 500000.00000000 PA USD 499375.00000000 0.047307238360 Long DBT CORP BM N 2 2027-02-15 Fixed 5.87500000 N N N N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 000000000 1.00000000 NC USD -84373.59000000 -0.00799295425 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -3854847.75000000 SGD 2873000.00000000 USD 2024-09-18 -84373.59000000 N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 135000.00000000 PA 143166.57000000 0.013562583333 Long DBT NUSS ID N 2 2026-09-18 Fixed 1.45000000 N N N N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 1688000.00000000 PA USD 1523420.00000000 0.144317983607 Long DBT CORP IL N 2 2028-03-30 Fixed 5.37500000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 595000.00000000 PA 183501.93000000 0.017383668670 Long DBT NUSS UA N 2 2032-01-27 Variable 4.37500000 N Y N N N N HEALTHPEAK OP LLC N/A 42250PAB9 505000.00000000 PA USD 451936.68000000 0.042813269075 Long DBT CORP US N 2 2031-01-15 Fixed 2.87500000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 000000000 730000.00000000 PA 938187.83000000 0.088877247161 Long DBT CORP NL N 2 2034-01-16 Fixed 6.62500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38144GAG6 1415000.00000000 PA USD 1325120.29000000 0.125532478429 Long DBT CORP US N 2 N/A Fixed 3.65000000 N N N N N N Bank5 N/A 06211FAC2 10349000.00000000 PA USD 1283913.50000000 0.121628840008 Long ABS-MBS CORP US N 2 2056-12-15 Variable 3.85814800 N N N N N N HILCORP ENERGY I/HILCORP N/A 431318AS3 700000.00000000 PA USD 704175.21000000 0.066708554707 Long DBT CORP US N 2 2028-11-01 Fixed 6.25000000 N N N N N N ADAPTHEALTH LLC N/A 00653VAC5 1350000.00000000 PA USD 1232321.03000000 0.116741336076 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -87756.01000000 -0.00831338069 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -3754979.03000000 SGD 2793000.00000000 USD 2024-09-18 -87756.01000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD -59724.93000000 -0.00565791539 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -28207415.20000000 ZAR 1520000.00000000 USD 2024-09-18 -59724.93000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 65019.31000000 0.006159467326 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1507290.36000000 USD 88426696.00000000 PHP 2024-09-18 65019.31000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD -889821.21000000 -0.08429533733 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -399981024.00000000 THB 10946388.18000000 USD 2024-09-18 -889821.21000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PDT2 1740000.00000000 PA USD 1755225.00000000 0.166277541831 Long DBT NUSS DO N 2 2027-01-25 Fixed 5.95000000 N N N N N N FERTITTA ENTERTAINMENT N/A 31556TAA7 75000.00000000 PA USD 70220.06000000 0.006652149419 Long DBT CORP US N 2 2029-01-15 Fixed 4.62500000 N N N N N N SHERWOOD FINANCING PLC 259400SSZWSSPNYW7K08 000000000 4225000.00000000 PA 5023439.40000000 0.475884946357 Long DBT CORP GB N 2 2026-11-15 Fixed 6.00000000 N N N N N N SISECAM UK PLC 789000T82YRLMLUOC889 829688AA8 2140000.00000000 PA USD 2216248.20000000 0.209951603232 Long DBT CORP GB N 2 2029-05-02 Fixed 8.25000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -25211.08000000 -0.00238831853 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -23609219.70000000 CNY 3313000.00000000 USD 2024-09-19 -25211.08000000 N N N Ares Euro CLO 635400IKZCKH2JKELA27 000000000 4450000.00000000 PA 4902662.91000000 0.464443440073 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 4.93500000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAG7 3105000.00000000 PA USD 3021622.89000000 0.286247077434 Long DBT CORP US N 2 2027-01-30 Fixed 3.70000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWV2 265000.00000000 PA USD 257486.94000000 0.024392482694 Long DBT CORP US N 2 2029-04-23 Fixed 3.81400000 N N N N N N BRASKEM NETHERLANDS 2549000TLMHFQ74DS330 10554TAH8 3171000.00000000 PA USD 3309572.70000000 0.313525395928 Long DBT CORP NL N 2 2031-01-12 Fixed 8.50000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 1564000.00000000 NC USD 0.38000000 0.000000035998 