NPORT-P false 0000710826 XXXXXXXX S000006526 C000017844 C000017842 C000017843 Brighthouse Funds Trust II 811-03618 0000710826 549300NPPA08K2CWOV06 BRIGHTHOUSE INVESTMENT ADVISERS, LLC ONE FINANCIAL CENTER BOSTON 02111 980-949-5130 Western Asset Management Strategic Bond Opportunities Portfolio S000006526 549300FA3RFIWG5VDH47 2020-12-31 2020-06-30 N 3113336047.76 254591944.04 2858744103.72 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 58887566.46000000 0.00000000 0.00000000 63285559.68000000 USD EUR RUB MXN BRL IDR UST INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 382929000000.00000000 PA 26806370.32000000 0.937697441513 Long DBT NUSS ID N 2 2027-05-15 Fixed 7.00000000 N N N N N N BLACKSTONE MORTGAGE TR 549300OLDJ20R2Y2UW20 09257WAB6 4280000.00000000 PA USD 4012547.08000000 0.140360484689 Long DBT US N 2 2022-05-05 Fixed 4.38000000 N N N N Y Blackstone Mortgage Trust Inc USD XXXX N N N GS Mortgage Securities Trust N/A 362332AH1 1319694.49000000 PA USD 893433.17000000 0.031252645832 Long ABS-MBS CORP US N 2 2039-11-10 Fixed 5.62000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBB7 4791000.00000000 PA USD 4611337.50000000 0.161306410531 Long DBT CORP US N 2 2025-02-01 Fixed 5.13000000 N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EBG9 6660000.00000000 PA USD 6901425.00000000 0.241414577506 Long DBT CORP GB N 2 2024-06-15 Fixed 8.00000000 N N N N N N Caesars Resort Collection, LLC 549300V3UCT773B1KR38 12769LAB5 9251212.61000000 PA USD 8290113.38000000 0.289991446566 Long LON CORP US N 2 2024-12-23 Floating 2.93000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202DS36 6960.28000000 PA USD 7841.90000000 0.000274312765 Long ABS-MBS USGA US N 2 2032-05-20 Fixed 6.00000000 N N N N N N THE MET 549300LS1O4XQ1SY7T11 592189AA2 2025000.00000000 PA USD 2509807.30000000 0.087794052525 Long DBT CORP US N 2 2045-07-01 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385Q2X9 346.32000000 PA USD 363.77000000 0.000012724818 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 8.00000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAP8 3990000.00000000 PA USD 4693237.50000000 0.164171304940 Long DBT CORP KY N 2 2026-08-10 Fixed 6.25000000 N N N N N N ML-CFC Commercial Mortgage Trust N/A 55312YAR3 37138.08000000 PA USD 21478.20000000 0.000751315935 Long ABS-MBS CORP US N 2 2048-08-12 Variable 5.45000000 N N N N N N United Airlines Holdings 98450079DA0B78DD6764 910047AG4 420000.00000000 PA USD 416850.00000000 0.014581577954 Long DBT CORP US N 2 2020-12-01 Fixed 6.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VBG8 2210000.00000000 PA USD 2697482.73000000 0.094359013333 Long DBT CORP US N 2 2042-11-01 Fixed 3.85000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BV0 9200000.00000000 PA USD 11199656.52000000 0.391768416957 Long DBT CORP US N 2 2047-06-15 Fixed 5.50000000 N N N N N N LIONS GATE CAPITAL HOLD 549300MWJHNLR35C0837 53627NAA9 3336000.00000000 PA USD 3185880.00000000 0.111443343104 Long DBT CORP US N 2 2024-11-01 Fixed 5.88000000 N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DD6 770000.00000000 PA USD 852113.55000000 0.029807269174 Long DBT CORP US N 2 2025-07-10 Fixed 3.75000000 N N N N N N Countrywide Alternative Loan Trust N/A 02148KAL8 1857135.11000000 PA USD 1619339.92000000 0.056645151200 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 75308.53000000 0.002634322180 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1596655.73000000 USD 38500000.00000000 MXN 2020-07-16 75308.53000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36208A7L9 486806.40000000 PA USD 495649.09000000 0.017338001304 Long ABS-MBS USGA US N 2 2060-01-20 Floating 1.61000000 N N N N N N Structured Asset Securities Corporation N/A 86358LAA8 2577111.02000000 PA USD 100553.20000000 0.003517390726 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.40000000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAX4 10660000.00000000 PA USD 12418900.00000000 0.434418036362 Long DBT CORP US N 2 2029-05-15 Fixed 6.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LEB5 1345430.58000000 PA USD 1335529.42000000 0.046717347602 Long ABS-MBS USGA US N 2 2068-05-20 Variable 0.60000000 N N N N N N 522 Funding CLO LTD 549300HKB0UTKU91DG08 33830NAA4 850000.00000000 PA USD 749074.40000000 0.026202918933 Long ABS-CBDO CORP KY N 2 2033-01-15 Variable 8.89000000 N N N N N N LHC THREE PLC 213800Q3UJN3YFW7VT63 000000000 250000.00000000 PA 280874.89000000 0.009825114798 Long DBT CORP JE Y 2 2024-08-15 Fixed 4.13000000 N N Y N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAV2 3370000.00000000 PA USD 3787222.55000000 0.132478543465 Long DBT CORP US N 2 2025-10-01 Fixed 6.13000000 N N N N N Apidos CLO 5493003SQW0Q40KVFQ19 03766AAE5 5740000.00000000 PA USD 5229266.28000000 0.182921803780 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 7.89000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -278546.85000000 -0.00974367903 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7993634.52000000 USD 41983208.00000000 BRL 2020-07-16 -278546.85000000 N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAD9 1175000.00000000 PA USD 1208076.36000000 0.042258989128 Long DBT CORP IT N 2 2021-02-24 Fixed 6.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1098678.72000000 0.038432216390 N/A DFE CA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 32767236.56000000 USD 45974530.00000000 CAD 2020-07-16 1098678.72000000 N N N Amerilife Holdings LLC N/A 03078CAE4 160227.27000000 PA USD 152616.47000000 0.005338584513 Long LON CORP US N 2 2027-03-18 None 0.00000000 N N N N N N TWITTER INC 549300I8RX485XMK6836 90184LAG7 5340000.00000000 PA USD 5340534.00000000 0.186813992656 Long DBT CORP US N 2 2027-12-15 Fixed 3.88000000 N N N N N N Hercules Offshore Inc N/A 427ESC306 10611.00000000 NS USD 9174.59000000 0.000320930788 Long EC CORP US N 3 N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAY2 2190000.00000000 PA USD 2229286.28000000 0.077981316239 Long DBT CORP US N 2 2049-10-01 Fixed 4.88000000 N N N N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAE6 5550000.00000000 PA USD 5383500.00000000 0.188316960339 Long DBT CORP KY N 2 2029-12-15 Fixed 5.13000000 N N N N N SILVERSEA CRUISE FINANCE N/A 82845LAA8 6685000.00000000 PA USD 6300612.50000000 0.220397918505 Long DBT CORP BS N 2 2025-02-01 Fixed 7.25000000 N N N N N N Waterfall Commercial Mortgage Trust N/A 94132LAA5 934786.13000000 PA USD 918589.84000000 0.032132636104 Long ABS-MBS CORP US N 2 2022-09-14 Variable 4.10000000 N N N N N N SKANDI NEW YORK N/A 000000000 2000284.06000000 PA USD 2000284.06000000 0.069970727963 Long STIV CORP US N 2 2020-10-02 Floating 1.60000000 N N N N N WAMU Mortgage Pass-Through Certificates N/A 933636AJ1 492690.13000000 PA USD 436973.43000000 0.015285503498 Long ABS-MBS CORP US N 2 2036-09-25 Variable 3.49000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 32946.29000000 0.001152474261 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 315930000.00000000 RUB 4465347.02000000 USD 2020-07-16 32946.29000000 N N N IHEARTCOMMUNICATIONS INC 54930076J6KDZL504O62 45174HBG1 3610000.00000000 PA USD 3330225.00000000 0.116492588324 Long DBT CORP US N 2 2028-01-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JAD21 3555104.04000000 PA USD 3776079.32000000 0.132088748870 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -9749.91000000 -0.00034105570 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 19990000.00000000 EUR 22503042.85000000 USD 2020-10-16 -9749.91000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225BY85 1699.11000000 PA USD 2024.04000000 0.000070801720 Long ABS-MBS USGA US N 2 2033-03-15 Fixed 6.00000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBW7 1110000.00000000 PA USD 1578918.47000000 0.055231192884 Long DBT CORP US N 2 2059-01-23 Fixed 5.80000000 N N N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097AY7 780000.00000000 PA USD 863639.70000000 0.030210458462 Long DBT CORP GB N 2 2023-06-10 Fixed 6.10000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -558720.22000000 -0.01954425439 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 18254000.00000000 EUR 19955729.15000000 USD 2020-07-16 -558720.22000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -192473.33000000 -0.00673279324 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5660000.00000000 AUD 3713815.79000000 USD 2020-07-16 -192473.33000000 N N N CoreCivic Inc 529900JFA3K6PTLT8B15 22025YAP5 820000.00000000 PA USD 787200.00000000 0.027536567507 Long DBT US N 2 2023-05-01 Fixed 4.63000000 N N N N N PetSmart, Inc. N/A 71677HAG0 9586679.89000000 PA USD 9488819.06000000 0.331922645599 Long LON CORP US N 2 2022-03-11 Floating 5.00000000 N N N N N N ENDEAVOR ENERGY RESOURCE N/A 29260FAF7 1820000.00000000 PA USD 1834232.40000000 0.064162175187 Long DBT CORP US N 2 2025-07-15 Fixed 6.63000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 373875.92000000 0.013078327630 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4291586.00000000 USD 6760000.00000000 AUD 2020-07-16 373875.92000000 N N N Structured Asset Mortgage Investments Inc N/A 86360JAE1 173614.99000000 PA USD 145135.71000000 0.005076904568 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.39000000 N N N N N N Reynolds Consumer Products LLC 549300DWNZYMOSR1X343 76171JAB7 1850057.56000000 PA USD 1784149.26000000 0.062410247131 Long LON CORP US N 2 2027-02-04 Floating 1.93000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -877640.35000000 -0.03070020673 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26110000.00000000 AUD 17142361.23000000 USD 2020-07-16 -877640.35000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -107444.02000000 -0.00375843433 N/A DFE XX N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 14548699.33000000 USD 12850000.00000000 EUR 2020-07-16 -107444.02000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371H6S2 297.40000000 PA USD 347.30000000 0.000012148691 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 7.50000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92922FYA0 388258.14000000 PA USD 377563.69000000 0.013207327284 Long ABS-MBS CORP US N 2 2034-10-25 Variable 4.09000000 N N N N N N Treman Park CLO Ltd 549300E4DX3Q8L455K94 89473LAP9 750000.00000000 PA USD 702546.75000000 0.024575363324 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 3.79000000 N N N N N N Petco Animal Supplies, Inc. EQFF4O0CK09VES3JAH16 71579UAF2 5501677.91000000 PA USD 4504498.79000000 0.157569150178 Long LON CORP US N 2 2023-01-26 Floating 4.25000000 N N N N N N Applebees/IHOP Funding LLC N/A 03789XAD0 3000000.00000000 PA USD 2658990.00000000 0.093012522405 Long ABS-O CORP US N 2 2049-06-07 Fixed 4.19000000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 92769XAM7 5985000.00000000 PA USD 6122295.90000000 0.214160333274 Long DBT CORP GB N 2 2026-08-15 Fixed 5.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -136615.40000000 -0.00477886075 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12050000.00000000 BRL 2077765.32000000 USD 2020-07-16 -136615.40000000 N N N BCAP LLC Trust N/A 05542LAF4 5788734.78000000 PA USD 5519367.58000000 0.193069662052 Long ABS-MBS CORP US N 2 2047-05-26 Variable 3.85000000 N N N N N N Univision Communications Inc. 549300YQDE2JSGTL8V47 914908AX6 8820012.49000000 PA USD 8195264.55000000 0.286673596959 Long LON CORP US N 2 2024-03-15 Floating 4.75000000 N N N N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAN0 340000.00000000 PA USD 336413.00000000 0.011767859864 Long DBT CORP XX N 2 2026-08-15 Fixed 4.13000000 N N N N N N Fannie Mae N/A 31393YBS3 70438.88000000 PA USD 70336.19000000 0.002460387759 Long ABS-MBS USGSE US N 2 2034-05-25 Floating 0.53000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -7958.11000000 -0.00027837783 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 260000.00000000 EUR 284238.50000000 USD 2020-07-16 -7958.11000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413RG34 10207.70000000 PA USD 11611.67000000 0.000406180811 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.50000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BK2 7440000.00000000 PA USD 7819365.60000000 0.273524502939 Long DBT CORP US N 2 2025-12-15 Fixed 8.00000000 N N N N N N Brookfield WEC Holdings Inc. 5493002M6GRSU1IWMG57 11284EAL7 6886002.86000000 PA USD 6670815.27000000 0.233347757895 Long LON CORP US N 2 2025-08-01 Floating 3.75000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 42156000.00000000 OU Notional Amount 330446.88000000 0.011559162625 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2027-01-04 84495.54000000 BRL 0.00000000 BRL 42156000.00000000 BRL 307380.81000000 N N N B RILEY FINANCIAL INC N/A 05580M603 64075.00000000 NS USD 1468599.00000000 0.051372174168 Long EP CORP US N 1 N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAP6 3130000.00000000 PA USD 3405578.94000000 0.119128498964 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAA8 5120000.00000000 PA USD 4806189.52000000 0.168122411297 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25000000 N N N N N N ARCELORMITTAL 2EULGUTUI56JI9SAL165 03938LBB9 180000.00000000 PA USD 178392.25000000 0.006240231497 Long DBT CORP LU N 2 2024-07-16 Fixed 3.60000000 N N N N N N Long Beach Mortgage Loan Trust N/A 542514AH7 11222.07000000 PA USD 10918.37000000 0.000381928903 Long ABS-O CORP US N 2 2031-01-21 Floating 0.71000000 N N N N N N MOHEGAN GAMING & ENT 549300UB083Z2NRDHC48 608328BF6 9397000.00000000 PA USD 7799510.00000000 0.272829946193 Long DBT CORP US N 2 2024-10-15 Fixed 7.88000000 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90269CAZ3 1649989.10000000 PA USD 123254.19000000 0.004311480339 Long ABS-MBS CORP US N 2 2063-05-10 Variable 5.00000000 N N N N N N Corecivic Inc 529900JFA3K6PTLT8B15 21871QAF1 3188250.00000000 PA USD 3140426.25000000 0.109853352943 Long LON CORP US N 2 2024-12-18 Floating 5.50000000 N N N N N N XPO Logistics Inc 54930096DB9LCLPN7H13 983793AG5 1263000.00000000 PA USD 1323118.80000000 0.046283219203 Long DBT CORP US N 2 2024-08-15 Fixed 6.75000000 N N N N N N Barrick Gold Corp 0O4KBQCJZX82UKGCBV73 067901AH1 2520000.00000000 PA USD 3301812.03000000 0.115498691390 Long DBT CORP CA N 2 2042-04-01 Fixed 5.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AAHA5 2274895.72000000 PA USD 2349160.92000000 0.082174578583 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N Range Resources Corp H3Y3WLYCX0BTO1TRW162 75281AAW9 2560000.00000000 PA USD 2457600.00000000 0.085967820512 Long DBT CORP US N 2 2021-06-01 Fixed 5.75000000 N N N N N N RANGE RESOURCES CORP H3Y3WLYCX0BTO1TRW162 75281ABC2 9800000.00000000 PA USD 8810788.00000000 0.308204850813 Long DBT CORP US N 2 2026-02-01 Fixed 9.25000000 N N N N N N WENDY'S INTERNATIONAL 549300PQTT267ME8D359 950590AG4 6568000.00000000 PA USD 6781460.00000000 0.237218154334 Long DBT CORP US N 2 2025-12-15 Fixed 7.00000000 N N N N N N Finastra USA, Inc. 549300ZB2RO6QC7YTK71 02034DAC1 181737.71000000 PA USD 159702.01000000 0.005586439506 Long LON CORP US N 2 2024-06-13 Floating 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200K7J0 1054.94000000 PA USD 1256.74000000 0.000043961262 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.00000000 N N N N N N BNP PARIBAS, NY N/A 000000000 999508.00000000 PA USD 999508.00000000 0.034963185361 Long STIV CORP US N 2 2021-02-11 Floating 0.31000000 N N N N N Countrywide Home Equity Loan Trust N/A 23242YAT2 98495.99000000 PA USD 86894.25000000 0.003039595250 Long ABS-O CORP US N 2 2033-12-15 Floating 0.48000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBG0 2220000.00000000 PA USD 2365585.25000000 0.082749108145 Long DBT CORP US N 2 2050-06-01 Fixed 5.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -200247.73000000 -0.00700474483 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9750000.00000000 CAD 6981830.56000000 USD 2020-07-16 -200247.73000000 N N N DBS BANK LIMITED, SINGAPORE N/A 000000000 1000000.00000000 PA USD 1000000.00000000 0.034980395716 Long STIV CORP US N 2 2020-08-11 Fixed 0.42000000 N N N N N Freddie Mac N/A 3132Y33H5 54177.55000000 PA USD 59210.82000000 0.002071217914 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N SINO-FOREST CORP N/A 829ESC9D6 1246000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP CA N 2 2016-12-15 Fixed 4.25000000 N N N N N Sino-Forest Corp USD XXXX N N N OPEN TEXT HOLDINGS INC N/A 683720AA4 3758000.00000000 PA USD 3692235.00000000 0.129155841377 Long DBT CORP US N 2 2030-02-15 Fixed 4.13000000 N N N N N Merrill Lynch Mortgage Investors Trust N/A 59020UHN8 34722.37000000 PA USD 32572.01000000 0.001139381799 Long ABS-MBS CORP US N 2 2034-05-25 Variable 3.76000000 N N N N N N TCI-Symphony CLO 5493005WLG3H3B8NI222 87230XAC0 4300000.00000000 PA USD 3536380.20000000 0.123703978799 Long ABS-CBDO CORP KY N 2 2029-10-13 Floating 6.81000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BL2 390000.00000000 PA USD 387562.50000000 0.013557089614 Long DBT CORP GB N 2 2027-05-22 Fixed 6.00000000 N N N N N N BCC Funding CORP N/A 05492MAE5 5570000.00000000 PA USD 5620974.41000000 0.196623909173 Long ABS-O CORP US N 2 2027-07-20 Fixed 3.94000000 N N N N N N AppLovin Corporation 549300LLVXMUAOL3SQ07 03835EAC8 4818847.10000000 PA USD 4686328.80000000 0.163929635881 Long LON CORP US N 2 2025-08-15 Floating 3.68000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAM8 90000.00000000 PA USD 97569.14000000 0.003413007126 Long DBT CORP US N 2 2045-07-15 Fixed 5.20000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -325887.48000000 -0.01139967300 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7110000.00000000 AUD 4581129.42000000 USD 2020-07-16 -325887.48000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1001280.69000000 0.035025194759 N/A DFE CA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 23085973.49000000 USD 32699550.00000000 CAD 2020-07-16 1001280.69000000 N N N RR DONNELLEY & SONS CO SU4X0P4WWRGOQDTSV032 257867BE0 4940000.00000000 PA USD 4890600.00000000 0.171075123290 Long DBT CORP US N 2 2027-07-01 Fixed 8.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 165.00000000 NC USD 125812.50000000 0.004400971036 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 8250.00000000 NC N/A 125812.50000000 0.00000000 DE US Long E-mini S&P 500 Index ESU0 Index 2020-09-18 8250.00000000 USD 50.00000000 2850.00000000 USD 2020-07-17 XXXX -163284.00000000 N N N Noble Energy Inc 02VFQXG2D1LR5ZH3K186 655044AE5 10200000.00000000 PA USD 9788423.06000000 0.342402912078 Long DBT CORP US N 2 2041-03-01 Fixed 6.00000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAW0 7138942.05000000 PA USD 6913622.76000000 0.241841259978 Long LON CORP US N 2 2024-11-03 Floating 3.18000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PBB6 3800000.00000000 PA USD 4994074.00000000 0.174694684756 Long DBT NUSS QA N 2 2049-03-14 Fixed 4.82000000 N N N N N N TKC Holdings, Inc. N/A 87256FAB0 5399420.70000000 PA USD 5079505.02000000 0.177683095642 Long LON CORP US N 2 2023-02-01 Floating 4.75000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAC4 3800000.00000000 PA USD 3466797.61000000 0.121269952266 Long DBT CORP KY N 2 2023-03-15 Fixed 4.50000000 N N N N N N COMMSCOPE TECH LLC M4TWC4QDOKW45N7T6Y12 20338HAB9 1100000.00000000 PA USD 990770.00000000 0.034657526663 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N Countrywide Alternative Loan Trust N/A 02149CBF7 1952549.36000000 PA USD 1494876.48000000 0.052291370817 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 5.75000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668BCJ0 1272039.46000000 PA USD 1600669.33000000 0.055992046574 Long ABS-MBS CORP US N 2 2036-02-25 Floating 22.25000000 N N N N N N NSG HOLDINGS LLC/NSG HLD N/A 62940QAA3 1987207.38000000 PA USD 2007079.45000000 0.070208433395 Long DBT CORP US N 2 2025-12-15 Fixed 7.75000000 N N N N N GOVT OF BERMUDA 549300FP5PUZXX9FVJ40 085209AB0 2000000.00000000 PA USD 2100020.00000000 0.073459530612 Long DBT NUSS BM N 2 2023-01-03 Fixed 4.14000000 N N N N N N Countrywide Alternative Loan Trust N/A 12667GNH2 574328.76000000 PA USD 565523.90000000 0.019782249809 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.82000000 N N N N N N TEVA PHARM FIN CO LLC 5493006PITD7MU7WW480 88163VAE9 20196000.00000000 PA USD 19557927.98000000 0.684144060132 Long DBT CORP US N 2 2026-02-01 Fixed 0.25000000 N N N N N Teva Pharmaceutical Industries Ltd USD XXXX N N Origen Manufactured Housing 5493001P8LORMOBBQA95 68620CAB6 869976.95000000 PA USD 756036.07000000 0.026446440904 Long ABS-O CORP US N 2 2037-04-15 Variable 2.71000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874BE6 453000.00000000 PA USD 439410.00000000 0.015370735681 Long DBT CORP US N 2 2037-03-15 Variable 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371JMD3 374.31000000 PA USD 459.91000000 0.000016087833 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 8.00000000 N N N N N N TCI-Symphony CLO 5493005WLG3H3B8NI222 87229WAL5 1450000.00000000 PA USD 1355290.35000000 0.047408592753 Long ABS-CBDO CORP KY N 2 2029-10-13 Floating 4.31000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387WEF0 254.42000000 PA USD 282.95000000 0.000009897702 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 6.50000000 N N N N N N SUMITOMO BK NY N/A 000000000 5000120.00000000 PA USD 5000120.00000000 0.174906176229 Long STIV CORP US N 2 2020-07-28 Floating 0.30000000 N N N N N CVP CLO Ltd 549300JCIKT6NT8T1275 12662CAG2 4500000.00000000 PA USD 3996792.00000000 0.139809365756 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 3.79000000 N N N N N N Global Tel*Link Corporation 549300YI0BNF11FDQE44 37959JAE1 540000.00000000 PA USD 414450.00000000 0.014497625004 Long LON CORP US N 2 2026-11-29 Floating 8.43000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BG6 800000.00000000 PA USD 1042396.98000000 0.036463458853 Long DBT CORP US N 2 2047-03-15 Fixed 4.80000000 N N N N N N PetSmart Inc N/A 716768AD8 3100000.00000000 PA USD 3099876.00000000 0.108434889151 Long DBT CORP US N 2 2025-06-01 Fixed 8.88000000 N N N N N KINDER MORGAN INC/DELAWA 549300WR7IX8XE0TBO16 28368EAD8 67000.00000000 PA USD 90938.18000000 0.003181053522 Long DBT CORP US N 2 2031-08-01 Fixed 7.80000000 N N N N N N MPT OPER PARTNERSP/FINL N/A 000000000 4656000.00000000 PA 5780386.87000000 0.202200220106 Long DBT US N 2 2028-06-05 Fixed 3.69000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 41168.50000000 0.001440090421 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5064374.04000000 USD 4120000.00000000 GBP 2020-07-16 41168.50000000 N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397XA6 250000.00000000 PA USD 243177.50000000 0.008506445179 Long DBT CORP US N 2 2022-01-09 Fixed 3.22000000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 91911KAP7 2190000.00000000 PA USD 2359089.90000000 0.082521898232 Long DBT CORP CA N 2 2025-12-15 Fixed 9.