NPORT-P false 0000756913 XXXXXXXX S000008233 C000022419 C000022420 C000022418 John Hancock Variable Insurance Trust 811-04146 0000756913 Z5DUWKEPW78QKD87GA06 200 Berkeley Street Boston 02116 617-543-9634 Opportunistic Fixed Income Trust S000008233 OU1T3WRT0HTCZGXSYU41 2023-12-31 2023-12-31 N 202980924.890000000000 42464409.150000000000 160516515.740000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 41393510.340000000000 10890.580000000000 0.000000000000 2183524.350000000000 PLN HUF INR CLP ZAR USD TRY ILS NOK CHF UYU CAD CNY EUR SGD MYR ISK IDR PEN THB DOP NZD BRL AUD COP MXN JPY KRW RON HKD SEK CZK GBP N Fund's Designated Reference Portfolio is the Fund's Securities Portfolio N/A CVS Health Corporation 549300EJG376EN5NQE29 126650CN8 30000 PA USD 28382.51 0.0176819873 Long DBT CORP US N 2 2045-07-20 Fixed 5.125000000000 N N N N N N CVS Health Corporation 549300EJG376EN5NQE29 126650DE7 20000 PA USD 19623.64 0.0122253090 Long DBT CORP US N 2 2024-08-15 Fixed 2.625000000000 N N N N N N Cable One Inc. N/A 12685JAG0 50000 PA USD 37875 0.0235957028 Long DBT CORP US N 2 2028-03-15 Fixed 1.125000000000 N N N N Y Cable One, Inc. USD XXXX N N N Caesars Entertainment Inc. N/A 12768EAG1 104212.5 PA USD 104359.44 0.0650147678 Long LON CORP US N 2 2030-02-06 Floating 8.706 N N N N N N Caesars Entertainment Inc. N/A 12769GAB6 40000 PA USD 41017.48 0.0255534328 Long DBT CORP US N 2 2030-02-15 Fixed 7.000000000000 N N N N N N Capital One Financial Corporation ZUE8T73ROZOF6FLBAR73 14040HCZ6 15000 PA USD 15388.65 0.0095869574 Long DBT CORP US N 2 2029-06-08 Variable 6.312000000000 N N N N N N Cardlytics Inc. N/A 14161WAB1 70000 PA USD 43050 0.0268196701 Long DBT CORP US N 2 2025-09-15 Fixed 1.000000000000 N N N N Y Cardlytics, Inc. USD XXXX N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 13461.75 0.0083865202 N/A DFE CORP MX N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 620889.530000000000 USD 11140000.000000000000 MXN 2024-07-24 13461.750000000000 N N N SOLD BRL/BOUGHT USD N/A N/A 1 NC USD -2152.27 -0.0013408402 N/A DFE CORP BR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 831000.000000000000 BRL 167888.960000000000 USD 2024-03-04 -2152.270000000000 N N N SOLD BRL/BOUGHT USD N/A N/A 1 NC USD -87.5 -0.0000545115 N/A DFE CORP BR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 35000.000000000000 BRL 7074.280000000000 USD 2024-03-04 -87.500000000000 N N N SOLD CLP/BOUGHT USD N/A N/A 1 NC USD 125.57 0.0000782287 N/A DFE CORP CL N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 11150000.000000000000 CLP 12726.860000000000 USD 2024-03-20 125.570000000000 N N N SOLD COP/BOUGHT USD N/A N/A 1 NC USD -6813.4 -0.0042446722 N/A DFE CORP CO N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 820595000.000000000000 COP 201709.600000000000 USD 2024-03-20 -6813.400000000000 N N N BOUGHT BRL/SOLD USD N/A N/A 1 NC 1044.13 0.0006504814 N/A DFE CORP BR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 53180.810000000000 USD 265000.000000000000 BRL 2024-03-04 1044.130000000000 N N N SOLD CZK/BOUGHT USD N/A N/A 1 NC USD -864.21 -0.0005383932 N/A DFE CORP CZ N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 15238000.000000000000 CZK 679896.040000000000 USD 2024-01-31 -864.210000000000 N N N SOLD CHF/BOUGHT USD N/A N/A 1 NC USD -54369.84 -0.0338718042 N/A DFE CORP CH N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 1648000.000000000000 CHF 1910593.720000000000 USD 2024-01-31 -54369.840000000000 N N N SOLD COP/BOUGHT USD N/A N/A 1 NC USD -1379.67 -0.0008595190 N/A DFE CORP CO N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 237100000.000000000000 COP 58870.270000000000 USD 2024-03-20 -1379.670000000000 N N N Highwoods Realty Limited Partnership JUJNVZX73BIYHLR58F51 431282AS1 15000 PA USD 12393.37 0.0077209314 Long DBT CORP US N 2 2030-02-15 Fixed 3.050000000000 N N N N N N HOME PARTNERS OF AMERICA 2022- HPA 2022 1 D 144A N/A 43730NAG1 149111.19 PA USD 138326.47 0.0861758489 Long ABS-O CORP US N 2 2039-04-17 Fixed 4.730000000000 N N N N N N HORIZON AIRCRAFT FINANCE II LT HORZN 2019 1 A 144A N/A 44040HAA0 171994.11 PA USD 151695.35 0.0945045121 Long ABS-O CORP KY N 2 2039-07-15 Fixed 3.721000000000 N N N N N N HUB International Limited 549300JQT6ATTUNS5E06 44332EAW6 104256.17 PA USD 104649.22 0.0651952975 Long LON CORP US N 2 2030-06-20 Floating 9.662 N N N N N N HUB International Limited 549300JQT6ATTUNS5E06 44332PAG6 125000 PA USD 119246.44 0.0742892029 Long DBT CORP US N 2 2029-12-01 Fixed 5.625000000000 N N N N N N Humana Inc. N/A 444859BX9 68000 PA USD 70578.58 0.0439696686 Long DBT CORP US N 2 2053-03-15 Fixed 5.500000000000 N N N N N N Humana Inc. N/A 444859BZ4 30000 PA USD 31358.23 0.0195358277 Long DBT CORP US N 2 2028-12-01 Fixed 5.750000000000 N N N N N N PROGRESS RESIDENTIAL 2022-SFR4 PROG 2022 SFR4 C 144A N/A 74332XAE1 100000 PA USD 94742.47 0.0590235027 Long ABS-O CORP US N 2 2041-05-17 Fixed 4.888000000000 N N N N N N PROGRESS RESIDENTIAL 2021-SFR2 PROG 2021 SFR2 D 144A N/A 74333DAG9 100000 PA USD 90320.89 0.0562689076 Long ABS-O CORP US N 2 2038-04-19 Fixed 2.197000000000 N N N N N N PROGRESS RESIDENTIAL TRUST PROG 2022 SFR1 E1 144A N/A 74333YAJ7 150000 PA USD 129916.92 0.0809367930 Long ABS-O CORP US N 2 2041-02-17 Fixed 3.930000000000 N N N N N N Puget Energy Inc. N/A 745310AN2 30000 PA USD 27137.75 0.0169065157 Long DBT CORP US N 2 2032-03-15 Fixed 4.224000000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 7839989D1 14627881.92 NS USD 14627881.92 9.1130073766 Long STIV RF US N 1 N N N Sales Tax Securitization Corporation N/A 79467BDX0 25000 PA USD 20129.31 0.0125403357 Long DBT MUN US N 2 2042-01-01 Fixed 3.238000000000 N N N N N N The Charles Schwab Corporation N/A 808513BK0 38000 PA USD 33496.21 0.0208677654 Long DBT CORP US N 2 2026-06-01 Variable 4.000000000000 N N N N N N JH COLLATERAL N/A N/A 189981.23 NS USD 1899850.28 1.1835855465 Long STIV RF US N 1 N N BENEFIT STREET PARTNERS CLO XI BSP 2019 19A E 144A N/A 08183PAA4 250000 PA USD 249074.25 0.1551704813 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 12.675480000000 N N N N N N CHICAGO TRANSIT AUTHORITY SALE CHITRN 12/40 FIXED 6.899 N/A 167725AC4 19405.97 PA USD 22168.66 0.0138108281 Long DBT MUN US N 2 2040-12-01 Fixed 6.899000000000 N N N N N N Cinemark USA Inc. 54930008H2137JSCPQ09 172442AT2 124375 PA USD 124250.63 