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 MXN N/A USD 2024-09-11 1564000.00000000 USD 16.40000000 USD 2024-09-11 XXXX -0.25000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 3154000.00000000 NC USD 3.76000000 0.000000356195 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 COP N/A USD 2024-09-19 3154000.00000000 USD 3600.00000000 USD 2024-09-19 XXXX -34.09000000 N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RHP2 1000000.00000000 PA USD 1053706.50000000 0.099820664947 Long ABS-O CORP US N 2 2030-02-20 Fixed 7.34000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -2317000.00000000 NC USD 0.00000000 0.000000 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written JPMORGAN CHASE BANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A TRY 2024-08-30 -2317000.00000000 USD 34.65000000 USD 2024-08-30 XXXX 40687.95000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 676440.93000000 0.064081206132 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-05-08 124739.43000000 USD 0.00000000 USD -6015000.00000000 GBP 551701.50000000 N N N STRIPS 254900HROIFWPRGM1V77 912834AE8 260000.00000000 PA USD 145092.19000000 0.013745002886 Long DBT UST US N 2 2038-05-15 None 0.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -167357.90000000 -0.01585429800 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 -131993.65000000 USD -920000.00000000 USD -35364.25000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H0626A0 2000000.00000000 PA USD 2041115.66000000 0.193360791088 Long ABS-MBS USGA US N 2 2054-10-15 Fixed 6.50000000 N N N N N N ASCENT RESOURCES/ARU FIN N/A 04364VAG8 1525000.00000000 PA USD 1530808.05000000 0.145017874955 Long DBT CORP US N 2 2026-11-01 Fixed 7.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -38671.76000000 -0.00366348769 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1884937705.00000000 CLP 2023495.47000000 USD 2024-09-23 -38671.76000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD 49010.09000000 0.004642867603 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 HALLIBURTON CO Halliburton Co Y Default Event 2026-12-20 12193.33000000 USD 0.00000000 USD 2770000.00000000 USD 36816.76000000 N N N ASHTON WOODS USA/FINANCE N/A 045086AM7 675000.00000000 PA USD 640439.68000000 0.060670703574 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N STIFEL FINANCIAL CORP 549300E5F07FE5GHJX84 860630AG7 6525000.00000000 PA USD 6202109.20000000 0.587543746212 Long DBT CORP US N 2 2030-05-15 Fixed 4.00000000 N N N N N N VISTRA CORP 549300KP43CPCUJOOG15 92840MAC6 875000.00000000 PA USD 882897.23000000 0.083639408676 Long DBT CORP US N 2 N/A Fixed 7.00000000 N N N N N N Sierra Receivables Funding Co N/A 82650BAD8 880227.91000000 PA USD 904031.74000000 0.085641541947 Long ABS-O CORP US N 2 2040-04-20 Fixed 9.72000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWD34 2046680.75000000 PA USD 1941663.76000000 0.183939424903 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N LEVIATHAN BOND LTD 254900D9T8VKYVQNZ220 000000000 990000.00000000 PA USD 914821.88000000 0.086663723123 Long DBT CORP IL N 2 2030-06-30 Fixed 6.75000000 N N N N N N ANTERO MIDSTREAM PART/FI N/A 03690AAF3 2800000.00000000 PA USD 2803741.56000000 0.265606548748 Long DBT CORP US N 2 2028-01-15 Fixed 5.75000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724AP7 753000.00000000 PA USD 270327.00000000 0.025608858722 Long DBT NUSS UA N 2 2024-09-01 Variable 7.75000000 N N N N N N JACOBS ENTERTAINMENT INC 5493004U9JIWY3HSUO63 469815AL8 350000.00000000 PA USD 332195.60000000 0.031469850176 Long DBT CORP US N 2 2029-02-15 Fixed 6.75000000 N N N N N N VIASAT INC UFC8NYMNFSYIHNSM2I38 92552VAK6 600000.00000000 PA USD 594855.70000000 0.056352401282 Long DBT CORP US N 2 2025-09-15 Fixed 5.62500000 N N N N N N PUERTO RICO CMWLTH 549300X44HXPLJU48U63 74514L3T2 6232221.17300000 PA USD 3941879.89000000 0.373425685199 Long DBT MUN US N 2 2043-11-01 Variable 0.01000000 N N N N N N VIKING OCEAN CRUISES SHI N/A 92682RAA0 1500000.00000000 PA USD 1481250.00000000 0.140323097516 Long DBT CORP BM N 2 2029-02-15 Fixed 5.62500000 N N N N N N XPO INC 54930096DB9LCLPN7H13 983793AK6 255000.00000000 PA USD 267506.33000000 0.025341648493 Long DBT CORP US N 2 2032-02-01 Fixed 7.