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 256.00000000 NC USD 576000.00000000 0.020148707932 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 12800.00000000 NC N/A 576000.00000000 0.02000000 DE US Long E-mini S&P 500 Index ESU0 Index 2020-09-18 12800.00000000 USD 50.00000000 2800.00000000 USD 2020-08-21 XXXX -417125.10000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 144878.92000000 0.005067921952 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 981620000.00000000 JPY 9237541.90000000 USD 2020-07-16 144878.92000000 N N N UNIVISION COMMUNICATIONS 549300YQDE2JSGTL8V47 914906AT9 5160000.00000000 PA USD 5469600.00000000 0.191328772410 Long DBT CORP US N 2 2025-05-01 Fixed 9.50000000 N N N N N Sound Point CLO LTD N/A 83614BAA7 6680000.00000000 PA USD 6485438.32000000 0.226863198827 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 2.62000000 N N N N N N L BRANDS INC GR3KVMWVCR54YWQNXU90 501797AU8 2120000.00000000 PA USD 2122650.00000000 0.074251136967 Long DBT CORP US N 2 2025-07-01 Fixed 9.38000000 N N N N N N Range Resources Corp H3Y3WLYCX0BTO1TRW162 75281AAU3 1945000.00000000 PA USD 1789400.00000000 0.062593920094 Long DBT CORP US N 2 2022-07-01 Fixed 5.88000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAJ3 2570000.00000000 PA USD 2592487.50000000 0.090686238639 Long DBT CORP CA N 2 2025-06-01 Fixed 4.25000000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579WZ7 519268.80000000 PA USD 409368.73000000 0.014319880169 Long ABS-MBS CORP US N 2 2035-09-25 Variable 3.92000000 N N N N N N Centene Corp 549300Z7JJ4TQSQGT333 15137TAA8 7280000.00000000 PA USD 7546884.80000000 0.263993016729 Long DBT CORP US N 2 2026-06-01 Fixed 5.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137BLUT3 70400000.00000000 PA USD 1623121.28000000 0.056777424670 Long ABS-MBS USGSE US N 2 2042-08-25 Variable 1.38000000 N N N N N N HC Group Holdings II, Inc. 549300DI3Q5ACSYJRI17 09071FAK7 8178900.00000000 PA USD 7967614.48000000 0.278710307425 Long LON CORP US N 2 2026-08-06 Floating 4.68000000 N N N N N N Sprint Capital Corp 549300L17W0GQBR1PO80 852060AT9 9850000.00000000 PA USD 14080476.50000000 0.492540639845 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N NATIXIS NY N/A 000000000 1001240.00000000 PA USD 1001240.00000000 0.035023771407 Long STIV CORP US N 2 2020-09-09 Fixed 0.95000000 N N N N N HalseyPoint CLO I, Ltd. 549300POBLM5RW6LD816 40638CAC3 4020000.00000000 PA USD 2258182.74000000 0.078992125845 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 10.11000000 N N N N N N Credit Agricole SA 969500TJ5KRTCJQWXH05 000000000 2735000.00000000 PA 3124141.90000000 0.109283719936 Long DBT CORP FR Y 2 2021-06-23 Fixed 6.50000000 N N N N N N GLOBAL AIR LEASE CO LTD N/A 37960JAA6 12340000.00000000 PA USD 8267800.00000000 0.289210915703 Long DBT CORP KY N 2 2024-09-15 Fixed 6.50000000 N N Y N N N ROYAL BANK OF CANADA NY N/A 000000000 4986485.00000000 PA USD 4986485.00000000 0.174429218533 Long STIV CORP US N 2 2021-02-12 Floating 0.26000000 N N N N N EyeCare Partners, LLC N/A 30233PAB6 5286486.48000000 PA USD 4801890.12000000 0.167972016584 Long LON CORP US N 2 2027-02-05 Floating 4.06000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAZ2 7360000.00000000 PA USD 7566153.60000000 0.264667046978 Long DBT CORP NL N 2 2029-02-01 Fixed 5.75000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92922FAU2 795247.02000000 PA USD 784769.80000000 0.027451558150 Long ABS-MBS CORP US N 2 2033-08-25 Variable 4.37000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388PRZ6 1412.28000000 PA USD 1574.57000000 0.000055079081 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 7.00000000 N N N N N N Party City Holdings Inc. 5493005PYM1JS6EZN307 70215EAN3 3094623.94000000 PA USD 1499602.15000000 0.052456676624 Long LON CORP US N 2 2022-08-19 Floating 4.10000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BM5 2700000.00000000 PA USD 3303477.00000000 0.115556932699 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N CSMC 2019 RIO 12/22 1 N/A 12597HAC0 18450000.00000000 PA USD 16606704.78000000 0.580909104749 Long ABS-MBS CORP US N 2 2022-12-15 Variable 8.74000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BU1 800000.00000000 PA USD 1127608.68000000 0.039444197839 Long DBT CORP US N 2 2045-08-15 Fixed 5.00000000 N N N N N N PetSmart Inc N/A 04021LAA8 1330000.00000000 PA USD 1311486.40000000 0.045876313248 Long DBT CORP US N 2 2023-03-15 Fixed 7.13000000 N N N N N CREDIT INDUSRIAL ET COMM, LONDON N/A 000000000 999439.97000000 PA USD 999439.97000000 0.034960805645 Long STIV CORP US N 2 2020-09-01 Fixed 0.00000000 N N N N N Allen Media, LLC N/A 01771JAE3 4468093.65000000 PA USD 4278199.67000000 0.149653117410 Long LON CORP US N 2 2027-02-10 Floating 5.81000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513JB34 3920000.00000000 PA USD 4312940.80000000 0.150868375885 Long DBT NUSS IL N 2 2030-07-03 Fixed 2.75000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 33300000.00000000 OU Notional Amount 261027.64000000 0.009130850140 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 33300000.00000000 BRL 261027.64000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 27768499.99000000 OU Notional Amount USD 191547.11000000 0.006700393706 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S34.V1 2I65BRTL4 Y buy protection 2025-06-20 1519659.19000000 USD 0.00000000 USD 27768499.99000000 USD -1328112.08000000 N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AC1 3550000.00000000 PA USD 5183388.62000000 0.181316985079 Long DBT CORP US N 2 2031-11-15 Fixed 7.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385NZA0 70.11000000 PA USD 71.65000000 0.000002506345 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 7.50000000 N N N N N N Alterra Mountain Company 549300C5O4FSVNUEI843 46124CAG2 4847850.00000000 PA USD 4775132.25000000 0.167036015703 Long LON CORP US N 2 2026-08-01 Floating 5.50000000 N N N N N N BANCO DEL ESTADO DE CHILE NY N/A 000000000 5996364.00000000 PA USD 5996364.00000000 0.209755185579 Long STIV CORP US N 2 2020-08-28 Floating 0.23000000 N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBC6 500000.00000000 PA USD 575091.65000000 0.020116933490 Long DBT CORP US N 2 2026-02-14 Fixed 4.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225BZ27 907.33000000 PA USD 1089.56000000 0.000038113239 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.50000000 N N N N N N LADDER CAP FIN LLLP/CORP N/A 505742AD8 3070000.00000000 PA USD 3039300.00000000 0.106315916700 Long DBT CORP US N 2 2021-08-01 Fixed 5.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179QGC9 1352385.27000000 PA USD 1450509.40000000 0.050739392802 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 3.50000000 N N N N N N XPO CNW Inc N/A 12612WAB0 10091000.00000000 PA USD 10370520.70000000 0.362764917870 Long DBT CORP US N 2 2034-05-01 Fixed 6.70000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBX0 5990000.00000000 PA USD 6184675.00000000 0.216342378877 Long DBT CORP US N 2 2028-02-01 Fixed 5.00000000 N N N N N FIDELITY & GUARANTY LIFE 549300WCR5QBFH98VZ75 315786AC7 6120000.00000000 PA USD 6615597.60000000 0.231416221948 Long DBT CORP US N 2 2025-05-01 Fixed 5.50000000 N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAV5 970000.00000000 PA USD 1070837.15000000 0.037458307254 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 6140000.00000000 PA USD 7599963.31000000 0.265849724013 Long DBT NUSS ID Y 2 2042-01-17 Fixed 5.25000000 N N N N N N NATIONAL AUSTRALIA BANK LONDON N/A 000000000 3001860.00000000 PA USD 3001860.00000000 0.105006250685 Long STIV CORP US N 2 2020-07-14 Fixed 1.79000000 N N N N N Alterra Mountain Company 549300C5O4FSVNUEI843 46124CAB3 4000215.20000000 PA USD 3782703.50000000 0.132320465307 Long LON CORP US N 2 2024-07-31 Floating 2.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31386CKK7 8613.28000000 PA USD 9185.60000000 0.000321315922 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 7.50000000 N N N N N N Sands China Ltd 549300EVO6UZDGY05787 80007RAF2 6800000.00000000 PA USD 7366508.00000000 0.257683364887 Long DBT CORP KY N 2 2025-08-08 Fixed 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31386LSE3 235.75000000 PA USD 260.26000000 0.000009103997 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 7.00000000 N N N N N N Boyd Gaming Corporation 254900787YGRYS2A1Z35 10330JAU2 4045837.92000000 PA USD 3831987.07000000 0.134044424088 Long LON CORP US N 2 2023-09-15 Floating 2.36000000 N N N N N N CommScope Inc 549300Z6K4JXMFE8QY54 20338QAA1 4890000.00000000 PA USD 5025453.00000000 0.175792334594 Long DBT CORP US N 2 2027-03-01 Fixed 8.25000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291R3A8 7220.37000000 PA USD 8268.51000000 0.000289235751 Long ABS-MBS USGA US N 2 2035-04-15 Fixed 5.00000000 N N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 21684AAC0 1470000.00000000 PA USD 1658553.86000000 0.058016870339 Long DBT CORP NL N 2 2025-08-04 Fixed 4.38000000 N N N N N N KKR Financial CLO Ltd 254900VCKMCY079T6M57 48251BAL4 3990000.00000000 PA USD 3929579.43000000 0.137458243460 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 2.39000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 97.00000000 NC USD 58941.57000000 0.002061799442 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US 10 Year Ultra Bond UXYU0 Comdty 2020-09-21 15217042.81000000 USD 58941.57000000 N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097BB6 2890000.00000000 PA USD 3004877.50000000 0.105111804029 Long DBT CORP GB N 2 2021-08-15 Fixed 8.63000000 N N N N N N Allied Universal Holdco LLC N/A 01957TAC1 8039570.93000000 PA USD 7805080.76000000 0.273024813583 Long LON CORP US N 2 2026-07-10 Floating 4.43000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 43520000.00000000 OU Notional Amount USD 220341.76000000 0.007707641957 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 1.00000000 NC USD 220341.76000000 0.01000000 DFE XX 43520000.00000000 USD 50265600.00000000 EUR 2020-09-25 1.00000000 1.15500000 USD 2020-09-25 XXXX -19453.44000000 N N N Sprint Capital Corp 549300L17W0GQBR1PO80 852060AD4 6085000.00000000 PA USD 7415789.50000000 0.259407251259 Long DBT CORP US N 2 2028-11-15 Fixed 6.88000000 N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 43527000.00000000 OU Notional Amount USD -9330714.54000000 -0.32639208692 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2044-11-15 83426.75000000 USD 0.00000000 USD 43527000.00000000 USD -9414141.29000000 N N N BNP PARIBAS, NY N/A 000000000 999443.00000000 PA USD 999443.00000000 0.034960911635 Long STIV CORP US N 2 2021-02-12 Floating 0.30000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q95N9 340377.61000000 PA USD 371624.61000000 0.012999575915 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N Greywolf CLO Ltd 5493000F00WO8WFFVM11 39809TAG2 4480000.00000000 PA USD 4256470.40000000 0.148893018947 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 5.08000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -12684.39000000 -0.00044370498 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 79860000.00000000 SAR 21259150.81000000 USD 2020-09-24 -12684.39000000 N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BH6 3190000.00000000 PA USD 3205950.00000000 0.112145399646 Long DBT CORP US N 2 2025-10-15 Fixed 4.63000000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAW7 17630000.00000000 PA USD 18684412.22000000 0.653588133183 Long DBT CORP IT N 2 2026-01-15 Fixed 5.71000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36213MYE2 2241.29000000 PA USD 2570.68000000 0.000089923403 Long ABS-MBS USGA US N 2 2033-10-15 Fixed 6.00000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAT7 4513744.40000000 PA USD 4405134.68000000 0.154093354290 Long LON CORP US N 2 2022-08-04 Floating 3.18000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 474869.02000000 0.016611106233 N/A DFE CA N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 12354655.55000000 USD 17416666.80000000 CAD 2020-07-16 474869.02000000 N N N BANK OF MONTREAL CHICAGO N/A 000000000 5000615.00000000 PA USD 5000615.00000000 0.174923491525 Long STIV CORP US N 2 2020-08-06 Floating 0.43000000 N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HAR2 5010000.00000000 PA USD 5240209.50000000 0.183304601946 Long DBT CORP BM N 2 2024-05-15 Fixed 12.25000000 N N N N N N T-Mobile USA Inc 549300V2JRLO5DIFGE82 87264AAV7 4590000.00000000 PA USD 4847177.70000000 0.169556194053 Long DBT CORP US N 2 2028-02-01 Fixed 4.75000000 N N N N N Freddie Mac - STACR N/A 3137G0RJ0 8840000.00000000 PA USD 8757913.53000000 0.306355280929 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 4.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179Q6P1 29622.65000000 PA USD 31715.43000000 0.001109418291 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 3.50000000 N N N N N N BANCO DEL ESTADO DE CHILE NY N/A 000000000 1998914.00000000 PA USD 1998914.00000000 0.069922802723 Long STIV CORP US N 2 2020-08-25 Floating 0.23000000 N N N N N Oaktree CLO Ltd 635400SBDDFQR1OHEJ54 67389YAH8 5000000.00000000 PA USD 3613425.00000000 0.126399036391 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 6.34000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36201L2D5 1282.33000000 PA USD 1429.45000000 0.000050002726 Long ABS-MBS USGA US N 2 2033-03-15 Fixed 6.00000000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 000000000 2846666.66000000 PA USD 1337961.80000000 0.046802433217 Long DBT NUSS AR Y 2 2021-01-26 Fixed 10.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410RCY3 694.36000000 PA USD 818.35000000 0.000028626206 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 3145364.52000000 0.110026095581 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 29585746.21000000 USD 47425595.24000000 AUD 2020-07-16 3145364.52000000 N N N POLARIS INTERMEDIATE N/A 73107GAA1 4270000.00000000 PA USD 3757600.00000000 0.131442334943 Long DBT CORP US N 2 2022-12-01 Fixed 8.50000000 N N Y N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202D7G0 32886.09000000 PA USD 37223.91000000 0.001302107101 Long ABS-MBS USGA US N 2 2034-08-20 Fixed 5.00000000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 000000000 3530000.00000000 PA USD 1429685.30000000 0.050010957543 Long DBT NUSS AR N 2 2021-06-09 Fixed 9.95000000 N N N N N N TORONTO DOMINION LONDON N/A 000000000 2006321.72000000 PA USD 2006321.72000000 0.070181927699 Long STIV CORP US N 2 2021-02-16 Floating 0.50000000 N N N N N Amentum Government Services Holdings LLC N/A 57776DAB9 4710000.00000000 PA USD 4651125.00000000 0.162698193026 Long LON CORP US N 2 2027-02-01 Floating 4.18000000 N N N N N N SHEA HOMES LP/FNDG CP N/A 82088KAE8 4240000.00000000 PA USD 4028000.00000000 0.140901033945 Long DBT CORP US N 2 2028-02-15 Fixed 4.75000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07388WAB2 322985.48000000 PA USD 481009.49000000 0.016825902303 Long ABS-MBS CORP US N 2 2036-07-25 Floating 32.78000000 N N N N N N ArcelorMittal 2EULGUTUI56JI9SAL165 03938LAZ7 2700000.00000000 PA USD 2930139.66000000 0.102497444811 Long DBT CORP LU N 2 2025-06-01 Fixed 6.13000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCJ0 3440000.00000000 PA USD 3483000.00000000 0.121836718280 Long DBT CORP US N 2 2032-05-01 Fixed 4.50000000 N N N N N N UNION BANK OF SWITZERLAND N/A 000000000 2000000.00000000 PA USD 2000000.00000000 0.069960791432 Long STIV CORP US N 2 2021-02-26 Floating 0.45000000 N N N N N Prime Mortgage Trust N/A 74159UAA5 122366.99000000 PA USD 122269.28000000 0.004277027798 Long ABS-MBS CORP US N 2 2035-05-25 Fixed 5.50000000 N N N N N N Phoenix Guarantor Inc N/A 71913BAE2 6308229.98000000 PA USD 6091384.57000000 0.213079042719 Long LON CORP US N 2 2026-03-05 Floating 3.43000000 N N N N N N AIR CANADA 2013-1A PTT N/A 009089AA1 569239.15000000 PA USD 524099.17000000 0.018333196361 Long DBT CORP CA N 2 2025-05-15 Fixed 4.13000000 N N N N N N Sequoia Mortgage Trust N/A 81743PAQ9 68525.12000000 PA USD 64603.57000000 0.002259858443 Long ABS-MBS CORP US N 2 2033-06-20 Floating 1.31000000 N N N N N N Deerfield Dakota Holding, LLC 549300FDREJLOIGXY104 24440EAB3 2130000.00000000 PA USD 2073422.94000000 0.072529154928 Long LON CORP US N 2 2027-04-09 Floating 4.75000000 N N N N N N GFL Environmental Inc 549300FYK4MBXWIVZU26 36168QAE4 6627000.00000000 PA USD 7206862.50000000 0.252098902123 Long DBT CORP CA N 2 2027-05-01 Fixed 8.50000000 N N N N N KUWAIT INTL BOND 549300FSC1YD0D9XX589 501499AB3 7230000.00000000 PA USD 8062606.80000000 0.282033176369 Long DBT NUSS KW N 2 2027-03-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBR83 185940.21000000 PA USD 196202.24000000 0.006863231995 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N KKR GROUP FIN CO II N/A 48249DAA9 130000.00000000 PA USD 159865.43000000 0.005592156002 Long DBT CORP US N 2 2043-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418U4W1 78615.11000000 PA USD 90229.25000000 0.003156254870 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N CASCADES INC/USA INC N/A 14739LAB8 3110000.00000000 PA USD 3156650.00000000 0.110420866138 Long DBT CORP XX N 2 2028-01-15 Fixed 5.38000000 N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AJ3 6900000.00000000 PA USD 5597625.00000000 0.195807137571 Long DBT CORP US N 2 2048-03-01 Fixed 5.30000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AT7 3540000.00000000 PA USD 3784012.77000000 0.132366264090 Long DBT CORP GB N 2 2027-09-11 Fixed 4.00000000 N N N N N N Range Resources Corp H3Y3WLYCX0BTO1TRW162 75281ABA6 2029000.00000000 PA USD 1729722.50000000 0.060506377529 Long DBT CORP US N 2 2023-03-15 Fixed 5.00000000 N N N N N N Lions Gate Capital Holdings LLC 549300MWJHNLR35C0837 53627MAB9 706548.09000000 PA USD 672398.50000000 0.023520765609 Long LON CORP US N 2 2025-03-24 Floating 2.43000000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 000000000 3370000.00000000 PA USD 1364883.70000000 0.047744171932 Long DBT NUSS AR Y 2 2021-06-09 Fixed 9.95000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AZ0 15520000.00000000 PA USD 16955600.00000000 0.593113597608 Long DBT CORP US N 2 2029-02-01 Fixed 6.50000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBE8 4450000.00000000 PA USD 4455562.50000000 0.155857339389 Long DBT CORP US N 2 2025-05-01 Fixed 4.13000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -14023.50000000 -0.00049054757 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4600000.00000000 BRL 831300.26000000 USD 2020-07-16 -14023.50000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200Q3L6 549.70000000 PA USD 636.17000000 0.000022253478 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.50000000 N N N N N N American Money Management Corporation 549300LDRXVT7PCHV066 00177CAA8 6300000.00000000 PA USD 5038670.70000000 0.176254694970 Long ABS-CBDO CORP KY N 2 2029-04-17 Floating 6.94000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAF1 4970000.00000000 PA USD 5143950.00000000 0.179937406545 Long DBT CORP CA N 2 2026-12-15 Fixed 5.13000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 3360000.00000000 PA USD 4640259.42000000 0.162318110738 Long DBT CORP US N 2 2051-04-04 Fixed 5.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QCYN0 1514413.08000000 PA USD 1598682.57000000 0.055922548923 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N BANK OF MONTREAL CHICAGO N/A 000000000 2000676.00000000 PA USD 2000676.00000000 0.069984438180 Long STIV CORP US N 2 2020-07-10 Floating 0.33000000 N N N N N RadNet, Inc. 549300T3TJ6A0P5TXM13 75049EAK0 7981729.56000000 PA USD 7646249.48000000 0.267468832556 Long LON CORP US N 2 2023-06-30 Floating 4.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200NYP0 57394.55000000 PA USD 66699.52000000 0.002333175603 Long ABS-MBS USGA US N 2 2034-07-15 Fixed 5.50000000 N N N N N N Santander UK PLC PTCQB104N23FMNK2RZ28 002920AC0 272000.00000000 PA USD 361425.07000000 0.012642791970 Long DBT CORP GB N 2 2029-10-26 Fixed 7.95000000 N N N N N Equinox Holdings, Inc. N/A 29446CAR5 2220000.00000000 PA USD 2208900.00000000 0.077268196097 Long LON CORP US N 2 2024-03-08 Floating 10.00000000 N N N N N N Social Professional Loan Program LLC N/A 834016107 500.00000000 PA USD 362428.39000000 0.012677888501 Long ABS-O CORP US N 2 2036-08-25 None 0.