0001244183-24-000015.txt : 20240227
0001244183-24-000015.hdr.sgml : 20240227
20240227132505
ACCESSION NUMBER: 0001244183-24-000015
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240227
DATE AS OF CHANGE: 20240227
PERIOD START: 20240630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO INCOME STRATEGY FUND
CENTRAL INDEX KEY: 0001244183
ORGANIZATION NAME:
IRS NUMBER: 000000000
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21374
FILM NUMBER: 24684756
BUSINESS ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
BUSINESS PHONE: 212-739-4000
MAIL ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
FORMER COMPANY:
FORMER CONFORMED NAME: PIMCO FLOATING RATE INCOME FUND
DATE OF NAME CHANGE: 20030619
NPORT-P
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Fixed
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2046-07-05
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2024-02-15
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N
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N
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2042-01-25
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2024-01-25
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GB
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2
2027-11-04
Floating
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N
N
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COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB
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COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A4
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USD
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0.0227619
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ABS-MBS
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2
2036-08-25
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N/A
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REVERSE REPO NATEXIS BANQUE REVERSE REPO
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Reverse repurchase
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VICI PROPERTIES INC
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CHICAGO MERCANTILE EXCHANGE
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MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A2
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2036-06-25
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2033-11-02
Floating
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CARVANA CO
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2031-06-01
Fixed
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Y
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STRUCTURED ADJUSTABLE RT MTGE LN 2005-23
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STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1
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USD
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ABS-MBS
CORP
US
N
2
2036-01-25
Floating
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N
N
N
N
N
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COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A2
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USD
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0.0134812
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Fixed
5.5
N
N
N
N
N
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FORD MOTOR COMPANY
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USD
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2097-05-15
Fixed
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DIAMOND SPORTS GROUP LLC
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N
2
2026-05-25
Floating
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OGF (OBOL FRANCE 3)
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LON
CORP
FR
N
2
2025-12-31
Floating
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N
N
N
N
N
N/A
N/A
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DFE
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N
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USD
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2
2028-02-23
Fixed
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CORP
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2026-11-13
Fixed
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N
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N
N
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BR
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2
2025-07-27
Fixed
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Y
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2
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DOMINICAN REPUBLIC GOVT
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MUN
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2025-12-05
Fixed
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N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-40T1
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COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 40T1 2A4
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USD
408981.590000
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ABS-MBS
CORP
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2036-12-25
Fixed
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N
N
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CORP
BM
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2
2025-04-22
Floating
9.37
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N
N
N
N
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DISH DBS CORPORATION
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USD
3022360.000000
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CORP
US
N
2
2026-12-01
Fixed
5.25
N
N
N
N
N
N
MORGAN STANLEY MTGE LN TR 2007-7AX
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MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A1
61754HAB8
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USD
686227.160000
0.218557
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ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.71043
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
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DBT
CORP
US
N
2
2031-06-01
Fixed
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N
N
N
N
CAIXABANK SA (AKA: LA CAIXA)
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USD
211395.570000
0.0673276
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DBT
CORP
ES
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2
2034-09-13
Floating
6.84
N
N
N
N
N
N
N/A
N/A
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DIR
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LONDON CLEARING HOUSE
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2030-03-18
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BANCA MONTE DEI PASCHI DI SIENA SPA
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ACI1T7K79
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105005.420000
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DBT
CORP
IT
N
2
2026-01-09
Fixed
1.875
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N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/0.75 06/16/21-10Y LCH
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DIR
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LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
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USD-SOFR-COMPOUND
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2031-06-16
2459755.960000
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36300000.000000
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N
N
STUBHUB (PUG LLC)
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PUG LLC 2021 INCREMENTAL TERM LOAN B
74530DAG0
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USD
1373446.760000
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Long
LON
CORP
US
N
2
2027-02-12
Floating
9.7204
N
N
N
N
N
N
AMBULATORY TOPCO LLC
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AMSURG EQUITY EQTYAS910
902RDL901
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14105318.860000
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EC
CORP
US
Y
3
N
N
N
FORESEA HOLDING SA
254900BAD50AKYGIMV79
FORESEA HLDG S A COMMON STOCK
000000000
1098.000000
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USD
27266.630000
0.0086842
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EC
CORP
LU
N
3
N
N
N
CGG SA
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CGG SA SR SECURED 144A 04/27 8.75
12531TAF6
1944000.000000
PA
USD
1772694.720000
0.564587
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
8.75
N
N
N
N
N
N
WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)
549300L3SXBFJVGRCF66
WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75
97382WAA1
4700000.000000
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USD
4121536.690000
1.31267
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
7.75
N
N
N
N
N
N
N/A
N/A
RFR GBP SONIO/2.00000 03/15/23-10Y LCH
000000000
1.000000
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578739.750000
0.184323
N/A
DIR
GB
N
2
LONDON CLEARING HOUSE
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SONIA O/N Deposit Rates Swap
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N/A
Y
2033-03-15
411938.580000
GBP
0.000000
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3700000.000000
GBP
166801.170000
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N
N
WAMU MTGE P/T CERT 2007-HY1
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WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A2
92925VAJ9
119841.520000
PA
USD
100573.110000
0.0320316
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
3.70423
N
N
N
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR
ACI0ZY1X9
1211000.000000
PA
1340310.070000
0.426877
Long
DBT
CORP
IT
N
2
2028-01-18
Floating
7.677
N
N
N
N
N
N
FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1
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FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 D1 144A
35563CAH1
3787048.590000
PA
USD
2377507.630000
0.757215
Long
ABS-MBS
USGSE
US
N
3
2055-11-25
Floating
5.9921
N
N
N
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
P1910WRC5
201514000.000000
PA
214015.400000
0.068162
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
106.561
N
N
N
N
N
N
SYNIVERSE CORPORATION
N/A
SYNIVERSE PFD PIK PFDJJZ917
936UVD902
1230328.710000
NS
USD
1077080.200000
0.34304
Long
EP
CORP
US
Y
3
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SR UNSECURED 144A 01/34 VAR
83368RBS0
400000.000000
PA
USD
422835.900000
0.13467
Long
DBT
CORP
FR
N
2
2034-01-10
Floating
6.691
N
N
N
N
N
N
AVOCA CLO XX DAC 20A
N/A
AVOCA CLO AVOCA 20A SUB 144A
ACI19ZJ22