0.0774067574 Long LON CORP US N 2 2030-05-24 Floating 9.107 N N N N N N Citigroup Inc. 6SHGI4ZSSLCXXQSBB395 172967MU2 165000 PA USD 151867.98 0.0946120586 Long DBT CORP US N 2 2025-12-10 Variable 4.000000000000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE CGCMT 2023 PRM3 A 144A N/A 17331LAA5 100000 PA USD 102733.67 0.0640019312 Long ABS-MBS CORP US N 2 2028-07-10 Variable 6.359730000000 N N N N N N Citizens Financial Group Inc. N/A 174610AU9 86000 PA USD 81585.41 0.0508268010 Long DBT CORP US N 2 2025-10-06 Variable 5.650000000000 N N N N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD -3246.03 -0.0020222405 N/A DFE CORP CA N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 185000.000000000000 CAD 136518.530000000000 USD 2024-03-20 -3246.030000000000 N N N UNITED STATES TREASURY INFLATI 02/42 0.75 N/A 912810QV3 2859423 PA USD 2316223.3 1.4429812965 Long DBT UST US N 2 2042-02-15 Fixed 0.750000000000 N N N N N N Thailand Government Bond N/A AT4545436 7690000 PA 229509.91 0.1429821155 Long DBT NUSS TH N 2 2028-12-17 Fixed 2.875000000000 N N N N N N Australia Government Bond N/A AT4969925 1690000 PA 935674.75 0.5829149391 Long DBT NUSS AU N 2 2041-05-21 Fixed 2.750000000000 N N N N N N Peru Government Bond N/A AV9610925 1035000 PA 279761.97 0.1742885888 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.940000000000 N N N N N N COLOMBIAN TES BONDS 10/34 7.25 N/A AW6274582 1008200000 PA 213615.58 0.1330801251 Long DBT NUSS CO N 2 2034-10-18 Fixed 7.250000000000 N N N N N N Malaysia Government Bond N/A AW6351018 1245000 PA 273721.6 0.1705255056 Long DBT NUSS MY N 2 2026-07-15 Fixed 3.906000000000 N N N N N N REPUBLIC OF POLAND GOVERNMENT BONDS 10/29 2.75 N/A AX1032579 275000 PA 62400.66 0.0388749156 Long DBT NUSS PL N 2 2029-10-25 Fixed 2.750000000000 N N N N N N Malaysia Government Bond N/A AX1841680 955000 PA 209388.64 0.1304467886 Long DBT NUSS MY N 2 2029-08-15 Fixed 3.885000000000 N N N N N N Jyske Realkredit Kgs. N/A AX2612635 1.01 PA 0.12 0.0000000748 Long DBT CORP DK N 2 2050-10-01 Fixed 1.500000000000 N N N N N N Jyske Realkredit Kgs. N/A AX8961184 1.44 PA 0.17 0.0000001059 Long DBT CORP DK N 2 2050-10-01 Fixed 1.000000000000 N N N N N N Jyske Realkredit Kgs. N/A AZ0551053 1.16 PA 0.13 0.0000000810 Long DBT CORP DK N 2 2050-10-01 Fixed 1.000000000000 N N N N N N HUNGARY GOVERNMENT BOND BONDS 10/31 3.25 N/A EK8567308 30710000 PA 75133.81 0.0468075261 Long DBT NUSS HU N 2 2031-10-22 Fixed 3.250000000000 N N N N N N SWEDEN INFLATION LINKED BOND BONDS 144A REGS 06/32 0.125 N/A EK8767221 26820000 PA 3389063.38 2.1113487073 Long DBT NUSS SE N 2 2032-06-01 Fixed 0.125000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS REGS 05/30 0.95 N/A EK9125668 7560000 PA 285198.64 0.1776755736 Long DBT NUSS CZ N 2 2030-05-15 Fixed 0.950000000000 N N N N N N SLOVAKIA GOVERNMENT BOND BONDS REGS 02/43 4 N/A ZL0748802 190000 PA 217135.85 0.1352732141 Long DBT NUSS SK N 2 2043-02-23 Fixed 4.000000000000 N N N N N N MEXICAN BONOS BONDS 05/33 7.5 N/A ZN7935812 14820700 PA 790434.42 0.4924318325 Long DBT NUSS MX N 2 2033-05-26 Fixed 7.500000000000 N N N N N N Thailand Government Bond N/A ZO8401234 315000 PA 7846.68 0.0048883942 Long DBT NUSS TH N 2 2042-06-17 Fixed 2.000000000000 N N N N N N Malaysia Government Bond N/A ZO9018995 1190000 PA 239131.65 0.1489763523 Long DBT NUSS MY N 2 2031-04-15 Fixed 2.632000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F062614 480000 PA USD 491774.64 0.3063701188 Long ABS-MBS USGSE US N 2 N/A Fixed 6.500000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F070617 12863000 PA USD 13266484.01 8.2648716544 Long ABS-MBS USGSE US N 2 N/A Fixed 7.000000000000 N N N N N N The Allstate Corporation OBT0W1ED8G0NWVOLOJ77 020002AU5 67000 PA USD 66579.36 0.0414781991 Long DBT CORP US N 2 2057-05-15 Variable 6.500000000000 N N N N N N Altice France 5493001ZMCICV4N02J21 02156LAF8 200000 PA USD 155603.84 0.0969394578 Long DBT CORP FR N 2 2029-07-15 Fixed 5.125000000000 N N N N N N American Electric Power Company Inc. 1B4S6S7G0TW5EE83BO58 025537AU5 165000 PA USD 138480.67 0.0862719137 Long DBT CORP US N 2 2062-02-15 Variable 3.875000000000 N N N N N N American Express Company R4PP93JZOLY261QX3811 025816CH0 94000 PA USD 80586.2 0.0502043043 Long DBT CORP US N 2 2026-09-15 Variable 3.550000000000 N N N N N N American International Group Inc. ODVCVCQG2BP6VHV36M30 026874DA2 35000 PA USD 31574.28 0.0196704245 Long DBT CORP US N 2 2044-07-16 Fixed 4.500000000000 N N N N N N American Water Capital Corp. 5IDHQUFVC8Q2KIBBFF06 03040WBB0 315000 PA USD 314527.5 0.1959471264 Long DBT CORP US N 2 2026-06-15 Fixed 3.625000000000 N N N N Y American Water Capital, Corp. USD XXXX N N N BOUGHT PHP/SOLD USD N/A N/A 1 NC 645.36 0.0004020521 N/A DFE CORP PH N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 171667.640000000000 USD 9540000.000000000000 PHP 2024-03-20 645.360000000000 N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC -191.75 -0.0001194581 N/A DFE CORP TR N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 28605.850000000000 USD 900000.000000000000 TRY 2024-03-20 -191.750000000000 N N N Ameriprise Financial Inc. 6ZLKQF7QB6JAEKQS5388 03076CAN6 25000 PA USD 26197.36 0.0163206633 Long DBT CORP US N 2 2028-12-15 Fixed 5.700000000000 N N N N N N Bausch Health Companies Inc. B3BS7ACMDUWISF18KY76 071734AJ6 185000 PA USD 85279.45 0.0531281467 Long DBT CORP CA N 2 2030-01-30 Fixed 5.250000000000 N N N N N N BOUGHT JPY/SOLD USD N/A N/A 1 NC 147304.88 0.0917692982 N/A DFE CORP JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6552482.640000000000 USD 940824000.000000000000 JPY 2024-01-31 147304.880000000000 N N N LXP Industrial Trust 549300S4MH2ICXDBFV43 529043AF8 15000 PA USD 15760.42 0.0098185660 Long DBT CORP US N 2 2028-11-15 Fixed 6.750000000000 N N N N N N Bausch Health Companies Inc. B3BS7ACMDUWISF18KY76 071734AN7 29000 PA USD 17465.05 0.0108805315 Long DBT CORP CA N 2 2028-06-01 Fixed 4.875000000000 N N N N N N Bayer US Finance LLC N/A 07274EAL7 265000 PA USD 273855.26 0.1706087743 Long DBT CORP US N 2 2033-11-21 Fixed 6.500000000000 N N N N N N Liberty Mutual Group Inc. QUR0DG15Z6FFGYCHH861 53079EBL7 275000 PA USD 180357.27 0.1123605687 Long DBT CORP US N 2 2061-02-01 Fixed 4.300000000000 N N N N N N Liberty Mutual Group Inc. QUR0DG15Z6FFGYCHH861 53079EBM5 149000 PA USD 124847.13 0.0777783703 