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -487551.06000000 -0.01705472901 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17270000.00000000 EUR 18921046.54000000 USD 2020-07-16 -487551.06000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387XVV4 2188.89000000 PA USD 2502.64000000 0.000087543337 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.00000000 N N N N N N ML-CFC Commercial Mortgage Trust N/A 60688CAJ5 534462.26000000 PA USD 198646.53000000 0.006948734227 Long ABS-MBS CORP US N 2 2049-09-12 Variable 6.15000000 N N N N N N Greenwood Park CLO, Ltd N/A 39729TAA2 7380000.00000000 PA USD 5747772.78000000 0.201059366332 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.17000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 90352JAF0 3600000.00000000 PA USD 3739500.00000000 0.130809189781 Long DBT CORP CH N 2 2024-01-31 Fixed 7.00000000 N N N N N N Prudential Financial Inc 5PRBRS5FEH7NREC8OR45 744320AM4 550000.00000000 PA USD 585200.00000000 0.020470527573 Long DBT CORP US N 2 2043-06-15 Fixed 5.63000000 N N N N N N AMER AIRLN 13-2 B PTT N/A 02376TAC2 553270.71000000 PA USD 553346.51000000 0.019356279888 Long DBT CORP US N 2 2020-07-15 Fixed 5.60000000 N N N N N N VICI Properties 1 LLC 549300XI4XP4JVS3XU20 92565EAB9 3960000.00000000 PA USD 3702600.00000000 0.129518413179 Long LON CORP US N 2 2024-12-20 Floating 1.94000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAQ2 6620000.00000000 PA USD 4978905.97000000 0.174164101065 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 4.37000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057BZ6 4180000.00000000 PA USD 4346322.20000000 0.152036070466 Long DBT CORP US N 2 2024-04-30 Fixed 4.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -222770.07000000 -0.00779258520 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 44770000.00000000 NOK 4428781.64000000 USD 2020-07-16 -222770.07000000 N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 67054KAA7 20645000.00000000 PA USD 21552141.30000000 0.753902431209 Long DBT CORP FR N 2 2026-05-01 Fixed 7.38000000 N N N N N N BAUSCH HEALTH AMERICAS KOO0397YRO83WY5MGD97 91911XAV6 8355000.00000000 PA USD 9064339.50000000 0.317074182617 Long DBT CORP US N 2 2026-04-01 Fixed 9.25000000 N N N N N CWGS Group, LLC N/A 12670UAB3 4589532.27000000 PA USD 4209463.92000000 0.147248713675 Long LON CORP US N 2 2023-11-08 Floating 4.12000000 N N N N N N CENGAGE THOMSON LEARNING LX136112 549300BYGM0FWUSVXJ88 000000000 10995.00000000 NS USD 30236.25000000 0.001057675989 Long EC CORP US N 1 N N N Aristocrat Leisure Limited 549300FMN7FEICZ8D332 04044PAH7 4340000.00000000 PA USD 4323725.00000000 0.151245611468 Long LON CORP AU N 2 2024-10-19 Floating 4.75000000 N N N N N N Flagstar Mortgage Trust N/A 33851HAD5 3420189.27000000 PA USD 3515640.94000000 0.122978511277 Long ABS-MBS CORP US N 2 2048-04-25 Variable 3.50000000 N N N N N N Commonwealth of Bahamas 549300W13SXC7EKNJC20 056732AH3 1500000.00000000 PA USD 1372500.00000000 0.048010593120 Long DBT NUSS BS N 2 2024-01-16 Fixed 5.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36212UKQ3 85.58000000 PA USD 87.97000000 0.000003077225 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 7.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 186554.46000000 0.006525748833 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14190000.00000000 EUR 16155315.00000000 USD 2020-09-15 186554.46000000 N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AH4 2010000.00000000 PA USD 2030100.00000000 0.071013701343 Long DBT CORP US N 2 2028-05-01 Fixed 5.75000000 N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDG2 1880000.00000000 PA USD 1841798.40000000 0.064426836861 Long DBT CORP US N 2 2028-06-15 Fixed 4.63000000 N N N N N N Lehman XS Trust N/A 525226AJ5 1601149.18000000 PA USD 1479309.25000000 0.051746822951 Long ABS-MBS CORP US N 2 2046-08-25 Floating 0.38000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A60 3590000.00000000 PA USD 3598185.20000000 0.125865942156 Long DBT CORP US N 2 2025-06-16 Fixed 5.13000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46639GAU0 5633.95000000 PA USD 5758.09000000 0.000201420266 Long ABS-MBS CORP US N 2 2043-03-25 Variable 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202D2F7 8337.26000000 PA USD 9577.19000000 0.000335013896 Long ABS-MBS USGA US N 2 2033-11-20 Fixed 6.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCK3 2100000.00000000 PA USD 2585972.84000000 0.090458353255 Long DBT CORP US N 2 2035-03-15 Fixed 4.55000000 N N N N N N UPC Holding BV 213800G1DU7LKI6ZCD69 90320LAG2 3545000.00000000 PA USD 3417734.50000000 0.119553705263 Long DBT CORP NL N 2 2028-01-15 Fixed 5.50000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411AZ8 452000.00000000 PA USD 438597.08000000 0.015342299418 Long DBT CORP US N 2 2022-04-15 Fixed 3.25000000 N N N N N IRB Holding Corp 549300HVW4WNWYBXN830 44988LAF4 1017397.95000000 PA USD 943319.17000000 0.032997677853 Long LON CORP US N 2 2025-02-05 Floating 3.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 27400000.00000000 OU Notional Amount 219405.12000000 0.007674877919 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 27400000.00000000 BRL 219405.12000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAP0 3200000.00000000 PA USD 3200375.01000000 0.111950384290 Long DBT CORP IE N 2 2023-09-15 Fixed 4.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 4329.99000000 0.000151464763 N/A DFE XX N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 4861867.32000000 USD 4330000.00000000 EUR 2020-07-16 4329.99000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 17585.90000000 0.000615161741 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 15324606.18000000 USD 22230000.00000000 AUD 2020-07-16 17585.90000000 N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 3000000.00000000 PA USD 3672210.63000000 0.128455380991 Long DBT NUSS ID Y 2 2045-01-15 Fixed 5.13000000 N N N N N N CDK Global Inc 5493000L10CYRTHIJ385 12508EAJ0 4560000.00000000 PA USD 4735195.20000000 0.165639001890 Long DBT CORP US N 2 2029-05-15 Fixed 5.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 27538.28000000 0.000963299931 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4249977.55000000 USD 41170000.00000000 NOK 2020-07-16 27538.28000000 N N N WELLS FARGO BANK SAN FRANCISCO N.A. N/A 000000000 12000000.00000000 PA USD 12000000.00000000 0.419764748596 Long STIV CORP US N 2 2020-08-20 Floating 0.43000000 N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -207458.47000000 -0.00725697937 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 43382400.00000000 AUD 29733212.40000000 USD 2020-07-16 -207458.47000000 N N N REALOGY GROUP/CO-ISSUER N/A 75606DAJ0 2680000.00000000 PA USD 2673300.00000000 0.093513091868 Long DBT CORP US N 2 2025-06-15 Fixed 7.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385DHL8 223.95000000 PA USD 230.23000000 0.000008053536 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 7.00000000 N N N N N N Flatiron CLO Ltd 549300ZUHE1G4KLVKW25 33882GAA6 8480000.00000000 PA USD 8374848.00000000 0.292955497104 Long ABS-CBDO CORP KY N 2 2030-05-15 Floating 1.64000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WH39 107606.31000000 PA USD 123480.53000000 0.004319397802 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 5579079.02000000 0.195158391852 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 44431039.58000000 USD 3564591227.75000000 RUB 2020-07-16 5579079.02000000 N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAU4 2950000.00000000 PA USD 2939551.10000000 0.102826660706 Long LON CORP US N 2 2025-08-04 Floating 6.68000000 N N N N N N Credit Suisse Mortgage Trust N/A 12651QAU3 26600000.00000000 PA USD 15350899.90000000 0.536980553104 Long ABS-MBS CORP US N 2 2032-07-15 Floating 7.53000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -140025.57000000 -0.00489814984 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6670000.00000000 CAD 4773252.61000000 USD 2020-07-16 -140025.57000000 N N N Freddie Mac - STACR 549300L8K4CLYS7FCQ06 35563TAV3 4580000.00000000 PA USD 4304949.47000000 0.150588835999 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 3.88000000 N N N N N N Freeport-McMoRan Inc 549300IRDTHJQ1PVET45 35671DBC8 14570000.00000000 PA USD 14278600.00000000 0.499471078275 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N Freddie Mac N/A 3133KGNJ3 277117.32000000 PA USD 299414.23000000 0.010473628248 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N DELTA AIR LINES 2007-1 A N/A 247367BH7 1395527.26000000 PA USD 1368211.21000000 0.047860569549 Long DBT CORP US N 2 2022-08-10 Fixed 6.82000000 N N N N N N National Westminster Bank PLC N/A 000000000 1999960.00000000 PA USD 1999960.00000000 0.069959392216 Long STIV CORP US N 2 2020-09-04 Fixed 0.31000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290RUG6 2542.91000000 PA USD 2870.73000000 0.000100419271 Long ABS-MBS USGA US N 2 2033-07-15 Fixed 6.00000000 N N N N N N WPX Energy Inc ZXZE9GCS2BB547GJW219 98212BAG8 5720000.00000000 PA USD 6349200.00000000 0.222097528482 Long DBT CORP US N 2 2023-08-01 Fixed 8.25000000 N N N N N N Benefit Street Partners CLO Ltd 5493002BNZCV0YE1MG83 08180FBC4 3360000.00000000 PA USD 3189177.60000000 0.111558694457 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 4.94000000 N N N N N N FIRST QUANTUM MINERALS L 549300I7UVBGWRYMYZ18 335934AK1 20469000.00000000 PA USD 19645941.51000000 0.687222808240 Long DBT CORP CA N 2 2023-04-01 Fixed 7.25000000 N N N N N STANLEY BLACK & DECKER I 549300DJ09SMTO561131 854502853 3050.00000000 NS USD 3473979.59000000 0.121521180768 Long EP CORP US N 1 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -13648.38000000 -0.00047742573 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 317450000.00000000 RUB 4440077.49000000 USD 2020-07-16 -13648.38000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -1727.00000000 NC USD -571739.20000000 -0.01999966346 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short Eurodollar Time Deposit EDH1 Comdty 2021-03-15 -430314760.80000000 USD -571739.20000000 N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072TAA3 5667000.00000000 PA USD 6092025.00000000 0.213101445214 Long DBT CORP US N 2 2025-10-15 Fixed 10.88000000 N N N N N N Prudential Financial Inc 5PRBRS5FEH7NREC8OR45 744320AL6 1200000.00000000 PA USD 1277280.00000000 0.044679759840 Long DBT CORP US N 2 2042-09-15 Fixed 5.88000000 N N N N N Scientific Games International, Inc. RLTHESQ0RNFQJWPBJN60 80875AAP6 6412800.75000000 PA USD 5684947.86000000 0.198861725769 Long LON CORP US N 2 2024-08-14 Floating 3.61000000 N N N N N N Provincia de Cordoba 5299006CLM2Z97AATT29 74408DAD6 5450000.00000000 PA USD 3188250.00000000 0.111526246642 Long DBT NUSS AR N 2 2024-09-01 Fixed 7.45000000 N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAT4 2440000.00000000 PA USD 2500174.82000000 0.087457104563 Long DBT CORP IT N 2 2024-06-26 Fixed 5.02000000 N N N N N N LIBERTY MUTUAL INSURANCE CNC20I6IOMGF7KY49D67 53079QAD9 2600000.00000000 PA USD 3963665.11000000 0.138650574035 Long DBT CORP US N 2 2097-10-15 Fixed 7.70000000 N N N N N N Carriage Services Inc N/A 143905AN7 2087000.00000000 PA USD 2193958.75000000 0.076745545260 Long DBT CORP US N 2 2026-06-01 Fixed 6.63000000 N N N N N N RABOBANK NEW YORK N/A 000000000 2999187.00000000 PA USD 2999187.00000000 0.104912748087 Long STIV CORP US N 2 2020-09-04 Floating 0.24000000 N N N N N BARRICK NA FINANCE LLC N/A 06849RAK8 6779000.00000000 PA USD 9484232.82000000 0.331762217109 Long DBT CORP US N 2 2043-05-01 Fixed 5.75000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAF7 1880000.00000000 PA USD 1898800.00000000 0.066420775386 Long DBT CORP US N 2 2025-07-01 Fixed 6.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBR3 13090000.00000000 PA USD 11715550.00000000 0.409814575035 Long DBT CORP US N 2 2078-02-15 Fixed 5.38000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -914.00000000 NC USD -254512.15000000 -0.00890293572 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USU0 Comdty 2020-09-21 -162951612.85000000 USD -254512.15000000 N N N MICHAELS STORES INC BV4WJ23XIGNG4UDYEK73 594087AU2 4090000.00000000 PA USD 3554700.80000000 0.124344840637 Long DBT CORP US N 2 2027-07-15 Fixed 8.00000000 N N N N N WAMU Asset-Backed Certificates N/A 93363XAA1 8776188.42000000 PA USD 6786494.86000000 0.237394275729 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.35000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -265309.17000000 -0.00928061975 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8960000.00000000 EUR 9804235.39000000 USD 2020-07-16 -265309.17000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -18433.66000000 -0.00064481672 N/A DFE XX N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 1591800.00000000 USD 1400000.00000000 EUR 2020-07-16 -18433.66000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1132.00000000 NC USD 523236.77000000 0.018303029267 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYU0 Comdty 2020-09-21 157019325.73000000 USD 523236.77000000 N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KA8 6584000.00000000 PA USD 7503101.05000000 0.262461443829 Long DBT CORP US N 2 2027-09-29 Fixed 4.45000000 N N N N N N Stars Group Holdings B.V. (The) 549300RNFXC8F8RT6R13 000000000 148169.05000000 PA USD 147651.94000000 0.005164923289 Long LON CORP NL N 2 2025-07-10 Floating 3.81000000 N N N N N N Countrywide Home Loans N/A 12669GWP2 4151398.31000000 PA USD 564559.03000000 0.019748498274 Long ABS-MBS CORP US N 2 2035-03-25 Variable 5.96000000 N N N N N N ENTEGRIS INC IYX6OWO7BT5DKO3BYG52 29362UAC8 4150000.00000000 PA USD 4222625.00000000 0.147709093461 Long DBT CORP US N 2 2028-04-15 Fixed 4.38000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -26.00000000 NC -126406.28000000 -0.00442174169 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Buxl (FGBX) UBU0 Comdty 2020-09-08 -5606448.80000000 EUR -126406.28000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -765250.47000000 -0.02676876426 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 114948600000.00000000 IDR 7268787.15000000 USD 2020-07-16 -765250.47000000 N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAN9 6170000.00000000 PA USD 6123108.00000000 0.214188740854 Long DBT CORP NL N 2 2115-06-05 Fixed 6.85000000 N N N N N N Avery Point CLO Ltd N/A 05363LBA0 1540000.00000000 PA USD 1451898.14000000 0.050787971477 Long ABS-CBDO CORP KY N 2 2027-08-05 Floating 3.49000000 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 74830.51000000 PA USD 73895.13000000 0.002584880888 Long DBT CORP KY N 2 2023-02-12 Floating 6.00000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AH0 50000.00000000 PA USD 48526.24000000 0.001697467077 Long DBT CORP US N 2 2025-06-25 Fixed 2.90000000 N N N N N N Surf Holdings, LLC N/A 86875TAB3 3960000.00000000 PA USD 3812323.68000000 0.133356590925 Long LON CORP US N 2 2027-03-05 Floating 3.83000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 539439AM1 3011000.00000000 PA USD 3341686.66000000 0.116893521726 Long DBT CORP GB N 2 2025-12-10 Fixed 4.58000000 N N N N N N COMSTOCK RESOURCES INC I03QQGEA4SS774AURI46 205768AR5 3670000.00000000 PA USD 3426862.50000000 0.119873006315 Long DBT CORP US N 2 2026-08-15 Fixed 9.75000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 50440.63000000 0.001764433197 N/A DFE CA N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1312312.69000000 USD 1850000.00000000 CAD 2020-07-16 50440.63000000 N N N Berry Corp N/A 08579X101 170615.00000000 NS USD 824070.45000000 0.028826310439 Long EC CORP US N 1 N N Banc of America Funding Corporation N/A 05990TAK3 40750066.34000000 PA USD 30297340.17000000 1.059812948300 Long ABS-MBS CORP US N 2 2036-09-29 Floating 0.41000000 N Y N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384PT21 272.41000000 PA USD 273.46000000 0.000009565739 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 7.50000000 N N N N N N UBS AG STAMFORD CT BFM8T61CT2L1QCEMIK50 90261AAB8 2850000.00000000 PA USD 3178167.50000000 0.111173556802 Long DBT CORP CH N 2 2022-08-17 Fixed 7.63000000 N N N N N N Caesars Entertainment Operating Company N/A 12768PAB7 6311440.24000000 PA USD 6296450.57000000 0.220252332547 Long LON CORP US N 2 2024-10-07 Floating 2.18000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBD4 3500000.00000000 PA USD 4079943.49000000 0.142718037780 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAN5 200000.00000000 PA USD 209526.40000000 0.007329316385 Long DBT CORP IE N 2 2025-07-15 Fixed 6.50000000 N N N N N MPH Acquisition Holdings LLC 5493002WXOPRPTXWTU06 55328HAE1 6857635.55000000 PA USD 6521899.43000000 0.228138622883 Long LON CORP US N 2 2023-06-07 Floating 3.75000000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579HB7 253615.02000000 PA USD 239689.81000000 0.008384444402 Long ABS-MBS CORP US N 2 2035-01-25 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5UC5 1833253.36000000 PA USD 1979138.36000000 0.069231043010 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4.50000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CY4 14110000.00000000 PA USD 17527945.02000000 0.613134452894 Long DBT CORP US N 2 2038-03-25 Fixed 4.78000000 N N N N N SUMITOMO MITSUI TRUST BANK LTD, LDN N/A 000000000 999640.00000000 PA USD 999640.00000000 0.034967802773 Long STIV CORP US N 2 2020-08-18 Fixed 0.00000000 N N N N N Saranac CLO LTD 5493000LWP4BVD5LGS13 803169AW1 4704776.89000000 PA USD 4030615.30000000 0.140992518174 Long ABS-CBDO CORP JE N 2 2030-06-22 Floating 3.56000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BRQ4 7668656.83000000 PA USD 37397.74000000 0.001308187744 Long ABS-MBS USGA US N 2 2052-04-16 Variable 0.21000000 N N N N N N DISH Network Corp 529900U350CWHH15G169 25470MAB5 10570000.00000000 PA USD 9709756.96000000 0.339651140770 Long DBT CORP US N 2 2026-08-15 Fixed 3.38000000 N N N N Y DISH Network Corp USD XXXX N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AQ2 6200000.00000000 PA USD 6992088.38000000 0.244586018416 Long DBT CORP IT N 2 2034-04-02 Fixed 7.30000000 N N N N N N LIVE NATION ENTERTAINMEN 5493007B9BM9ZXJINO78 538034AT6 3150000.00000000 PA USD 2679468.75000000 0.093728877184 Long DBT CORP US N 2 2025-02-15 Fixed 2.00000000 N N N N Y Live Nation Entertainment Inc USD XXXX N N N Change Healthcare Holdings LLC 549300GHXFJ3EKF50583 15911AAC7 6596786.72000000 PA USD 6352158.08000000 0.222201003291 Long LON CORP US N 2 2024-03-01 Floating 3.50000000 N N N N N N DISH DBS Corp N/A 25470XAY1 11795000.00000000 PA USD 12503997.45000000 0.437394778837 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N Mill City Solar Loan Ltd. N/A 59982WAA5 1326752.52000000 PA USD 1382423.85000000 0.048357733320 Long ABS-O CORP KY N 2 2043-03-20 Fixed 4.34000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AK5 4400000.00000000 PA USD 4847480.00000000 0.169566768627 Long DBT US N 2 2028-06-01 Fixed 5.75000000 N N N N N N Countrywide Alternative Loan Trust N/A 021482AC8 2420870.36000000 PA USD 1584819.15000000 0.055437601005 Long ABS-MBS CORP US N 2 2037-08-25 Variable 6.00000000 N N N N N N GMAC Commercial Mortgage Securities Inc. Trust N/A 361849R46 113429.83000000 PA USD 94894.26000000 0.003319438766 Long ABS-MBS CORP US N 2 2045-11-10 Variable 5.35000000 N N N N N N L BRANDS INC GR3KVMWVCR54YWQNXU90 501797AS3 2000000.00000000 PA USD 2065000.00000000 0.072234517154 Long DBT CORP US N 2 2025-07-01 Fixed 6.88000000 N N N N N N TransDigm Inc 88Q84GB3X55CF5OC7582 893647BE6 9290000.00000000 PA USD 9284193.75000000 0.324764771282 Long DBT CORP US N 2 2026-03-15 Fixed 6.25000000 N N N N N N Entercom Media Corp. 549300S5JUSXRHNCHD80 12506KAE9 2998512.12000000 PA USD 2814853.25000000 0.098464680568 Long LON CORP US N 2 2024-11-18 Floating 2.68000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 91086QBG2 4280000.00000000 PA USD 4622442.80000000 0.161694878320 Long DBT NUSS MX N 2 2026-01-21 Fixed 4.13000000 N N N N N NMI HOLDINGS 529900KNNGFXJX1C3Z08 629209AA5 5040000.00000000 PA USD 5273755.20000000 0.184478043807 Long DBT CORP US N 2 2025-06-01 Fixed 7.38000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411BC8 260000.00000000 PA USD 195692.15000000 0.006845388845 Long DBT CORP US N 2 2044-01-15 Fixed 4.25000000 N N N N N N SHELF DRILL HOLD LTD 54930078ZJ3XP4MRYB68 822538AE4 4060000.00000000 PA USD 1827000.00000000 0.063909182973 Long DBT CORP KY N 2 2025-02-15 Fixed 8.25000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A29 3470000.00000000 PA USD 3298651.40000000 0.115388131302 Long DBT CORP US N 2 2023-01-09 Fixed 3.09000000 N N N N N Northwest Pipeline LLC 549300FFKMN9OW536A14 66775VAB1 14460000.00000000 PA USD 15830254.18000000 0.553748555507 Long DBT CORP US N 2 2027-04-01 Fixed 4.00000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 4500000.00000000 PA 992553.47000000 0.034719913150 Long DBT NUSS BR N 2 2029-01-01 Fixed 10.