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PA
821285.290000
0.261572
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ABS-CBDO
CORP
IE
N
2
2032-07-15
Variable
0
N
N
N
N
N
N
UBS GROUP AG
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UBS GROUP AG SR UNSECURED 144A 11/33 VAR
225401BB3
250000.000000
PA
USD
307505.320000
0.0979377
Long
DBT
CORP
CH
N
2
2033-11-15
Floating
9.016
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N
N
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
233000.000000
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USD
233000.000000
0.0742084
Long
RA
US
N
2
Repurchase
N
2.600000
2024-01-02
256000.000000
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237726.060000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-783530.420000
PA
USD
-790868.840000
-0.251885
Short
RA
US
N
2
Reverse repurchase
N
6.050000
2024-03-06
1100000.000000
USD
908980.050000
USD
CDS
N
N
N
FORESEA HOLDING SA
254900BAD50AKYGIMV79
DRILLCO HLDG LUX S A COMMON STOCK
000000000
23800.000000
NS
USD
591025.400000
0.188236
Long
EC
CORP
LU
Y
3
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-1966530.520000
PA
USD
-1976146.310000
-0.629385
Short
RA
US
N
2
Reverse repurchase
N
6.070000
2024-02-29
2782000.000000
USD
2361732.160000
USD
PLCMO
N
N
N
N/A
N/A
RFRF USD SF+26.161/2.50 12/20/17-10Y LCH
000000000
1.000000
NC
USD
-36482.500000
-0.0116194
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2027-12-20
6245.500000
USD
0.000000
USD
700000.000000
USD
-42728.000000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5
ACI1DBG64
2342000.000000
PA
2845847.570000
0.906377
Long
DBT
CORP
IT
N
2
2029-07-23
Fixed
10.5
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR
74514L4G9
3129464.470000
PA
USD
1283080.430000
0.40865
Long
DBT
MUN
PR
N
2
2051-11-01
Fixed
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-1342445.000000
PA
USD
-1343347.420000
-0.427844
Short
RA
US
N
2
Reverse repurchase
N
6.050000
2024-04-29
1480000.000000
USD
1547089.530000
USD
CDS
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-363.000000
-0.0001156
N/A
DFE
HU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
11575740.000000
HUF
33000.000000
USD
2024-01-04
-363.000000
N
N
N
GSPA MONETIZATION TRUST
N/A
GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422
36298GAA7
1103877.400000
PA
USD
1072109.530000
0.341457
Long
DBT
CORP
US
N
2
2029-10-09
Fixed
6.422
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-487.410000
-0.0001552
N/A
DFE
HU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
14741580.000000
HUF
42000.000000
USD
2024-01-04
-487.410000
N
N
N
INTELSAT SA
549300YV2L21F4K80V46
INTELSAT EMERGENCE SA COMMON STOCK
000000000
113713.000000
NS
USD
3239609.910000
1.03179
Long
EC
CORP
LU
Y
3
N
N
N
SUNTRUST ADJR MRTG LN TR 2007-2
N/A
SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 2 3A3
78473TAG5
206802.120000
PA
USD
125250.430000
0.0398911
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
4.15003
N
N
N
N
N
N
VOYAGER AVIATION HOLDINGS LLC
549300KHOKL1CX4NIJ92
VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5
92918XAA3
3865000.000000
PA
USD
2101597.730000
0.66934
Long
DBT
CORP
US
N
3
2026-05-09
Fixed
8.5
Y
Y
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 08/28 VAR
225401AV0
300000.000000
PA
USD
311743.400000
0.0992875
Long
DBT
CORP
CH
N
2
2028-08-11
Floating
6.442
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-6525.920000
-0.0020784
N/A
DFE
GB
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1042207.000000
GBP
1321967.150000
USD
2024-01-09
-6525.920000
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75
694308HA8
10000.000000
PA
USD
7407.800000
0.0023593
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
3.75
N
N
N
N
N
N
FANNIE MAE REMICS 2019-70
N/A
FANNIE MAE FNR 2019 70 IO
3136B7KN0
241194.260000
PA
USD
52946.820000
0.0168631
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
3.5
N
N
N
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-663846.520000
PA
USD
-665508.900000
-0.211959
Short
RA
US
N
2
Reverse repurchase
N
6.010000
2024-04-12
855614.000000
USD
788627.980000
USD
CDS
N
N
N
STEINHOFF TOPCO BV
N/A
STEINHOFF CVR
948ECV905
12793341.670000
NS
14.120000
0.0000045
Long
EC
CORP
NL
Y
3
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5
694308GY7
10000.000000
PA
USD
7856.170000
0.0025021
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.5
N
N
N
N
N
N
N/A
N/A
ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD
000000000
-307002.110000
PA
USD
-312681.560000
-0.0995863
Short
RA
US
N
2
Reverse repurchase
N
6.110000
2024-03-18
1851012.750000
USD
372923.560000
USD
AMBS
N
N
N
RESIDENTIAL FUNDING MTGE SEC 2007-S6
N/A
RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A11
762009AL2
571335.390000
PA
USD
426200.490000
0.135741
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.3* 7/20/23-4Y* CME
000000000
1.000000
NC
USD
401362.450000
0.12783
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2027-01-20
0.000000
USD
-1284.830000
USD
4900000.000000
USD
402647.280000
N
N
N
URSA RE LTD
549300O8X4DWGDJZ6W59
URSA RE LTD UNSECURED 144A 12/26 VAR
90323WAN0
400000.000000
PA
USD
398090.000000
0.126788
Long
DBT
CORP
BM
N
2
2026-12-07
Floating
9.25
N
N
N
N
N
N
N/A
N/A
INTELSAT EMERGENCE SA CALL EXP17FEB27
000000000
209.000000
NC
USD
584.090000
0.000186
N/A
DE
LU
N
3
LUXEMBOURG STOCK EXCHANGE
22210053OF4F2MYKUV22
Call
Purchased
INTELSAT SA
INTELSAT SA/LUXEMBOURG
N/A
60.150000
USD
2027-02-17
XXXX
-643.780000
N
N
N
MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FM1 A2C
59021AAC2
184221.570000
PA
USD
89512.750000
0.028509
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.79043
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2004-28CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 28CB 5A1
12667FYU3
56560.090000
PA
USD
54395.180000
0.0173244
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Fixed
5.75
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-4429679.010000
PA
USD
-4524534.420000
-1.44102
Short
RA
US
N
2
Reverse repurchase
N
6.070000
2024-02-26
5797000.000000
USD
5495127.460000
USD
CDS
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL
N5200EAB7
193732.630000
PA
USD
81045.140000
0.0258122
Long
LON
CORP
US
N
2
2025-06-30
Fixed
6.4704
N
N
Y
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-1128.660000
-0.0003595
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
129000.000000
GBP
163306.630000
USD
2024-01-09
-1128.660000
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-3431489.900000
PA
USD
-3478416.220000
-1.10784
Short
RA
US
N
2
Reverse repurchase
N
6.180000
2024-04-08
5200000.000000
USD
4381361.850000
USD
CDS
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.7* 7/22/23-27Y* CME
000000000
1.000000
NC
USD
2742151.510000
0.873351
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2050-01-22
0.000000
USD
-20621.520000
USD
8400000.000000
USD
2762773.030000
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-1465.730000
-0.0004668
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
97000.000000
GBP
122179.410000
USD
2024-01-09
-1465.730000
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR
78486QAP6
100000.000000
NS
USD
1250.000000
0.0003981
Long
EP
CORP
US
N
2
N
N
N
LONG WALK REINSURANCE LTD
N/A
LONG WALK REINSURANCE UNSECURED 144A 01/31 VAR
54289CAA0
400000.000000
PA
USD
400150.000000
0.127444
Long
DBT
CORP
BM
N
2
2031-01-30
Floating
9.75
N
N
N
N
N
N
N/A
N/A
REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079
000000000
-258400.000000
PA
USD
-261428.780000
-0.0832627
Short
RA
US
N
2
Reverse repurchase
N
6.150000
2024-04-25
400000.000000
USD
321451.160000
USD
PLCMO
N
N
N
N/A
N/A
RFR USD SOFR/5.25000 03/20/24-1Y* CME
000000000
1.000000
NC
USD
701489.600000
0.223418
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2025-06-17
134119.000000
USD
0.000000
USD
56000000.000000
USD
567370.600000
N
N
N
N/A
N/A
SOLD DOP BOUGHT USD 20240208
000000000
1.000000
NC
774.850000
0.0002468
N/A
DFE
N/A
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3473722.000000
DOP
60379.580000
USD
2024-02-08
774.850000
N
N
N
N/A
N/A
BOUGHT HUF SOLD USD 20240104
000000000
1.000000
NC
-14.890000
-0.0000047
N/A
DFE
HU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2630.010000
USD
907350.000000
HUF
2024-01-04
-14.890000
N
N
N
N/A
N/A
BOUGHT MXN SOLD USD 20240419
000000000
1.000000
NC
4.150000
0.0000013
N/A
DFE
MX
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
174.910000
USD
3094.160000
MXN
2024-04-19
4.150000
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 3
938VGUII8
1266615.390000
PA
USD
63330.770000
0.0201703
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
CARVANA CO SR SECURED 144A 06/30 13
146869AN2
3307000.000000
PA
USD
2785122.330000
0.887037
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
13
N
N
Y
N
N
N
WELLS FARGO MTGE BACKED SEC 2007-7
N/A
WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A1
94985JAA8
14168.180000
PA
USD
12834.230000
0.0040876
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6
N
N
N
N
N
N
LEGACY LIFEPOINT HEALTH LLC
N/A
LEGACY LIFEPOINT HEALTH SR SECURED 144A 02/27 4.375
53219LAS8
200000.000000
PA
USD
184863.800000
0.0588775
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.375
N
N
N
N
N
N
BCAP LLC TRUST 2011-RR5
N/A
BCAP LLC TRUST BCAP 2011 RR5 12A2 144A
05534AAP6
298670.710000
PA
USD
424018.800000
0.135046
Long
ABS-MBS
CORP
US
N
2
2037-03-26
Floating
4.53308
N
N
N
N
N
N
MORRISONS (MARKET BIDCO FINCO PLC)
549300UGYX6EBVHRVG53
MARKET BIDCO FINCO PLC SR SECURED REGS 11/27 4.75
ACI261WK3
400000.000000
PA
397131.050000
0.126483
Long
DBT
CORP
GB
N
2
2027-11-04
Fixed
4.75
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
BONCER BONDS 10/24 4
ACI2LH125
120285648.080000
PA
199675.920000
0.063595
Long
DBT
NUSS
AR
N
2
2024-10-14
Fixed
4
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.3* 08/24/23-5Y CME
000000000
1.000000
NC
USD
1686439.700000
0.537116
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2028-08-24
0.000000
USD
-3808.950000
USD
16100000.000000
USD
1690248.650000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-14.290000
-0.0000046
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
351920.000000
HUF
1000.000000
USD
2024-01-04
-14.290000
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507
126650BS8
302646.890000
PA
USD
318436.770000
0.101419
Long
DBT
CORP
US
N
2
2032-01-10
Fixed
7.507
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.4* 08/17/23-5Y CME
000000000
1.000000
NC
USD
1561388.900000
0.497288
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2028-08-17
0.000000
USD
-3446.390000
USD
15100000.000000
USD
1564835.290000
N
N
N
NMG PARENT
N/A
NEIMAN MARCUS USD COMMON STOCK EQUITY
967DUC905
39846.000000
NS
USD
5971754.610000
1.90195
Long
EC
CORP
US
Y
3
N
N
N
WSTN TRUST 2023-MAUI
N/A
WSTN TRUST WSTN 2023 MAUI C 144A
92943AAE4
800000.000000
PA
USD