Long DBT CORP US N 2 2051-12-15 Variable 4.125000000000 N N N N N N Bayer US Finance LLC N/A 07274EAM5 200000 PA USD 213000.05 0.1326966568 Long DBT CORP US N 2 2053-11-21 Fixed 6.875000000000 N N N N N N BBCMS MORTGAGE TRUST 2023-C20 BBCMS 2023 C20 AS N/A 07336DBA8 15000 PA USD 15431.82 0.0096138518 Long ABS-MBS CORP US N 2 2056-07-15 Variable 5.973000000000 N N N N N N Lowe`s Companies Inc. WAFCR4OKGSC504WU3E95 548661EJ2 25000 PA USD 21164.93 0.0131855155 Long DBT CORP US N 2 2052-04-01 Fixed 4.250000000000 N N N N N N Lowe`s Companies Inc. WAFCR4OKGSC504WU3E95 548661EM5 10000 PA USD 10484.26 0.0065315771 Long DBT CORP US N 2 2053-04-15 Fixed 5.625000000000 N N N N N N BENCHMARK 2020-B16 MORTGAGE TR BMARK 2020 B16 AM N/A 08161NAH0 60000 PA USD 50720.62 0.0315983809 Long ABS-MBS CORP US N 2 2053-02-15 Variable 2.944000000000 N N N N N N BENCHMARK 2018-B1 MORTGAGE TRU BMARK 2018 B1 AM N/A 08162PAZ4 85000 PA USD 76154.79 0.0474435853 Long ABS-MBS CORP US N 2 2051-01-15 Variable 3.878000000000 N N N N N N Lumentum Holdings Inc. 549300JLWRRC38DWEF52 55024UAF6 90000 PA USD 70821 0.0441206935 Long DBT CORP US N 2 2028-06-15 Fixed 0.500000000000 N N N N Y Lumentum Holdings, Inc. USD XXXX N N N MandT Bank Corporation N/A 55261FAH7 117000 PA USD 101068.11 0.0629643059 Long DBT CORP US N 2 2026-11-01 Variable 5.125000000000 N N N N N N BENCHMARK 2019-B10 MORTGAGE TR BMARK 2019 B10 XA N/A 08162VAF5 533532.04 PA USD 26521.82 0.0165227982 Long ABS-MBS CORP US N 2 2062-03-15 Variable 1.194408000000 N N N N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 5735.05 0.0035728722 N/A DFE CORP DE N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 260027.590000000000 USD 240000.000000000000 EUR 2024-03-20 5735.050000000000 N N N MFA 2021-NPL1 LLC MFRA 2021 NPL1 A1 144A N/A 55282YAA6 50922.64 PA USD 50210.5 0.0312805818 Long ABS-MBS CORP US N 2 2060-03-25 Variable 2.363300000000 N N N N N N MFA 2023-INV1 TRUST MFRA 2023 NQM1 A1 144A N/A 55285PAA2 88376.1 PA USD 87888.75 0.0547537115 Long ABS-MBS CORP US N 2 2067-11-25 Variable 5.750000000000 N N N N N N The Charles Schwab Corporation N/A 808513BY0 10000 PA USD 9308.75 0.0057992475 Long DBT CORP US N 2 2027-03-03 Fixed 2.450000000000 N N N N N N The Charles Schwab Corporation N/A 808513CE3 20000 PA USD 20645.03 0.0128616236 Long DBT CORP US N 2 2034-05-19 Variable 5.853000000000 N N N N N N MAPS 2021-1 TRUST MAPSL 2021 1A A 144A N/A 55292RAA9 113606.14 PA USD 99821.5 0.0621876818 Long ABS-O CORP US N 2 2046-06-15 Fixed 2.521000000000 N N N N N N MP Materials Corp N/A 553368AA9 345000 PA USD 305980.5 0.1906224407 Long DBT CORP US N 2 2026-04-01 Fixed 0.250000000000 N N N N Y MP Materials, Corp. USD XXXX N N Unifin Financiera S. A. B. de C. V. 5493007GRMPGDJG93Z17 AZ6283073 205000 PA USD 7175 0.0044699450 Long DBT CORP MX N 2 2028-01-27 None 0 Y N N N N N Yuzhou Group Holdings Company Limited N/A BN2966594 200000 PA USD 12000 0.0074758662 Long DBT CORP CN N 2 2027-01-13 None 0 Y N N N N N CIFI Holdings (Group) Co. Ltd. N/A BN3253588 260000 PA USD 13312 0.0082932276 Long DBT CORP CN N 2 2027-04-12 None 0 Y N N N N N MSCI Inc. 549300HTIN2PD78UB763 55354GAK6 105000 PA USD 95003.4 0.0591860592 Long DBT CORP US N 2 2030-09-01 Fixed 3.625000000000 N N N N N N Warnermedia Holdings Inc. N/A 55903VAY9 30000 PA USD 29398.05 0.0183146574 Long DBT CORP US N 2 2025-03-15 Fixed 3.788000000000 N N N N N N Warnermedia Holdings Inc. N/A 55903VBD4 37000 PA USD 32618.49 0.0203209557 Long DBT CORP US N 2 2042-03-15 Fixed 5.050000000000 N N N N N N Warnermedia Holdings Inc. N/A 55903VBE2 6000 PA USD 5150.13 0.0032084736 Long DBT CORP US N 2 2052-03-15 Fixed 5.141000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS 04/40 1.5 N/A BH2499433 980000 PA 31364.38 0.0195396591 Long DBT NUSS CZ N 2 2040-04-24 Fixed 1.500000000000 N N N N N N Hungary Government International Bond N/A BJ0850450 520000 PA 465604.36 0.2900663261 Long DBT NUSS HU N 2 2032-04-28 Fixed 1.625000000000 N N N N N N Asian Development Bank 549300X0MVH42CY8Q105 BJ2067608 8900000 PA 93355.44 0.0581593985 Long DBT NUSS PH N 2 2040-04-30 None 0.000000000000 N N N N N N INFLATION LINKED KOREA TREASUR BONDS 06/30 1.125 N/A BJ5703498 3153749840 PA 2522522.12 1.5715031618 Long DBT NUSS KR N 2 2030-06-10 Fixed 1.125000000000 N N N N N N ARDAGH PACKAGING FINANCE PLC / SR SECURED REGS 08/26 2.125 N/A BJ8983824 140000 PA 137352.89 0.0855693194 Long DBT CORP IE N 2 2026-08-15 Fixed 2.125000000000 N N N N N N Assicurazioni Generali Societa' Per Azioni 549300X5UKJVE386ZB61 BK4009894 600000 PA 577338.69 0.3596755682 Long DBT CORP IT N 2 2031-07-14 Fixed 2.429000000000 N N N N N N ROMANIA GOVERNMENT BOND BONDS 11/24 3.7 N/A BK4517573 90000 PA 19567.94 0.0121906085 Long DBT NUSS RO N 2 2024-11-25 Fixed 3.700000000000 N N N N N N Australia Government Bond N/A BK4676346 7765000 PA 3100721.77 1.9317150984 Long DBT NUSS AU N 2 2051-06-21 Fixed 1.750000000000 N N N N N N Thailand Government Bond N/A BK8156469 8830000 PA 228395.96 0.1422881371 Long DBT NUSS TH N 2 2035-12-17 Fixed 1.585000000000 N N N N N N Indonesia Treasury Bond N/A BK8407086 1940000000 PA 125299 0.0780598803 Long DBT NUSS ID N 2 2031-02-15 Fixed 6.500000000000 N N N N N N BANK 2020-BNK25 BANK 2020 BN25 AS N/A 06539WBE5 60000 PA USD 50251.61 0.0313061929 Long ABS-MBS CORP US N 2 2063-01-15 Fixed 2.841000000000 N N N N N N BANK 2021-BNK37 BANK 2021 BN37 XA N/A 06540LBL0 992201.35 PA USD 29582.78 0.0184297422 Long ABS-MBS CORP US N 2 2064-11-15 Variable 0.601186000000 N N N N N N BANK 2022-BNK42 BANK 2022 BNK42 AS N/A 06541MBV5 60000 PA USD 55671.88 0.0346829607 Long ABS-MBS CORP US N 2 2055-06-15 Variable 4.722229000000 N N N N N N Great Outdoors Group LLC N/A 07014QAN1 97016.87 PA USD 96919.85 0.0603799862 Long LON CORP US N 2 2028-03-06 Floating 9.22 N N N N N N Bausch and Lomb Escrow Corporation N/A 071705AA5 175000 PA USD 184614.5 0.1150127756 Long DBT CORP CA N 2 2028-10-01 Fixed 8.375000000000 N N N N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 112.69 0.0000702046 N/A DFE CORP DE N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 43073.740000000000 USD 39000.000000000000 EUR 2024-03-20 112.690000000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 83371GAA9 200000 PA USD 213702.8 0.1331344622 Long DBT CORP FR N 2 2028-11-14 Variable 10.000000000000 N N N N N N Southern California