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 37291000.00000000 OU Notional Amount USD -16415440.03000000 -0.57421858810 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2044-05-15 182377.63000000 USD 0.00000000 USD 37291000.00000000 USD -16597817.66000000 N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 000000000 1800000.00000000 PA USD 738018.00000000 0.025816161685 Long DBT NUSS AR N 2 2027-06-15 Fixed 7.88000000 N N N N N N Tencent Holdings Ltd 254900N4SLUMW4XUYY11 88032WAG1 8110000.00000000 PA USD 8837982.63000000 0.309156129731 Long DBT CORP KY N 2 2028-01-19 Fixed 3.60000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -308356.12000000 -0.01078641909 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 8980000.00000000 EUR 9783665.10000000 USD 2020-07-16 -308356.12000000 N N N Lone Star Portfolio Trust N/A 54230MAA8 1292485.57000000 PA USD 1092462.44000000 0.038214768456 Long ABS-MBS CORP US N 2 2020-09-15 Floating 7.40000000 N N N N N N Douglas Dynamics Holdings, Inc. 549300TQ3FBNP1SLT289 25960EAK0 1000000.00000000 PA USD 982500.00000000 0.034368238791 Long LON CORP US N 2 2026-06-05 None 0.00000000 N N N N N N DAE Funding LLC 635400SZTPQL3Y1P2C76 23371DAE4 10100000.00000000 PA USD 9620250.00000000 0.336520151890 Long DBT CORP US N 2 2023-11-15 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31400PV85 149.28000000 PA USD 152.77000000 0.000005343955 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 8.00000000 N N N N N N WW INTERNATIONAL INC SGT8R1MU6ESIC7UJC518 948626AA4 5945000.00000000 PA USD 6123350.00000000 0.214197206109 Long DBT CORP US N 2 2025-12-01 Fixed 8.63000000 N N N N N N MATCH GROUP INC 549300BIJKT86CPCKK96 57665RAG1 4060000.00000000 PA USD 4224633.00000000 0.147779334096 Long DBT CORP US N 2 2027-12-15 Fixed 5.00000000 N N N N N WP CityMD Bidco LLC N/A 92940KAG0 4977525.00000000 PA USD 4912817.18000000 0.171852289038 Long LON CORP US N 2 2026-08-13 Floating 5.50000000 N N N N N N Freddie Mac N/A 3128KLRW9 598.55000000 PA USD 695.74000000 0.000024337260 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CP8 1740000.00000000 PA USD 1586018.13000000 0.055479541800 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -74040.50000000 -0.00258996598 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8522127.21000000 USD 6817320.00000000 GBP 2020-07-16 -74040.50000000 N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 539439AG4 3580000.00000000 PA USD 3713534.00000000 0.129900888826 Long DBT CORP GB N 2 2024-06-27 Fixed 7.50000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387EQN0 1072.81000000 PA USD 1175.55000000 0.000041121204 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DR3 10405000.00000000 PA USD 9260450.00000000 0.323934205511 Long DBT CORP US N 2 2028-05-15 Fixed 7.15000000 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HAP6 5070000.00000000 PA USD 3105375.00000000 0.108627246347 Long DBT CORP BM N 2 2024-12-15 Fixed 3.63000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBN5 10000000.00000000 PA USD 10762265.00000000 0.376468288504 Long DBT CORP US N 2 2051-04-22 Fixed 3.11000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FG8 470000.00000000 PA USD 552058.01000000 0.019311207648 Long DBT CORP US N 2 2060-03-20 Fixed 3.84000000 N N N N N N AMERICAN AXLE & MFG INC RY5TAKFOBLDUGX31MS24 02406PAY6 1740000.00000000 PA USD 1674750.00000000 0.058583417726 Long DBT CORP US N 2 2026-03-15 Fixed 6.25000000 N N N N N Sino Forest Corporation N/A 000000000 500000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP US N 2 2013-08-01 Fixed 5.00000000 N N N N N N UFC Holdings, LLC 549300JEOTH7UMZ3C491 90266UAF0 8645471.24000000 PA USD 8263626.71000000 0.289064932368 Long LON CORP US N 2 2026-04-29 Floating 4.25000000 N N N N N N EyeCare Partners, LLC N/A 30233PAF7 4700000.00000000 PA USD 4112500.00000000 0.143856877383 Long LON CORP US N 2 2028-02-18 Floating 8.56000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -115.00000000 NC USD -163875.00000000 -0.00573241234 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 5750.00000000 NC N/A -163875.00000000 -0.01000000 DE US Short E-mini S&P 500 Index ESU0 Index 2020-09-18 5750.00000000 USD 50.00000000 2500.00000000 USD 2020-09-18 XXXX 86008.50000000 N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBH5 1072000.00000000 PA USD 1204716.09000000 0.042141445554 Long DBT CORP US N 2 2026-02-15 Fixed 3.70000000 N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 66608000000.00000000 PA 5024159.61000000 0.175747091300 Long DBT NUSS ID N 2 2026-09-15 Fixed 8.38000000 N N N N N N Jane Street Group, LLC 5493002N1IVX6KHGYO08 47077DAF7 7198875.01000000 PA USD 7024899.80000000 0.245733774871 Long LON CORP US N 2 2025-01-31 Floating 3.18000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -752444.44000000 -0.02632080426 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 14960000.00000000 AUD 9572305.60000000 USD 2020-07-16 -752444.44000000 N N N Acrisure, LLC 549300R0Z1Q47XRTGO22 00488PAL9 2982525.00000000 PA USD 2825942.44000000 0.098852584822 Long LON CORP US N 2 2027-02-15 Floating 3.68000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2L6 1250000.00000000 PA USD 1513225.00000000 0.052933209307 Long DBT CORP US N 2 2031-04-04 Fixed 4.48000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 28649.37000000 0.001002166299 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 5020000.00000000 GBP 6249480.33000000 USD 2020-07-16 28649.37000000 N N N Freddie Mac N/A 3128KH6Q4 6652.71000000 PA USD 7487.36000000 0.000261910815 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6.00000000 N N N N N N Global Tel*Link Corporation 549300YI0BNF11FDQE44 37959JAB7 5354533.33000000 PA USD 4670159.72000000 0.163364035064 Long LON CORP US N 2 2025-11-29 Floating 4.43000000 N N N N N N RADIOLOGY PARTNERS INC 549300SFTAG2177WUZ08 75041VAA2 5630000.00000000 PA USD 5306275.00000000 0.185615599279 Long DBT CORP US N 2 2028-02-01 Fixed 9.25000000 N N N N N TORONTO DOMINION NY N/A 000000000 2000154.00000000 PA USD 2000154.00000000 0.069966178413 Long STIV CORP US N 2 2020-07-31 Floating 0.43000000 N N N N N Symphony CLO Ltd 5493001GRJRD2VIG9H40 13079WAQ1 2590000.00000000 PA USD 2549590.82000000 0.089185695798 Long ABS-CBDO CORP KY N 2 2032-07-16 Variable 3.16000000 N N N N N N Freddie Mac N/A 3128KRWZ3 1803.04000000 PA USD 2097.61000000 0.000073375227 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N Grifols Worldwide Operations USA, Inc. N/A 39843PAG8 3104400.00000000 PA USD 2997900.45000000 0.104867744059 Long LON CORP US N 2 2027-11-15 Floating 2.11000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384VXX5 48.00000000 PA USD 48.66000000 0.000001702146 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 7.50000000 N N N N N N COLT MERGER SUB INC N/A 28470RAH5 4470000.00000000 PA USD 4435134.00000000 0.155142742375 Long DBT CORP US N 2 2025-07-01 Fixed 6.25000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAQ4 1060000.00000000 PA USD 1064608.80000000 0.037240437107 Long DBT CORP IE N 2 2020-10-30 Fixed 4.63000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -262864.60000000 -0.00919510772 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15530000.00000000 CAD 11176897.03000000 USD 2020-07-16 -262864.60000000 N N N Oaktree CLO Ltd N/A 67401XAJ0 5300000.00000000 PA USD 4720158.80000000 0.165113022668 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 4.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LCX9 1164497.75000000 PA USD 1157178.07000000 0.040478546802 Long ABS-MBS USGA US N 2 2068-05-20 Floating 0.60000000 N N N N N N McAfee, LLC 549300713UKUTLV9T378 57906PAG4 4828333.92000000 PA USD 4702797.24000000 0.164505708429 Long LON CORP US N 2 2024-09-30 Floating 3.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31386CZR6 927.16000000 PA USD 938.48000000 0.000032828401 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 7.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -149530.32000000 -0.00523062976 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5256388.43000000 USD 27790000.00000000 BRL 2020-07-16 -149530.32000000 N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BG8 5230000.00000000 PA USD 5360750.00000000 0.187521156336 Long DBT CORP US N 2 2028-01-15 Fixed 4.88000000 N N N N N RAYMOND JAMES FINANCIAL RGUZHJ05YTITL6D76949 754730AG4 1070000.00000000 PA USD 1279176.01000000 0.044746083020 Long DBT CORP US N 2 2030-04-01 Fixed 4.65000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBE1 2770000.00000000 PA USD 2673050.00000000 0.093504346769 Long DBT CORP US N 2 2027-02-01 Fixed 5.38000000 N N N N N Multifamily Trust N/A 62547L103 5968602.70000000 PA USD 6767655.36000000 0.236735262564 Long ABS-MBS CORP US N 2 2046-04-25 Variable 16.54000000 N N N N N N MATCH GROUP INC 549300BIJKT86CPCKK96 57665RAN6 3760000.00000000 PA USD 3801924.00000000 0.132992806003 Long DBT CORP US N 2 2028-06-01 Fixed 4.63000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -324219.59000000 -0.01134132955 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11080000.00000000 CAD 7837567.85000000 USD 2020-07-16 -324219.59000000 N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BL7 7040000.00000000 PA USD 7268800.00000000 0.254265500383 Long DBT CORP US N 2 2030-01-15 Fixed 5.25000000 N N N N N N Diamondback Energy Inc 549300R22LSX6OHWEN64 25278XAH2 4670000.00000000 PA USD 4807171.77000000 0.168156770791 Long DBT CORP US N 2 2025-05-31 Fixed 5.38000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388LCL2 15673.30000000 PA USD 16995.31000000 0.000594502669 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 7.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 229.00000000 NC USD 48439.29000000 0.001694425532 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVU0 Comdty 2020-09-30 28746521.76000000 USD 48439.29000000 N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BR9 5320000.00000000 PA USD 5699050.00000000 0.199355024207 Long DBT CORP US N 2 2025-02-01 Fixed 5.38000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 53944YAB9 3120000.00000000 PA USD 3471235.12000000 0.121425178122 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65000000 N N N N N N Terrier Media Buyer, Inc. N/A 88145LAB0 8049275.69000000 PA USD 7707181.47000000 0.269600257678 Long LON CORP US N 2 2026-12-17 Floating 4.43000000 N N N N N N ALCOA NEDERLAND HOLDING 5493000UL1QLQLT1VQ42 013822AC5 4422000.00000000 PA USD 4529808.36000000 0.158454488952 Long DBT CORP NL N 2 2028-05-15 Fixed 6.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2089933.21000000 0.073106690706 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 33447148.66000000 USD 51491294.47000000 AUD 2020-07-16 2089933.21000000 N N N American Axle and Manufacturing, Inc. RY5TAKFOBLDUGX31MS24 02406MAP2 3603228.88000000 PA USD 3432075.51000000 0.120055359468 Long LON CORP US N 2 2024-04-06 Floating 3.00000000 N N N N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780099CH8 2870000.00000000 PA USD 3139429.97000000 0.109818502674 Long DBT CORP GB N 2 2024-05-28 Fixed 5.13000000 N N N N N AGRIC BK OF CHINA LTD - NY BRANCH N/A 000000000 1600390.40000000 PA USD 1600390.40000000 0.055982289492 Long STIV CORP US N 2 2020-08-06 Fixed 0.70000000 N N N N N RBSGC Mortgage Pass Through Certificates N/A 74927XAD4 515754.20000000 PA USD 183928.83000000 0.006433903257 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.63000000 N N N N N N Texas Municipal Gas Acquisition & Supply Corp III 0UDITKOYW0YKG3BBP242 88256HAS7 750000.00000000 PA USD 798720.00000000 0.027939541666 Long DBT MUN US N 2 2030-12-15 Fixed 5.00000000 N N N N N N Fannie Mae - CAS N/A 30711XYX6 6931336.51000000 PA USD 6763221.10000000 0.236580150395 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 2.43000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45660LAC3 709470.00000000 PA USD 572924.41000000 0.020041122577 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.90000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1075359.60000000 0.037616504345 N/A DFE CA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 38893826.88000000 USD 54260000.00000000 CAD 2020-07-16 1075359.60000000 N N N ALTICE FRANCE HOLDING SA 5299000JVHXKJPOE6H40 02156TAB0 5100000.00000000 PA USD 5617905.00000000 0.196516539997 Long DBT CORP LU N 2 2027-05-15 Fixed 10.50000000 N N N N N N CreditShop Credit Card Company, LLC 549300IFTIK1Z2HCMJ40 22555RAD5 7002247.20000000 PA USD 6982080.73000000 0.244235946859 Long ABS-O CORP US N 2 2024-08-15 Floating 6.43000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAJ6 480000.00000000 PA USD 483600.00000000 0.016916519368 Long DBT CORP US N 2 2027-07-15 Fixed 5.63000000 N N N N N N SENSATA TECH INC N/A 81728UAA2 2090000.00000000 PA USD 2069100.00000000 0.072377936776 Long DBT CORP US N 2 2030-02-15 Fixed 4.38000000 N N N N N MEG Energy Corp 5493002WXPTG5ZC1T326 552704AC2 3690000.00000000 PA USD 3164175.00000000 0.110684093615 Long DBT CORP CA N 2 2024-03-31 Fixed 7.00000000 N N N N N N MA FinanceCo., LLC N/A 55280FAG6 450120.07000000 PA USD 421987.57000000 0.014761292185 Long LON CORP US N 2 2024-06-21 Floating 2.68000000 N N N N N N COLT MERGER SUB INC N/A 12770RAA1 2220000.00000000 PA USD 2231100.00000000 0.078044760882 Long DBT CORP US N 2 2025-07-01 Fixed 5.75000000 N N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 21684AAA4 2250000.00000000 PA USD 2481165.00000000 0.086792133537 Long DBT CORP NL N 2 2023-12-01 Fixed 4.63000000 N N N N N N Science Applications International Corporation 549300LZPNZIXQGZPZ48 80862QAG6 2367083.33000000 PA USD 2318558.12000000 0.081104080529 Long LON CORP US N 2 2027-03-12 Floating 2.43000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565AAQ6 2850000.00000000 PA USD 2892750.00000000 0.101189539708 Long DBT CORP FR N 2 2021-03-30 Fixed 7.63000000 N N N N N N Park-Ohio Industries Inc 5493006LQUO5SLMNYM18 700677AR8 1055000.00000000 PA USD 865100.00000000 0.030261540334 Long DBT CORP US N 2 2027-04-15 Fixed 6.63000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 3717.73000000 0.000130047666 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 1700000.00000000 EUR 1914234.00000000 USD 2020-07-16 3717.73000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBSX7 93016.65000000 PA USD 99382.21000000 0.003476429032 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Banc of America Mortgage Securities N/A 05949CFW1 48957.04000000 PA USD 44341.68000000 0.001551089513 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.09000000 N N N N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAM5 2455000.00000000 PA USD 2350662.50000000 0.082227104445 Long DBT CORP US N 2 2028-06-15 Fixed 5.88000000 N N N N N CoreCivic Inc 529900JFA3K6PTLT8B15 22025YAQ3 5400000.00000000 PA USD 5292000.00000000 0.185116254131 Long DBT US N 2 2022-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379RPH0 3467888.57000000 PA USD 193545.29000000 0.006770290833 Long ABS-MBS USGA US N 2 2058-07-16 Variable 0.76000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1118490000.00000000 OU Notional Amount 6923688.87000000 0.242193376489 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2029-07-18 8384734.62000000 MXN 0.00000000 MXN 1118490000.00000000 MXN 6493061.44000000 N N N Academy, Ltd. 549300BN53IR80C35Z14 00400YAH4 8685723.68000000 PA USD 7017343.82000000 0.245469463701 Long LON CORP US N 2 2022-07-01 Floating 5.00000000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 059427AA2 10513419.04000000 PA USD 4521821.53000000 0.158175106478 Long ABS-MBS CORP US N 2 2045-08-10 Variable 6.02000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAH2 2930000.00000000 PA USD 2919803.60000000 0.102135885342 Long DBT CORP US N 2 2025-02-01 Fixed 6.13000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -79253.65000000 -0.00277232403 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3038847.53000000 USD 68150000.00000000 MXN 2020-07-16 -79253.65000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 32440000.00000000 OU Notional Amount USD 255367.68000000 0.008932862499 N/A DFE US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A 1.00000000 NC USD 255367.68000000 0.01000000 DFE XX 32440000.00000000 USD 36932940.00000000 EUR 2020-09-11 1.00000000 1.13850000 USD 2020-09-11 XXXX -215661.12000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -310029.37000000 -0.01084495004 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6400000.00000000 AUD 4106976.00000000 USD 2020-07-16 -310029.37000000 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JW71 4710000.00000000 PA USD 4792425.00000000 0.167640922941 Long DBT NUSS EG N 2 2029-03-01 Fixed 7.60000000 N N N N N N Origen Manufactured Housing 549300IF0XI4ZS5JC782 68620BAB8 812367.55000000 PA USD 766216.95000000 0.026802572115 Long ABS-O CORP US N 2 2037-10-15 Variable 2.12000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 143.00000000 NC USD 28600.00000000 0.001000439317 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 7150.00000000 NC N/A 28600.00000000 0.00000000 DE US Long E-mini S&P 500 Index ESU0 Index 2020-09-18 7150.00000000 USD 50.00000000 2600.00000000 USD 2020-07-17 XXXX -248762.80000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -172.00000000 NC USD -133300.00000000 -0.00466288674 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 8600.00000000 NC N/A -133300.00000000 0.00000000 DE US Long E-mini S&P 500 Index ESU0 Index 2020-09-18 8600.00000000 USD 50.00000000 2500.00000000 USD 2020-08-21 XXXX 119463.80000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC -85570.67000000 -0.00299329589 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 35000000.00000000 MXN 1434396.84000000 USD 2020-07-16 -85570.67000000 N N N PRIME SECSRVC BRW/FINANC N/A 74166MAE6 2720000.00000000 PA USD 2561968.00000000 0.089618654452 Long DBT CORP US N 2 2028-01-15 Fixed 6.25000000 N N N N N GLENCORE FINANCE CANADA 5493005TTO0UJ33KCK70 98417EAR1 1000000.00000000 PA USD 1097889.06000000 0.038404593771 Long DBT CORP CA N 2 2042-10-25 Fixed 5.55000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 36497.84000000 0.001276708885 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15659964.43000000 GBP 19442472.24000000 USD 2020-07-16 36497.84000000 N N N SACO I Trust N/A 785778RD5 27297.81000000 PA USD 27106.24000000 0.000948187001 Long ABS-O CORP US N 2 2036-03-25 Floating 0.52000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411BA2 7000000.00000000 PA USD 5633904.43000000 0.197076206389 Long DBT CORP US N 2 2043-04-15 Fixed 4.75000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 230056.42000000 0.008047464608 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2462457.45000000 USD 62000000.00000000 MXN 2020-07-16 230056.42000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1450.00000000 NC USD -67562.80000000 -0.00236337347 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond WNU0 Comdty 2020-09-21 316394125.30000000 USD -67562.80000000 N N N Mohegan Tribal Gaming Authority 549300UB083Z2NRDHC48 608330AQ9 10254749.44000000 PA USD 8530669.69000000 0.298406201481 Long LON CORP US N 2 2023-10-13 Floating 5.38000000 N N N N N N KKR Financial CLO Ltd 549300PJRIGYUE3V5M12 48250MAK3 3080000.00000000 PA USD 2995121.36000000 0.104770530391 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 2.40000000 N N N N N N JetBlue Airways Corporation 54930070J9H97ZO93T57 47714FAL8 8250000.00000000 PA USD 8102184.75000000 0.283417628722 Long LON CORP US N 2 2024-06-12 Floating 6.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 65589.78000000 0.002294356459 N/A DFE CA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 7810268.77000000 USD 10690000.00000000 CAD 2020-10-16 65589.78000000 N N N CHINA CONSTRUCTION BANK CORP NY N/A 000000000 3000177.00000000 PA USD 3000177.00000000 0.104947378679 Long STIV CORP US N 2 2020-08-25 Fixed 0.55000000 N N N N N Thayer Park CLO, Ltd. 5493000PRLDBEVKBE571 88330PAA8 7500000.00000000 PA USD 6310432.50000000 0.220741425991 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 7.24000000 N N N N N N BRITISH TELECOMMUNICATIO 549300OWFMSO9NYV4H90 111021AE1 3875000.00000000 PA USD 6336419.30000000 0.221650454538 Long DBT CORP GB N 2 2030-12-15 Fixed 9.63000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -24516.55000000 -0.00085759862 N/A DFE CA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 15987145.95000000 USD 21670000.00000000 CAD 2020-07-16 -24516.55000000 N N N General Motors Co 54930070NSV60J38I987 37045VAK6 5134000.00000000 PA USD 5582116.16000000 0.195264632211 Long DBT CORP US N 2 2036-04-01 Fixed 6.60000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 2784.00000000 NC USD 222488.67000000 0.007782741719 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note TUU0 Comdty 2020-09-30 614563014.11000000 USD 222488.67000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -138345.21000000 -0.00483937019 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7120000.00000000 CAD 5106413.50000000 USD 2020-07-16 -138345.21000000 N N N ARD FINANCE SA 6354006P6QPGGPVJW880 00191AAD8 4470000.00000000 PA USD 4422506.25000000 0.154701018683 Long DBT CORP LU N 2 2027-06-30 Variable 6.50000000 N N Y N N N Chesapeake Energy Corporation X2MT1W32SPAZ9WSKLE78 16516FAH2 3760000.00000000 PA USD 2190200.00000000 0.076614062698 Long LON CORP US N 2 2024-06-24 Floating 9.