791735.920000
0.252161
Long
ABS-MBS
CORP
US
N
2
2037-07-05
Fixed
8.11391
N
N
N
N
N
N
OI S.A. - EM RECUPERACAO JUDICIAL
N/A
OI SA TERM LOAN 2
938XAMII8
406283.100000
PA
USD
20314.160000
0.0064699
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA NOTES 144A 09/33 6.375
ACI2JSF94
500000.000000
PA
584734.800000
0.186233
Long
DBT
NUSS
RO
N
2
2033-09-18
Fixed
6.375
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-1243.410000
-0.000396
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
273366.000000
GBP
347214.080000
USD
2024-01-09
-1243.410000
N
N
N
N/A
N/A
RFRF USD SF+26.161/2.2* 9/15/23-3Y* CME
000000000
1.000000
NC
USD
-712267.470000
-0.226851
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2026-06-15
248879.790000
USD
0.000000
USD
15300000.000000
USD
-961147.260000
N
N
N
ENVALIOR FINANCE GMBH
254900GAG6U7Z5TROP43
SCURALPHA 1503 GMBH USD TERM LOAN B1
D7001LAC7
1687281.850000
PA
USD
1557226.170000
0.495963
Long
LON
CORP
DE
N
2
2030-03-29
Floating
10.8832
N
N
N
N
N
N
STRUCTURED ADJUSTABLE RT MTGE LN 2006-10
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2006 10 2A1
86361QAD6
354168.310000
PA
USD
295833.420000
0.0942203
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.44766
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR
74514L3T2
295466.950000
PA
USD
161398.820000
0.0514041
Long
DBT
MUN
PR
N
2
2043-11-01
Fixed
0
N
N
N
N
N
N
CITY OF DETROIT
549300BQRJP7MKKHOY28
DETROIT MI DET 04/44 ADJUSTABLE VAR
251093S84
800000.000000
PA
USD
594526.160000
0.189351
Long
DBT
MUN
US
N
2
2044-04-01
Variable
4
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/3.00 9/19/23-6Y* CME
000000000
1.000000
NC
USD
-1990197.450000
-0.63386
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2029-06-19
1403827.470000
USD
0.000000
USD
49900000.000000
USD
-3394024.920000
N
N
N
HARBORVIEW MTGE LOAN TRUST 2004-10
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 10 1A1
41161PJH7
17684.910000
PA
USD
15039.360000
0.0047899
Long
ABS-MBS
CORP
US
N
3
2035-01-19
Floating
6.19023
N
N
N
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1936321.640000
PA
USD
-1962652.380000
-0.625087
Short
RA
US
N
2
Reverse repurchase
N
5.970000
2024-04-12
2020000.000000
USD
2354419.510000
USD
CDS
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.60 8/15/23-4Y* CME
000000000
1.000000
NC
USD
-783819.980000
-0.24964
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2027-02-15
0.000000
USD
-26934.550000
USD
10900000.000000
USD
-756885.430000
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1493699.000000
PA
USD
-1514753.120000
-0.482435
Short
RA
US
N
2
Reverse repurchase
N
6.070000
2024-04-10
2300000.000000
USD
1934008.020000
USD
CDS
N
N
N
AXIS ENERGY SERVICES HOLDINGS LLC
N/A
AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES
942WZK900
1252.950000
NS
USD
37134.930000
0.0118271
Long
EC
CORP
US
Y
3
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR
74514L4C8
6057793.430000
PA
USD
3309069.660000
1.05391
Long
DBT
MUN
PR
N
2
2051-11-01
Fixed
0
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AMC1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B
17311BAB9
2626281.060000
PA
USD
1049321.410000
0.334199
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.77043
N
N
N
N
N
N
VERITAS US INC
549300RFUWCPWS8FQ104
VERITAS US INC 2021 TERM LOAN B
G9341JAN0
5249739.760000
PA
USD
4380251.610000
1.39507
Long
LON
CORP
US
N
2
2025-09-01
Floating
10.4704
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2
694308KB2
900000.000000
PA
USD
851690.150000
0.271256
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.2
N
N
N
N
N
N
FINASTRA USA INC
549300ZB2RO6QC7YTK71
FINASTRA USA INC 2023 REVOLVER
953PAWII3
56390.980000
PA
USD
56364.690000
0.0179517
Long
LON
CORP
US
N
3
2029-09-13
Floating
3.7068
N
N
N
N
N
N
LEHMAN XS TRUST 2007-7N
N/A
LEHMAN XS TRUST LXS 2007 7N 1A1A
52524GAA0
393294.200000
PA
USD
349557.530000
0.111331
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
5.91043
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB FINANCIAL GROUP SR UNSECURED 06/30 3.125
78486QAE1
100000.000000
PA
USD
65747.720000
0.0209401
Long
DBT
CORP
US
N
2
2030-06-05
Fixed
3.125
Y
Y
N
N
N
N
N/A
N/A
RFR USD SOFR/2.00000 12/21/22-10Y CME
000000000
1.000000
NC
USD
-1408849.990000
-0.448706
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2032-12-21
0.000000
USD
-1709568.030000
USD
12500000.000000
USD
300718.040000
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-692999.940000
PA
USD
-699561.500000
-0.222804
Short
RA
US
N
2
Reverse repurchase
N
5.980000
2024-05-06
900000.000000
USD
859346.130000
USD
CDS
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A7
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 3A3M
46629DBJ3
76113.860000
PA
USD
66452.000000
0.0211644
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.09921
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2020-1A
N/A
MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A
57109J108
2769.000000
PA
USD
90129.000000
0.0287053
Long
ABS-O
CORP
US
N
3
2030-03-15
Fixed
0
N
N
N
N
N
N
AGPS BONDCO PLC
89450071QI2G8XS48K39
AGPS BONDCO PLC COMPANY GUAR REGS 04/27 5
ACI1X8QD3
1300000.000000
PA
483640.560000
0.154035
Long
DBT
CORP
GB
N
2
2027-04-27
Fixed
5
N
N
N
N
N
N
VALE SA
254900SMTWBX7RU2SR20
VALE SA SUBORDINATED 12/49 VAR
B011X9II2
60000000.000000
PA
4418848.810000
1.40736
Long
DBT
CORP
BR
N
2
2049-12-29
Variable
1.37804
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-352.090000
-0.0001121
N/A
DFE
HU
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
8796250.000000
HUF
25000.000000
USD
2024-01-04
-352.090000
N
N
N
VISTRA OPERATIONS COMPANY LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC SR SECURED 144A 10/33 6.95
92840VAQ5
800000.000000
PA
USD
842896.800000
0.268455
Long
DBT
CORP
US
N
2
2033-10-15
Fixed
6.95
N
N
N
N
N
N
N/A
N/A
INTELSAT EMERGENCE SA CALL EXP 17FEB27
000000000
68.000000
NC
USD
108.250000
0.0000345
N/A
DE
LU
N
3
LUXEMBOURG STOCK EXCHANGE
22210053OF4F2MYKUV22
Call
Purchased
INTELSAT SA
INTELSAT SA/LUXEMBOURG
N/A
77.220000
USD
2027-02-17
XXXX
-2266549.030000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-327.010000
-0.0001041
N/A
DFE
HU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
13992000.000000
HUF
40000.000000
USD
2024-01-04
-327.010000
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2744593.070000
PA
USD
-2782727.660000
-0.886274
Short
RA
US
N
2
Reverse repurchase
N
6.100000
2024-04-12
3863000.000000
USD
3417282.960000
USD
CDS
N
N
N
N/A
N/A
SOLD DOP BOUGHT USD 20240208
000000000
1.000000
NC
3906.850000
0.0012443
N/A
DFE
N/A
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
18169007.000000
DOP
315664.320000
USD
2024-02-08
3906.850000
N
N
N
N/A
N/A
RFR USD SOFR/3.50000 12/20/23-10Y CME
000000000
1.000000
NC
USD
23412.660000
0.0074567
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2033-12-20
96605.310000
USD
0.000000
USD
8400000.000000
USD
-73192.650000
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-4215.740000
-0.0013427
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
661000.000000
EUR
725663.580000
USD
2024-01-09
-4215.740000
N
N
N
FANNIE MAE REMICS 2010-137
N/A
FANNIE MAE FNR 2010 137 VS
31398SQX4
126314.820000
PA
USD
118116.280000
0.037619
Long
ABS-MBS
USGSE
US
N
2
2040-12-25
Floating
0
N
N
N
N
N
N
ODEBRECHT OIL & GAS FINANCE LIMITED
N/A
ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000
67576JAB7
259145.000000
PA
USD
8908.110000
0.0028372
Long
DBT
CORP
KY
N
2
2024-02-05
None
0
N
N
N
N
N
N
N/A
N/A
SOLD DOP BOUGHT USD 20240126
000000000
1.000000
NC
16119.000000
0.0051338
N/A
DFE
N/A
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
43749305.000000
DOP
766490.850000
USD
2024-01-26
16119.000000
N
N
N
BEAR STEARNS ALT-A TRUST 2005-7
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 7 24A1
07386HVV0
109335.410000
PA
USD
59737.260000
0.0190258
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
4.7076
N
N
N
N
N
N
MARINE ONE HOLDCO LLC
N/A
WEST MARINE NEW COMMON STOCK EQTYWM9A9
902LVFII8
1500.000000
NS
USD
15750.210000
0.0050163
Long
EC
CORP
US
Y
3
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45
694308GZ4
322000.000000
PA
USD
260617.190000
0.0830042
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.45
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2006-J4
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 J4 A3
12669YAC6
157131.380000
PA
USD
63240.380000
0.0201415
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.25
N
N
N
N
N
N
TOBACCO SETTLEMENT FINANCE AUTHORITY
N/A
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0
88880LAB9
21900000.000000
PA
USD
1940631.270000
0.618074
Long
DBT
MUN
US
N
2
2047-06-01
None
0
N
N
N
N
N
N
N/A
N/A
IRS EUR 0.83000 12/09/42-10Y LCH
000000000
1.000000
NC
634766.880000
0.202168
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2052-12-09
139302.610000
EUR
0.000000
EUR
9900000.000000
EUR
495464.270000
N
N
N
N/A
N/A
BOUGHT MXN SOLD USD 20240131
000000000
1.000000
NC
3440.270000
0.0010957
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
121118.830000
USD
2124586.580000
MXN
2024-01-31
3440.270000
N
N
N
YOSEMITE RE LTD
N/A
YOSEMITE RE LTD UNSECURED 144A 06/25 VAR
98740RAA7
390000.000000
PA
USD
401836.500000
0.127981
Long
DBT
CORP
BM
N
2
2025-06-06
Floating
9.978
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 09/34 VAR
06738ECL7
300000.000000
PA
USD
320929.910000
0.102213
Long
DBT
CORP
GB
N
2
2034-09-13
Floating
6.692
N
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2007-A1
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 3A1
466287AR0
325373.370000
PA
USD
295418.290000
0.0940881
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
4.12705
N
N
N
N
N
N
FORESEA HOLDING SA
254900BAD50AKYGIMV79
FORESEA HOLDING SA SR SECURED REGS 06/30 7.5
L26915AA3
272081.000000
PA
USD
252219.090000
0.0803295
Long
DBT
CORP
LU
N
2
2030-06-15
Fixed
7.5
N
N
N
N
N
N
FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1
N/A
FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A
35563CAB4
15959704.790000
PA
USD
954210.800000
0.303908
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
0.7
N
N
N
N
N
N
ASTOUND BROADBAND (RADIATE HOLDCO LLC)
5493000GQJ5RDX9DNJ71
RADIATE HOLDCO LLC 2021 TERM LOAN B
75025KAH1
1385356.100000
PA
USD
1115862.780000
0.355392
Long
LON
CORP
US
N
2
2026-09-25
Floating
8.7204
N
N
N
N
N
N
WSTN TRUST 2023-MAUI
N/A
WSTN TRUST WSTN 2023 MAUI D 144A
92943AAG9
800000.000000
PA
USD
794139.360000
0.252926
Long
ABS-MBS
CORP
US
N
2
2037-07-05
Fixed
8.90388
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-DNA2
N/A
FREDDIE MAC STACR STACR 2015 DNA2 B
3137G0FZ7
1269334.680000
PA
USD
1335754.140000
0.425426
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Floating
13.0019
N
N
N
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25
922646AS3
151000.000000
PA
USD
28895.360000
0.0092029
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