Edison Company 9R1Z5I36FERIBVKW4P77 842400GR8 15000 PA USD 13743.43 0.0085620037 Long DBT CORP US N 2 2049-03-01 Fixed 4.875000000000 N N N N N N The Southern Company 549300FC3G3YU2FBZD92 842587DF1 131000 PA USD 124560.42 0.0775997532 Long DBT CORP US N 2 2051-01-15 Variable 4.000000000000 N N N N N N The Southern Company 549300FC3G3YU2FBZD92 842587DN4 390000 PA USD 390195 0.2430871354 Long DBT CORP US N 2 2025-12-15 Fixed 3.875000000000 N N N N Y The Southern Company USD XXXX N N N Southwest Gas Corporation N/A 845011AC9 30000 PA USD 25531.55 0.0159058710 Long DBT CORP US N 2 2030-06-15 Fixed 2.200000000000 N N N N N N UNITED STATES TREASURY INFLATI 10/27 1.625 N/A 91282CFR7 10812242.4 PA USD 10729480.2 6.6843465612 Long DBT UST US N 2 2027-10-15 Fixed 1.625000000000 N N N N N N UNITED STATES TREASURY INFLATI 01/33 1.125 N/A 91282CGK1 2644224 PA USD 2501165.88 1.5581984623 Long DBT UST US N 2 2033-01-15 Fixed 1.125000000000 N N N N N N United States Treasury Note/Bond N/A 91282CGM7 18500 PA USD 17939.94 0.0111763826 Long DBT UST US N 2 2033-02-15 Fixed 3.500000000000 N N N N N N UNITED STATES TREASURY INFLATI 07/33 1.375 N/A 91282CHP9 4629684.2 PA USD 4488098.73 2.7960354792 Long DBT UST US N 2 2033-07-15 Fixed 1.375000000000 N N N N N N United States Treasury Note/Bond N/A 91282CHT1 83600 PA USD 83495.5 0.0520167658 Long DBT UST US N 2 2033-08-15 Fixed 3.875000000000 N N N N N N AGNC Investment Corp. 5TRACI5HRMELWV32OF39 00123Q856 10000 NS USD 216200 0.1346901900 Long EP CORP US N 1 N N N AGNC Investment Corp. 5TRACI5HRMELWV32OF39 00123Q872 10000 NS USD 217600 0.1355623744 Long EP CORP US N 1 N N N ATandT Inc. 549300Z40J86GGSTL398 00206R508 4025 NS USD 84484.75 0.0526330575 Long EP CORP US N 1 N N N SOLD UYU/BOUGHT USD N/A N/A 1 NC USD 248.75 0.0001549685 N/A DFE CORP UY N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 954000.000000000000 UYU 24477.230000000000 USD 2024-01-16 248.750000000000 N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -7921.29 -0.0049348754 N/A DFE CORP MX N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 7780000.000000000000 MXN 431366.680000000000 USD 2024-09-13 -7921.290000000000 N N N SOLD UYU/BOUGHT USD N/A N/A 1 NC USD 333.5 0.0002077668 N/A DFE CORP UY N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 3545000.000000000000 UYU 88162.150000000000 USD 2024-04-15 333.500000000000 N N N SOLD PHP/BOUGHT USD N/A N/A 1 NC USD -341.12 -0.0002125140 N/A DFE CORP PH N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 2840000.000000000000 PHP 50955.410000000000 USD 2024-03-20 -341.120000000000 N N N SOLD NZD/BOUGHT USD N/A N/A 1 NC USD -58645.74 -0.0365356423 N/A DFE CORP NZ N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 11174000.000000000000 NZD 7005751.600000000000 USD 2024-01-31 -58645.740000000000 N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -9211.57 -0.0057387054 N/A DFE CORP MX N 2 JPMORGAN CHASE BANK N.A 7H6GLXDRUGQFU57RNE97 20884000.000000000000 MXN 1215164.160000000000 USD 2024-01-31 -9211.570000000000 N N N BOUGHT CLP/SOLD USD N/A N/A 1 NC -4724.87 -0.0029435413 N/A DFE CORP CL N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 223718.360000000000 USD 193277000.000000000000 CLP 2024-01-31 -4724.870000000000 N N N SOLD SEK/BOUGHT USD N/A N/A 1 NC USD 21610.85 0.0134633187 N/A DFE CORP SE N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 30624000.000000000000 SEK 3061258.150000000000 USD 2024-01-31 21610.850000000000 N N N FANNIE MAE REMICS FNR 2019 50 S B1V7KEBTPIMZEU4LTD58 3136B6AC7 951916.97 PA USD 107338.73 0.0668708323 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 0.598090000000 N N N N N N FANNIE MAE REMICS FNR 2019 68 SC B1V7KEBTPIMZEU4LTD58 3136B6N90 318167.82 PA USD 33910.8 0.0211260504 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 0.548090000000 N N N N N N FANNIE MAE REMICS FNR 2021 67 IG B1V7KEBTPIMZEU4LTD58 3136BJDG7 132014.76 PA USD 21184.59 0.0131977634 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3.000000000000 N N N N N N FREDDIE MAC REMICS FHR 4446 BI S6XOOCT0IEG5ABCC6L87 3137BHAD9 78717.09 PA USD 14809.17 0.0092259478 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 6.500000000000 N N N N N N FREDDIE MAC MULTIFAMILY STRUCT FHMS K740 X3 S6XOOCT0IEG5ABCC6L87 3137F72E4 135000 PA USD 10496.18 0.0065390031 Long ABS-MBS USGSE US N 2 2047-11-25 Variable 2.477534000000 N N N N N N FREDDIE MAC MULTIFAMILY STRUCT FHMS Q014 X S6XOOCT0IEG5ABCC6L87 3137F72J3 152738.75 PA USD 20082.55 0.0125112048 Long ABS-MBS USGSE US N 2 2055-10-25 Variable 2.786468000000 N N N N N N FREDDIE MAC REMICS FHR 4898 SA S6XOOCT0IEG5ABCC6L87 3137FMPL0 476330.31 PA USD 39547.71 0.0246377825 Long ABS-MBS USGSE US N 2 2049-07-15 Floating 0.647080000000 N N N N N N FREDDIE MAC REMICS FHR 4999 KS S6XOOCT0IEG5ABCC6L87 3137FV3Z3 369190.16 PA USD 31257.6 0.0194731364 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 0.698090000000 N N N N N N FREDDIE MAC REMICS FHR 4999 PS S6XOOCT0IEG5ABCC6L87 3137FV4P4 473462.67 PA USD 36338.4 0.0226384181 Long ABS-MBS USGSE US N 2 2044-03-25 Floating 0.498090000000 N N N N N N Oracle Corporation 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 55000 PA USD 40738.86 0.0253798557 Long DBT CORP US N 2 2050-04-01 Fixed 3.600000000000 N N N N N N Oracle Corporation 1Z4GXXU7ZHVWFCD8TV52 68389XCJ2 25000 PA USD 27197.12 0.0169435026 Long DBT CORP US N 2 2032-11-09 Fixed 6.250000000000 N N N N N N Oryx Midstream Services Permian Basin LLC N/A 68764JAD3 97296.04 PA USD 97440.04 0.0607040587 Long LON CORP US N 2 2028-10-05 Floating 8.71 N N N N N N Ovintiv Inc. N/A 69047QAA0 25000 PA USD 25108.39 0.0156422471 Long DBT CORP US N 2 2025-05-15 Fixed 5.650000000000 N N N N N N PRPM 2021-5 LLC PRPM 2021 5 A1 144A N/A 69358DAA2 100421.53 PA USD 97815.51 0.0609379724 Long ABS-MBS CORP US N 2 2026-06-25 Variable 1.793000000000 N N N N N N Pacific Gas and Electric Company 1HNPXZSMMB7HMBMVBS46 694308JM0 25000 PA USD 23809.45 0.0148330219 Long DBT CORP US N 2 2030-07-01 Fixed 4.550000000000 N N N N N N Pacific Gas and Electric Company 1HNPXZSMMB7HMBMVBS46 694308JN8 53000 PA USD 45272.07 0.0282039950 Long DBT CORP US N 2 2050-07-01 Fixed 4.950000000000 N N N N N N Comcast Corporation 51M0QTTNCGUN7KFCFZ59 20030NDH1 42000 PA USD 36127.71 0.0225071606 Long DBT CORP US N 2 2040-04-01 Fixed 3.750000000000 N N N N N N Comcast