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 137560000.00000000 OU Notional Amount 831055.05000000 0.029070634511 N/A DIR BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 137560000.00000000 BRL 831055.05000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 11300000.00000000 OU Notional Amount -25306.03000000 -0.00088521494 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Daimler AG Daimler AG Y buy protection 2024-12-20 0.00000000 EUR -219918.26000000 EUR 11300000.00000000 EUR 216527.02000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -21707.14000000 -0.00075932434 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 39610000.00000000 SAR 10528973.95000000 USD 2020-09-24 -21707.14000000 N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 21684AAF3 4210000.00000000 PA USD 4627800.74000000 0.161882301181 Long DBT CORP NL N 2 2026-07-21 Fixed 3.75000000 N N N N N N Montage Resources Corp 54930070862I62NN3X72 27890GAB6 11075000.00000000 PA USD 8749250.00000000 0.306052227221 Long DBT CORP US N 2 2023-07-15 Fixed 8.88000000 N N N N N N CREDIT SUISSE NY N/A 000000000 8003920.00000000 PA USD 8003920.00000000 0.279980288882 Long STIV CORP US N 2 2020-10-06 Floating 0.56000000 N N N N N GAZPROM (GAZ CAPITAL SA) 213800568PRHV2JR9650 368266AV4 7980000.00000000 PA USD 8850378.60000000 0.309589745667 Long DBT CORP LU N 2 2027-03-23 Fixed 4.95000000 N N N N N N ALCOA NEDERLAND HOLDING 5493000UL1QLQLT1VQ42 013822AA9 2200000.00000000 PA USD 2246750.00000000 0.078592204075 Long DBT CORP NL N 2 2024-09-30 Fixed 6.75000000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 000000000 4040000.00000000 PA USD 1666540.40000000 0.058296242669 Long DBT NUSS AR N 2 2024-03-16 Fixed 9.13000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 3390000.00000000 PA USD 3521904.90000000 0.123197627077 Long DBT CORP CH N 2 2023-07-17 Fixed 7.50000000 N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 -43520000.00000000 OU Notional Amount USD -211594.24000000 -0.00740165024 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 1.00000000 NC USD -211594.24000000 -0.01000000 DFE XX 43520000.00000000 USD 47697920.00000000 EUR 2020-09-25 1.00000000 1.09600000 USD 2020-09-25 XXXX 45391.36000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UKZ4 377108.18000000 PA USD 409884.40000000 0.014337918509 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -177570.70000000 -0.00621149335 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 29010000.00000000 CAD 21191874.56000000 USD 2020-07-16 -177570.70000000 N N N ML-CFC Commercial Mortgage Trust N/A 55312YAH5 324586.89000000 PA USD 187719.80000000 0.006566512887 Long ABS-MBS CORP US N 2 2048-08-12 Variable 5.45000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DF6 4030000.00000000 PA USD 4297995.00000000 0.150345565887 Long DBT NUSS PE N 2 2031-01-23 Fixed 2.78000000 N N N N N N COGENT COMMUNICATIONS GR 549300KFWFYF8Q1U0Y26 19240CAA1 8999000.00000000 PA USD 9257721.25000000 0.323838752756 Long DBT CORP US N 2 2022-03-01 Fixed 5.38000000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AS8 5760000.00000000 PA USD 5805567.07000000 0.203081033466 Long DBT CORP IT N 2 2035-06-30 Fixed 5.46000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -28535.94000000 -0.00099819847 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 549940000.00000000 RUB 7686953.12000000 USD 2020-07-16 -28535.94000000 N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451AW8 2392000.00000000 PA USD 2403840.40000000 0.084087288431 Long DBT CORP AU N 2 2075-10-19 Fixed 6.25000000 N N N N N N EyeCare Partners, LLC N/A 30233PAC4 1233513.52000000 PA USD 1120441.04000000 0.039193470956 Long LON CORP US N 2 2027-02-18 Fixed 3.75000000 N N N N N N T-Mobile USA Inc 549300V2JRLO5DIFGE82 87264AAJ4 803000.00000000 PA USD 820425.10000000 0.028698794653 Long DBT CORP US N 2 2024-01-15 Fixed 6.50000000 N N N N N N Advantage Sales & Marketing, Inc. 549300T4O24KQDED1182 00769EAS9 7199202.88000000 PA USD 6601892.22000000 0.230936802332 Long LON CORP US N 2 2021-07-23 Floating 4.25000000 N N N N N N Freddie Mac - STACR 5493005RUXPCBST1N217 35563XBE1 6500000.00000000 PA USD 6322514.25000000 0.221164050387 Long ABS-MBS USGSE US N 2 2048-10-25 Floating 11.18000000 N N N N N N Texas Municipal Gas Acquisition & Supply Corp III 0UDITKOYW0YKG3BBP242 88256HAT5 1550000.00000000 PA USD 1646890.50000000 0.057608881391 Long DBT MUN US N 2 2031-12-15 Fixed 5.00000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBG7 880000.00000000 PA USD 902000.00000000 0.031552316936 Long DBT CORP US N 2 2025-05-01 Fixed 5.38000000 N N N N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAL4 5200000.00000000 PA USD 5323500.00000000 0.186218136596 Long DBT CORP XX N 2 2025-02-15 Fixed 6.00000000 N N N N N N BANK OF MONTREAL CHICAGO N/A 000000000 3001095.00000000 PA USD 3001095.00000000 0.104979490682 Long STIV CORP US N 2 2020-10-02 Floating 0.49000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X47B6 442925.08000000 PA USD 467369.30000000 0.016348763059 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N Symphony CLO XIX Ltd N/A 87166DAA6 1890000.00000000 PA USD 1486016.28000000 0.051981437515 Long ABS-CBDO CORP KY N 2 2031-04-16 Floating 6.38000000 N N N N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAE5 1390000.00000000 PA USD 1457206.50000000 0.050973660010 Long DBT CORP US N 2 2021-09-15 Fixed 7.25000000 N N N N N N STANDARD CHARTERED NY N/A 000000000 4997155.00000000 PA USD 4997155.00000000 0.174802459356 Long STIV CORP US N 2 2020-08-26 Floating 0.23000000 N N N N N COMMSCOPE TECH LLC M4TWC4QDOKW45N7T6Y12 20337YAA5 2200000.00000000 PA USD 2124540.00000000 0.074317249915 Long DBT CORP US N 2 2025-06-15 Fixed 6.00000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 9560000000.00000000 PA 689310.47000000 0.024112353012 Long DBT NUSS ID N 2 2022-05-15 Fixed 7.00000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZX9 3990000.00000000 PA USD 4118749.64000000 0.144075492263 Long DBT CORP US N 2 2025-05-01 Fixed 7.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 02147FAQ9 2095071.64000000 PA USD 3604934.25000000 0.126102026596 Long ABS-MBS CORP US N 2 2036-07-25 Floating 27.86000000 N N N N N N NORDEA BANK ABP, NEW YORK BRANCH N/A 000000000 2000282.00000000 PA USD 2000282.00000000 0.069970655904 Long STIV CORP US N 2 2021-05-21 Floating 0.48000000 N N N N N Freddie Mac - STACR N/A 3137G0AM1 2210000.00000000 PA USD 1903772.46000000 0.066594714004 Long ABS-MBS USGSE US N 2 2024-02-25 Floating 4.68000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 279106.32000000 0.009763249520 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 48991349.96000000 USD 71390205.37000000 AUD 2020-07-16 279106.32000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 276974.36000000 0.009688672716 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 591960000.00000000 RUB 8581991.10000000 USD 2020-07-16 276974.36000000 N N N Charter Communications Operating, LLC 549300TPZNMN50BJ3745 16117LBX6 5538150.00000000 PA USD 5338161.87000000 0.186731014610 Long LON CORP US N 2 2027-02-01 Floating 1.93000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36216UV87 656.19000000 PA USD 722.15000000 0.000025261092 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 6.50000000 N N N N N N LHT LONDON N/A 000000000 4998150.00000000 PA USD 4998150.00000000 0.174837264849 Long STIV CORP US N 2 2020-08-19 Fixed 0.00000000 N N N N N EL PASO NATURAL GAS N/A 283695BE3 4250000.00000000 PA USD 5401110.89000000 0.188932996240 Long DBT CORP US N 2 2026-11-15 Fixed 7.50000000 N N N N N ENDEAVOR ENERGY RESOURCE N/A 29260FAE0 1850000.00000000 PA USD 1776000.00000000 0.062125182792 Long DBT CORP US N 2 2028-01-30 Fixed 5.75000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AG2 560000.00000000 PA USD 557597.90000000 0.019504995192 Long DBT CORP US N 2 2024-08-08 Fixed 3.20000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 06740L8C2 16450000.00000000 PA USD 17911061.69000000 0.626536025616 Long DBT CORP GB N 2 2022-11-21 Fixed 7.63000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAM5 1638000.00000000 PA USD 1831965.87000000 0.064082891071 Long DBT CORP US N 2 2024-01-15 Fixed 5.88000000 N N N N N N UNITED AIR 2015-1 A PTT N/A 90932LAB3 2150000.00000000 PA USD 1999644.27000000 0.069948347856 Long DBT CORP US N 2 2022-12-01 Fixed 3.70000000 N N N N N N WestRock RKT LLC PQQ60KVT5SJX0ETQT497 772739AQ1 140000.00000000 PA USD 149365.45000000 0.005224862547 Long DBT CORP US N 2 2023-03-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290RP49 2853.52000000 PA USD 3400.35000000 0.000118945588 Long ABS-MBS USGA US N 2 2033-06-15 Fixed 6.00000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAJ2 3100000.00000000 PA USD 2962765.51000000 0.103638709954 Long DBT CORP US N 2 2022-01-20 Fixed 2.88000000 N N N N N GlobalTranz Enterprises, Inc. N/A 37959BAC2 4918269.23000000 PA USD 3860841.35000000 0.135053758221 Long LON CORP US N 2 2026-05-15 Floating 5.18000000 N N N N N N FIXED INC CLEARING CORP.REPO 549300H47WTHXPU08X20 000000000 17633501.24000000 PA USD 17633501.24000000 0.616826851240 Long RA CORP US N 2 Repurchase N 0.00000000 2020-07-01 15931200.00000000 USD 17986324.80000000 USD UST N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1266104.32000000 -0.04428883013 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 23530000.00000000 AUD 14973291.97000000 USD 2020-07-16 -1266104.32000000 N N N PG&E CORP 8YQ2GSDWYZXO2EDN3511 69331C140 6000.00000000 NS USD 576000.00000000 0.020148707932 Long EP CORP US N 1 N N N NATIONAL SECS CLEARING 549300RYC9NELN2ICA34 637639AA3 2000000.00000000 PA USD 2030851.50000000 0.071039989111 Long DBT CORP US N 2 2023-04-23 Fixed 1.20000000 N N N N N Oasis Petroleum Inc 529900FA4V2YNIKZ0M71 674215AE8 2130000.00000000 PA USD 355443.75000000 0.012433563029 Long DBT CORP US N 2 2023-01-15 Fixed 6.88000000 N N N N N Allied Universal N/A 019576AA5 7540000.00000000 PA USD 7917000.00000000 0.276939792886 Long DBT CORP US N 2 2026-07-15 Fixed 6.63000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAK9 2180000.00000000 PA USD 2844921.80000000 0.099516490346 Long DBT CORP KY N 2 2039-11-10 Fixed 6.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TC72 41252.84000000 PA USD 46160.53000000 0.001614713605 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 5.50000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153AX0 2720000.00000000 PA USD 2638916.07000000 0.092310328390 Long DBT CORP LR N 2 2020-11-28 Fixed 2.65000000 N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -427.00000000 NC -594457.55000000 -0.02079436033 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bund (FGBL) RXU0 Comdty 2020-09-08 -74844927.60000000 EUR -594457.55000000 N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAL7 110000.00000000 PA USD 107354.83000000 0.003755314435 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N Fannie Mae N/A 31397NR31 119896.18000000 PA USD 126638.15000000 0.004429852599 Long ABS-MBS USGSE US N 2 2029-06-25 Fixed 4.50000000 N N N N N N Sequoia Mortgage Trust N/A 81746LCC4 9589.29000000 PA USD 9711.38000000 0.000339707915 Long ABS-MBS CORP US N 2 2045-07-25 Variable 3.70000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAH7 3100000.00000000 PA USD 3592514.39000000 0.125667574978 Long DBT CORP US N 2 2050-04-01 Fixed 3.50000000 N N N N N Ashtead Capital Inc 213800J1134IW58IC398 045054AF0 5320000.00000000 PA USD 5468215.20000000 0.191280331558 Long DBT CORP US N 2 2027-08-15 Fixed 4.38000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -85.00000000 NC USD -12112.50000000 -0.00042370004 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 4250.00000000 NC N/A -12112.50000000 0.00000000 DE US Short E-mini S&P 500 Index ESU0 Index 2020-09-18 4250.00000000 USD 50.00000000 2500.00000000 USD 2020-07-17 XXXX 143734.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371JPV0 379.80000000 PA USD 436.20000000 0.000015258448 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 7.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -890237.21000000 -0.03114084988 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21245647.61000000 EUR 22986324.76000000 USD 2020-07-16 -890237.21000000 N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EBA2 3650000.00000000 PA USD 3709312.50000000 0.129753219085 Long DBT CORP GB N 2 2023-09-15 Fixed 7.75000000 N N N N N RegionalCare Hospital Partners Holdings, Inc. 549300G8ZVHRTBBBSZ90 75915TAD4 773980.03000000 PA USD 725122.54000000 0.025365073392 Long LON CORP US N 2 2025-11-17 Floating 3.93000000 N N N N N N CEC Entertainment, Inc. 549300MWTY75LB8TRO50 12513VAF3 8538856.76000000 PA USD 5037925.49000000 0.176228627229 Long LON CORP US N 2 2026-08-30 None 0.00000000 Y N N N N N CYRUSONE LP/CYRUSONE FIN N/A 000000000 3190000.00000000 PA 3444368.23000000 0.120485363678 Long DBT US N 2 2027-01-22 Fixed 1.45000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -44809.81000000 -0.00156746488 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16667296.69000000 USD 1794520000.00000000 JPY 2020-07-16 -44809.81000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 11300000.00000000 OU Notional Amount -99375.01000000 -0.00347617717 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Volkswagen International Finance NV Volkswagen International Finance NV Y sell protection 2024-12-20 115270.06000000 EUR 0.00000000 EUR 11300000.00000000 EUR -226131.70000000 N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 46432000.00000000 PA 10115986.09000000 0.353861196489 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N BANK OF MONTREAL CHICAGO N/A 000000000 1999714.00000000 PA USD 1999714.00000000 0.069950787039 Long STIV CORP US N 2 2020-11-13 Floating 0.29000000 N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 91911KAK8 1330000.00000000 PA USD 1379875.00000000 0.048268573539 Long DBT CORP CA N 2 2024-03-15 Fixed 7.00000000 N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93936HAK2 9100725.13000000 PA USD 3076326.31000000 0.107611111676 Long ABS-MBS CORP US N 2 2037-04-25 Floating 6.50000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 000000000 7010000.00000000 PA 7713806.91000000 0.269832018191 Long DBT CORP GB Y 2 2028-02-07 Fixed 2.00000000 N N N N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 110122CD8 630000.00000000 PA USD 836472.87000000 0.029260151998 Long DBT CORP US N 2 2049-10-26 Fixed 4.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -15355.81000000 -0.00053715231 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 17400000.00000000 EUR 19572042.00000000 USD 2020-09-29 -15355.81000000 N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HBC0 1900000.00000000 PA USD 1953940.72000000 0.068349619591 Long DBT CORP IT N 2 2023-01-12 Fixed 3.38000000 N N N N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097AZ4 875000.00000000 PA USD 980212.54000000 0.034288222535 Long DBT CORP GB N 2 2023-12-19 Fixed 6.00000000 N N N N N N CD&R SMOKEY BUYER INC N/A 12510CAA9 1310000.00000000 PA USD 1362269.00000000 0.047652708692 Long DBT CORP US N 2 2025-07-15 Fixed 6.75000000 N N N N N N Cumberland Park CLO Ltd 549300FV0ALYM6MGQ903 23076TAG2 2400000.00000000 PA USD 2031352.80000000 0.071057524783 Long ABS-CBDO CORP KY N 2 2028-07-20 Floating 6.79000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CW8 7380000.00000000 PA USD 7979625.00000000 0.279130440168 Long DBT CORP US N 2 2025-04-22 Fixed 9.00000000 N N N N N N Verscend Holding Corp. N/A 92531HAB3 1925293.93000000 PA USD 1877161.58000000 0.065663854891 Long LON CORP US N 2 2025-08-27 Floating 4.68000000 N N N N N N WILLIAM CARTER TGI2A0HXEYNQPU7TYV27 96926JAC1 2910000.00000000 PA USD 2997300.00000000 0.104846740080 Long DBT CORP US N 2 2027-03-15 Fixed 5.63000000 N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1162650000.00000000 OU Notional Amount 7158476.19000000 0.250406329852 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2029-07-20 10530396.62000000 MXN 0.00000000 MXN 1162650000.00000000 MXN 6616342.17000000 N N N Panther BF Aggregator 2 LP 549300474L1ZLXZY2P98 000000000 6411550.00000000 PA USD 6128371.07000000 0.214372845125 Long LON CORP CA N 2 2026-04-30 Floating 3.68000000 N N N N N N MILLICOM INTL CELLULAR 549300CTHC1CP86P2G96 600814AQ0 4550000.00000000 PA USD 4845750.00000000 0.169506252542 Long DBT CORP LU N 2 2029-03-25 Fixed 6.25000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31383SRF9 18.61000000 PA USD 19.24000000 0.000000673022 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 7.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1256173.85000000 -0.04394145836 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 345920000.00000000 MXN 13766316.46000000 USD 2020-07-16 -1256173.85000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 106587.31000000 0.003728466282 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5900000.00000000 GBP 7417922.50000000 USD 2020-07-16 106587.31000000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBR9 5080000.00000000 PA USD 5891819.97000000 0.206098194040 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N VIPER ENERGY PARTNERS LP 5299009LINL232255G03 92763MAA3 1890000.00000000 PA USD 1853938.80000000 0.064851512857 Long DBT CORP US N 2 2027-11-01 Fixed 5.38000000 N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46632HAL5 99658.40000000 PA USD 94211.07000000 0.003295540509 Long ABS-MBS CORP US N 2 2051-02-15 Variable 6.71000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BY8 680000.00000000 PA USD 673908.83000000 0.023573597550 Long DBT CORP US N 2 2050-05-01 Fixed 4.35000000 N N N N N N NovaStar Mortgage-Backed Notes N/A 66988UAB6 523948.44000000 PA USD 486316.11000000 0.017011529971 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.56000000 N N N N N N Delta Air Lines, Inc. Q2CCMS6R0AS67HJMBN42 24736CBM5 5930000.00000000 PA USD 5835120.00000000 0.204114806652 Long LON CORP US N 2 2023-04-29 Floating 5.75000000 N N N N N N Credit Suisse Mortgage Trust N/A 22545LAH2 550353.36000000 PA USD 245158.59000000 0.008575744491 Long ABS-MBS CORP US N 2 2039-12-15 Fixed 5.37000000 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568QAA5 6750000.00000000 PA USD 7047000.00000000 0.246506848613 Long DBT CORP ID Y 2 2021-11-22 Fixed 5.50000000 N N N N N N Symphony CLO Ltd N/A 87165YAC7 2250000.00000000 PA USD 2189832.75000000 0.076601216147 Long ABS-CBDO CORP KY N 2 2031-04-16 Floating 2.14000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CX1 8660000.00000000 PA USD 10232950.27000000 0.357952649790 Long DBT CORP US N 2 2060-05-01 Fixed 5.93000000 N N N N N N NATIXIS NY N/A 000000000 2375215.74000000 PA USD 2375215.74000000 0.083085986496 Long STIV CORP US N 2 2020-07-01 Fixed 0.08000000 N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AA2 750000.00000000 PA USD 748125.00000000 0.026169708545 Long DBT CORP US N 2 2021-06-01 Fixed 5.38000000 N N N N N N NEW YORK LIFE INSURANCE TAE73CY392TBWJ3O3305 64952GAT5 800000.00000000 PA USD 901518.58000000 0.031535476674 Long DBT CORP US N 2 2050-05-15 Fixed 3.75000000 N N N N N N athenahealth, Inc. 549300Z86PUW4ENZCD61 04685YAK5 6665624.99000000 PA USD 6460103.77000000 0.225976986243 Long LON CORP US N 2 2026-02-11 Floating 4.82000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -32820.82000000 -0.00114808527 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 825365744.00000000 RUB 11546806.72000000 USD 2020-07-16 -32820.82000000 N N N Credit Agricole SA 969500TJ5KRTCJQWXH05 225313AJ4 7050000.00000000 PA USD 8045812.50000000 0.281445705109 Long DBT CORP FR N 2 2025-12-23 Fixed 8.13000000 N N N N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451AX6 8191000.00000000 PA USD 9440127.50000000 0.330219395563 Long DBT CORP AU N 2 2075-10-19 Fixed 6.75000000 N N N N N N Immucor Inc 549300CSHW546WORC082 452526AB2 7080000.00000000 PA USD 6318900.00000000 0.221037622492 Long DBT CORP US N 2 2022-02-15 Fixed 11.13000000 N N N N N Golden Nugget Inc 91D14OD6M4H1RVBN7R43 38113YAC3 9210000.00000000 PA USD 5203650.00000000 0.182025736169 Long DBT CORP US N 2 2025-10-01 Fixed 8.75000000 N N N N N Hilton Worldwide Finance, LLC 549300406TN7EY0NPH20 43289DAH6 3440000.00000000 PA USD 3225000.00000000 0.112811776185 Long LON CORP US N 2 2026-06-22 Floating 1.93000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -500.75000000 -0.00001751643 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 198594.00000000 ZAR 10926.17000000 USD 2020-07-16 -500.75000000 N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 413875AS4 350000.00000000 PA USD 446099.86000000 0.015604749631 Long DBT CORP US N 2 2035-04-27 Fixed 4.85000000 N N N N N N MEG ENERGY CORP 5493002WXPTG5ZC1T326 552704AE8 5290000.00000000 PA USD 4397312.50000000 0.153819731338 Long DBT CORP CA N 2 2027-02-01 Fixed 7.13000000 N N N N N N Credit Suisse Mortgage Trust N/A 12656DAA1 7420000.00000000 PA USD 7101893.47000000 0.248427043916 Long ABS-MBS CORP US N 2 2041-12-15 Fixed 3.16000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -2036150.13000000 -0.07122533728 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 59505064.98000000 EUR 64837611.38000000 USD 2020-07-16 -2036150.13000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAM3 15056000.00000000 PA USD 15226208.08000000 0.532618783898 Long DBT CORP IE N 2 2021-10-01 Fixed 5.00000000 N N N N N N Credit Agricole SA 969500TJ5KRTCJQWXH05 225313AD7 1750000.00000000 PA USD 1898417.50000000 0.066407395384 Long DBT CORP FR N 2 2024-01-23 Fixed 7.88000000 N N N N N N AIR METHODS CORP 54930081QGNZXVDOZF63 00215JAA7 6230000.00000000 PA USD 4392150.00000000 0.153639145045 Long DBT CORP US N 2 2025-05-15 Fixed 8.00000000 N N N N N N Cleaver-Brooks Inc 549300TRZDD68CZBS255 185401AG1 3160000.00000000 PA USD 2678100.00000000 0.093680997768 Long DBT CORP US N 2 2023-03-01 Fixed 7.88000000 N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAJ4 1300000.00000000 PA USD 1335763.00000000 0.046725518323 Long DBT CORP KY N 2 2026-01-08 Fixed 3.80000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAE6 570000.00000000 PA USD 616384.34000000 0.021561368126 Long DBT CORP US N 2 2025-07-17 Fixed 4.50000000 N N N N N N Cent CLO LP 549300DCVSIJCGD38T68 15137KAL3 5240000.00000000 PA USD 4912809.16000000 0.171852008495 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 4.37000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -83547.97000000 -0.00292254105 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 6590000.00000000 CAD 4770800.33000000 USD 2020-07-16 -83547.97000000 N N N Allison Transmission Inc MWKQ3I0U1GXP2YDSZW75 019736AD9 4790000.00000000 PA USD 4778025.00000000 0.167137205242 Long DBT CORP US N 2 2024-10-01 Fixed 5.00000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZU5 9968000.00000000 PA USD 8084201.21000000 0.282788557376 Long DBT CORP US N 2 2024-10-28 Fixed 2.90000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92925CBA9 303211.69000000 PA USD 290636.56000000 0.010166581878 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.45000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AK4 650000.00000000 PA USD 667875.00000000 0.023362531789 Long DBT CORP CH N 2 2025-09-12 Fixed 7.