9.25
Y
Y
N
N
N
N
ADAGIO VI CLO DAC VI-A
N/A
ADAGIO CLO ADAGI VI A SUB 144A
ACI0YQYN3
1750000.000000
PA
605548.210000
0.192862
Long
ABS-CBDO
CORP
IE
N
2
2031-04-30
Variable
0
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2004-HYB9
N/A
COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1
12669GHG9
1479.100000
PA
USD
1474.190000
0.0004695
Long
ABS-MBS
CORP
US
N
2
2035-02-20
Floating
5.00327
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU PASS LLC
549300GKHS6RS20NLH85
VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/29 3.875
92328MAA1
200000.000000
PA
USD
181689.940000
0.0578666
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.875
N
N
N
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN
945BECII5
355910.980000
PA
362783.730000
0.115543
Long
LON
CORP
ES
N
2
2027-06-30
Fixed
6.942
N
N
Y
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.1* 7/12/23-8Y* CME
000000000
1.000000
NC
USD
244652.010000
0.0779195
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2031-04-12
0.000000
USD
-327.290000
USD
1400000.000000
USD
244979.300000
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-6330414.000000
PA
-7078434.880000
-2.25442
Short
RA
LU
N
2
Reverse repurchase
N
4.379000
2025-09-14
7809000.000000
EUR
7840050.970000
EUR
CDS
N
N
N
FREDDIE MAC REMICS 4342
N/A
FREDDIE MAC FHR 4342 CI
3137BAYC0
891185.970000
PA
USD
48058.450000
0.0153062
Long
ABS-MBS
USGSE
US
N
2
2033-11-15
Fixed
3
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 06/29 8.75
71654QDL3
765000.000000
PA
USD
744234.150000
0.237032
Long
DBT
CORP
MX
N
2
2029-06-02
Fixed
8.75
N
N
N
N
N
N
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
N/A
UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6
91327AAB8
4868000.000000
PA
USD
3407064.520000
1.08512
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B R 144A
83403Y104
2100000.000000
PA
USD
172789.050000
0.0550318
Long
ABS-O
CORP
US
N
2
2040-05-25
Fixed
0
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR11
N/A
BCAP LLC TRUST BCAP 2010 RR11 6A2 144A
05533JBJ1
612798.040000
PA
USD
435262.420000
0.138627
Long
ABS-MBS
CORP
US
N
2
2036-03-27
Variable
3.54438
N
N
N
N
N
N
CGG SA
969500FCVQ5SLAAUJV59
CGG SA SR SECURED REGS 04/27 7.75
ACI1WLTT7
1600000.000000
PA
1634690.530000
0.520634
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
7.75
N
N
N
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN
938VCRII9
4493557.800000
PA
USD
224677.890000
0.0715579
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
FANNIE MAE REMICS 2013-18
N/A
FANNIE MAE FNR 2013 18 DI
3136ACXD8
170685.290000
PA
USD
14536.750000
0.0046298
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
Fixed
3.5
N
N
N
N
N
N
N/A
N/A
PETROLEOS MEXICANOS (PEMEX) LA SP MYC
000000000
1.000000
NC
USD
-66730.040000
-0.0212529
N/A
DCR
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
PETROLEOS MEXICANOS (PEMEX)
PEMEX SR UNSEC
Y
Single Leg Swap
2028-12-20
0.000000
USD
-78035.080000
USD
400000.000000
USD
11305.040000
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-1498840.180000
PA
USD
-1525392.960000
-0.485824
Short
RA
US
N
2
Reverse repurchase
N
6.050000
2024-03-14
2000000.000000
USD
1816186.500000
USD
CDS
N
N
N
MORGAN STANLEY MTGE LN TR 2007-10XS
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A2
61751MAC8
191682.440000
PA
USD
107706.400000
0.0343035
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.25
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG
952NPKII9
3200000.000000
PA
USD
384000.000000
0.122301
Long
DBT
CORP
US
N
2
2060-12-31
None
0
N
N
N
N
N
N
N/A
N/A
SOLD CAD BOUGHT USD 20240109
000000000
1.000000
NC
-24671.630000
-0.0078577
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1558000.000000
CAD
1151266.180000
USD
2024-01-09
-24671.630000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/35 VAR
ACI1QL1M9
948000.000000
PA
USD
329430.000000
0.104921
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
3.625
N
N
N
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD SECURED 144A 04/30 8.375
91889FAC5
2001000.000000
PA
USD
2051815.400000
0.653485
Long
DBT
CORP
BM
N
2
2030-04-30
Fixed
8.375
N
N
N
N
N
N
PIMCO FUNDS
LWVQWTQCFH3YG7CVH718
PIMCO PRV SHORT TERM FLT III MUTUAL FUND
000000000
3157177.970000
PA
USD
30709870.090000
9.78082
Long
STIV
RF
US
N
1
N
N
N
UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)
549300V3NU625PJUVA84
UNITI GROUP INC REIT USD.0001
91325V108
98821.000000
NS
USD
571185.380000
0.181917
Long
EC
CORP
US
N
1
N
N
N
OI S.A. - EM RECUPERACAO JUDICIAL
N/A
OI SA TERM LOAN 1
938VGYII0
1755308.740000
PA
USD
87765.440000
0.0279525
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
DRYDEN 57 CLO LTD 2018-58A
N/A
DRYDEN SENIOR LOAN FUND DRSLF 2018 58A SUB 144A
26245TAC0
5689000.000000
PA
USD
1991140.560000
0.634161
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Variable
0
N
N
N
N
N
N
INTER MEDIA AND COMMUNICATION SPA
81560082CE2ED97AFD36
INTER MEDIA COMMUNICATIO SR SECURED REGS 02/27 6.75
ACI239FN2
900000.000000
PA
960353.510000
0.305864
Long
DBT
CORP
IT
N
2
2027-02-09
Fixed
6.75
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1682420.000000
PA
USD
-1685139.910000
-0.536702
Short
RA
US
N
2
Reverse repurchase
N
4.850000
2025-12-20
5000000.000000
USD
1987725.000000
USD
N
N
N
FANNIE MAE REMICS 2012-115
N/A
FANNIE MAE FNR 2012 115 MI
3136A9CH9
870122.060000
PA
USD
71255.950000
0.0226944
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Fixed
3.5
N
N
N
N
N
N
CHASE MORTGAGE FINANCE CORP 2007-S5
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S5 1A10
161631AK2
203158.380000
PA
USD
95040.230000
0.0302695
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6
N
N
N
N
N
N
NEWFOLD DIGITAL HOLDINGS GROUP INC
549300UTQC2651SB0W88
NEWFOLD DIGITAL HLDGS GR SR UNSECURED 144A 02/29 6
29279XAA8
200000.000000
PA
USD
151306.190000
0.0481897
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/30 6.84
71654QDC3
400000.000000
PA
USD
347235.920000
0.110592
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84
N
N
N
N
N
N
N/A
N/A
IRS EUR 0.25000 09/21/22-10Y LCH
000000000
1.000000
NC
732713.160000
0.233363
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2032-09-21
326026.860000
EUR
0.000000
EUR
3600000.000000
EUR
406686.300000
N
N
N
GATEWAY CASINOS & ENTERTAINMENT LIMITED
549300JSKBQMMD1B3U44
GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN
943ZERII1
3364385.940000
PA
USD
3367010.160000
1.07236
Long
LON
CORP
CA
N
2
2027-10-15
Fixed
13.5485
N
N
Y
N
N
N
N/A
N/A
RFR USD SOFR/2.00000 12/21/22-7Y CME
000000000
1.000000
NC
USD
-4985140.190000
-1.58772
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2029-12-21
0.000000
USD
-6367322.550000
USD
61800000.000000
USD
1382182.360000
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-22R
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A1
02147LAA1
690805.220000
PA
USD
395826.830000
0.126067
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6
N
N
N
N
N
N
N/A
N/A
SOLD DOP BOUGHT USD 20240119
000000000
1.000000
NC
1594.620000
0.0005079
N/A
DFE
N/A
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
7140254.800000
DOP
124000.000000
USD
2024-01-19
1594.620000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-662.800000
-0.0002111
N/A
DFE
HU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
15496360.000000
HUF
44000.000000
USD
2024-01-04
-662.800000
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.4* 8/17/23-4Y* CME
000000000
1.000000
NC
USD
344986.370000
0.109875
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2027-02-17
0.000000
USD
-1067.470000
USD
4500000.000000
USD
346053.840000
N
N
N
SEC ASSET BACKED REC LLC 2006-FR3
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A2
813765AB0
3853972.800000
PA
USD
2021021.410000
0.643677
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.75043
N
N
N
N
N
N
CITICORP MORTGAGE SECURITIES 2007-3
N/A
CITICORP MORTGAGE SECURITIES, CMSI 2007 3 3A1
17312FAR4
4172.750000
PA
USD
3895.680000
0.0012407
Long
ABS-MBS
CORP
US
N
3
2037-04-25
Fixed
5.5
N
N
N
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2164691.470000
PA
USD
-2217647.010000
-0.706301
Short
RA
US
N
2
Reverse repurchase
N
6.070000
2024-01-24
2800000.000000
USD
2623661.800000
USD
CDS
N
N
N
AMSURG LLC
N/A
ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN
949ABFII9
6417297.510000
PA
USD
6417297.510000
2.04385
Long
LON
CORP
US
N
3
2028-09-15
Fixed
13.2304
N
N
Y
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-186.560000
-0.0000594
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
7004000.000000
HUF
20000.000000
USD
2024-01-04
-186.560000
N
N
N
CLAVEAU RE LTD
N/A
CLAVEAU RE LTD UNSECURED 144A 07/28 VAR
182896AA8
498268.560000
PA
USD
398614.850000
0.126955
Long
DBT
CORP
BM
N
2
2028-07-08
Floating
17.25
N
N
N
N
N
N
INDYMAC IMSC MTGE LN TRUST 2007-F2
N/A
INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 F2 2A1
45670JAE2
1630432.020000
PA
USD
520682.700000
0.165833
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.5
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.75000 06/20/24-5Y CME
000000000
1.000000
NC
USD
-279341.050000
-0.0889676
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2029-06-20
0.000000
USD
-274375.720000
USD
14500000.000000
USD
-4965.330000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 08/33 VAR
225401AZ1
250000.000000
PA
USD
266944.340000
0.0850194
Long
DBT
CORP
CH
N
2
2033-08-12
Floating
6.537
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-574007.970000
PA
USD
-582003.900000
-0.185363
Short
RA
US
N
2
Reverse repurchase
N
5.970000
2024-01-08
1004000.000000
USD
739655.360000
USD
CDS
N
N
N
CALI MORTGAGE TRUST 2019-101C
N/A
CALI MORTGAGE TRUST 2019 101C CALI 2019 101C A 144A
129890AA7
1600000.000000
PA
USD
1345783.840000
0.42862
Long
ABS-MBS
CORP
US
N
2
2039-03-10
Fixed
3.957
N
N
N
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 2
938VGTII1
109885.080000
PA
USD
5494.250000
0.0017499
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR
ACI1J42S1
918000.000000
PA
1022293.720000
0.325591
Long
DBT
CORP
IT
N
2
2030-01-22
Floating
8
N
N
N
N
N
N
JACKSON PARK TRUST 2019-LIC
N/A
JACKSON PARK TRUST JAX 2019 LIC E 144A
46868RAN4
733000.000000
PA
USD
560714.430000
0.178583
Long
ABS-MBS
CORP
US
N
2
2039-10-14
Variable
3.2424
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/2.35000 01/17/24-1Y CME
000000000
1.000000
NC
USD
145192.320000
0.0462425
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2025-01-17
673.400000
USD
0.000000
USD
6400000.000000
USD
144518.920000
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A
12651QAQ2
3147000.000000
PA
USD
2784487.000000
0.886834
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
9.794
N
N
N
N
N
N
TRANSOCEAN AQUILA LTD
N/A
TRANSOCEAN AQUILA LTD SR SECURED 144A 09/28 8
893790AA3
300000.000000
PA
USD
304707.460000
0.0970466
Long
DBT
CORP
KY
N
2
2028-09-30
Fixed
8