Corporation 51M0QTTNCGUN7KFCFZ59 20030NDL2 12000 PA USD 7996.76 0.0049818923 Long DBT CORP US N 2 2051-01-15 Fixed 2.800000000000 N N N N N N Conagra Brands Inc. 54930035UDEIH090K650 205887CE0 20000 PA USD 19367.26 0.0120655871 Long DBT CORP US N 2 2048-11-01 Fixed 5.400000000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2023 R03 2M2 144A N/A 20753AAA2 35000 PA USD 37502.06 0.0233633653 Long ABS-MBS USGSE US N 2 2043-04-25 Floating 9.237430000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2022 R03 1M2 144A N/A 20753XAB0 59000 PA USD 61640.51 0.0384013506 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 8.837430000000 N N N N N N Corebridge Financial Inc. N/A 21871XAH2 30000 PA USD 27118.99 0.0168948285 Long DBT CORP US N 2 2032-04-05 Fixed 3.900000000000 N N N N N N Corebridge Financial Inc. N/A 21871XAQ2 5000 PA USD 5207.21 0.0032440338 Long DBT CORP US N 2 2033-09-15 Fixed 6.050000000000 N N N N N N GINNIE MAE II POOL MBS 30YR TBA 549300M8ZYFG0OCMTT87 21H042612 970000 PA USD -946980.25 -0.5899581396 Short ABS-MBS USGA US N 2 N/A Fixed 4.500000000000 N N N N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -10260.4 -0.0063921148 N/A DFE CORP MX N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 4435000.000000000000 MXN 247973.160000000000 USD 2024-03-13 -10260.400000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD -579.17 -0.0003608165 N/A DFE CORP DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 77000.000000000000 EUR 84444.590000000000 USD 2024-01-09 -579.170000000000 N N N SOLD PEN/BOUGHT USD N/A N/A 1 NC USD -994.77 -0.0006197306 N/A DFE CORP PE N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 251000.000000000000 PEN 66693.240000000000 USD 2024-03-20 -994.770000000000 N N N BOUGHT COP/SOLD USD N/A N/A 1 NC 2093.25 0.0013040714 N/A DFE CORP CO N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 83437.530000000000 USD 336587000.000000000000 COP 2024-03-20 2093.250000000000 N N N BOUGHT AUD/SOLD USD N/A N/A 1 NC -278.21 -0.0001733217 N/A DFE CORP AU N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 44612.350000000000 USD 65000.000000000000 AUD 2024-01-31 -278.210000000000 N N N JPMorgan Chase and Co. 8I5DZWZKVSZI1NUHU748 46647PDA1 45000 PA USD 44331.13 0.0276177998 Long DBT CORP US N 2 2028-04-26 Variable 4.323000000000 N N N N N N JPMorgan Chase and Co. 8I5DZWZKVSZI1NUHU748 46647PDX1 60000 PA USD 63084.77 0.0393011085 Long DBT CORP US N 2 2029-10-23 Variable 6.087000000000 N N N N N N Jacobs Entertainment Inc. 5493004U9JIWY3HSUO63 469815AK0 15000 PA USD 14100 0.0087841428 Long DBT CORP US N 2 2029-02-15 Fixed 6.750000000000 N N N N N N JBS USA LUX SA / JBS USA FOOD SR UNSECURED 144A 11/53 7.25 N/A 47214BAB4 15000 PA USD 16299.64 0.0101544940 Long DBT CORP US N 2 2053-11-15 Fixed 7.250000000000 N N N N N N JetBlue Airways Corporation 54930070J9H97ZO93T57 477143AP6 390000 PA USD 280797.03 0.1749334196 Long DBT CORP US N 2 2026-04-01 Fixed 0.500000000000 N N N N N JetBlue Airways Corp. USD XXXX N N John Bean Technologies Corporation 5493007CT6ATBZ2L6826 477839AB0 115000 PA USD 103776 0.0646512912 Long DBT CORP US N 2 2026-05-15 Fixed 0.250000000000 N N N N Y John Bean Technologies Corp. USD XXXX N N N Kyndryl Holdings Inc. N/A 50155QAM2 60000 PA USD 45039.38 0.0280590317 Long DBT CORP US N 2 2041-10-15 Fixed 4.100000000000 N N N N N N LBM Acquisition LLC N/A 50179JAB4 100547.19 PA USD 99228.01 0.0618179441 Long LON CORP US N 2 2027-12-17 Floating 9.106 N N N N N N LHOME MORTGAGE TRUST 2021-RTL2 LHOME 2021 RTL2 A1 144A N/A 501895AA4 64136.06 PA USD 63570.26 0.0396035634 Long ABS-MBS CORP US N 2 2026-06-25 Variable 2.090000000000 N N N N N N LFS Topco LLC N/A 50203TAA4 95000 PA USD 87317.1 0.0543975800 Long DBT CORP US N 2 2026-10-15 Fixed 5.875000000000 N N N N N N Vital Energy Inc 549300X0PTWU2QSLSL14 516806AJ5 90000 PA USD 93300.39 0.0581251029 Long DBT CORP US N 2 2030-10-15 Fixed 9.750000000000 N N N N N N Airbnb Inc. N/A 009066AB7 130000 PA USD 116753 0.0727358175 Long DBT CORP US N 2 2026-03-15 None 0.000000000000 N N N N Y Airbnb, Inc. USD XXXX N N N CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A4 144A N/A 14688GAD6 10000 PA USD 10167.27 0.0063340959 Long ABS-O CORP US N 2 2029-07-10 Fixed 5.710000000000 N N N N N N BOUGHT THB/SOLD USD N/A N/A 1 NC 42821.43 0.0266772736 N/A DFE CORP TH N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 925498.930000000000 USD 32833000.000000000000 THB 2024-03-20 42821.430000000000 N N N SOLD TRY/BOUGHT USD N/A N/A 1 NC USD 347.9 0.0002167378 N/A DFE CORP TR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2156000.000000000000 TRY 71604.120000000000 USD 2024-01-31 347.900000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD -11.93 -0.0000074323 N/A DFE CORP DE N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 27000.000000000000 EUR 29886.370000000000 USD 2024-03-20 -11.930000000000 N N N VERUS SECURITIZATION TRUST 202 VERUS 2020 5 M1 144A N/A 92538CAD3 100000 PA USD 83863.28 0.0522458886 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.601000000000 N N N N N N EURO-BUND FUTURE 0324 N/A ADI2JQBQ2 1 NC -3787.48738736949 -0.0023595624 N/A DIR CORP DE N 1 EUREX ZURICH 529900LN3S50JPU47S06 Short Euro-Bund 10yr 6% Euro-Bund 10yr 6% 2024-03-07 -133739.150000000000 EUR -3787.487387369490 N N N EURO-SCHATZ FUT 0324 N/A ADI2JQBS8 2 NC 632.894623541958 0.0003942863 N/A DIR CORP DE N 1 EUREX ZURICH 529900LN3S50JPU47S06 Long Euro-Schatz 2yr 6% Euro-Schatz 2yr 6% 2024-03-07 212506.700000000000 EUR 632.894623541958 N N N EURO-OAT FUTURE 0324 N/A ADI2JQBT6 11 NC -42114.9808243858 -0.0262371636 N/A DIR CORP DE N 1 EUREX ZURICH 529900LN3S50JPU47S06 Short Euro-OAT 10yr 6% Euro-OAT 10yr 6% 2024-03-07 -1407470.650000000000 EUR -42114.980824385800 N N N EURO-BTP FUTURE 0324 N/A ADI2JQBV1 26 NC -97189.950079374 -0.0605482555 N/A DIR CORP DE N 1 EUREX ZURICH 529900LN3S50JPU47S06 Short BTP 10yr 6% (EUX) BTP 10yr 6% (EUX) 2024-03-07 -3012201.650000000000 EUR -97189.950079374000 N N N EURO-BOBL FUTURE 0324 N/A ADI2JQCC2 3 NC -4021.19363506499 -0.0025051588 N/A DIR CORP DE N 1 EUREX ZURICH 529900LN3S50JPU47S06 Short Euro-bobl 5yr 6% Euro-bobl 5yr 6% 2024-03-07 -354167.450000000000 EUR -4021.193635064990 N N N MEXICAN BONOS BONDS 03/27 5.5 N/A BR4592233 6942300 PA 366354.42 0.2282347198 Long DBT NUSS MX N 2 2027-03-04 Fixed 5.500000000000 N N