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EES5 3453008.07000000 PA USD 3280704.42000000 0.310790620252 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AADG4 12269991.44000000 PA USD 10599397.14000000 1.004111553409 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DXL1 2888177.18000000 PA USD 2493845.08000000 0.236249158717 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N WESCO DISTRIBUTION INC 549300I2CEZJG9N4AH67 95081QAR5 160000.00000000 PA USD 165105.37000000 0.015640909323 Long DBT CORP US N 2 2032-03-15 Fixed 6.62500000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 12777.47000000 0.001210446696 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-08-19 2100.87000000 USD 0.00000000 USD 21390000.00000000 USD 10676.60000000 N N N Madison Park Euro Funding 635400XLHN7OVUSEV112 000000000 8050000.00000000 PA 8881515.75000000 0.841371679782 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 5.38500000 N N N N N N ADIENT GLOBAL HOLDINGS 213800VA38VCKE6M8790 00687YAA3 850000.00000000 PA USD 839375.00000000 0.079516421925 Long DBT CORP JE N 2 2026-08-15 Fixed 4.87500000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -26.00000000 NC -29623.31000000 -0.00280630185 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESSCHATZANWEISUNGEN Bundesschatzanweisungen 2024-09-06 -2969312.80000000 USD -29623.31000000 N N N MIZRAHI TEFAHOT BANK LTD YZO9YEGEO4VYDZMDWF93 000000000 2545000.00000000 PA USD 2380363.95000000 0.225498762990 Long DBT CORP IL N 2 2031-04-07 Fixed 3.07700000 N N N N N N AYDEM YENILENEBILIR ENER 9845009C50EDA74OA532 000000000 1510000.00000000 PA USD 1491596.88000000 0.141303287390 Long DBT CORP TR N 2 2027-02-02 Fixed 7.75000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD 6573.11000000 0.000622689725 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -397619.84000000 USD 143953293.00000000 HUF 2024-10-21 6573.11000000 N N N Doncasters US Finance LLC N/A 000000000 1870312.50000000 PA USD 1851609.38000000 0.175408312973 Long LON CORP US N 2 2030-04-23 Floating 11.83458000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17308CC53 8950000.00000000 PA USD 8237148.79000000 0.780328933612 Long DBT CORP US N 2 2030-11-05 Fixed 2.97600000 N N N N N N CITGO PETROLEUM CORP YX52P86PXMLYDOTUQ225 17302XAK2 1100000.00000000 PA USD 1101736.37000000 0.104370673474 Long DBT CORP US N 2 2025-06-15 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V4U1 2000520.07000000 PA USD 1686051.72000000 0.159724556909 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.00000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325EG6 1410000.00000000 PA USD 1453710.00000000 0.137714153647 Long DBT NUSS CO N 2 2034-02-02 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWFS7 553997.84000000 PA USD 557972.74000000 0.052858371784 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.50000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46649XAL1 8800000.00000000 PA USD 5290898.80000000 0.501222149036 Long ABS-MBS CORP US N 2 2031-07-05 Variable 4.76697300 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -102222.52000000 -0.00968383503 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 -116363.98000000 USD -920000.00000000 USD 14141.46000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 3800000.00000000 PA 4305533.00000000 0.407875596298 Long DBT NUSS RO N 2 2026-09-27 Fixed 5.00000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD 58319.79000000 0.005524802416 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 15925.75000000 USD 0.00000000 USD 3820000.00000000 USD 42394.04000000 N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CF6 250000.00000000 PA USD 250031.04000000 0.023686163718 Long DBT CORP US N 2 2027-04-15 Fixed 5.50000000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAR2 3275000.00000000 PA USD 2914397.48000000 0.276089304159 Long DBT CORP US N 2 2030-02-06 Fixed 2.70000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 -792000.00000000 NC USD -1667.08000000 -0.00015792731 