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-312.590000
-0.0000996
N/A
DFE
HU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
11558250.000000
HUF
33000.000000
USD
2024-01-04
-312.590000
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-78404.000000
PA
-86854.000000
-0.0276622
Short
RA
LU
N
2
Reverse repurchase
N
4.100000
2025-11-22
100000.000000
EUR
95117.900000
EUR
CDS
N
N
N
YAHOO (AKA: AP CORE HOLDINGS II LLC)
549300PND8ZZ4RWYRZ56
AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2
00187GAD1
5100000.000000
PA
USD
4991625.000000
1.58979
Long
LON
CORP
US
N
2
2027-09-01
Floating
10.9701
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/2.45000 12/20/23-1Y LCH
000000000
1.000000
NC
USD
296480.810000
0.0944265
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2024-12-20
0.000000
USD
-921.580000
USD
12700000.000000
USD
297402.390000
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.1* 9/11/23-27Y* CME
000000000
1.000000
NC
USD
39584138.550000
12.6072
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2050-12-11
18148.130000
USD
0.000000
USD
91100000.000000
USD
39565990.420000
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-3003297.780000
PA
USD
-3040204.970000
-0.968278
Short
RA
US
N
2
Reverse repurchase
N
6.320000
2025-10-23
9997831.000000
USD
4998065.180000
USD
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG
952NPHII6
640000.000000
PA
USD
76800.000000
0.0244601
Long
DBT
CORP
US
N
2
2060-12-31
None
0
N
N
N
N
N
N
WESCO AIRCRAFT HOLDINGS INC
529900P5VTXZS191P208
INCORA PIK DELAYED DRAW TERM LOAN
948FMNII0
3373083.020000
PA
USD
3578905.440000
1.13985
Long
DBT
CORP
US
N
3
2024-03-01
Floating
13.9882
N
N
N
N
N
N
N/A
N/A
JAGUAR LAND ROVER AUTOMOTIVE SNR SE ICE
000000000
1.000000
NC
172906.280000
0.0550691
N/A
DCR
GB
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC)
JAGUAR LAND ROVER AUTOMO SR UNSEC REGS
Y
Single Leg Swap
2026-12-20
75917.260000
EUR
0.000000
EUR
1986000.000000
EUR
96989.020000
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR
78486QAJ0
100000.000000
NS
USD
1093.000000
0.0003481
Long
EP
CORP
US
N
2
N
N
N
COUNTRYWIDE HOME LOANS 2005-21
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 21 A17
126694CV8
150306.080000
PA
USD
87087.130000
0.0277365
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Fixed
5.5
N
N
N
N
N
N
SUNTRUST ADJR MRTG LN TR 2007-1
N/A
SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1
78473NAC7
31419.740000
PA
USD
26559.790000
0.0084591
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
4.8482
N
N
N
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 5
945BALII9
405857.060000
PA
USD
20292.850000
0.0064631
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB FINANCIAL GROUP SR UNSECURED 02/31 1.8
78486QAF8
607000.000000
PA
USD
403038.130000
0.128364
Long
DBT
CORP
US
N
2
2031-02-02
Fixed
1.8
Y
Y
N
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A1
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2
466247F57
79449.150000
PA
USD
54034.590000
0.0172095
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
4.70413
N
N
N
N
N
N
BAT CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP COMPANY GUAR 08/33 6.421
054989AB4
600000.000000
PA
USD
628319.180000
0.200114
Long
DBT
CORP
US
N
2
2033-08-02
Fixed
6.421
N
N
N
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2022 EUR PIK SENIOR TERM LOAN
945BEBII7
8567155.380000
PA
9020293.300000
2.87288
Long
LON
CORP
ES
N
2
2026-12-31
Floating
9.192
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75
37443GAJ0
200000.000000
PA
USD
86856.000000
0.0276629
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75
Y
Y
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2017-ASHF
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF F 144A
61691KAQ4
1200000.000000
PA
USD
1112686.440000
0.354381
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
10.009
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.70 8/17/23-4Y* CME
000000000
1.000000
NC
USD
-1232102.490000
-0.392414
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2027-02-17
0.000000
USD
-47712.090000
USD
18000000.000000
USD
-1184390.400000
N
N
N
CIFC FUNDING LTD 2014-3A
N/A
CIFC FUNDING LTD CIFC 2014 3A INC 144A
12549TAA7
1000000.000000
PA
USD
221700.000000
0.0706095
Long
ABS-CBDO
CORP
KY
N
2
2026-07-22
Floating
0
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/2.30000 01/17/24-2Y LCH
000000000
1.000000
NC
USD
32849.300000
0.0104622
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2026-01-17
457.110000
USD
0.000000
USD
1000000.000000
USD
32392.190000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR
040114HV5
2871657.000000
PA
USD
981001.110000
0.31244
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
3.5
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR
040114HW3
114993.000000
PA
USD
39837.600000
0.0126879
Long
DBT
NUSS
AR
N
2
2046-07-09
Variable
3.625
N
N
N
N
N
N
OI SA (AKA: BRASIL TELECOM S/A)
254900YEMWCRRAGD4978
OI S A 2023 DIP TERM LOAN 144A
948EYNII0
2810345.700000
PA
USD
2810345.700000
0.89507
Long
DBT
CORP
BR
N
2
2024-09-07
Fixed
10.3916
N
N
Y
N
N
N
SYNIVERSE HOLDINGS LLC
549300CYZBHMZC8VLL59
SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN
87168TAB7
9027001.020000
PA
USD
7983254.030000
2.5426
Long
LON
CORP
US
N
2
2027-05-13
Floating
12.3481
N
N
N
N
N
N
NGD HOLDINGS BV
984500ED2ABF0UF46690
NGD HOLDINGS BV SR SECURED 12/26 6.75
ACI1XVPP6
187558.000000
PA
USD
133400.630000
0.0424869
Long
DBT
CORP
NL
N
2
2026-12-31
Fixed
6.75
N
N
N
N
N
N
STUBHUB (PUG LLC)
N/A
PUG LLC USD TERM LOAN
74530DAC9
3208608.580000
PA
USD
3165147.980000
1.00807
Long
LON
CORP
US
N
2
2027-02-12
Floating
8.9704
N
N
N
N
N
N
MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)
5493002WXOPRPTXWTU06
MPH ACQUISITION HOLDINGS LLC 2021 TERM LOAN B
55328HAK7
4819099.870000
PA
USD
4659467.190000
1.484
Long
LON
CORP
US
N
2
2028-09-01
Floating
9.8998
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 B1
92922F4Y1
1559702.210000
PA
USD
1302096.800000
0.414706
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
6.37043
N
N
N
N
N
N
INGENICO TERMINALS (POSEIDON BIDCO)
254900LGX7YG7Y9YM766
POSEIDON BIDCO SASU EUR TERM LOAN B
945BRXII5
3500000.010000
PA
3868655.330000
1.23213
Long
LON
CORP
GB
N
2
2028-09-30
Floating
9.175
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7
71643VAB1
830000.000000
PA
USD
689696.390000
0.219662
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.7
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 1A3A
07389QAE8
212781.810000
PA
USD
90760.910000
0.0289065
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
6.5
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR17
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A
92925DAD2
152195.370000
PA
USD
130899.220000
0.0416902
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
4.18473
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.50000 12/20/23-10Y LCH
000000000
1.000000
NC
USD
22056.710000
0.0070249
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-12-20
75119.720000
USD
0.000000
USD
10600000.000000
USD
-53063.010000
N
N
N
WSTN TRUST 2023-MAUI
N/A
WSTN TRUST WSTN 2023 MAUI E 144A
92943AAJ3
600000.000000
PA
USD
593835.180000
0.189131
Long
ABS-MBS
CORP
US
N
2
2037-07-05
Fixed
10.1739
N
N
N
N
N
N
DISH NETWORK CORPORATION
529900U350CWHH15G169
DISH NETWORK CORP SR UNSECURED 08/26 3.375
25470MAB5
1600000.000000
PA
USD
856000.000000
0.272628
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.375
N
N
N
Y
N
DISH NETWORK CORPORATION
DISH NETWORK CORP-A
USD
XXXX
N
N
N
FORESEA HOLDING SA
254900BAD50AKYGIMV79
DRILLCO HLDG LUX S A COMMON STOCK
000000000
9882.000000
NS
USD
245399.710000
0.0781576
Long
EC
CORP
LU
N
3
N
N
N
DIRECTV FINANCING LLC
N/A
DIRECTV FINANCING LLC TERM LOAN
25460HAB8
1153241.350000
PA
USD
1155334.480000
0.367964
Long
LON
CORP
US
N
2
2027-08-02
Floating
10.6498
N
N
N
N
N
N
VOYAGER AVIATION HOLDINGS LLC
549300KHOKL1CX4NIJ92
VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9
942UCF009
538.000000
NS
USD
0.000000
0
Long
EC
CORP
US
N
3
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12
02150GAN8
115815.360000
PA
USD
39763.150000
0.0126642
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.82043
N
N
N
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-1602839.000000
PA
-1780689.210000
-0.567134
Short
RA
LU
N
2
Reverse repurchase
N
4.380000
2025-11-05
2168000.000000
EUR
2176769.950000
EUR
CDS
N
N
N
N/A
N/A
IRS MXN 8.67500 04/06/22-2Y CME
000000000
1.000000
NC
51.840000
0.0000165
N/A
DIR
MX
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2024-04-03
0.000000
MXN
0.000000
MXN
100000.000000
MXN
51.840000
N
N
N
TOPAZ SOLAR FARMS LLC
N/A
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75
89054XAC9
4424520.000000
PA
USD
4405229.090000
1.40303
Long
DBT
CORP
US
N
2
2039-09-30
Fixed
5.75
N
N
N
N
N
N
FINASTRA USA INC
549300ZB2RO6QC7YTK71
FINASTRA USA INC 2023 TERM LOAN
953PAVII5
543609.020000
PA
USD
542899.360000
0.172909
Long
LON
CORP
US
N
3
2029-09-13
Floating
12.7129
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A9
02149VAJ8
350786.180000
PA
USD
170029.080000
0.0541527
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375
37443GAG6
300000.000000
PA
USD
134715.000000
0.0429055
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.375
Y
Y
N
N
N
N
N/A
N/A
SOLD DOP BOUGHT USD 20240119
000000000
1.000000
NC
7607.700000
0.002423
N/A
DFE
N/A
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
18368671.000000
DOP
322501.810000
USD
2024-01-19
7607.700000
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-8430991.990000
PA
USD
-8467708.960000
-2.69689
Short
RA
US
N
2
Reverse repurchase
N
6.030000
2024-04-05
10943000.000000
USD
10201519.270000
USD
CDS
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A8
12668AUX1
846307.420000
PA
USD
467331.630000
0.148841
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.5
N
N
N
N
N
N
STICHTING AK RABOBANK CERTIFICATEN
N/A
STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR
BJBQCWII7
2246400.000000
NS
2489957.280000
0.793029
Long
EP
CORP
NL
N
2
N
N
N
FANNIE MAE REMICS 2019-1
N/A
FANNIE MAE FNR 2019 1 HS
3136B3ZF0
219681.740000
PA
USD
25252.440000
0.0080427
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Floating
0.59809
N
N
N
N
N
N
MCAFEE ENTERPRISE (MAGENTA BUYER LLC)
254900F51KU7HIRXTS68
MCAFEE LLC 2021 USD TERM LOAN B
55910RAB9
498727.740000
PA
USD
356902.040000
0.11367
Long
LON
CORP
US
N
2
2028-07-27
Floating
10.6448
N
N
N
N
N
N
HUNGARY GOVT
5299003F3UFKGCCMAP43
NATIONAL BK HUNGARY BILL BILLS 01/24 0.00000
ACI2M7S84
140000000.000000
PA
403300.600000
0.128448
Long
DBT
MUN
HU
N
2
2024-01-04
None
0
N
N
N
N
N
N
PSAV (AVSC HOLDING CORP)
549300CLJBQ9YSR4U689
AVSC HOLDING CORP 2020 TERM LOAN B1
00241YAT1
1908720.080000
PA
USD
1876367.270000
0.597606
Long
LON
CORP
US
N
2
2025-03-03
Floating
8.86959
N
N
N
N
N
N
TOPAZ SOLAR FARMS LLC
N/A
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875