N N N N BPCE N/A BR7719148 200000 PA 200128.5 0.1246778246 Long DBT CORP FR N 2 2042-01-13 Variable 1.500000000000 N N N N N N Teva Pharmaceutical Finance Netherlands II B.V. N/A BS1759429 460000 PA 475711.96 0.2963632482 Long DBT CORP NL N 2 2030-05-09 Fixed 4.375000000000 N N N N N N ROMANIA GOVERNMENT BOND BONDS 07/29 4.85 N/A BS2021845 335000 PA 69446.33 0.0432642895 Long DBT NUSS RO N 2 2029-07-25 Fixed 4.850000000000 N N N N N N Malaysia Government Bond N/A BT4584806 1455000 PA 310548.91 0.1934685092 Long DBT NUSS MY N 2 2032-07-15 Fixed 3.582000000000 N N N N N N COLOMBIAN TES BONDS 05/42 9.25 N/A BT5050872 642900000 PA 150587.31 0.0938142155 Long DBT NUSS CO N 2 2042-05-28 Fixed 9.250000000000 N N N N N N Malaysia Government Bond N/A BV8949489 450000 PA 105320.57 0.0656135411 Long DBT NUSS MY N 2 2042-10-15 Fixed 4.696000000000 N N N N N N NEW ZEALAND GOVERNMENT INFLATI BONDS REGS 09/30 3 N/A EJ7263811 1280000 PA 1095818.39 0.6826826417 Long DBT NUSS NZ N 2 2030-09-20 Fixed 3.000000000000 N N N N N N REPUBLIC OF SOUTH AFRICA GOVT SR UNSECURED 01/44 8.75 N/A EJ7498649 5755000 PA 233283.18 0.1453328207 Long DBT NUSS ZA N 2 2044-01-31 Fixed 8.750000000000 N N N N N N REPUBLIC OF SOUTH AFRICA GOVT SR UNSECURED 03/32 8.25 N/A EJ7500097 9220000 PA 440775.73 0.2745983664 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.250000000000 N N N N N N REPUBLIC OF SOUTH AFRICA GOVT SR UNSECURED 01/37 8.5 N/A EJ7500196 7080000 PA 302552.19 0.1884866418 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.500000000000 N N N N N N Mexico Government International Bond N/A EK1245878 100000 PA 98342.18 0.0612660819 Long DBT NUSS MX N 2 2114-03-19 Fixed 5.625000000000 N N N N N N REPUBLIC OF POLAND GOVERNMENT BONDS 07/25 3.25 N/A EK3155539 660000 PA 163235.04 0.1016936103 Long DBT NUSS PL N 2 2025-07-25 Fixed 3.250000000000 N N N N N N NEW ZEALAND GOVERNMENT INFLATI BONDS REGS 09/35 2.5 N/A EK5782140 2315000 PA 1878982.09 1.1705848967 Long DBT NUSS NZ N 2 2035-09-20 Fixed 2.500000000000 N N N N N N COLOMBIAN TES BONDS 09/30 7.75 N/A EK6999263 1202100000 PA 282212.81 0.1758154348 Long DBT NUSS CO N 2 2030-09-18 Fixed 7.750000000000 N N N N N N REPUBLIC OF SOUTH AFRICA GOVT SR UNSECURED 01/40 9 N/A EK7733067 4465000 PA 190804.46 0.1188690516 Long DBT NUSS ZA N 2 2040-01-31 Fixed 9.000000000000 N N N N N N BOUGHT KZT/SOLD USD N/A N/A 1 NC 306.81 0.0001911392 N/A DFE CORP KZ N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 23405.630000000000 USD 10900000.000000000000 KZT 2024-02-09 306.810000000000 N N N SOLD PEN/BOUGHT USD N/A N/A 1 NC USD -1057.86 -0.0006590350 N/A DFE CORP PE N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 201000.000000000000 PEN 53146.480000000000 USD 2024-03-20 -1057.860000000000 N N N BOUGHT NZD/SOLD USD N/A N/A 1 NC 10837.96 0.0067519283 N/A DFE CORP NZ N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1294690.990000000000 USD 2065000.000000000000 NZD 2024-01-31 10837.960000000000 N N N SOLD NOK/BOUGHT USD N/A N/A 1 NC USD -56920.4 -0.0354607747 N/A DFE CORP NO N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 28409000.000000000000 NOK 2741190.830000000000 USD 2024-01-31 -56920.400000000000 N N N Freddie Mac STACR REMIC Trust 2022-HQA1 N/A 35564KTB5 20000 PA USD 20708.37 0.0129010837 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 8.837430000000 N N N N N N Freddie Mac STACR REMIC Trust 2022-HQA1 N/A 35564KTJ8 560000 PA USD 597183.83 0.3720388692 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 10.587430000000 N N N N N N Freddie Mac STACR REMIC Trust 2022-DNA3 N/A 35564KUX5 60000 PA USD 61606.84 0.0383803746 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 8.237430000000 N N N N N N Wells Fargo and Company PBLD0EJDB5FWOLXP3B76 95000U3D3 50000 PA USD 50217.2 0.0312847558 Long DBT CORP US N 2 2034-04-24 Variable 5.389000000000 N N N N N N Wells Fargo and Company PBLD0EJDB5FWOLXP3B76 95000U3E1 15000 PA USD 15316.02 0.0095417097 Long DBT CORP US N 2 2029-07-25 Variable 5.574000000000 N N N N N N Malaysia Government Bond N/A EK9244469 240000 PA 53502.33 0.0333313552 Long DBT NUSS MY N 2 2035-05-31 Fixed 4.254000000000 N N N N N N BONOS DE LA TESORERIA DE LA RE BONDS 03/35 5 N/A EK9859522 30000000 PA 34021.18 0.0211948159 Long DBT NUSS CL N 2 2035-03-01 Fixed 5.000000000000 N N N N N N BRAZIL NOTAS DO TESOURO NACION NOTES 01/27 10 N/A JV5341526 4645000 PA 959804.79 0.5979476851 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.000000000000 N N N N N N Thailand Government Bond N/A LW4217821 775000 PA 20741.11 0.0129214803 Long DBT NUSS TH N 2 2046-06-17 Fixed 2.875000000000 N N N N N N GHANA GOVERNMENT INTERNATIONAL BANK GUARANT REGS 10/30 10.75 N/A QJ1388462 250000 PA USD 156563 0.0975370038 Long DBT NUSS GH N 2 2030-10-14 Fixed 10.750000000000 N N N N N N Peru Government Bond N/A QZ7445096 60000 PA 16600.57 0.0103419701 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.350000000000 N N N N N N JAPAN GOVERNMENT THIRTY YEAR B BONDS 09/53 1.8 N/A ZH3204729 68100000 PA 497805.25 0.3101271216 Long DBT NUSS JP N 2 2053-09-20 Fixed 1.800000000000 N N N N N N BONOS DE LA TESORERIA DE LA RE BONDS 144A REGS 10/34 5.8 N/A ZH7377901 85000000 PA 101397.4 0.0631694499 Long DBT NUSS CL N 2 2034-10-01 Fixed 5.800000000000 N N N N N N MEXICO CETES BILLS 10/25 0.00000 N/A ZH9628798 8043060 PA 394006.21 0.2454614768 Long DBT NUSS MX N 2 2025-10-30 None 0.000000000000 N N N N N N MEXICAN BONOS SR UNSECURED 05/35 8 N/A ZJ8065048 1309200 PA 71594.42 0.0446025256 Long DBT NUSS MX N 2 2035-05-24 Fixed 8.000000000000 N N N N N N MEXICO CETES BILLS 07/25 0.00000 N/A ZJ8388119 14819240 PA 747114.5 0.4654440053 Long DBT NUSS MX N 2 2025-07-10 None 0.000000000000 N N N N N N TURKIYE GOVERNMENT BOND BONDS 07/28 17.3 N/A ZJ9690372 1645000 PA 45104.05 0.0280993204 Long DBT NUSS TR N 2 2028-07-19 Fixed 17.300000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS 04/34 4.9 N/A ZK1433224 5860000 PA 287055.17 0.1788321711 Long DBT NUSS CZ N 2 2034-04-14 Fixed 4.900000000000 N N N N N N BONOS DE LA TESORERIA DE LA RE BONDS 144A REGS 04/33 6 N/A ZK1811536 180000000 PA 217541.34 0.1355258298 Long DBT NUSS CL N 2 2033-04-01 Fixed 6.000000000000 N N N N N N Banca Transilvania S.A. N/A ZK2917159 100000 PA 116060.49 0.0723043915 Long DBT CORP RO N 2 2027-04-27 Variable 8.875000000000 N N N N N N Peru Government Bond