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178NF95 26538.39000000 PA USD 28166.49000000 0.000985274966 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Dividend Solar Loans LLC N/A 255388AA8 5435251.51000000 PA USD 5478975.93000000 0.191656746151 Long ABS-O CORP US N 2 2039-08-22 Fixed 3.67000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CT0 1520000.00000000 PA USD 1497496.40000000 0.052383016655 Long DBT CORP US N 2 2021-02-08 Floating 1.40000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746804 4965.00000000 NS USD 6439605.00000000 0.225259931157 Long EP CORP US N 1 N N N Residential Accredit Loans, Inc. N/A 749241AA3 2936794.61000000 PA USD 2559813.85000000 0.089543301433 Long ABS-MBS CORP US N 2 2037-11-25 Variable 2.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415BE54 14016.11000000 PA USD 15745.73000000 0.000550791866 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200WJL6 11675.42000000 PA USD 13625.10000000 0.000476611389 Long ABS-MBS USGA US N 2 2034-04-15 Fixed 5.50000000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AH0 1640000.00000000 PA USD 1854965.69000000 0.064887433876 Long DBT CORP US N 2 2027-07-15 Fixed 3.90000000 N N N N N N Lehman XS Trust N/A 52524HAB6 236839.29000000 PA USD 266229.70000000 0.009312820257 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.34000000 N N N N N N Bluemountain CLO Ltd 549300WSX4P5CXVKVR97 09626TAJ0 3350000.00000000 PA USD 2540355.25000000 0.088862631905 Long ABS-CBDO CORP KY N 2 2028-11-20 Floating 6.13000000 N N N N N N U.S. Renal Care, Inc. 54930058SS5MF69JGN89 90290PAN4 5052074.37000000 PA USD 4868936.67000000 0.170317331434 Long LON CORP US N 2 2026-06-26 Floating 5.18000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 87754.93000000 0.003069702177 N/A DFE MX N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1345357.29000000 USD 33000000.00000000 MXN 2020-07-16 87754.93000000 N N N Massachusetts Development Finance Agency 549300UZSVMFXJK08K70 57583UCG1 400000.00000000 PA USD 414892.00000000 0.014513086339 Long DBT MUN US N 2 2041-04-01 Fixed 5.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QAE55 3216715.99000000 PA USD 3455640.56000000 0.120879674242 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412BKG6 2638.54000000 PA USD 2772.92000000 0.000096997838 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 5.00000000 N N N N N N Nomura Resecuritization Trust N/A 65540XAX5 4868000.00000000 PA USD 4602919.88000000 0.161011958853 Long ABS-MBS CORP US N 2 2046-02-26 Floating 0.69000000 N N N N N N JP Morgan Mortgage Trust N/A 466247ZN6 79377.81000000 PA USD 64403.60000000 0.002252863413 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 6.50000000 N N N N N N Amerilife Holdings LLC N/A 03078CAC8 1249772.73000000 PA USD 1190408.53000000 0.041640961443 Long LON CORP US N 2 2027-03-18 Floating 4.17000000 N N N N N N Trans Union, LLC X8NPN6PWJOM1QCTYFV34 89334GAX2 851769.90000000 PA USD 820005.70000000 0.028684123875 Long LON CORP US N 2 2026-11-16 Floating 1.93000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29279FAA7 1090000.00000000 PA USD 1155147.14000000 0.040407504067 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N Nielsen Finance LLC UJ76Y189LDMPCOCW7204 000000000 890000.00000000 PA USD 884437.50000000 0.030937973736 Long LON CORP US N 2 2025-06-05 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31375P2K1 895.32000000 PA USD 952.25000000 0.000033310081 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378GJK5 244237.17000000 PA USD 249864.57000000 0.008740361534 Long ABS-MBS USGA US N 2 2041-04-20 Fixed 3.00000000 N N N N N N Sedgwick Claims Management Services, Inc. 549300BIN4DWJG5VWF64 81527CAL1 3870528.96000000 PA USD 3665712.18000000 0.128228062638 Long LON CORP US N 2 2025-12-31 Floating 3.43000000 N N N N N N Catskill Park CLO Ltd 549300QY7L9WFVGWC115 149421AA7 7600000.00000000 PA USD 6348280.00000000 0.222065346518 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 7.14000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 115.00000000 NC USD 396750.00000000 0.013878472000 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 5750.00000000 NC N/A 396750.00000000 0.01000000 DE US Long E-mini S&P 500 Index ESU0 Index 2020-09-18 5750.00000000 USD 50.00000000 2800.00000000 USD 2020-09-18 XXXX -142554.00000000 N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAD8 340000.00000000 PA USD 343694.72000000 0.012022577311 Long DBT CORP US N 2 2026-06-01 Fixed 3.00000000 N N N N N N NAVIOS MARITIME ACQ CORP N/A 63938MAD8 130000.00000000 PA USD 73450.00000000 0.002569310065 Long DBT CORP XX N 2 2021-11-15 Fixed 8.13000000 N N N N N N Radiology Partners Inc 549300SFTAG2177WUZ08 75041EAB8 1340000.00000000 PA USD 1248991.22000000 0.043690207121 Long LON CORP US N 2 2025-07-09 Floating 5.99000000 N N N N N N JP Morgan ReRemic 5493004MQHFTPQUDN572 46643NAE5 688597.03000000 PA USD 685367.99000000 0.023974443501 Long ABS-MBS CORP US N 2 2046-07-27 Floating 0.38000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAJ4 1400000.00000000 PA USD 1871285.47000000 0.065458306238 Long DBT CORP US N 2 2039-01-25 Fixed 5.48000000 N N N N N Morgan Stanley Mortgage Loan Trust N/A 61748HGR6 422905.67000000 PA USD 395027.01000000 0.013818201128 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.50000000 N N N N N N Delta Air Lines Inc Q2CCMS6R0AS67HJMBN42 247361ZM3 6801000.00000000 PA USD 6613897.28000000 0.231356744081 Long DBT CORP US N 2 2021-04-19 Fixed 3.40000000 N N N N N N Mileage Plus Holdings LLC N/A 000000000 12850000.00000000 PA USD 12780018.90000000 0.447050118384 Long LON CORP US N 2 2027-06-25 None 0.00000000 N N N N N N MELCO RESORTS FINANCE N/A 58547DAD1 8230000.00000000 PA USD 8185890.33000000 0.286345683034 Long DBT CORP KY N 2 2029-12-04 Fixed 5.38000000 N N N N N J2 CLOUD LLC/CLOUD INC N/A 466253AA9 3930000.00000000 PA USD 3998775.00000000 0.139878731880 Long DBT CORP US N 2 2025-07-15 Fixed 6.00000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAS4 1060000.00000000 PA USD 1333013.60000000 0.046629343223 Long DBT CORP KZ N 2 2048-10-24 Fixed 6.38000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BP3 3770000.00000000 PA USD 3868962.50000000 0.135337839261 Long DBT CORP GB N 2 2028-03-23 Fixed 6.50000000 N N N N N N SVENSKA NY N/A 000000000 5000510.00000000 PA USD 5000510.00000000 0.174919818583 Long STIV CORP US N 2 2020-07-22 Floating 0.41000000 N N N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AG6 830000.00000000 PA USD 826887.50000000 0.028924851962 Long DBT CORP US N 2 2025-05-01 Fixed 5.38000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376G5P1 6039522.16000000 PA USD 53542.18000000 0.001872926643 Long ABS-MBS USGA US N 2 2047-03-16 Variable 0.31000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -186482.92000000 -0.00652324633 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4630000.00000000 AUD 3008944.40000000 USD 2020-07-16 -186482.92000000 N N N DEUTSCHE TELEKOM INT FIN 529900ERDFHS6C1M4U58 25156PAV5 3727000.00000000 PA USD 3886003.55000000 0.135933941934 Long DBT CORP NL N 2 2023-09-19 Fixed 2.49000000 N N N N N N LIFEPOINT HEALTH INC 549300G8ZVHRTBBBSZ90 53219LAS8 3780000.00000000 PA USD 3572100.00000000 0.124953471538 Long DBT CORP US N 2 2027-02-15 Fixed 4.38000000 N N N N N Banc of America Funding Corporation 549300R847L762RQF071 05990RAM3 17867837.45000000 PA USD 8773143.92000000 0.306888045998 Long ABS-MBS CORP US N 2 2030-01-27 Variable 9.26000000 N Y N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229BB1 2610000.00000000 PA USD 2733400.80000000 0.095615441635 Long DBT CORP US N 2 2025-06-01 Fixed 4.88000000 N N N N N CREDIT AGRICOLE CIB, NY N/A 000000000 1000178.00000000 PA USD 1000178.00000000 0.034986622226 Long STIV CORP US N 2 2020-07-20 Floating 0.50000000 N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513JB42 2420000.00000000 PA USD 2870991.20000000 0.100428408274 Long DBT NUSS IL N 2 2050-07-03 Fixed 3.88000000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAZ0 1970000.00000000 PA USD 2006702.60000000 0.070195251033 Long DBT CORP IT N 2 2022-07-14 Fixed 3.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X62B6 300000.00000000 PA USD 320436.06000000 0.011208980180 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.50000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBD7 720000.00000000 PA USD 763226.40000000 0.026697961493 Long DBT CORP US N 2 2031-03-01 Fixed 4.25000000 N N N N N N HarborView Mortgage Loan Trust N/A 411640AB1 993751.44000000 PA USD 917980.38000000 0.032111316952 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.18000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 177994.34000000 0.006226312448 N/A DFE CA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 21195126.01000000 USD 29010000.00000000 CAD 2020-10-16 177994.34000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 174.00000000 NC USD 54375.00000000 0.001902059017 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 8700.00000000 NC N/A 54375.00000000 0.00000000 DE US Long E-mini S&P 500 Index ESU0 Index 2020-09-18 8700.00000000 USD 50.00000000 2700.00000000 USD 2020-07-17 XXXX -541615.40000000 N N N JB Poindexter & Co Inc 549300W6P81HOZZGPQ16 730481AJ7 2911000.00000000 PA USD 2940110.00000000 0.102846211249 Long DBT CORP US N 2 2026-04-15 Fixed 7.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412V3S5 7199.44000000 PA USD 8006.78000000 0.000280080332 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6.50000000 N N N N N N Seattle Spinco, Inc. 213800AAQDP1DDU8BK05 81271EAB7 3039772.01000000 PA USD 2849786.26000000 0.099686651081 Long LON CORP US N 2 2024-06-21 Floating 2.68000000 N N N N N N GreenPoint Mortgage Funding Trust N/A 39538RAB5 1012338.22000000 PA USD 867782.09000000 0.030355360903 Long ABS-MBS CORP US N 2 2045-06-25 Floating 0.62000000 N N N N N N Endo Luxembourg Finance Company I S.a r.l. 5493007TBMWZWGZIB256 000000000 2477230.76000000 PA USD 2334170.68000000 0.081650214055 Long LON CORP LU N 2 2024-04-29 Floating 5.00000000 N N N N N N VISHAY INTERTECHNOLOGY 5493009O8F3QQJTCQR75 928298AP3 6010000.00000000 PA USD 5604843.72000000 0.196059651254 Long DBT CORP US N 2 2025-06-15 Fixed 2.25000000 N N N N N Vishay Intertechnology Inc USD XXXX N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PAP3 140000.00000000 PA USD 164631.25000000 0.005758866272 Long DBT CORP US N 2 2025-12-01 Fixed 4.75000000 N N N N N N Bluemountain CLO Ltd 549300WSX4P5CXVKVR97 09626RAW5 2925000.00000000 PA USD 2878510.05000000 0.100691420622 Long ABS-CBDO CORP KY N 2 2028-11-20 Floating 1.43000000 N N N N N N PRIME SECSRVC BRW/FINANC N/A 74166MAC0 2720000.00000000 PA USD 2818600.00000000 0.098595743366 Long DBT CORP US N 2 2026-04-15 Fixed 5.75000000 N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BX0 1520000.00000000 PA USD 1494513.00000000 0.052278656143 Long DBT CORP US N 2 2040-05-01 Fixed 4.25000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LRW1 2949699.82000000 PA USD 2668532.37000000 0.093346318284 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.46000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BM5 2050000.00000000 PA USD 2496226.66000000 0.087318996364 Long DBT CORP US N 2 2038-04-01 Fixed 5.38000000 N N N N N N Virginia Housing Development Authority 549300LW3QBOVLQBP895 92812ULT3 485976.11000000 PA USD 535268.67000000 0.018723909891 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 6.00000000 N N N N N N UNION BANK OF SWITZERLAND, STAMFORD N/A 000000000 6997410.00000000 PA USD 6997410.00000000 0.244772170789 Long STIV CORP US N 2 2020-12-04 Floating 0.41000000 N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -327930.26000000 -0.01147113026 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 23340000.00000000 BRL 3961169.00000000 USD 2020-07-16 -327930.26000000 N N N Amkor Technology Inc 529900VHLRTKPWZJBM84 031652BK5 860000.00000000 PA USD 920518.20000000 0.032200090900 Long DBT CORP US N 2 2027-09-15 Fixed 6.63000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BD8 1771000.00000000 PA USD 2274605.40000000 0.079566596990 Long DBT CORP US N 2 2044-09-15 Fixed 4.90000000 N N N N N N Cheniere Energy Inc MIHC87W9WTYSYZWV1J40 16411RAF6 4100000.00000000 PA USD 4139770.08000000 0.144810795573 Long DBT CORP US N 2 2021-05-28 Fixed 4.88000000 N N Y N N Cheniere Energy Inc USD XXXX N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X3AJ7 4483118.90000000 PA USD 4774579.95000000 0.167016696030 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N Mitsubishi UFJ Trust & Bank Co N/A 000000000 5000650.00000000 PA USD 5000650.00000000 0.174924715839 Long STIV CORP US N 2 2020-09-21 Fixed 0.41000000 N N N N N Noble Energy Inc 02VFQXG2D1LR5ZH3K186 655044AP0 1910000.00000000 PA USD 1845010.63000000 0.064539201938 Long DBT CORP US N 2 2028-01-15 Fixed 3.85000000 N N N N N N Talen Energy Supply LLC K5K33XN0PQAU1XF7NN66 87422VAE8 5110000.00000000 PA USD 4036900.00000000 0.141212359467 Long DBT CORP US N 2 2026-01-15 Fixed 10.50000000 N N N N N N INTL LEASE FINANCE CORP N/A 459745GK5 2500000.00000000 PA USD 2685799.65000000 0.093950334571 Long DBT CORP US N 2 2022-01-15 Fixed 8.63000000 N N N N N N Tendam Brands SAU 959800F8A7CLAN0C2203 000000000 1350000.00000000 PA 1310407.43000000 0.045838570451 Long DBT CORP ES N 2 2024-09-15 Fixed 5.00000000 N N N N N N Cook Park CLO, Ltd N/A 21623RAA1 750000.00000000 PA USD 643671.75000000 0.022515892526 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 6.53000000 N N N N N N CUMBERLAND PARK CLO LTD 549300FV0ALYM6MGQ903 23076RAQ4 1250000.00000000 PA USD 1186057.50000000 0.041488760692 Long ABS-CBDO CORP KY N 2 2028-07-20 Floating 3.84000000 N N N N N N Freddie Mac - STACR N/A 3137G0MD8 11730000.00000000 PA USD 11832450.99000000 0.413903817924 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 3.43000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JGLX1 490290.36000000 PA USD 535237.96000000 0.018722835643 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -0.91000000 -0.00000003183 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2000.00000000 INR 25.54000000 USD 2020-07-16 -0.91000000 N N N Newell Brands Inc 549300LWGYFM1TVO1Z12 651229AV8 1153000.00000000 PA USD 1187359.40000000 0.041534301669 Long DBT CORP US N 2 2023-04-01 Fixed 4.35000000 N N N N N N Reynolds Group Holdings Inc. 5493002QNV81KCX40V06 76173FAU1 5318958.75000000 PA USD 5088913.78000000 0.178012217790 Long LON CORP US N 2 2023-02-05 Floating 2.93000000 N N N N N N L Brands Inc GR3KVMWVCR54YWQNXU90 501797AN4 6702000.00000000 PA USD 5302399.02000000 0.185480015965 Long DBT CORP US N 2 2028-02-01 Fixed 5.25000000 N N N N N VICI PROPERTIES / NOTE N/A 92564RAB1 11740000.00000000 PA USD 11446500.00000000 0.400403099567 Long DBT US N 2 2029-12-01 Fixed 4.63000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382AKD6 1510645.13000000 PA USD 1624003.94000000 0.056808300466 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.00000000 N N N N N N BAUSCH HEALTH AMERICAS KOO0397YRO83WY5MGD97 91911XAW4 7480000.00000000 PA USD 7938150.00000000 0.277679628255 Long DBT CORP US N 2 2027-01-31 Fixed 8.50000000 N N N N N N PPM CLO 3 Ltd. 549300UEAJV6RALDS969 69355EAA3 3200000.00000000 PA USD 3161676.80000000 0.110596705591 Long ABS-CBDO CORP KY N 2 2030-07-17 Variable 2.53000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -30227.11000000 -0.00105735626 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1156712.90000000 USD 6130000.00000000 BRL 2020-07-16 -30227.11000000 N N N GLENCORE FINANCE CANADA 5493005TTO0UJ33KCK70 98417EAT7 788000.00000000 PA USD 833034.20000000 0.029139865961 Long DBT CORP CA N 2 2022-10-25 Fixed 4.25000000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713AY2 1640000.00000000 PA USD 1826792.34000000 0.063901918944 Long DBT CORP US N 2 2023-09-15 Fixed 4.85000000 N N N N N N Boyne USA Inc N/A 103557AA2 3470000.00000000 PA USD 3634825.00000000 0.127147616859 Long DBT CORP US N 2 2025-05-01 Fixed 7.25000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BQ4 360000.00000000 PA USD 424983.15000000 0.014866078759 Long DBT CORP NL N 2 2046-05-10 Fixed 4.00000000 N N N N N N Fannie Mae - CAS N/A 20753WAE6 11030000.00000000 PA USD 9043354.71000000 0.316340126359 Long ABS-MBS USGSE US N 2 2039-10-25 Floating 3.58000000 N N N N N N LMA AMERICAS LLC N/A 000000000 2997402.00000000 PA USD 2997402.00000000 0.104850308081 Long STIV CORP US N 2 2020-10-06 Fixed 0.95000000 N N N N N CO-OP GRP HLDS 213800TAO69X5H284Q39 000000000 2410000.00000000 PA 3403603.27000000 0.119059389246 Long DBT CORP GB Y 2 2026-07-08 Variable 7.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 22545DAG2 472390.12000000 PA USD 237434.28000000 0.008305545071 Long ABS-MBS CORP US N 2 2038-06-15 Variable 6.63000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BN8 1260000.00000000 PA USD 1256724.00000000 0.043960702826 Long DBT CORP GB N 2 2023-03-23 Fixed 6.25000000 N N N N N SOUTHERN NATURAL GAS N/A 843452AZ6 25000.00000000 PA USD 36237.27000000 0.001267594044 Long DBT CORP US N 2 2032-03-01 Fixed 8.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 7273.87000000 0.000254442850 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 235705812.00000000 JPY 2190596.86000000 USD 2020-07-16 7273.87000000 N N N VOC Escrow Ltd N/A 91832VAA2 6560000.00000000 PA USD 4870800.00000000 0.170382511455 Long DBT CORP BM N 2 2028-02-15 Fixed 5.00000000 N N N N N LADDER CAP FIN LLLP/CORP N/A 505742AF3 1358000.00000000 PA USD 1290100.00000000 0.045128208513 Long DBT CORP US N 2 2022-03-15 Fixed 5.25000000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756BX7 2970000.00000000 PA USD 3359961.00000000 0.117532765371 Long DBT NUSS BR N 2 2026-04-07 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -404680.29000000 -0.01415587668 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16850426.07000000 USD 1172210000.00000000 RUB 2020-07-16 -404680.29000000 N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAK2 39000.00000000 PA USD 41671.03000000 0.001457669119 Long DBT CORP US N 2 2025-07-15 Fixed 3.95000000 N N N N N N MUFG Bank Ltd, New York Branch N/A 000000000 2001678.00000000 PA USD 2001678.00000000 0.070019488536 Long STIV CORP US N 2 2020-08-03 Fixed 1.15000000 N N N N N UCFC Manufactured Housing Contract N/A 90263ABH2 2692651.86000000 PA USD 2584909.70000000 0.090421164197 Long ABS-O CORP US N 2 2029-04-15 Variable 7.10000000 N N N N N N Comstock Resources Inc I03QQGEA4SS774AURI46 22304LAA8 1160000.00000000 PA USD 1051250.00000000 0.036773140996 Long DBT CORP US N 2 2025-05-15 Fixed 7.50000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AE4 9253000.00000000 PA USD 8667470.16000000 0.303191536056 Long DBT CORP US N 2 2025-06-01 Fixed 3.95000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 164502000.00000000 OU Notional Amount USD 735917.79000000 0.025742695508 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2024-08-31 96351.33000000 USD 0.00000000 USD 164502000.00000000 USD 639566.46000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A25F5 3409107.98000000 PA USD 3616108.06000000 0.126492890891 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.00000000 N N N N N N DIVERSIFIED HEALTHCARE T N/A 25525PAA5 6580000.00000000 PA USD 7065275.00000000 0.247146115345 Long DBT US N 2 2025-06-15 Fixed 9.75000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZZ4 5110000.00000000 PA USD 4943404.50000000 0.172922245596 Long DBT CORP US N 2 2026-01-15 Fixed 7.38000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -152137.09000000 -0.00532181561 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4450605.21000000 USD 98980000.00000000 MXN 2020-07-16 -152137.09000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -361674.02000000 -0.01265150033 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2558420000.00000000 JPY 23336753.91000000 USD 2020-07-16 -361674.02000000 N N N Viking Cruises Ltd 549300IJP90T4MV2GL84 92676XAD9 8192000.00000000 PA USD 4877271.04000000 0.170608870995 Long DBT CORP BM N 2 2027-09-15 Fixed 5.