89054XAD7
855614.000000
PA
USD
790172.360000
0.251663
Long
DBT
CORP
US
N
2
2039-09-30
Fixed
4.875
N
N
N
N
N
N
BRANDYWINE OPERATING PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERS COMPANY GUAR 11/27 3.95
105340AQ6
100000.000000
PA
USD
89448.590000
0.0284886
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.95
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR
000000000
140000.000000
NS
USD
2058.000000
0.0006555
Long
EP
CORP
US
N
2
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN
90290PAS3
9616434.670000
PA
USD
7332531.440000
2.33535
Long
LON
CORP
US
N
2
2028-06-20
Floating
10.4704
N
N
N
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-721926.830000
PA
USD
-727113.670000
-0.231579
Short
RA
US
N
2
Reverse repurchase
N
6.050000
2024-05-20
944000.000000
USD
860814.720000
USD
CDS
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI SIENA COMMON STOCK
ACI28SXK1
523500.000000
NS
1760337.940000
0.560652
Long
EC
CORP
IT
N
1
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS B COMMON STOCK
45174J608
48387.000000
NS
USD
116273.960000
0.0370322
Long
EC
CORP
US
N
3
N
N
N
SLM STUDENT LOAN TRUST 2013-M1
N/A
SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A
78447T103
1360.000000
PA
USD
692422.130000
0.22053
Long
ABS-O
CORP
US
N
3
2029-10-28
Fixed
0
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-41665.310000
-0.01327
N/A
DFE
GB
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4662041.000000
GBP
5901001.710000
USD
2024-01-09
-41665.310000
N
N
N
GS MORTGAGE SECURITIES CORP II 2022-GTWY
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A
36266DAA2
550000.000000
PA
USD
554548.280000
0.176619
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Floating
8.762
N
N
N
N
N
N
WESTMET GROUP HOLDINGS LLC
N/A
EQTYWM927 WESTMORELAND MINING
952XGJII0
25447.950000
NS
USD
89067.830000
0.0283673
Long
EC
CORP
US
Y
3
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-DNA7
N/A
FREDDIE MAC STACR STACR 2021 DNA7 B2 144A
35564KNE5
1900000.000000
PA
USD
2017705.570000
0.642621
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
13.1374
N
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-36T2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7
02146XAF5
613730.290000
PA
USD
262031.720000
0.0834548
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
6.25
N
N
N
N
N
N
CGG SA
969500FCVQ5SLAAUJV59
CGG SA SR SECURED 144A 04/27 7.75
ACI1WM066
1300000.000000
PA
1328186.060000
0.423015
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
7.75
N
N
N
N
N
N
CBL & ASSOCIATES PROPERTIES INC
529900EIVFBRS4PUBZ13
CBL + ASSOCIATES PROPERTIES REIT USD.01
124830878
9309.000000
NS
USD
227325.780000
0.0724012
Long
EC
CORP
US
N
1
N
N
N
GROSVENOR PLACE CLO BV 2015-1A
N/A
GROSVENOR PLACE CLO BV GROSV 2015 1A SUB 144A
39927WAV9
158870.330000
PA
17.540000
0.0000056
Long
ABS-CBDO
CORP
NL
N
2
2029-04-30
Variable
0
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-334.080000
-0.0001064
N/A
DFE
HU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
8790000.000000
HUF
25000.000000
USD
2024-01-04
-334.080000
N
N
N
BEAR STEARNS ALT-A TRUST II 2007-1
N/A
BEAR STEARNS ALT A TRUST II BSAAT 2007 1 1A1
07389KAA9
1703028.080000
PA
USD
815719.970000
0.2598
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
4.14014
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-5148301.280000
PA
USD
-5164363.980000
-1.6448
Short
RA
US
N
2
Reverse repurchase
N
6.240000
2024-02-02
9568000.000000
USD
7529687.850000
USD
CDS
N
N
N
BEAR STEARNS ALT-A TRUST 2006-6
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1
073868BE0
132651.790000
PA
USD
69207.080000
0.0220418
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
4.49227
N
N
N
N
N
N
N/A
N/A
WEST MARINE NEW WARRANT WARRWM911
000000000
195.000000
NC
USD
0.000000
0
N/A
DE
US
N
3
None
N/A
Call
Purchased
MARINE ONE HOLDCO LLC
WEST MARINE NEW COMMON STOCK
N/A
0.010000
USD
2028-09-11
XXXX
0.000000
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 2A3
02147RAQ3
183942.260000
PA
USD
59869.210000
0.0190678
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.5
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95
694308JN8
2171500.000000
PA
USD
1859583.290000
0.592261
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95
N
N
N
N
N
N
LIFEPOINT HEALTH INC
549300G8ZVHRTBBBSZ90
LIFEPOINT HEALTH INC SR SECURED 144A 08/30 9.875
53219LAV1
400000.000000
PA
USD
404736.280000
0.128905
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
9.875
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-HY3
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY3 3A1
12668BNK5
133363.720000
PA
USD
114721.650000
0.0365378
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
4.44986
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND COAL CO PIK TERM LOAN
96106JAE9
979391.060000
PA
USD
724749.380000
0.230826
Long
LON
CORP
US
N
2
2029-03-15
Fixed
8
N
N
Y
N
N
N
UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC
N/A
UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5
91327BAA8
1400000.000000
PA
USD
1011708.880000
0.32222
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.5
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
040114HX1
366359.000000
PA
USD
146270.660000
0.0465859
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1
N
N
N
N
N
N
BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AC1
N/A
BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AC1 A1
07400XAA6
28748.730000
PA
USD
28041.730000
0.008931
Long
ABS-MBS
CORP
US
N
3
2036-08-25
Variable
7.5
N
N
N
N
N
N
EXELA INTERMEDIATE LLC / EXELA FINANCE INC
N/A
EXELA INTERMED/EXELA FIN SR SECURED 144A 04/26 11.5
30162RAD3
35532.000000
PA
USD
6395.760000
0.002037
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
11.5
N
N
Y
N
N
N
BANC OF AMERICA FUNDING CORP 2006-6
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 3A4
05950RBJ7
406359.090000
PA
USD
358440.100000
0.11416
Long
ABS-MBS
CORP
US
N
3
2036-08-25
Fixed
6
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875
37443GAH4
400000.000000
PA
USD
176145.600000
0.0561008
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.875
Y
Y
N
N
N
N
CHASE MORGAGE FINANCE CORP 2005-A1
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A2
16162WPE3
1538.750000
PA
USD
1414.960000
0.0004507
Long
ABS-MBS
CORP
US
N
3
2035-12-25
Floating
4.87568
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2005-4
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1
41161PMX8
12093.390000
PA
USD
8813.760000
0.0028071
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
4.20914
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81
654744AD3
5300000.000000
PA
USD
4958188.160000
1.57914
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81
N
N
N
N
N
N
VICI PROPERTIES LP / VICI NOTE CO INC
N/A
VICI PROPERTIES / NOTE COMPANY GUAR 144A 01/28 4.5
92564RAK1
1280000.000000
PA
USD
1221906.680000
0.389166
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.5
N
N
N
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-4957252.000000
PA
USD
-4968259.850000
-1.58235
Short
RA
US
N
2
Reverse repurchase
N
5.710000
2024-02-20
5869500.000000
USD
5203350.350000
USD
CDS
N
N
N
STEENBOK LUX FINCO 2 SARL
N/A
STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL A2 RESTRUCTURE
948FWKII5
7088105.730000
PA
3386701.640000
1.07863
Long
LON
CORP
LU
N
2
2026-06-30
Fixed
10
N
N
Y
N
N
N
DEUTSCHE MORTGAGE SEC INC. 2004-4
N/A
DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 4 2MR2
251563EX6
2030362.490000
PA
USD
1976425.100000
0.629474
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
7.42043
N
N
N
N
N
N
N/A
N/A
JAGUAR LAND ROVER AUTOMOTIVE SNR SE ICE
000000000
1.000000
NC
16663.850000
0.0053073
N/A
DCR
GB
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC)
JAGUAR LAND ROVER AUTOMO
Y
Single Leg Swap
2026-06-20
14055.270000
EUR
0.000000
EUR
200000.000000
EUR
2608.580000
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 F 144A
46649JAQ1
2008860.770000
PA
USD
1931386.040000
0.615129
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Floating
9.72648
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9
N/A
MORGAN STANLEY BAML TRUST MSBAM 2013 C9 B
61762DAZ4
411686.910000
PA
USD
324970.660000
0.1035
Long
ABS-MBS
CORP
US
N
2
2046-05-15
Variable
3.708
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A2
02146VAB8
196418.180000
PA
USD
148692.790000
0.0473573
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6.25
N
N
N
N
N
N
IVANTI SOFTWARE INC
254900GHAXAYKWDX9F60
IVANTI SOFTWARE, INC. 2021 TERM LOAN B
46583DAG4
5788921.900000
PA
USD
5510822.090000
1.75515
Long
LON
CORP
US
N
2
2027-12-01
Floating
9.9071
N
N
N
N
N
N
EUROSAIL PLC 2007-3X
N/A
EUROSAIL PLC ESAIL 2007 3X E1C REGS
G3299SAF2
239052.420000
PA
244474.910000
0.0778631
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
9.31451
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-8
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1
07387QAA8
773669.410000
PA
USD
682923.400000
0.217505
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
5.79043
N
N
N
N
N
N
LIFEPOINT HEALTH INC
549300G8ZVHRTBBBSZ90
LIFEPOINT HEALTH, INC. 2023 TERM LOAN B
75915TAG7
2640000.000000
PA
USD
2637030.000000
0.83987
Long
LON
CORP
US
N
2
2028-11-16
Floating
11.1678
N
N
N
N
N
N
N/A
N/A
RFR GBP SONIO/0.75000 09/21/22-30Y LCH
000000000
1.000000
NC
187064.400000
0.0595783
N/A
DIR
GB
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2052-09-21
0.000000
GBP
-594.480000
GBP
300000.000000
GBP
187658.880000
N
N
N
CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)
549300CTE3HOMEUMM603
CBRE SERVICES INC COMPANY GUAR 08/34 5.95
12505BAG5
400000.000000
PA
USD
420601.260000
0.133958
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
5.95
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-187.370000
-0.0000597
N/A
DFE
HU
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
4575535.000000
HUF
13000.000000
USD
2024-01-04
-187.370000
N
N
N
CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3
N/A
CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ
14986DAJ9
149120.490000
PA
USD
133707.440000
0.0425846
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
5.688
N
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2007-A9
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A9 A5
761143AE6
1158929.170000
PA
USD
490357.070000
0.156174
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.25
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2006-1F
N/A
GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1
3623417Z6
1015768.060000
PA
USD
447043.990000
0.142379
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
6
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/4.50000 03/20/24-20Y* CME
000000000
1.000000
NC
USD
11640634.530000
3.70744
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2044-06-19
0.000000
USD
-211865.000000