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 USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A CLP 2024-09-16 -792000.00000000 USD 950.00000000 USD 2024-09-16 XXXX 5767.42000000 N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 12769GAA8 1775000.00000000 PA USD 1678376.90000000 0.158997499009 Long DBT CORP US N 2 2029-10-15 Fixed 4.62500000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAM9 225000.00000000 PA USD 218477.28000000 0.020696984753 Long DBT CORP US Y 2 2040-04-15 Fixed 6.87500000 N N N N N N CCM MERGER INC 549300P77RSBKKFME089 14985VAE1 2175000.00000000 PA USD 2173528.20000000 0.205904614050 Long DBT CORP US N 2 2026-05-01 Fixed 6.37500000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAT5 100000.00000000 PA USD 89047.55000000 0.008435732011 Long DBT CORP US N 2 2031-02-15 Fixed 3.75000000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CCG7 900000.00000000 PA USD 907992.18000000 0.086016725885 Long ABS-O CORP US N 2 2033-12-15 Fixed 17.12800000 N N N N N N Diamond Sports Group LLC 5493002K6DHWNZH8YA34 25277BAE8 89482.86800000 PA USD 82413.72000000 0.007807290105 Long LON CORP US N 2 2026-05-25 Floating 15.44233000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 500000.00000000 PA 535600.84000000 0.050739016979 Long DBT CORP MX N 2 2025-11-24 Fixed 3.62500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHX0 2450000.00000000 PA USD 2249865.85000000 0.213136300467 Long DBT CORP US N 2 2030-10-22 Fixed 2.88400000 N N N N N N Freddie Mac - STACR 5493007ZK0X40BI7UF30 35564KDX4 2850000.00000000 PA USD 3156186.90000000 0.298994715373 Long ABS-MBS CORP US N 2 2033-08-25 Floating 8.74884000 N N N N N N ORGANON & CO/ORGANON FOR N/A 68622TAB7 725000.00000000 PA USD 678323.14000000 0.064259513331 Long DBT CORP US N 2 2031-04-30 Fixed 5.12500000 N N N N N N Bilbao CLO 549300PSOBYVOTLZRS47 000000000 5900000.00000000 PA 6527510.54000000 0.618369956483 Long ABS-CBDO CORP IE N 2 2036-04-15 Floating 5.88500000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834FB9 5135000.00000000 PA USD 2616041.82000000 0.247825209393 Long DBT UST US N 2 2040-02-15 None 0.00000000 N N N N N N DIVERSIFIED HEALTHCARE T N/A 25525PAA5 155000.00000000 PA USD 155214.16000000 0.014703886386 Long DBT CORP US N 2 2025-06-15 Fixed 9.75000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 2175000.00000000 PA 2102963.05000000 0.199219773257 Long DBT NUSS RS N 2 2029-06-26 Fixed 1.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 3049000.00000000 NC USD 10109.36000000 0.000957688917 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 CNY 2024-12-20 3049000.00000000 USD 7.25000000 USD 2024-12-20 XXXX -33796.24000000 N N N BFLD Trust N/A 05555HAN0 1300000.00000000 PA USD 1289928.51000000 0.122198659306 Long ABS-MBS CORP US N 2 2026-08-15 Floating 9.02579000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAS6 1485000.00000000 PA USD 1461082.29000000 0.138412552005 Long DBT CORP US N 2 2025-05-15 Fixed 3.60000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468G7 5500000.00000000 PA USD 5465269.37000000 0.517740777558 Long DBT CORP US N 2 2030-01-23 Fixed 4.43100000 N N N N N N CHESAPEAKE ENERGY CORP X2MT1W32SPAZ9WSKLE78 165167DG9 425000.00000000 PA USD 426228.83000000 0.040377890076 Long DBT CORP US Y 2 2029-02-01 Fixed 5.87500000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAS7 2500000.00000000 PA USD 2352841.15000000 0.222891448527 Long DBT CORP US N 2 2030-06-01 Fixed 4.62500000 N N N N N N M/I HOMES INC 5299005M71FH9CCSFB69 55305BAS0 800000.00000000 PA USD 784645.99000000 0.074331784486 Long DBT CORP US N 2 2028-02-01 Fixed 4.95000000 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAE7 4000000.00000000 PA USD 3683422.40000000 0.348941259495 Long DBT CORP US N 2 2029-02-01 Fixed 4.12500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 123188.44000000 0.011669997285 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -6882278.74000000 USD 223674059.00000000 TWD 2024-09-18 123188.44000000 N N N Pnmac Gmsr Issuer Trust N/A 693968AA7 2000000.00000000 PA USD 1993964.60000000 0.188894034774 Long ABS-O CORP US N 2 2027-12-25 Floating 