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200NBP5 32971.81000000 PA USD 38403.15000000 0.001343357383 Long ABS-MBS USGA US N 2 2034-01-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617K1Y72 98877.68000000 PA USD 106425.56000000 0.003722808203 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 4.00000000 N N N N N N L Brands Inc GR3KVMWVCR54YWQNXU90 501797AQ7 180000.00000000 PA USD 152100.00000000 0.005320518188 Long DBT CORP US N 2 2027-01-15 Fixed 6.69000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BM5 2290000.00000000 PA USD 2284275.00000000 0.079904843425 Long DBT CORP US N 2 2027-11-15 Fixed 3.88000000 N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -351655.69000000 -0.01230105519 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13050000.00000000 CAD 9261279.87000000 USD 2020-07-16 -351655.69000000 N N N Nexstar Broadcasting, Inc. 5493006PK6I4I2OOT688 65336RAW8 7651394.14000000 PA USD 7297517.16000000 0.255270038003 Long LON CORP US N 2 2026-09-18 Floating 2.92000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AJ4 7610000.00000000 PA USD 8488270.10000000 0.296923047045 Long DBT CORP US N 2 2028-09-01 Fixed 5.63000000 N N N N N MidOcean Credit CLO 5493004MLF21SFT7F415 59801WAJ5 4000000.00000000 PA USD 3582076.00000000 0.125302435966 Long ABS-CBDO CORP KY N 2 2029-07-15 Floating 5.10000000 N N N N N N Banc of America Funding Corporation 54930023UHZHF7UJ8596 05990QAE3 16461303.76000000 PA USD 10979271.49000000 0.384059261397 Long ABS-MBS CORP US N 2 2037-02-27 Variable 0.30000000 N Y N N N N Sedgwick Claims Management Services, Inc. 549300BIN4DWJG5VWF64 81527CAN7 3110000.00000000 PA USD 3024475.00000000 0.105797332334 Long LON CORP US N 2 2026-09-03 Floating 5.25000000 N N N N N N Freddie Mac - STACR N/A 3137G0NX3 17780000.00000000 PA USD 18019315.24000000 0.630322777633 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 3.63000000 N N N N N N ENDEAVOR ENERGY RESOURCE N/A 29260FAD2 5075000.00000000 PA USD 4859312.50000000 0.169980674159 Long DBT CORP US N 2 2026-01-30 Fixed 5.50000000 N N N N N N Freddie Mac N/A 3128M9PU0 73924.07000000 PA USD 86380.11000000 0.003021610429 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 7.00000000 N N N N N N Aimco 549300MMTPNJGGRMPB33 00900CAG9 6750000.00000000 PA USD 6371129.25000000 0.222864622325 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 4.82000000 N N N N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818EV6 535000.00000000 PA USD 658771.55000000 0.023044089505 Long DBT CORP US N 2 2038-09-10 Fixed 4.38000000 N N N N N N PANOCHE ENERGY CENTER N/A 698525AA0 580085.32000000 PA USD 511764.80000000 0.017901735217 Long DBT CORP US N 2 2029-07-31 Fixed 6.89000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CN8 1440000.00000000 PA USD 1854763.59000000 0.064880364338 Long DBT CORP US N 2 2045-07-20 Fixed 5.13000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BW8 2294000.00000000 PA USD 2566523.39000000 0.089778003797 Long DBT CORP US N 2 2027-06-06 Fixed 3.70000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -109143.22000000 -0.00381787302 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20410000.00000000 BRL 3641521.55000000 USD 2020-07-16 -109143.22000000 N N N Jaguar Holding Company II N/A 47009YAK3 6102669.61000000 PA USD 6013851.36000000 0.210366900352 Long LON CORP US N 2 2022-08-18 Floating 3.50000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AD6 1900000.00000000 PA USD 1582320.00000000 0.055350179749 Long DBT CORP US N 2 2044-04-01 Fixed 5.45000000 N N N N N N Froneri International Ltd. N/A 000000000 2780000.00000000 PA 3015748.86000000 0.105492088504 Long LON CORP GB N 2 2027-01-29 Floating 2.63000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBK0 200000.00000000 PA USD 227981.04000000 0.007974866995 Long DBT CORP GB N 2 2030-06-20 Fixed 5.09000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 601342.17000000 0.021035187067 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8893974.13000000 USD 91390000.00000000 NOK 2020-07-16 601342.17000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175BK9 5760000.00000000 PA USD 6457020.13000000 0.225869119296 Long DBT CORP US N 2 2028-03-15 Fixed 4.20000000 N N N N N Michaels Stores, Inc. BV4WJ23XIGNG4UDYEK73 594088AQ9 10097069.46000000 PA USD 9280872.85000000 0.324648604886 Long LON CORP US N 2 2023-01-30 Floating 3.57000000 N N N N N N New Residential Mortgage Loan Trust N/A 64830WAD3 6215341.86000000 PA USD 6575068.44000000 0.229998495893 Long ABS-MBS CORP US N 2 2058-12-25 Variable 3.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 235754.70000000 0.008246792697 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 37838832.25000000 USD 4110432347.00000000 JPY 2020-07-16 235754.70000000 N N N CIC NY N/A 000000000 1000122.00000000 PA USD 1000122.00000000 0.034984663324 Long STIV CORP US N 2 2020-07-20 Floating 0.51000000 N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -4751451.21000000 -0.16620764355 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 70872661.00000000 AUD 44161818.16000000 USD 2020-07-16 -4751451.21000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828Z52 550000.00000000 PA USD 577865.23000000 0.020213954416 Long DBT UST US N 2 2025-01-31 Fixed 1.38000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBF9 829000.00000000 PA USD 1086910.42000000 0.038020556599 Long DBT CORP US N 2 2049-02-14 Fixed 5.95000000 N N N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097BA8 400000.00000000 PA USD 462806.44000000 0.016189152411 Long DBT CORP GB N 2 2026-04-05 Fixed 4.80000000 N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAN3 1376000.00000000 PA USD 1534624.63000000 0.053681776833 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 1445832.25000000 0.050575784244 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20942988.81000000 USD 515543084.00000000 MXN 2020-07-16 1445832.25000000 N N N Midwest Vanadium Pty Ltd N/A 59841RAA7 932290.28000000 PA USD 0.01000000 0.000000000349 Long DBT CORP AU N 3 2018-02-15 None 0.00000000 Y N N N N N Deerfield Dakota Holding, LLC 549300FDREJLOIGXY104 24440EAF4 7060000.00000000 PA USD 6759950.00000000 0.236465726022 Long LON CORP US N 2 2028-04-07 Floating 9.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -77872.17000000 -0.00272399932 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 36500000.00000000 MXN 1507236.80000000 USD 2020-07-16 -77872.17000000 N N N New Residential Mortgage Loan Trust N/A 64830EAC5 7753756.93000000 PA USD 8273878.94000000 0.289423559430 Long ABS-MBS CORP US N 2 2058-11-25 Variable 3.75000000 N N N N N N MILLICOM INTL CELLULAR 549300CTHC1CP86P2G96 600814AP2 4290000.00000000 PA USD 4567563.00000000 0.159775161199 Long DBT CORP LU N 2 2026-10-15 Fixed 6.63000000 N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746NL1 90000.00000000 PA USD 108433.48000000 0.003793046039 Long DBT CORP US N 2 2036-12-15 Fixed 5.95000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -2856876.86000000 -0.09993468307 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 304040554172.00000000 IDR 18393257.97000000 USD 2020-07-16 -2856876.86000000 N N N Countrywide Home Equity Loan Trust N/A 23242QAE2 173473.98000000 PA USD 164084.28000000 0.005739733045 Long ABS-O CORP US N 2 2036-07-15 Floating 0.32000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Z60 23960000.00000000 PA USD 24414865.74000000 0.854041664947 Long DBT UST US N 2 2022-01-31 Fixed 1.38000000 N N N N N N AXA SA F5WCUMTUM4RKZ1MAIE39 054536AA5 1320000.00000000 PA USD 1917184.04000000 0.067063856380 Long DBT CORP FR N 2 2030-12-15 Fixed 8.60000000 N N N N N SPEEDWAY MOT/SPEEDWAY FD N/A 84779MAA2 1835000.00000000 PA USD 1669850.00000000 0.058412013787 Long DBT CORP US N 2 2027-11-01 Fixed 4.88000000 N N N N N N Ultimate Software Group Inc(The) 529900FKHWSTQ1GXK240 90385KAB7 4029550.00000000 PA USD 3909384.79000000 0.136751826961 Long LON CORP US N 2 2026-05-04 Floating 3.93000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -28750.28000000 -0.00100569617 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8752784.13000000 USD 7040000.00000000 GBP 2020-07-16 -28750.28000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 -68.00000000 NC -14093.33000000 -0.00049299026 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Short United Kingdom Gilt G U0 Comdty 2020-09-28 -9348146.16000000 GBP -14093.33000000 N N N Whatabrands LLC 254900HMMX4HTWIP0085 96244UAD9 1416441.10000000 PA USD 1358898.18000000 0.047534796074 Long LON CORP US N 2 2026-07-31 Floating 2.93000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -171792.48000000 -0.00600936893 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6452760.90000000 EUR 7080033.79000000 USD 2020-07-16 -171792.48000000 N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AB0 1135000.00000000 PA USD 1131368.00000000 0.039575700340 Long DBT CORP US N 2 2022-07-01 Fixed 4.00000000 N N N N N N Fannie Mae - CAS N/A 20753WAF3 7610000.00000000 PA USD 7376538.14000000 0.258034223154 Long ABS-MBS USGSE US N 2 2039-10-25 Floating 2.28000000 N N N N N N EMC Mortgage Loan Trust N/A 268668EK2 30783.95000000 PA USD 30737.70000000 0.001075216909 Long ABS-MBS CORP US N 2 2043-05-25 Floating 1.08000000 N N N N N N Tendam Brands SAU 959800F8A7CLAN0C2203 000000000 3750000.00000000 PA 3623286.10000000 0.126743981571 Long DBT CORP ES N 2 2024-09-15 Floating 5.25000000 N N N N N N OPEN TEXT CORP 549300HP7ONDQODZJV16 683715AC0 1540000.00000000 PA USD 1482727.40000000 0.051866391191 Long DBT CORP CA N 2 2028-02-15 Fixed 3.88000000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87265VAF5 2800000.00000000 PA USD 2800000.00000000 0.097945108005 Long LON CORP US N 2 2027-04-01 Floating 3.18000000 N N N N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 000000000 9000000.00000000 PA USD 9000000.00000000 0.314823561447 Long RA CORP US N 2 Repurchase Y 0.43000000 2020-08-04 18648.97000000 USD 449999.57000000 USD ACMO 392642.05000000 USD 9450000.76000000 USD EQT N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -125494.25000000 -0.00438983852 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4802339.84000000 USD 25450000.00000000 BRL 2020-07-16 -125494.25000000 N N N CIBC NY N/A 000000000 8002568.00000000 PA USD 8002568.00000000 0.279932995387 Long STIV CORP US N 2 2020-08-06 Floating 0.43000000 N N N N N Hudbay Minerals Inc 549300WI524AL577IX21 443628AG7 6790000.00000000 PA USD 6501425.00000000 0.227422419220 Long DBT CORP CA N 2 2025-01-15 Fixed 7.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620E0CY0 463448.19000000 PA USD 471354.38000000 0.016488162735 Long ABS-MBS USGA US N 2 2060-05-20 Floating 1.91000000 N N N N N N Countrywide Asset-Backed Certificates N/A 1266716N1 89484.40000000 PA USD 88263.98000000 0.003087508947 Long ABS-O CORP US N 2 2034-06-25 Floating 2.06000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200MQ55 2320.88000000 PA USD 2738.30000000 0.000095786817 Long ABS-MBS USGA US N 2 2033-07-15 Fixed 6.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -3.80000000 -0.00000013292 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5000.00000000 PHP 96.49000000 USD 2020-07-16 -3.80000000 N N N Small Business Administration N/A 831641FH3 3330193.74000000 PA USD 3558288.37000000 0.124470335255 Long ABS-O USGA US N 2 2027-03-10 Fixed 2.85000000 N N N N N N Whitehorse Ltd N/A 96525YAJ8 6180000.00000000 PA USD 5328346.56000000 0.186387671182 Long ABS-CBDO CORP KY N 2 2031-10-15 Variable 4.87000000 N N N N N N PDC Energy Inc 5493008W8H2T511J5Y59 69327RAD3 3981000.00000000 PA USD 3646523.78000000 0.127556844813 Long DBT CORP US N 2 2021-09-15 Fixed 1.13000000 N N N N Y PDC Energy Inc USD XXXX N N N APi Group DE, Inc. 549300XP4G7B4QYA0G83 00186XAB9 7372950.00000000 PA USD 7156369.59000000 0.250332640150 Long LON CORP US N 2 2026-10-01 Floating 2.68000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 336153.14000000 0.011758769858 N/A DFE XX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9791156.44000000 USD 9011400.00000000 EUR 2020-07-16 336153.14000000 N N N Delta Air Lines Inc Q2CCMS6R0AS67HJMBN42 247361ZP6 50000.00000000 PA USD 44506.36000000 0.001556850084 Long DBT CORP US N 2 2023-04-19 Fixed 3.80000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAQ8 300000.00000000 PA USD 339375.00000000 0.011871471796 Long DBT CORP KZ N 2 2030-04-24 Fixed 5.38000000 N N N N N N 8th Avenue Food & Provisions, Inc. 549300PBCACU45IZ2V05 28253PAD1 1452297.00000000 PA USD 1396020.49000000 0.048833349168 Long LON CORP US N 2 2026-10-01 None 0.00000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDE7 4530000.00000000 PA USD 4813125.00000000 0.168365017132 Long DBT CORP US N 2 2025-04-01 Fixed 7.50000000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAB6 8110000.00000000 PA USD 9878791.00000000 0.345564018379 Long DBT NUSS AE N 2 2047-10-11 Fixed 4.13000000 N N N N N N Sound Point CLO LTD 549300RTEBF0FW35D815 83611JAA3 3000000.00000000 PA USD 2881554.00000000 0.100797899198 Long ABS-CBDO CORP KY N 2 2031-07-26 Floating 2.09000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PAY7 8900000.00000000 PA USD 12095829.80000000 0.423116912922 Long DBT NUSS QA N 2 2048-04-23 Fixed 5.10000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -147285.29000000 -0.00515209772 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 6230000.00000000 EUR 6854194.91000000 USD 2020-07-16 -147285.29000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDU5 660000.00000000 PA USD 893234.48000000 0.031245695577 Long DBT CORP US N 2 2037-03-16 Fixed 5.25000000 N N N N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAR1 2820000.00000000 PA USD 2768168.40000000 0.096831626041 Long DBT CORP XX N 2 2027-08-15 Fixed 5.25000000 N N N N N N FRESENIUS MED CARE II 5493008GJ5TVVTY4UM62 35802XAJ2 700000.00000000 PA USD 757820.29000000 0.026508853626 Long DBT CORP US N 2 2024-10-15 Fixed 4.75000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400FW8 1217000.00000000 PA USD 1353308.66000000 0.047339272453 Long DBT CORP US N 2 2043-03-15 Fixed 3.90000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 771751.86000000 0.026996185457 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8662695.54000000 USD 13670000.00000000 AUD 2020-07-16 771751.86000000 N N N Morgan Stanley Capital I Trust N/A 61750WAZ6 321263.51000000 PA USD 213299.69000000 0.007461307562 Long ABS-MBS CORP US N 2 2043-12-15 Fixed 5.40000000 N N N N N N AMERICAN NEWS COMPANY N/A 02862PAA5 17809799.00000000 PA USD 19590778.90000000 0.685293198314 Long DBT CORP US N 2 2026-09-01 Floating 8.50000000 N N Y N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -123945.25000000 -0.00433565389 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 242278064.00000000 MXN 10397620.05000000 USD 2020-07-16 -123945.25000000 N N N Genesee & Wyoming Inc. (New) G617XSG94Z7G0RMW3L02 55316HAB1 4977525.00000000 PA USD 4812022.29000000 0.168326443900 Long LON CORP US N 2 2026-12-30 Floating 2.31000000 N N N N N N ACProducts, Inc. N/A 00489DAH4 4293000.00000000 PA USD 4192380.67000000 0.146651134830 Long LON CORP US N 2 2025-08-18 Floating 7.50000000 N N N N N N TBA WESTERN/LEHMAN RECEIVABLE LBI LEHESC R(LEH ESCROW REC) N/A 000000000 381040.98000000 PA USD 5144.05000000 0.000179940904 Long DBT CORP US N 2 2099-09-15 None 0.00000000 N N N N N N EL PASO NATURAL GAS N/A 283695BK9 190000.00000000 PA USD 253760.26000000 0.008876634311 Long DBT CORP US N 2 2032-06-15 Fixed 8.38000000 N N N N N N Marathon CLO LTD N/A 56578HAJ5 2950000.00000000 PA USD 2826595.60000000 0.098875432618 Long ABS-CBDO CORP KY N 2 2033-01-20 Variable 5.20000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -41719.82000000 -0.00145937581 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1605114.97000000 USD 36000000.00000000 MXN 2020-07-16 -41719.82000000 N N N Range Resources Corp H3Y3WLYCX0BTO1TRW162 75281AAY5 1350000.00000000 PA USD 1228500.00000000 0.042973416137 Long DBT CORP US N 2 2022-08-15 Fixed 5.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 39600000.00000000 OU Notional Amount 310411.25000000 0.010858308359 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Brazil Cetip DI Interbank Deposit Rate BZDIOVRA Index Y 2027-01-04 68227.59000000 BRL 0.00000000 BRL 39600000.00000000 BRL 291682.64000000 N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 000000000 18280000.00000000 PA USD 7586382.80000000 0.265374672399 Long DBT NUSS AR N 2 2023-02-15 Fixed 6.50000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07384YLE4 11659.62000000 PA USD 10267.25000000 0.000359152467 Long ABS-MBS CORP US N 2 2034-01-25 Floating 0.92000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAY4 1942000.00000000 PA USD 2391766.40000000 0.083664935133 Long DBT CORP US N 2 2040-11-15 Fixed 5.88000000 N N N N N N BCAP LLC Trust N/A 05544JCJ7 303532.73000000 PA USD 301699.06000000 0.010553552506 Long ABS-MBS CORP US N 2 2036-10-28 Variable 0.70000000 N N N N N N Lone Star Portfolio Trust N/A 54230NAS7 5801913.93000000 PA USD 5390822.80000000 0.188573114780 Long ABS-MBS CORP US N 2 2028-09-15 Floating 7.33000000 N N N N N N IRB HOLDING CORP 549300HVW4WNWYBXN830 44988MAC9 1920000.00000000 PA USD 1975200.00000000 0.069093277618 Long DBT CORP US N 2 2025-06-15 Fixed 7.00000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 2250000.00000000 PA USD 2818832.02000000 0.098603859517 Long DBT CORP US N 2 2050-03-19 Fixed 4.33000000 N N N N N N CARLYLE HOLDINGS II FIN N/A 14310FAA0 3370000.00000000 PA USD 4034520.16000000 0.141129111722 Long DBT CORP US N 2 2043-03-30 Fixed 5.63000000 N N N N N N Air Canada 4B4HI3CGXMBDC0G6BM51 008911AZ2 1399000.00000000 PA USD 1399000.00000000 0.048937573607 Long DBT CORP CA N 2 2021-04-15 Fixed 7.75000000 N N N N N TARGA RESOURCES PARTNERS N/A 87612BBL5 10000.00000000 PA USD 10025.00000000 0.000350678467 Long DBT CORP US N 2 2027-07-15 Fixed 6.50000000 N N N N N N Suzano Austria GmbH 254900287ZNSGVP1R341 000000000 4200000.00000000 PA USD 4588500.00000000 0.160507545744 Long DBT CORP AT Y 2 2026-07-14 Fixed 5.75000000 N N N N N N Froneri International Ltd. N/A 000000000 4040000.00000000 PA USD 3814434.68000000 0.133430434540 Long LON CORP GB N 2 2027-01-29 Floating 2.43000000 N N N N N N Banc of America Funding Corporation N/A 05990TBE6 5912209.96000000 PA USD 4809917.43000000 0.168252815064 Long ABS-MBS CORP US N 2 2036-03-27 Floating 0.45000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397XQ1 2570000.00000000 PA USD 2531450.00000000 0.088551122736 Long DBT CORP US N 2 2021-01-15 Fixed 3.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200QLP7 557.61000000 PA USD 647.71000000 0.000022657152 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 6.50000000 N N N N N N MASS MUTUAL LIFE INS CO R6ZXK5P01NP6HXSY1S07 575767AL2 6285000.00000000 PA USD 8118180.52000000 0.283977167086 Long DBT CORP US N 2 2077-04-01 Fixed 4.90000000 N N N N N N Particle Investments S.a.r.l. 549300TH5VH623DTW562 000000000 3530000.00000000 PA USD 3362325.00000000 0.117615459027 Long LON CORP LU N 2 2027-05-11 None 0.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 3664000.00000000 PA USD 4201624.18000000 0.146974476467 Long DBT CORP US N 2 2025-07-23 Fixed 4.91000000 N N N N N N Telefonica Emisiones SAU 549300Y5MFC4SW5Z3K71 87938WAT0 2600000.00000000 PA USD 2967611.95000000 0.103808240343 Long DBT CORP ES N 2 2027-03-08 Fixed 4.10000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -239750.88000000 -0.00838658065 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5800000.00000000 AUD 3763160.23000000 USD 2020-07-16 -239750.88000000 N N N Ascent Capital Group Inc 549300FJ06NSN1X35841 043632108 1399556.00000000 NS USD 27991.12000000 0.000979140454 Long EC CORP US N 2 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 198.00000000 NC 240682.34000000 0.008419163495 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long 10 Year Commonwealth Treasury Bond XMU0 Comdty 2020-09-15 29111332.90000000 AUD 240682.34000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388NGF7 164.30000000 PA USD 168.91000000 0.000005908538 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 7.00000000 N N N N N N BBVA BANCOMER SA TEXAS 549300WIWQK5Q9MCUN92 05533UAF5 8480000.00000000 PA USD 7892251.20000000 0.276074070069 Long DBT CORP MX N 2 2033-01-18 Fixed 5.13000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GFD1 2000000.00000000 PA USD 2883898.76000000 0.100879919830 Long DBT CORP US N 2 2037-10-01 Fixed 6.75000000 N N N N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAE2 3680000.00000000 PA USD 3735200.00000000 0.130658774079 Long DBT CORP US N 2 2025-01-31 Fixed 5.88000000 N N N N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 000000000 2000000.00000000 PA USD 2000000.00000000 0.069960791432 Long RA CORP US N 2 Repurchase Y 0.43000000 2020-08-04 231159.25000000 USD 240566.20000000 USD UST 91832.56000000 USD 1924144.36000000 USD EQT 680.60000000 USD 16422.79000000 USD ACMO N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAF8 1240000.00000000 PA USD 1382367.59000000 0.048355765323 Long DBT CORP US N 2 2025-06-01 Fixed 4.30000000 N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -130866.62000000 -0.00457776615 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 44000000.00000000 MXN 1779949.68000000 USD 2020-07-16 -130866.62000000 N N N Countrywide Alternative Loan Trust N/A 02152ABR9 971843.44000000 PA USD 2011692.79000000 0.070369809853 Long ABS-MBS CORP US N 2 2037-08-25 Floating 37.89000000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAD2 9790000.00000000 PA USD 10096916.50000000 0.353194134685 Long DBT NUSS AE N 2 2024-09-30 Fixed 2.13000000 N N N N N N LAMB WESTON HLD 5493005SMYID1D2OY946 513272AC8 1260000.00000000 PA USD 1334982.60000000 0.046698219622 Long DBT CORP US N 2 2028-05-15 Fixed 4.88000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 1887525000.00000000 PA 28929717.14000000 1.011972953520 Long DBT NUSS RU N 2 2028-01-19 Fixed 7.05000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 7007.72000000 0.000245132818 N/A DFE XX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15861515.62000000 USD 14120000.00000000 EUR 2020-07-16 7007.72000000 N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAA3 10031000.00000000 PA USD 10868989.74000000 0.380201562142 Long DBT CORP GB N 2 2025-09-15 Fixed 4.75000000 N N N N N N MASS MUTUAL LIFE INS CO R6ZXK5P01NP6HXSY1S07 575767AQ1 800000.00000000 PA USD 823006.11000000 0.028789079404 Long DBT CORP US N 2 2050-04-15 Fixed 3.38000000 N N N N N Alta Wind Holdings LLC N/A 021345AA1 992966.18000000 PA USD 1201294.75000000 0.042021765727 Long DBT CORP US N 2 2035-06-30 Fixed 7.00000000 N N N N N N LCM Ltd Partnership N/A 50189HAC4 4100000.00000000 PA USD 3213686.60000000 0.112416028976 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 6.64000000 N N N N N N US Renal Care Inc 54930058SS5MF69JGN89 07335BAA4 3931000.00000000 PA USD 4048930.00000000 0.141633173627 Long DBT CORP US N 2 2027-07-15 Fixed 10.63000000 N N N N N BANK OF CHINA, HONG KONG BRANCH N/A 000000000 3997452.00000000 PA USD 3997452.00000000 0.139832452817 Long STIV CORP US N 2 2020-08-19 Fixed 0.55000000 N N N N N ENRGY TRANS PT/REG FIN N/A 75886AAL2 780000.00000000 PA USD 823417.26000000 0.028803461594 Long DBT CORP US N 2 2022-03-01 Fixed 5.