N/A ZK8655423 1347000 PA 381452.71 0.2376407862 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.300000000000 N N N N N N ROMANIA GOVERNMENT BOND BONDS 04/30 8 N/A ZM1054521 1020000 PA 245915.22 0.1532024408 Long DBT NUSS RO N 2 2030-04-29 Fixed 8.000000000000 N N N N N N COLOMBIAN TES BONDS 02/33 13.25 N/A ZM3975335 1703800000 PA 521988.35 0.3251929234 Long DBT NUSS CO N 2 2033-02-09 Fixed 13.250000000000 N N N N N N ROMANIA GOVERNMENT BOND BONDS 10/28 8.75 N/A ZN0438632 595000 PA 145219.88 0.0904703664 Long DBT NUSS RO N 2 2028-10-30 Fixed 8.750000000000 N N N N N N SOLD TRY/BOUGHT USD N/A N/A 1 NC USD 238.79 0.0001487635 N/A DFE CORP TR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 4395000.000000000000 TRY 138994.310000000000 USD 2024-03-20 238.790000000000 N N N BOUGHT IDR/SOLD USD N/A N/A 1 NC 9424.98 0.0058716575 N/A DFE CORP ID N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 505922.150000000000 USD 7935389000.000000000000 IDR 2024-03-20 9424.980000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 11318.16 0.0070510875 N/A DFE CORP CA N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 1774253.440000000000 USD 2365000.000000000000 CAD 2024-01-31 11318.160000000000 N N N Panama Government International Bond N/A 698299BS2 200000 PA USD 130492.75 0.0812955286 Long DBT NUSS PA N 2 2063-01-19 Fixed 4.500000000000 N N N N N N Targa Resources Partners LP / Targa Resources Partners Finance Corp N/A 87612BBN1 40000 PA USD 41308.4 0.0257346727 Long DBT CORP US N 2 2029-01-15 Fixed 6.875000000000 N N N N N N Tecta America Corp. N/A 87876GAF9 126750 PA USD 126908.44 0.0790625434 Long LON CORP US N 2 2028-04-10 Floating 9.47 N N N N N N Teladoc Health Inc. N/A 87918AAF2 97000 PA USD 79724.3 0.0496673502 Long DBT CORP US N 2 2027-06-01 Fixed 1.250000000000 N N N N Y Teladoc Health, Inc. USD XXXX N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -15120 -0.0094195915 N/A DFE CORP MX N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 8867000.000000000000 MXN 500578.650000000000 USD 2024-03-20 -15120.000000000000 N N N SOLD PHP/BOUGHT USD N/A N/A 1 NC USD -700.35 -0.0004363102 N/A DFE CORP PH N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 5910000.000000000000 PHP 106047.010000000000 USD 2024-03-20 -700.350000000000 N N N SOLD COP/BOUGHT USD N/A N/A 1 NC USD -1179.17 -0.0007346098 N/A DFE CORP CO N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 215200000.000000000000 COP 53505.720000000000 USD 2024-03-20 -1179.170000000000 N N N Qualcomm Incorporated H1J8DDZKZP6H7RWC0H53 747525BR3 20000 PA USD 18676.02 0.0116349523 Long DBT CORP US N 2 2052-05-20 Fixed 4.500000000000 N N N N N N Range Resources Corporation H3Y3WLYCX0BTO1TRW162 75281ABJ7 45000 PA USD 46573.76 0.0290149333 Long DBT CORP US N 2 2029-01-15 Fixed 8.250000000000 N N N N N N Range Resources Corporation H3Y3WLYCX0BTO1TRW162 75281ABK4 15000 PA USD 13865.85 0.0086382700 Long DBT CORP US N 2 2030-02-15 Fixed 4.750000000000 N N N N N N Rapid7 Inc. 549300GNVG5D60KEYN14 753422AF1 125000 PA USD 112265.63 0.0699402360 Long DBT CORP US N 2 2027-03-15 Fixed 0.250000000000 N N N N Y Rapid7, Inc. USD XXXX N N N RTX Corporation I07WOS4YJ0N7YRFE7309 75513EAB7 190000 PA 192175.14 0.1197229700 Long DBT CORP US N 2 2030-05-18 Fixed 2.150000000000 N N N N N N Ready Capital Mortgage Financing 2021-FL7 LLC N/A 75575WAC0 55000 PA USD 53781.54 0.0335052999 Long ABS-CBDO CORP US N 2 2036-11-25 Floating 6.970430000000 N N N N N N Redfin Corporation N/A 75737FAE8 115000 PA USD 73818.5 0.0459881026 Long DBT CORP US N 2 2027-04-01 Fixed 0.500000000000 N N N N Y Redfin, Corp. USD XXXX N N Regions Financial Corporation CW05CS5KW59QTC0DG824 7591EPAT7 25000 PA USD 21415.46 0.0133415929 Long DBT CORP US N 2 2028-08-12 Fixed 1.800000000000 N N N N N N Repay Holdings Corporation N/A 76029LAA8 475000 PA USD 402562.5 0.2507919501 Long DBT CORP US N 2 2026-02-01 None 0.000000000000 N N N N Y Repay Holdings Corp. USD XXXX N N N Uruguay Government International Bond N/A 760942BF8 5993000 PA 154351.2 0.0961590770 Long DBT NUSS UY N 2 2033-07-20 Fixed 9.750000000000 N N N N N N Royalty Pharma plc N/A 78081BAK9 25000 PA USD 21012.17 0.0130903477 Long DBT CORP US N 2 2030-09-02 Fixed 2.200000000000 N N N N N N SCE Trust VII N/A 783892201 3100 NS USD 80848 0.0503674028 Long EP CORP US N 1 N N N Paramount Global 5KYC8KF17ROCY24M3H09 92553PAU6 15000 PA USD 13500.78 0.0084108354 Long DBT CORP US N 2 2043-09-01 Fixed 5.850000000000 N N N N N N Paramount Global 5KYC8KF17ROCY24M3H09 92553PBC5 14000 PA USD 12261.46 0.0076387529 Long DBT CORP US N 2 2057-02-28 Variable 6.250000000000 N N N N N N Paramount Global 5KYC8KF17ROCY24M3H09 92556HAE7 115000 PA USD 103500 0.0644793463 Long DBT CORP US N 2 2062-03-30 Variable 6.375000000000 N N N N N N Viking Cruises Ltd N/A 92676XAF4 90000 PA USD 89226.45 0.0555870837 Long DBT CORP US N 2 2029-02-15 Fixed 7.000000000000 N N N N N N Viking Cruises Ltd N/A 92676XAG2 85000 PA USD 90575.73 0.0564276701 Long DBT CORP US N 2 2031-07-15 Fixed 9.125000000000 N N N N N N Virginia Electric and Power Company CQKUMNNZVDJLRYV2PT43 927804FB5 5000 PA USD 5374.56 0.0033482910 Long DBT CORP US N 2 2037-05-15 Fixed 6.000000000000 N N N N N N VISTAJET MALTA FINANCE PLC / V SR UNSECURED 144A 02/30 6.375 N/A 92840JAB5 196000 PA USD 136880.85 0.0852752437 Long DBT CORP MT N 2 2030-02-01 Fixed 6.375000000000 N N N N N VTR Comunicaciones S.p.A. N/A BO5222670 200000 PA USD 100000 0.0622988853 Long DBT CORP CL N 2 2029-04-15 Fixed 4.375000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS 06/32 1.75 N/A BO7153865 1870000 PA 71835.76 0.0447528777 Long DBT NUSS CZ N 2 2032-06-23 Fixed 1.750000000000 N N N N N N Rakuten Group Inc. N/A BP1088817 200000 PA 146161.23 0.0910568170 Long DBT CORP JP N 2 2027-04-22 Variable 4.250000000000 N N N N N N Thailand Government Bond N/A BP2211780 10495000 PA 293087.18 0.1825900460 Long DBT NUSS TH N 2 2031-12-17 Fixed 2.000000000000 N N N N N N REPUBLIC OF SOUTH AFRICA GOVT SR UNSECURED 03/36 6.25 N/A EF5565850 11665000 PA 418581.71 0.2607717393 Long DBT NUSS ZA N 2 2036-03-31 Fixed 6.250000000000 N N N N N N Peru Government Bond N/A EG6650006 120000 PA 32663.12 0.0203487597 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.900000000000 N N N N N N Peru Government Bond N/A EH3330816 930000 PA 259449.67 0.1616342523 