USD
75300000.000000
USD
11852499.530000
N
N
N
ASSET BACKED FUNDING CERT 2006-OPT2
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A3C
00075XAE7
655230.630000
PA
USD
653808.650000
0.208232
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.62043
N
N
N
N
N
N
COSAINT RE PTE LTD
N/A
COSAINT RE PTE LTD BONDS 144A 04/28 VAR
22112CAA0
400000.000000
PA
USD
399400.000000
0.127205
Long
DBT
CORP
SG
N
2
2028-04-03
Floating
9.84
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB FINANCIAL GROUP SR UNSECURED 05/28 2.1
78486QAH4
100000.000000
PA
USD
65843.690000
0.0209706
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
2.1
Y
Y
N
N
N
N
WESCO AIRCRAFT HOLDINGS INC
529900P5VTXZS191P208
WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5
950814AA1
13761262.000000
PA
USD
12522748.420000
3.98838
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
10.5
Y
Y
Y
N
N
N
FORESEA HOLDING SA
254900BAD50AKYGIMV79
FORESEA HOLDING SA SR SECURED 144A 06/30 7.5
262051AA3
194602.000000
PA
USD
180396.050000
0.0574545
Long
DBT
CORP
LU
N
2
2030-06-15
Fixed
7.5
N
N
N
N
N
N
N/A
N/A
ESKOM GG LOAN SNR EM SP DUB
000000000
1.000000
NC
USD
130404.920000
0.0415328
N/A
DCR
US
N
3
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
ESKOM HOLDINGS SOC LTD
Y
Single Leg Swap
2029-06-30
0.000000
USD
0.000000
USD
1500000.000000
USD
130404.920000
N
N
N
CIFC FUNDING LTD 2014-2RA
N/A
CIFC FUNDING LTD CIFC 2014 2RA INC 144A
125475AA1
1200000.000000
PA
USD
248760.000000
0.0792278
Long
ABS-CBDO
CORP
KY
N
2
2030-04-24
Fixed
0
N
N
N
N
N
N
RESIDENTIAL FUNDING MTG SEC I 2006-S8
N/A
RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S8 A15
74957XAQ8
42846.440000
PA
USD
30993.280000
0.0098711
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Fixed
6
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4
694308HR1
1004000.000000
PA
USD
737618.000000
0.234925
Long
DBT
CORP
US
N
2
2046-12-01
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS 3762
N/A
FREDDIE MAC FHR 3762 SH
3137A3QY8
111719.500000
PA
USD
93507.110000
0.0297812
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Floating
0
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5
45824TBC8
8343000.000000
PA
USD
7968430.170000
2.53787
Long
DBT
CORP
LU
N
2
2030-03-15
Fixed
6.5
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR
040114HT0
1000000.000000
PA
USD
341025.000000
0.108613
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
3.625
N
N
N
N
N
N
VERITAS US INC / VERITAS BERMUDA LTD
N/A
VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5
92346LAE3
1110000.000000
PA
USD
917243.510000
0.292134
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.5
N
N
N
N
N
N
N/A
N/A
RFR GBP SONIO/0.75000 09/21/22-10Y LCH
000000000
1.000000
NC
1860964.000000
0.5927
N/A
DIR
GB
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2032-09-21
708748.220000
GBP
0.000000
GBP
7300000.000000
GBP
1152215.780000
N
N
N
TABERNA PREFERRED FUNDING LTD 2006-5A
N/A
TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A
87331BAB8
2403616.780000
PA
USD
2163255.100000
0.688977
Long
ABS-CBDO
CORP
KY
N
2
2036-08-05
Floating
6.03431
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HOLDINGS INC
N/A
CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK
18453H106
261329.000000
NS
USD
475618.780000
0.15148
Long
EC
CORP
US
N
1
N
N
N
MERRILL LYNCH MTGE INVESTORS 2006-A1
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1
59020U5W1
534927.310000
PA
USD
290229.140000
0.0924354
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
3.8529
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.8* 8/07/23-27Y* CME
000000000
1.000000
NC
USD
2667799.490000
0.84967
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2050-02-07
0.000000
USD
-34090.470000
USD
8800000.000000
USD
2701889.960000
N
N
N
YAHOO (AKA: AP CORE HOLDINGS II LLC)
549300PND8ZZ4RWYRZ56
AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1
00187GAC3
2072076.110000
PA
USD
2033224.680000
0.647564
Long
LON
CORP
US
N
2
2027-09-01
Floating
10.9704
N
N
N
N
N
N
N/A
N/A
IRS AUD 3.50000 06/17/15-10Y CME
000000000
1.000000
NC
-27987.230000
-0.0089137
N/A
DIR
AU
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
AUD-BBR-BBSW-Bloomberg 6M
N/A
N/A
Y
2025-06-17
96635.570000
AUD
0.000000
AUD
3900000.000000
AUD
-124622.800000
N
N
N
ENCINA SPV
N/A
ENCINA PRIVATE CREDIT LLC NOTE
938DREII2
1550581.080000
PA
USD
1518216.410000
0.483538
Long
DBT
CORP
US
N
3
2025-11-30
Floating
6.3339
N
N
N
N
N
N
NORTHWESTERN BELL TELEPHONE
N/A
NORTHWESTERN BELL TELEPH SR UNSECURED 05/30 7.75
668027AT2
7000000.000000
PA
USD
3438155.000000
1.09502
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
7.75
N
N
N
N
N
N
N/A
N/A
BANCA MONTE DEI PASCHI DI SNR SE SP JPM
000000000
1.000000
NC
5592.880000
0.0017813
N/A
DCR
IT
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
BANCA MONTE DEI PASCHI DI SIENA SPA
BANCA MONTE DEI PASCHI S
Y
Single Leg Swap
2025-06-20
0.000000
EUR
-2012.970000
EUR
100000.000000
EUR
7605.850000
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2006-A1
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A1 4A1
46627MDA2
345376.460000
PA
USD
248463.450000
0.0791334
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
4.11489
N
N
N
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-621978.430000
PA
USD
-625044.780000
-0.199071
Short
RA
US
N
2
Reverse repurchase
N
6.120000
2024-02-29
800000.000000
USD
792181.760000
USD
PLCMO
N
N
N
WINDSTREAM SERVICES II LLC
549300KT9GVEBYCD2N29
WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B
97381JAE3
419971.200000
PA
USD
398447.680000
0.126902
Long
LON
CORP
US
N
2
2027-09-21
Floating
11.706
N
N
N
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-5603.320000
-0.0017846
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
235000.000000
EUR
253884.790000
USD
2024-01-09
-5603.320000
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25
P97475AP5
12000.000000
PA
USD
1886.700000
0.0006009
Long
DBT
NUSS
VE
N
2
2024-10-13
Fixed
8.25
Y
Y
N
N
N
N
ENVALIOR FINANCE GMBH
254900GAG6U7Z5TROP43
SCUR ALPHA 1503 GMBH EUR TERM LOAN B1
D7001LAB9
1100000.000000
PA
1115461.040000
0.355264
Long
LON
CORP
DE
N
2
2030-03-29
Floating
9.448
N
N
N
N
N
N
PERU LNG SRL
254900F70J1LOALV5K70
PERU LNG SRL SR UNSECURED REGS 03/30 5.375
P7721BAE1
4800000.000000
PA
USD
3976262.400000
1.2664
Long
DBT
CORP
PE
N
2
2030-03-22
Fixed
5.375
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-659934.730000
PA
USD
-668516.820000
-0.212917
Short
RA
US
N
2
Reverse repurchase
N
6.080000
2024-01-17
1000000.000000
USD
799475.000000
USD
CDS
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR
040114HU7
6187789.000000
PA
USD
2459924.580000
0.783464
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
4.25
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU PASS LLC
549300GKHS6RS20NLH85
VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/31 4.125
92328MAB9
100000.000000
PA
USD
88228.590000
0.0281
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
4.125
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.3* 8/15/23-4Y* CME
000000000
1.000000
NC
USD
217858.420000
0.069386
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2027-02-15
0.000000
USD
-451.780000
USD
2730000.000000
USD
218310.200000
N
N
N
STRATTON MORTGAGE FUNDING 21-2A
N/A
STRATTON MORTGAGE FUNDING PLC STRA 2021 2A E 144A
ACI1W7GR6
1800000.000000
PA
2292723.350000
0.730212
Long
ABS-MBS
CORP
GB
N
2
2060-07-20
Floating
8.216
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US RENAL CARE INC SR SECURED 144A 06/28 10.625
90355YAA5
842800.000000
PA
USD
646849.000000
0.206016
Long
DBT
CORP
US
N
2
2028-06-28
Fixed
10.625
N
N
N
N
N
N
TABERNA PREFERRED FUNDING LTD 2006-5A
N/A
TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A
87331BAA0
128192.900000
PA
USD
115373.610000
0.0367455
Long
ABS-CBDO
CORP
KY
N
2
2036-08-05
Floating
6.03431
N
N
N
N
N
N
N/A
N/A
REVERSE REPO HSBC FR REVERSE REPO HSBC FR
000000000
-738219.000000
PA
-818962.810000
-0.260832
Short
RA
FR
N
2
Reverse repurchase
N
4.200000
2025-11-09
874000.000000
EUR
853214.010000
EUR
CDS
N
N
N
MARLETTE FUNDING TRUST 2019-2
N/A
MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A
57109H102
6330.000000
PA
USD
146668.050000
0.0467125
Long
ABS-O
CORP
US
N
3
2029-07-16
Fixed
0
N
N
N
N
N
N
BIOGROUP (CAB SELAS)
9695008EGX5O9K1MS743
CAB SR SECURED REGS 02/28 3.375
ACI1VH241
650000.000000
PA
641397.080000
0.204279
Long
DBT
CORP
FR
N
2
2028-02-01
Fixed
3.375
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
BONCER BONDS 05/24 3.75
ACI2KW5L7
86321334.900000
PA
91726.780000
0.0292142
Long
DBT
NUSS
AR
N
2
2024-05-20
Fixed
3.75
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75
694308HH3
1826000.000000
PA
USD
1528705.870000
0.486879
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
4.75
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2008-2R
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 5A1
021482AJ3
344082.770000
PA
USD
191075.050000
0.0608557
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6
N
N
N
N
N
N
AMSURG LLC
N/A
ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL
949ABEII2
541571.070000
PA
USD
541571.070000
0.172486
Long
LON
CORP
US
N
3
2026-11-03
Floating
10.1101
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-1195.380000
-0.0003807
N/A
DFE
GB
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
136000.000000
GBP
172162.750000
USD
2024-01-09
-1195.380000
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-1029.720000
-0.000328
N/A
DFE
GB
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
131000.000000
GBP
165954.950000
USD
2024-01-09
-1029.720000
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-2652425.170000
PA
USD
-2670217.790000
-0.850441
Short
RA
US
N
2
Reverse repurchase
N
5.890000
2024-01-22
3803232.720000
USD
2387668.020000
USD
AMBS
N
N
N
BDO USA PC (AKA: BDO USA PA)
549300HCLKYOUFB75R55
BDO USA PC TERM LOAN
953NYPII7
1357142.860000
PA
USD
1351649.170000
0.430488
Long
LON
CORP
US
N
3
2028-08-31
Floating
11.356
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/2.50 9/20/23-4Y* CME
000000000
1.000000
NC
USD
-1422667.330000
-0.453107
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2027-12-20
99481.260000
USD
0.000000
USD
27400000.000000
USD
-1522148.590000
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A
78471C109
846000.000000
PA
USD
102910.800000
0.0327762
Long
ABS-O
CORP
US
N
3
2040-09-25
Fixed
0
N
N
N
N
N
N
RESIDENTIAL ASSET SECUR TRUST 2005-A15
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A2
45660L4H9
374421.340000
PA
USD
145776.610000
0.0464285
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.75
N
N
N
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S REGS 04/25 2.625
ACI1J7WJ1
913000.000000
PA
983935.860000
0.313375
Long
DBT
CORP
IT
N
2
2025-04-28
Fixed
2.625
N
N
N
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1605848.000000
PA
USD
-1626480.460000