8.02795000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -131664.19000000 -0.01247292960 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2026-09-25 2034.62000000 USD 0.00000000 USD -11000000.00000000 USD -133698.81000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 87382.80000000 0.008278025428 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2526000.00000000 USD 40539774000.00000000 IDR 2024-09-18 87382.80000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -68826.24000000 -0.00652010881 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -1489000.00000000 USD 28050526.50000000 MXN 2024-09-18 -68826.24000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBZ5 1463077.21000000 PA USD 1260701.30000000 0.119429881153 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BB2 200000.00000000 PA USD 131441.79000000 0.012451861006 Long DBT CORP US N 2 2030-12-01 Fixed 4.12500000 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CN4 4000000.00000000 PA USD 3907433.84000000 0.370162511235 Long DBT CORP US Y 2 2028-03-15 Fixed 5.12500000 N N N N N N SHEA HOMES LP/FNDG CP N/A 82088KAK4 1925000.00000000 PA USD 1878861.62000000 0.177989996504 Long DBT CORP US N 2 2028-02-15 Fixed 4.75000000 N N N N N N UNITED GROUP BV 213800PC85O8BJ7DU398 000000000 500000.00000000 PA 544981.54000000 0.051627677827 Long DBT CORP NL N 2 2028-08-15 Fixed 4.62500000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AN9 1000000.00000000 PA USD 996500.00000000 0.094401327712 Long DBT CORP CO N 2 2030-04-29 Fixed 6.87500000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 448266.72000000 0.042465603148 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2029-05-08 0.00000000 USD -80258.91000000 USD -2730000.00000000 GBP 528525.63000000 N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CP9 2775000.00000000 PA USD 2650991.49000000 0.251136092736 Long DBT CORP US N 2 2029-02-01 Fixed 4.62500000 N N N N N N ALLIED UNIVERSAL N/A 019576AC1 2825000.00000000 PA USD 2514250.00000000 0.238182175817 Long DBT CORP US N 2 2029-06-01 Fixed 6.00000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BE2 920000.00000000 PA USD 920290.91000000 0.087181820156 Long DBT CORP US N 2 2030-06-15 Fixed 4.62500000 N N N N N N Ford Credit Auto Owner Trust/F N/A 34535CAD8 1200000.00000000 PA USD 1235887.20000000 0.117079169677 Long ABS-O CORP US N 2 2036-02-15 Fixed 6.60000000 N N N N N N BNY MELLON CAPITAL MARKETS, LLC VJW2DOOHGDT6PR0ZRO63 000000000 1.00000000 NC USD -3299.88000000 -0.00031260717 N/A DFE CORP US N 2 BNY MELLON CAPITAL MARKETS, LLC VJW2DOOHGDT6PR0ZRO63 -158995.00000000 EUR 172877.49000000 USD 2024-10-21 -3299.88000000 N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 1080000.00000000 PA 1119814.42000000 0.106083259448 Long DBT NUSS ID N 2 2027-02-14 Fixed 0.90000000 N N N N N N COMM Mortgage Trust N/A 12654FAA8 600000.00000000 PA USD 627181.92000000 0.059414757617 Long ABS-MBS CORP US N 2 2044-08-10 Fixed 6.33800000 N N N N N N ADTALEM GLOBAL EDUCATION 549300Z467EZLMODV621 00737WAA7 728000.00000000 PA USD 715681.39000000 0.067798568424 Long DBT CORP US N 2 2028-03-01 Fixed 5.50000000 N N N N N N BIG RIVER STEEL/BRS FIN N/A 08949LAB6 975000.00000000 PA USD 985705.45000000 0.093378728764 Long DBT CORP US N 2 2029-01-31 Fixed 6.62500000 N N N N N N Carlyle Global Market Strategi 635400YFJCERZ9QJKR15 000000000 8250000.00000000 PA 9071089.62000000 0.859330560893 Long ABS-CBDO CORP IE N 2 2032-03-15 Floating 5.36900000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834JB5 13050000.00000000 PA USD 6456181.61000000 0.611612760601 Long DBT UST US N 2 2040-08-15 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 3200000.00000000 NC USD 82.53000000 0.000007818305 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 COP N/A USD 2024-10-01 3200000.00000000 USD 3700.00000000 USD 2024-10-01 XXXX 15.33000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TF5 4989000.00000000 PA USD 3810348.75000000 0.360965359808 Long DBT UST US N 2 2042-02-15 Fixed 2.37500000 N N N N N N BP CAPITAL MARKETS PLC 549300CRVT18MXX0AG93 05565QDU9 638000.00000000 PA USD 628430.00000000 