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A3CG3 3268870.97000000 PA USD 3482766.63000000 0.121828554905 Long ABS-MBS USGA US N 2 2048-06-15 Fixed 3.50000000 N N N N N N TECK RESOURCES LIMITED T8KI5SQ2JRWHL7XY0E11 878742AS4 1774000.00000000 PA USD 1878059.54000000 0.065695265888 Long DBT CORP CA N 2 2040-08-15 Fixed 6.00000000 N N N N N N B RILEY FINANCIAL INC N/A 05580M801 98150.00000000 NS USD 2066057.50000000 0.072271508922 Long EP CORP US N 1 N N NORTHWEST ACQ/DOMINION N/A 66727WAA0 8475000.00000000 PA USD 86868.75000000 0.003038703250 Long DBT CORP CA N 2 2022-11-01 None 0.00000000 Y N N N N N Carlyle Global Market Strategies 549300VC6J79YJCFU884 14315JAJ8 9500000.00000000 PA USD 8869836.50000000 0.310270390709 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 4.84000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 87728.81000000 0.003068788489 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1866515.13000000 USD 45000000.00000000 MXN 2020-07-16 87728.81000000 N N N NATIONAL SECS CLEARING 549300RYC9NELN2ICA34 637639AB1 2000000.00000000 PA USD 2045531.24000000 0.071553492225 Long DBT CORP US N 2 2025-04-23 Fixed 1.50000000 N N N N N N Oasis Petroleum Inc 529900FA4V2YNIKZ0M71 674215AG3 9105000.00000000 PA USD 1502325.00000000 0.052551922994 Long DBT CORP US N 2 2022-03-15 Fixed 6.88000000 N N N N N N Newell Brands Inc 549300LWGYFM1TVO1Z12 651229AW6 5580000.00000000 PA USD 5844436.20000000 0.204440691015 Long DBT CORP US N 2 2026-04-01 Fixed 4.70000000 N N N N N Residential Asset Securitization Trust N/A 45660L3K3 1421285.57000000 PA USD 1441152.02000000 0.050412067947 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75000000 N N N N N N OWL ROCK CAPITAL CORP 2549000BD79OOCPF2L94 69121KAB0 8090000.00000000 PA USD 7990026.21000000 0.279494278610 Long DBT CORP US N 2 2025-03-30 Fixed 4.00000000 N N N N N N Venture CDO Ltd 549300SNYYGJ2M6QEK53 92330CAD3 4000000.00000000 PA USD 2649192.00000000 0.092669784488 Long ABS-O CORP KY N 2 2027-04-15 Floating 6.96000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50076QAE6 130000.00000000 PA USD 136932.46000000 0.004789951637 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5F99 71127.35000000 PA USD 76553.16000000 0.002677859830 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.50000000 N N N N N N ALLEN MEDIA LLC/CO-ISSR N/A 01771YAA8 6590000.00000000 PA USD 6034133.50000000 0.211076377635 Long DBT CORP US N 2 2028-02-15 Fixed 10.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -539918.57000000 -0.01888656523 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70800000.00000000 BRL 12470716.71000000 USD 2020-07-16 -539918.57000000 N N N WAMU Mortgage Pass-Through Certificates N/A 92922F7W2 8291351.08000000 PA USD 5493543.27000000 0.192166317469 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.66000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -851724.66000000 -0.02979366564 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1131231393.60000000 RUB 15019103.87000000 USD 2020-07-16 -851724.66000000 N N N iHeartCommunications, Inc. 54930076J6KDZL504O62 45174UAF5 1049744.34000000 PA USD 971887.95000000 0.033997025082 Long LON CORP US N 2 2026-05-01 Floating 3.18000000 N N N N N N CIC NY N/A 000000000 1997854.00000000 PA USD 1997854.00000000 0.069885723503 Long STIV CORP US N 2 2021-02-12 Floating 0.25000000 N N N N N WYNN RESORTS FINANCE LLC N/A 983133AB5 6180000.00000000 PA USD 6224496.00000000 0.217735333215 Long DBT CORP US N 2 2025-04-15 Fixed 7.75000000 N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 410345AL6 5378000.00000000 PA USD 5418335.00000000 0.189535502423 Long DBT CORP US N 2 2026-05-15 Fixed 4.88000000 N N N N N Garda World Security Corporation N/A 000000000 10470876.22000000 PA USD 10313813.08000000 0.360781262883 Long LON CORP CA N 2 2026-10-30 Floating 4.93000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAV3 1280000.00000000 PA USD 1292428.80000000 0.045209670859 Long DBT CORP US N 2 2030-02-15 Fixed 3.38000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 627382.15000000 0.021946075872 N/A DFE XX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17646144.02000000 USD 16260000.00000000 EUR 2020-07-16 627382.15000000 N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 -216.00000000 NC USD -43875.00000000 -0.00153476486 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 216000.00000000 NC N/A -43875.00000000 0.00000000 DIR US Short 10 Year US Treasury Note TYU0 Comdty 2020-09-21 216000.00000000 USD 1000.00000000 140.00000000 USD 2020-07-24 XXXX 23173.20000000 N N N WILLIAM CARTER TGI2A0HXEYNQPU7TYV27 96926JAE7 1260000.00000000 PA USD 1299375.00000000 0.045452651683 Long DBT CORP US N 2 2025-05-15 Fixed 5.50000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311RAA4 3480000.00000000 PA USD 3122569.20000000 0.109228706267 Long DBT CORP US N 2 2037-09-15 Fixed 6.75000000 N N N N N N SOCIETE GENERALE NEW YORK N/A 000000000 4999125.00000000 PA USD 4999125.00000000 0.174871370735 Long STIV CORP US N 2 2020-08-14 Floating 0.53000000 N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBV9 2870000.00000000 PA USD 3841556.50000000 0.134379166536 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N Carlyle Global Market Strategies 549300K65HYRGER5BW54 14314LAC9 9007080.84000000 PA USD 8726510.27000000 0.305256782467 Long ABS-CBDO CORP KY N 2 2031-05-15 Floating 1.44000000 N N N N N N IHEARTCOMMUNICATIONS INC 54930076J6KDZL504O62 45174HBE6 2190000.00000000 PA USD 2096925.00000000 0.073351266287 Long DBT CORP US N 2 2027-08-15 Fixed 5.25000000 N N N N N MASTR Seasoned Securitization Trust N/A 55265WDM2 107072.26000000 PA USD 104758.77000000 0.003664503229 Long ABS-MBS CORP US N 2 2032-10-25 Variable 3.98000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -6404.45000000 -0.00022403019 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2193900.00000000 TRY 312699.54000000 USD 2020-07-16 -6404.45000000 N N N PRIME SECSRVC BRW/FINANC N/A 74166MAB2 1290000.00000000 PA USD 1319025.00000000 0.046140016459 Long DBT CORP US N 2 2024-04-15 Fixed 5.25000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829HAV9 7106885.64000000 PA USD 7274345.90000000 0.254459498159 Long ABS-MBS CORP US N 2 2056-09-25 Variable 4.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 8657.63000000 0.000302847323 N/A DFE XX N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 22456766.00000000 USD 19990000.00000000 EUR 2020-07-16 8657.63000000 N N N BANCO MERCANTIL DE NORTE 549300QTVYRPFHS0J362 05962GAH2 800000.00000000 PA USD 764000.00000000 0.026725022327 Long DBT CORP MX N 2 2022-07-06 Fixed 6.88000000 N N N N N N HANESBRANDS INC GX5LWVWZLL5S4W1L2F20 410345AN2 3870000.00000000 PA USD 3913537.50000000 0.136897090400 Long DBT CORP US N 2 2025-05-15 Fixed 5.38000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 86960000.00000000 OU Notional Amount USD 1900416.88000000 0.066477334488 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2027-03-24 698310.64000000 USD 0.00000000 USD 86960000.00000000 USD 1202106.24000000 N N N TECK RESOURCES LIMITED T8KI5SQ2JRWHL7XY0E11 878742AZ8 4575000.00000000 PA USD 4497812.57000000 0.157335263556 Long DBT CORP CA N 2 2043-02-01 Fixed 5.40000000 N N N N N N DCert Buyer, Inc. 549300EF826JEEUCHZ67 24022KAB5 8628375.00000000 PA USD 8378514.52000000 0.293083753425 Long LON CORP US N 2 2026-10-16 Floating 4.18000000 N N N N N N GOLDMAN SACHS BANK USA N/A 000000000 2992542.00000000 PA USD 2992542.00000000 0.104680303357 Long STIV CORP US N 2 2021-02-22 Floating 0.29000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36201VAT9 1348.42000000 PA USD 1498.51000000 0.000052418472 Long ABS-MBS USGA US N 2 2033-09-15 Fixed 6.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 12667GGA5 1223133.88000000 PA USD 1467287.91000000 0.051326311721 Long ABS-MBS CORP US N 2 2035-06-25 Floating 16.53000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -970940.70000000 -0.03396388990 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 40380000.00000000 CAD 28773912.79000000 USD 2020-07-16 -970940.70000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 139.00000000 NC USD 218925.00000000 0.007658083132 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 6950.00000000 NC N/A 218925.00000000 0.01000000 DE US Long E-mini S&P 500 Index ESU0 Index 2020-09-18 6950.00000000 USD 50.00000000 2700.00000000 USD 2020-08-21 XXXX -469416.90000000 N N N BANCO MERCANTIL DE NORTE 549300QTVYRPFHS0J362 05962GAJ8 800000.00000000 PA USD 762736.00000000 0.026680807107 Long DBT CORP MX N 2 2028-01-10 Fixed 7.63000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AL2 5180000.00000000 PA USD 5628994.22000000 0.196904445300 Long DBT CORP US N 2 2025-04-16 Fixed 4.00000000 N N N N N N GFL Environmental Inc. 549300FYK4MBXWIVZU26 000000000 747449.08000000 PA USD 728451.17000000 0.025481510186 Long LON CORP CA N 2 2025-05-30 Floating 4.00000000 N N N N N N Comstock Resources Inc I03QQGEA4SS774AURI46 205677AB3 2110000.00000000 PA USD 1973651.80000000 0.069039120970 Long DBT CORP US N 2 2026-08-15 Fixed 9.75000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAQ7 1180000.00000000 PA USD 1472135.51000000 0.051495882687 Long DBT CORP US N 2 2050-03-26 Fixed 3.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296VLW6 59105.41000000 PA USD 65838.42000000 0.002303053984 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.75000000 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90269CAX8 1640000.00000000 PA USD 568243.60000000 0.019877385991 Long ABS-MBS CORP US N 2 2063-05-10 Variable 5.00000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 933635AB0 1367239.55000000 PA USD 1240751.16000000 0.043401966562 Long ABS-MBS CORP US N 2 2047-03-25 Floating 1.99000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAM3 1920000.00000000 PA USD 1997203.20000000 0.069862958262 Long DBT CORP US N 2 2026-08-15 Fixed 5.38000000 N N N N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAJ2 8570000.00000000 PA USD 8005986.88000000 0.280052589162 Long DBT CORP US N 2 2027-10-15 Fixed 5.25000000 N N N N N N Elanco Animal Health Inc 549300SHPNDCE059M934 28414BAF3 3340000.00000000 PA USD 3198050.00000000 0.111869054520 Long LON CORP US N 2 2027-02-04 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389ETV7 5034.86000000 PA USD 5181.64000000 0.000181255817 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.00000000 N N N N N N Prime Security Services Borrower, LLC 549300O6QPZVWXV2DC15 03765VAJ9 13127570.61000000 PA USD 12651696.18000000 0.442561338859 Long LON CORP US N 2 2026-09-23 Floating 4.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -65433.67000000 -0.00228889566 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 10690000.00000000 CAD 7809070.63000000 USD 2020-07-16 -65433.67000000 N N N Venture CDO Ltd 549300WIVX6V4NHW6X79 92331VAA6 6380000.00000000 PA USD 6161969.88000000 0.215548144794 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 2.17000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36201E5S5 2388.04000000 PA USD 2628.08000000 0.000091931278 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.50000000 N N N N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 62912XAC8 11919000.00000000 PA USD 14543537.22000000 0.508738687071 Long DBT CORP US N 2 2037-12-15 Fixed 7.77000000 N N N N N N FIVE POINT OP CO LP/FIVE N/A 33834YAA6 7920000.00000000 PA USD 7484400.00000000 0.261807273699 Long DBT CORP US N 2 2025-11-15 Fixed 7.88000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 000000000 5450000.00000000 PA 5931726.62000000 0.207494144448 Long DBT CORP GB Y 2 2025-06-27 Fixed 6.38000000 N N N N N N Berry Petroleum Co LLC DQ2XTZKV7SILNNV77403 08580BAA4 9280000.00000000 PA USD 7516800.00000000 0.262940638520 Long DBT CORP US N 2 2026-02-15 Fixed 7.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -68737.40000000 -0.00240446145 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 22620000.00000000 BRL 4088050.31000000 USD 2020-07-16 -68737.40000000 N N N MPT OPER PARTNERSP/FINL N/A 55342UAH7 4500000.00000000 PA USD 4623750.00000000 0.161740604693 Long DBT CORP US N 2 2027-10-15 Fixed 5.00000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BTA6 202551.98000000 PA USD 231638.11000000 0.008102792750 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.00000000 N N N N N N ML-CFC Commercial Mortgage Trust N/A 60688CAK2 738614.73000000 PA USD 274451.14000000 0.009600409482 Long ABS-MBS CORP US N 2 2049-09-12 Variable 6.15000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -109423.75000000 -0.00382768607 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 170870000.00000000 RUB 2287829.80000000 USD 2020-07-16 -109423.75000000 N N N GSMPS Mortgage Loan Trust N/A 36298XAA0 598335.45000000 PA USD 483536.18000000 0.016914286919 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.58000000 N N N N N N Freddie Mac N/A 3128KKZ28 7299.63000000 PA USD 8451.01000000 0.000295619674 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N L Brands Inc GR3KVMWVCR54YWQNXU90 501797AJ3 4550000.00000000 PA USD 4300114.00000000 0.150419689345 Long DBT CORP US N 2 2023-10-15 Fixed 5.63000000 N N N N N N QEP Resources Inc Q6JQDZPXKEDQKVK58165 74733VAA8 480000.00000000 PA USD 458400.00000000 0.016035013396 Long DBT CORP US N 2 2021-03-01 Fixed 6.88000000 N N N N N N Level 3 Financing Inc. N/A 52729KAP1 5039677.91000000 PA USD 4775094.82000000 0.167034706386 Long LON CORP US N 2 2027-03-01 Floating 1.93000000 N N N N N N Castle US Holding Corporation N/A 14852DAC5 3143437.50000000 PA USD 2899821.09000000 0.101436889234 Long LON CORP US N 2 2027-01-29 Floating 4.06000000 N N N N N N INTERNATIONAL GAME TECH 549300UQ6KHRCZDRGZ76 460599AE3 3090000.00000000 PA USD 3005025.00000000 0.105116963637 Long DBT CORP GB N 2 2029-01-15 Fixed 5.25000000 N N N N N JAZZ INVESTMENTS I LTD N/A 472145AE1 850000.00000000 PA USD 856711.60000000 0.029968110782 Long DBT CORP BM N 2 2026-06-15 Fixed 2.00000000 N N N N N Jazz Pharmaceuticals PLC USD XXXX N N N Cheniere Energy Inc MIHC87W9WTYSYZWV1J40 16411RAG4 6124000.00000000 PA USD 3872425.97000000 0.135458992812 Long DBT CORP US N 2 2045-03-15 Fixed 4.25000000 N N N N Y Cheniere Energy Inc USD XXXX N N N Credit Suisse Mortgage Trust N/A 225470UJ0 977226.94000000 PA USD 1574818.22000000 0.055087764516 Long ABS-MBS CORP US N 2 2036-02-25 Floating 29.51000000 N N N N N N Builders FirstSource Inc 549300W0SKP6L3H7DP63 12008RAM9 1080000.00000000 PA USD 1105650.00000000 0.038676074523 Long DBT CORP US N 2 2027-06-01 Fixed 6.75000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBA3 200000.00000000 PA USD 208963.06000000 0.007309610528 Long DBT CORP US N 2 2027-05-15 Fixed 3.88000000 N N N N N Ion Media Networks Inc N/A 46205A103 785.00000000 NS USD 255125.00000000 0.008924373457 Long EC CORP US N 2 N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 000000000 2620000.00000000 PA 3303256.23000000 0.115549210078 Long DBT CORP GB Y 2 2022-06-24 Fixed 7.38000000 N N N N N N Caesars Resort Collection LLC 549300V3UCT773B1KR38 12769LAD1 7040000.00000000 PA USD 6638973.44000000 0.232233918081 Long LON CORP US N 2 2025-06-19 None 0.00000000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 86362NAB6 2974615.19000000 PA USD 2823742.41000000 0.098775626902 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.67000000 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826CAK8 1600000.00000000 PA USD 1714077.30000000 0.059959102242 Long DBT CORP US N 2 2040-04-15 Fixed 2.70000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CV0 5583000.00000000 PA USD 5904022.50000000 0.206525043368 Long DBT CORP US N 2 2023-04-21 Fixed 8.50000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07389QAC2 1386231.85000000 PA USD 974582.40000000 0.034091278010 Long ABS-O CORP US N 2 2036-10-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140K5XW2 102819.50000000 PA USD 108494.29000000 0.003795173197 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.00000000 N N N N N N VONAGE HOLDINGS CORP 529900W7N0N4WLN1JY21 92886TAJ1 1120000.00000000 PA USD 1044668.39000000 0.036542913674 Long DBT CORP US N 2 2024-06-01 Fixed 1.75000000 N N N N Y Vonage Holdings Corp USD XXXX N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 147467.59000000 0.005158474653 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2023914.57000000 USD 50000000.00000000 MXN 2020-07-16 147467.59000000 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 000000000 3000000.00000000 PA USD 3000000.00000000 0.104941187149 Long RA CORP US N 2 Repurchase Y 0.43000000 2020-08-04 1020.89000000 USD 24634.18000000 USD ACMO 137748.80000000 USD 2886216.49000000 USD EQT 346738.85000000 USD 360849.28000000 USD UST N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAH3 1660000.00000000 PA USD 1700387.80000000 0.059480238115 Long DBT CORP US N 2 2027-07-01 Fixed 6.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AJ9 7220000.00000000 PA USD 9145762.08000000 0.319922376686 Long DBT CORP US N 2 2038-08-15 Fixed 4.80000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BC0 216000.00000000 PA USD 324643.26000000 0.011356149701 Long DBT CORP US N 2 2039-12-16 Fixed 6.85000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -92762.29000000 -0.00324486161 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3020000.00000000 AUD 1991512.12000000 USD 2020-07-16 -92762.29000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828ZL7 20000.00000000 PA USD 20090.63000000 0.000702778187 Long DBT UST US N 2 2025-04-30 Fixed 0.38000000 N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 36962G4B7 14178000.00000000 PA USD 17425660.60000000 0.609556503407 Long DBT CORP US N 2 2039-01-10 Fixed 6.88000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -141614.13000000 -0.00495371830 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12080000.00000000 BRL 2078279.57000000 USD 2020-07-16 -141614.13000000 N N N Ambac Assurance Corp 549300RYYRVPPB8NC636 023138AA8 20206.63000000 PA USD 27076.88000000 0.000947159977 Long DBT CORP US N 2 2021-06-07 Fixed 5.10000000 N N N N N N VOYA CLO 2017-2 N/A 92915XAD0 3100000.00000000 PA USD 2495651.90000000 0.087298891032 Long ABS-CBDO CORP KY N 2 2030-06-07 Floating 7.24000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290VWU4 13069.23000000 PA USD 14547.63000000 0.000508881854 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 154677.57000000 0.005410682607 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2103559.87000000 USD 52000000.00000000 MXN 2020-07-16 154677.57000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -239812.61000000 -0.00838873999 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6330000.00000000 AUD 4128881.76000000 USD 2020-07-16 -239812.61000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -115648.66000000 -0.00404543589 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22390000.00000000 NOK 2210646.69000000 USD 2020-07-16 -115648.66000000 N N N Olin Corp 549300GKK294V7W57P06 680665AK2 1540000.00000000 PA USD 1362900.00000000 0.047674781321 Long DBT CORP US N 2 2030-02-01 Fixed 5.00000000 N N N N N N GOLDMAN SACHS BANK USA N/A 000000000 2992740.00000000 PA USD 2992740.00000000 0.104687229476 Long STIV CORP US N 2 2021-02-22 Floating 0.30000000 N N N N N AppLovin Corporation 549300LLVXMUAOL3SQ07 03835EAE4 1216950.00000000 PA USD 1195653.38000000 0.041824428372 Long LON CORP US N 2 2025-08-15 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202D4P3 5166.92000000 PA USD 5955.52000000 0.000208326446 Long ABS-MBS USGA US N 2 2034-03-20 Fixed 5.50000000 N N N N N N Berry Global, Inc. 549300AP2Q7ERHX6RI89 08579JBD3 8275786.06000000 PA USD 8084408.51000000 0.282795808812 Long LON CORP US N 2 2022-10-01 Floating 2.18000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Z52 276600.00000000 PA USD 290613.68000000 0.010165781526 Long DBT UST US N 2 2025-01-31 Fixed 1.38000000 N N N N N N Freddie Mac - STACR N/A 3137G0PR4 10500000.00000000 PA USD 10854869.55000000 0.379707632308 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 5.33000000 N N N N N N DBUBS Mortgage Trust N/A 23305YAQ2 5179999.98000000 PA USD 1761199.99000000 0.061607472585 Long ABS-MBS CORP US N 2 2044-08-10 Fixed 3.75000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 5899293W6 459912.64000000 PA USD 420172.83000000 0.014697811862 Long ABS-MBS CORP US N 2 2033-08-25 Variable 3.89000000 N N N N N N 2020-07-30 Brighthouse Funds Trust II Alan Otis Alan Otis Treasurer