-0.518019
Short
RA
US
N
2
Reverse repurchase
N
5.930000
2024-01-16
2001000.000000
USD
1901722.400000
USD
CDS
N
N
N
N/A
N/A
SOLD MXN BOUGHT USD 20240131
000000000
1.000000
NC
-5.160000
-0.0000016
N/A
DFE
MX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2704.160000
MXN
153.380000
USD
2024-01-31
-5.160000
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-10256.100000
-0.0032665
N/A
DFE
GB
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1000386.000000
GBP
1264928.070000
USD
2024-01-09
-10256.100000
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2004-35T2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 35T2 A5
12667FQ99
111612.490000
PA
USD
83316.930000
0.0265357
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
6
N
N
N
N
N
N
FORESEA HOLDING SA
254900BAD50AKYGIMV79
DRILLCO HLDG LUX SA COMMON STOCK
000000000
2644.000000
NS
USD
65658.450000
0.0209116
Long
EC
CORP
LU
Y
3
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-177459.870000
-0.0565194
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
34913000.000000
EUR
38373639.400000
USD
2024-01-09
-177459.870000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-344.310000
-0.0001097
N/A
DFE
HU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
13998000.000000
HUF
40000.000000
USD
2024-01-04
-344.310000
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-6624522.410000
PA
USD
-6624522.410000
-2.10985
Short
RA
US
N
2
Reverse repurchase
N
5.930000
2024-04-02
7525000.000000
USD
7776229.560000
USD
CDS
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC 2020 INCREMENTAL TERM LOAN
45174UAG3
320000.000000
PA
USD
275968.000000
0.0878933
Long
LON
CORP
US
N
2
2026-05-01
Floating
8.7204
N
N
N
N
N
N
VICI PROPERTIES LP / VICI NOTE CO INC
N/A
VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/29 3.875
92564RAL9
1800000.000000
PA
USD
1654939.570000
0.527084
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.875
N
N
N
N
N
N
AGPS BONDCO PLC
89450071QI2G8XS48K39
AGPS BONDCO PLC BANK GUARANT REGS 01/26 4.625
ACI1TZD42
2100000.000000
PA
820096.970000
0.261194
Long
DBT
CORP
GB
N
2
2026-01-14
Fixed
4.625
N
N
N
N
N
N
RESIDENTIAL ASSET SECUR TR 2007-A7
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A1
76114QAA3
620616.180000
PA
USD
251403.050000
0.0800696
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6
N
N
N
N
N
N
NEWFOLD DIGITAL HOLDINGS GROUP INC
549300UTQC2651SB0W88
NEWFOLD DIGITAL HLDGS GR SR SECURED 144A 10/28 11.75
650929AA0
1100000.000000
PA
USD
1184254.500000
0.377175
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
11.75
N
N
N
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL
N5200EAC5
40267.840000
PA
USD
27986.150000
0.0089133
Long
LON
CORP
US
N
2
2024-06-28
Floating
8.4704
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS A COMMON STOCK
45174J509
62317.000000
NS
USD
166386.390000
0.0529926
Long
EC
CORP
US
N
1
N
N
N
ARGENT SECURITIES INC. 2006-W2
N/A
ARGENT SECURITIES INC. ARSI 2006 W2 A2B
040104RV5
5808198.850000
PA
USD
3108287.820000
0.989962
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
5.85043
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
VENTURE GLOBAL LNG INC SR SECURED 144A 02/29 9.5
92332YAC5
100000.000000
PA
USD
105879.200000
0.0337216
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
9.5
N
N
N
N
N
N
DISH DBS CORPORATION
N/A
DISH DBS CORP SR SECURED 144A 12/28 5.75
25470XBF1
3560000.000000
PA
USD
2846131.000000
0.906467
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB FINANCIAL GROUP SR UNSECURED 04/28 VAR
78486QAR2
300000.000000
PA
USD
198971.270000
0.0633706
Long
DBT
CORP
US
N
2
2028-04-29
Floating
4.345
Y
Y
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB FINANCIAL GROUP SR UNSECURED 04/33 VAR
78486QAS0
800000.000000
PA
USD
528994.260000
0.16848
Long
DBT
CORP
US
N
2
2033-04-29
Floating
4.57
Y
Y
N
N
N
N
N/A
N/A
SOLD DOP BOUGHT USD 20240304
000000000
1.000000
NC
1564.830000
0.0004984
N/A
DFE
N/A
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
4290607.500000
DOP
75000.000000
USD
2024-03-04
1564.830000
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-484025.170000
PA
USD
-486372.420000
-0.154905
Short
RA
US
N
2
Reverse repurchase
N
6.020000
2024-02-29
550000.000000
USD
554548.280000
USD
PLCMO
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-373.710000
-0.000119
N/A
DFE
HU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
8803750.000000
HUF
25000.000000
USD
2024-01-04
-373.710000
N
N
N
WEST MARINE (RISING TIDE HOLDINGS INC)
254900T03WM6VU0KWL83
RISING TIDE HOLDINGS INC 2023 FILO TERM LOAN
948ERGII3
947573.000000
PA
USD
913460.370000
0.290929
Long
LON
CORP
US
N
3
2026-06-01
Floating
14.356
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/30 VAR
ACI1QL1T4
1734804.000000
PA
USD
672236.550000
0.214101
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.75
N
N
N
N
N
N
JAY PARK CLO LTD 2016-1A
N/A
JAY PARK CLO, LTD. JPARK 2016 1A SUB 144A
47206WAC6
2700000.000000
PA
USD
37152.000000
0.0118326
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-1051524.310000
PA
USD
-1061405.410000
-0.338048
Short
RA
US
N
2
Reverse repurchase
N
6.070000
2024-02-23
1300000.000000
USD
1370961.800000
USD
CDS
N
N
N
ODEBRECHT OIL & GAS FINANCE LIMITED
N/A
ODEBRECHT OIL + FINANCE COMPANY GUAR REGS 12/99 0.0000
000000000
190575.000000
PA
USD
6551.020000
0.0020864
Long
DBT
CORP
KY
N
2
2024-02-05
None
0
N
N
N
N
N
N
APIDOS CLO 2017-28A
N/A
APIDOS CLO LTD APID 2017 28A SUB 144A
03766YAB9
2200000.000000
PA
USD
695639.580000
0.221555
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Variable
0
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.75 12/15/21-10Y LCH
000000000
1.000000
NC
USD
2801796.080000
0.892347
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2031-12-15
0.000000
USD
-281136.280000
USD
20100000.000000
USD
3082932.360000
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND MINING HOLDINGS L COMMON
935ZXN908
25225.780000
NS
USD
100903.120000
0.0321367
Long
EC
CORP
US
Y
3
N
N
N
DOMINICAN REPUBLIC GOVT
N/A
DOM REP CB NOTES NOTES 144A 01/26 13
25714PEU8
75200000.000000
PA
1361876.400000
0.433746
Long
DBT
MUN
DO
N
2
2026-01-30
Fixed
13
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR12
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 3A3
93363NAM7
173827.150000
PA
USD
151204.190000
0.0481572
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
3.97182
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.5* 7/20/23-4Y* CME
000000000
1.000000
NC
USD
-1626933.660000
-0.518164
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2027-01-20
0.000000
USD
-50525.710000
USD
21600000.000000
USD
-1576407.950000
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFL 144A
46645WAC7
1182000.000000
PA
USD
1015916.000000
0.32356
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Floating
7.08487
N
N
N
N
N
N
STEENBOK LUX FINCO 2 SARL
N/A
STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL B2 RESTRUCTURE
948FWLII3
1059142.230000
PA
376349.200000
0.119864
Long
LON
CORP
LU
N
2
2026-06-30
Fixed
10
N
N
Y
N
N
N
WINDSTREAM HOLDINGS II LLC
N/A
WINDSTREAM UNITS EQUITY
952YSX903
272031.000000
NS
USD
8049792.550000
2.56379
Long
EC
CORP
US
N
3
N
N
N
BOI FINANCE BV
724500ZH3H2YACBUNF38
BOI FINANCE BV 02/27 7.5
ACI23L5Y2
1500000.000000
PA
1526440.160000
0.486158
Long
DBT
MUN
NL
N
2
2027-02-16
Fixed
7.5
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION EUR TERM LOAN B
P2121YAP3
3144121.550000
PA
3481800.200000
1.10892
Long
LON
CORP
US
N
2
2025-06-30
Floating
7.593
N
N
N
N
N
N
N/A
N/A
RFR GBP SONIO/5.00000 03/20/24-5Y LCH
000000000
1.000000
NC
1811409.100000
0.576918
N/A
DIR
GB
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2029-03-20
1800809.290000
GBP
0.000000
GBP
18300000.000000
GBP
10599.810000
N
N
N
WINDSTREAM SERVICES II LLC
549300KT9GVEBYCD2N29
WINDSTREAM SERVICES LLC 2022 INCREMENTAL TERM LOAN
948CQMII5
3130000.000000
PA
USD
3098700.000000
0.986908
Long
LON
CORP
US
N
2
2027-02-23
Floating
9.4483
N
N
N
N
N
N
HILTON USA TRUST 2016-SFP
N/A
HILTON USA TRUST HILT 2016 SFP A 144A
43289VAA1
400000.000000
PA
USD
321451.160000
0.102379
Long
ABS-MBS
CORP
US
N
2
2035-11-05
Fixed
2.82844
N
N
N
N
N
N
GATEWAY CASINOS & ENTERTAINMENT LIMITED
549300JSKBQMMD1B3U44
GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN
943ZHKII3
1917168.070000
PA
1447993.250000
0.461173
Long
LON
CORP
CA
N
2
2027-10-18
Fixed
13.5875
N
N
Y
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA NOTES 144A 09/28 5.5
ACI2JSF11
500000.000000
PA
568434.970000
0.181041
Long
DBT
NUSS
RO
N
2
2028-09-18
Fixed
5.5
N
N
N
N
N
N
FANNIE MAE REMICS 2013-41
N/A
FANNIE MAE FNR 2013 41 WI
3136ADS67
652017.310000
PA
USD
79314.380000
0.0252609
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
4
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.3* 7/12/23-8Y* CME
000000000
1.000000
NC
USD
-1122059.060000
-0.357366
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2031-04-12
0.000000
USD
-13929.540000
USD
7000000.000000
USD
-1108129.520000
N
N
N
COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1
N/A
COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM
20173WAH1
143081.200000
PA
USD
15789.730000
0.0050289
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
6.58904
N
N
N
N
N
N
CAYENNE AVIATION LLC
N/A
VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5
942UCF900
3228.000000
NS
USD
0.000000
0
Long
EP
CORP
US
N
3
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR
ACI1R35P7
1138000.000000
PA
1266282.820000
0.4033
Long
DBT
CORP
IT
N
2
2030-09-10
Floating
8.5
N
N
N
N
N
N
SANDERS RE III LTD
N/A
SANDERS RE III LTD UNSECURED 144A 04/29 VAR
80000XAC3
714000.000000
PA
USD
562417.800000
0.179125
Long
DBT
CORP
BM
N
2
2029-04-09
Floating
11.76
N
N
N
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
CARVANA CO SR SECURED 144A 12/28 12
146869AL6
371000.000000
PA
USD
315238.700000
0.100401
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
12
N
N
Y
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1
BXC8GV902
130203.000000
NS
41683.910000
0.013276
Long
EC
CORP
ES
N
1
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-548407.700000
PA
USD
-550080.340000
-0.175196
Short
RA
US
N
2
Reverse repurchase
N
6.100000
2024-04-11
700000.000000
USD
652003.570000
USD
CDS
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 09/29 VAR
06738ECK9
200000.000000
PA
USD
208421.090000
0.0663803
Long
DBT
CORP
GB
N
2
2029-09-13
Floating
6.49
N
N
N
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
ACI11ZNP4
15800000.000000
PA
16780.190000
0.0053443
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
106.561
N
N
N
N
N
N
BANCO DE CREDITO DEL PERU SA
549300EQYQ8SCQZ4BY14
BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65
05971U2B2
400000.000000
PA
105019.870000
0.0334479
Long
DBT
CORP
PE
N
2
2024-09-17
Fixed
4.65
N
N
N
N
N
N
2024-02-21
PIMCO Income Strategy Fund
/s/ Bijal Parikh
Bijal Parikh
Treasurer