0.059532991846 Long DBT CORP GB N 2 N/A Fixed 4.37500000 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAF3 1000000.00000000 PA USD 12842.17000000 0.001216575914 Long DBT CORP US Y 2 2026-08-15 Fixed 5.37500000 Y N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370DA5 875000.00000000 PA USD 746302.35000000 0.070699380547 Long DBT CORP US Y 2 2032-02-12 Fixed 3.25000000 N N N N N N Affirm Inc N/A 00834BAK3 900000.00000000 PA USD 923907.29000000 0.087524410295 Long ABS-O CORP US N 2 2029-02-15 Fixed 9.17000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEP9 1635000.00000000 PA USD 1637043.75000000 0.155081890139 Long DBT NUSS DO Y 2 2029-02-22 Fixed 5.50000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 -3627000.00000000 NC USD -9321.74000000 -0.00088307539 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 ZAR 2024-09-24 -3627000.00000000 USD 18.65000000 USD 2024-09-24 XXXX 6942.11000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -39.00000000 NC USD -71.37000000 -0.00000676108 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-06-17 -9383816.13000000 USD -71.37000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 000000000 1.00000000 NC USD -170324.42000000 -0.01613532502 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 -152064.69000000 USD -920000.00000000 USD -18259.73000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -2671.79000000 -0.00025310639 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -1530000.00000000 USD 54139815.00000000 TRY 2024-10-02 -2671.79000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -212078.73000000 -0.02009083160 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -4622090.56000000 USD 18491135491.00000000 COP 2024-09-18 -212078.73000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEZ7 1800000.00000000 PA USD 1891800.00000000 0.179215686670 Long DBT NUSS DO N 2 2036-06-01 Fixed 6.60000000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 000000000 2600000.00000000 PA 3012743.69000000 0.285405925132 Long DBT CORP GB N 2 2030-01-15 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWC84 3736967.99000000 PA USD 3321577.84000000 0.314662677569 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD 75100.20000000 0.007114459198 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -2812000.00000000 USD 20418775.60000000 CNY 2024-09-19 75100.20000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 3049000.00000000 NC USD 182.54000000 0.000017292542 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 CNY N/A USD 2024-12-20 3049000.00000000 USD 6.00000000 USD 2024-12-20 XXXX 91.07000000 N N N ITALY GOV'T INT BOND 815600DE60799F5A9309 465410BG2 2902000.00000000 PA USD 2984806.25000000 0.282759330622 Long DBT NUSS IT N 2 2033-06-15 Fixed 5.37500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FQKQ5 148936345.33000000 PA USD 4137779.33000000 0.391983805855 Long ABS-MBS USGSE US N 2 2029-11-25 Variable 0.75650900 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CQ7 1175000.00000000 PA USD 1127991.18000000 0.106857867576 Long DBT CORP US N 2 2031-02-01 Fixed 5.00000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -6042.23000000 -0.00057239792 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -45318354.00000000 TWD 1413327.74000000 USD 2024-09-18 -6042.23000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 3627000.00000000 NC USD 160.29000000 0.000015184735 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 2024-09-24 3627000.00000000 USD 21.00000000 USD 2024-09-24 XXXX -231.43000000 N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 615000.00000000 PA 553841.67000000 0.052467023573 Long DBT NUSS ID N 2 2033-03-12 Fixed 1.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCCM8 11135773.17000000 PA USD 9577203.79000000 0.907276220324 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N BALL CORP 0BGI85ALH27ZJP15DY16 058498AZ9 1000000.00000000 PA USD 1028897.72000000 0.097470457449 Long DBT CORP US N 2 2029-06-15 Fixed 6.00000000 N N N N N N 2024-10-28 Prudential Investment Portfolios 3 Christian J. Kelly Christian J. Kelly Chief Financial Officer