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.950000000000 N N N N N N MEXICAN BONOS SR UNSECURED 05/29 8.5 N/A EH6834517 3285900 PA 189282.24 0.1179207256 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.500000000000 N N N N N N MEXICAN BONOS SR UNSECURED 11/38 8.5 N/A EH6944449 977200 PA 54877.08 0.0341878091 Long DBT NUSS MX N 2 2038-11-18 Fixed 8.500000000000 N N N N N N REPUBLIC OF SOUTH AFRICA GOVT SR UNSECURED 02/31 7 N/A EI2585962 1345000 PA 61505.67 0.0383173468 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7.000000000000 N N N N N N ICELAND RIKISBREF BONDS 01/31 6.5 N/A EI5431396 46170000 PA 330610.48 0.2059666437 Long DBT NUSS IS N 2 2031-01-24 Fixed 6.500000000000 N N N N N N HUNGARY GOVERNMENT BOND BONDS 10/28 6.75 N/A EI5857269 37840000 PA 113025.1 0.0704133774 Long DBT NUSS HU N 2 2028-10-22 Fixed 6.750000000000 N N N N N N Indonesia Treasury Bond N/A EI8133205 1364000000 PA 89929.04 0.0560247895 Long DBT NUSS ID N 2 2027-05-15 Fixed 7.000000000000 N N N N N N ROMANIA GOVERNMENT BOND BONDS 07/27 5.8 N/A EJ0387625 850000 PA 185840.1 0.1157763107 Long DBT NUSS RO N 2 2027-07-26 Fixed 5.800000000000 N N N N N N HELLENIC REPUBLIC GOVERNMENT B BONDS 10/42 VAR N/A EJ0435655 409185000 PA 1088644.82 0.6782135875 Long DBT NUSS GR N 2 2042-10-15 Variable 0.000000000000 N N N N N N MEXICAN BONOS SR UNSECURED 11/42 7.75 N/A EJ1291206 3077500 PA 159413.45 0.0993128023 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.750000000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAZ3 245000 PA USD 232953.35 0.1451273403 Long LON CORP US N 2 2028-01-31 Floating 10.72 N N N N N N BX 2021-MFM1 BX 2021 MFM1 D 144A N/A 05608VAJ5 42144.41 PA USD 41084.36 0.0255950983 Long ABS-MBS CORP US N 2 2034-01-15 Floating 6.976480000000 N N N N N N BSPRT 2023-FL10 ISSUER LTD BSPRT 2023 FL10 A 144A N/A 05610VAA0 100000 PA USD 99999.77 0.0622987420 Long ABS-CBDO CORP US N 2 2035-09-15 Floating 7.620810000000 N N N N N N BAIN CAPITAL CREDIT CLO 2020-5 BCC 2020 5A E 144A N/A 05683KAA6 250000 PA USD 249964.75 0.1557252528 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 12.577430000000 N N N N N N Bandwidth Inc. N/A 05988JAB9 47000 PA USD 38836.1 0.0241944574 Long DBT CORP US N 2 2026-03-01 Fixed 0.250000000000 N N N N Y Bandwidth, Inc. USD XXXX N N N Bandwidth Inc. N/A 05988JAD5 90000 PA USD 56385 0.0351272265 Long DBT CORP US N 2 2028-04-01 Fixed 0.500000000000 N N N N Y Bandwidth, Inc. USD XXXX N N N Bank of America Corporation 9DJT3UXIJIZJI4WXO774 060505682 87 NS USD 104859.36 0.0653262124 Long EP CORP US N 1 N N N Bank of America Corporation 9DJT3UXIJIZJI4WXO774 06051GLG2 30000 PA USD 30185.59 0.0188052861 Long DBT CORP US N 2 2029-04-25 Variable 5.202000000000 N N N N N N Energy Transfer LP MTLVN9N7JE8MIBIJ1H73 29273RBK4 15000 PA USD 14572.29 0.0090783742 Long DBT CORP US N 2 2027-04-15 Fixed 4.200000000000 N N N N N N Energy Transfer LP MTLVN9N7JE8MIBIJ1H73 29273VAT7 25000 PA USD 26729.98 0.0166524796 Long DBT CORP US N 2 2030-12-01 Fixed 6.400000000000 N N N N N N Energy Transfer LP MTLVN9N7JE8MIBIJ1H73 29273VAU4 10000 PA USD 10853 0.0067612980 Long DBT CORP US N 2 2033-12-01 Fixed 6.550000000000 N N N N N N EnLink Midstream LLC N/A 29336TAC4 75000 PA USD 74151.19 0.0461953648 Long DBT CORP US N 2 2028-01-15 Fixed 5.625000000000 N N N N N N GLS AUTO RECEIVABLES ISSUER TR GCAR 2023 1A C 144A N/A 36266XAD2 32000 PA USD 32267.25 0.0201021371 Long ABS-O CORP US N 2 2028-12-15 Fixed 6.380000000000 N N N N N N GLS AUTO RECEIVABLES ISSUER TR GCAR 2023 3A D 144A N/A 36267PAJ5 30000 PA USD 30103.92 0.0187544066 Long ABS-O CORP US N 2 2029-05-15 Fixed 6.440000000000 N N N N N N Block Inc. 549300OHIIUWSTIZME52 852234AK9 187000 PA USD 153573.75 0.0956747343 Long DBT CORP US N 2 2027-11-01 Fixed 0.250000000000 N N N N Y Block, Inc. USD XXXX N N N Stem Inc. N/A 85859NAA0 135000 PA USD 68567.86 0.0427170124 Long DBT CORP US N 2 2028-12-01 Fixed 0.500000000000 N N N N Y Stem, Inc. USD XXXX N N N STL Holding Company LLC N/A 861036AA9 110000 PA USD 106832 0.0665551451 Long DBT CORP US N 2 2026-02-15 Fixed 7.500000000000 N N N N N N STRATUS CLO 2021-1 LTD STRAS 2021 1A D 144A N/A 863162AG8 250000 PA USD 248830 0.1550183162 Long ABS-CBDO CORP KY N 2 2029-12-29 Floating 8.177430000000 N N N N N N SYMPHONY CLO XXII LTD SYMP 2020 22A C 144A N/A 87167GBC3 250000 PA USD 248248.75 0.1546562040 Long ABS-CBDO CORP KY N 2 2033-04-18 Floating 7.806650000000 N N N N N N Peru Government Bond N/A AZ1761248 575000 PA 140363.36 0.0874448086 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.400000000000 N N N N N N Trust Fibra Uno N/A AZ3324532 200000 PA USD 161293.9 0.1004843017 Long DBT CORP MX N 2 2050-01-15 Fixed 6.390000000000 N N N N N N Indonesia Treasury Bond N/A AZ4598522 190000000 PA 13057.83 0.0081348825 Long DBT NUSS ID N 2 2035-06-15 Fixed 7.500000000000 N N N N N N Times China Holdings Limited N/A BN3850672 200000 PA USD 4216 0.0026265210 Long DBT CORP CN N 2 2027-01-14 None 0 Y N N N N N HUNGARY GOVERNMENT BOND BONDS 06/34 2.25 N/A BN4274674 7260000 PA 15151.44 0.0094391782 Long DBT NUSS HU N 2 2034-06-22 Fixed 2.250000000000 N N N N N N Indonesia Treasury Bond N/A EJ3390386 926000000 PA 60264.86 0.0375443360 Long DBT NUSS ID N 2 2033-05-15 Fixed 6.625000000000 N N N N N N COLOMBIAN TES BONDS 04/28 6 N/A EJ5096460 792600000 PA 180226.54 0.1122791254 Long DBT NUSS CO N 2 2028-04-28 Fixed 6.000000000000 N N N N N N BONOS DE LA TESORERIA DE LA RE BONDS 01/43 6 N/A EJ5299593 15000000 PA 19021.35 0.0118500890 Long DBT NUSS CL N 2 2043-01-01 Fixed 6.000000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS REGS 08/28 2.5 N/A EJ5615988 3510000 PA 148676.65 0.0926238956 Long DBT NUSS CZ N 2 2028-08-25 Fixed 2.500000000000 N N N N N N REPUBLIC OF POLAND GOVERNMENT BONDS 04/28 2.75 N/A EJ6781532 415000 PA 96671.42 0.0602252170 Long DBT NUSS PL N 2 2028-04-25 Fixed 2.750000000000 N N N N N N Indonesia Treasury Bond N/A EJ7740016 104000000 PA 7539.44 0.0046969871 Long DBT NUSS ID N 2 2034-03-15 Fixed 8.375000000000 N N N N N N Hellenic Bank Public Company Limited N/A ZL4442626 100000 PA 120646.3 0.0751613000 Long DBT CORP CY N 2 2033-06-14 Variable 10.250000000000 N N N N N N REPUBLIC OF SOUTH AFRICA GOVT BONDS 03/53 11.625 N/A ZL9255643 955000 PA 49735.31 0.0309845437 Long DBT NUSS ZA N 2 2053-03-31 Fixed 11.625000000000 N N N N N N BRAZIL LETRAS DO TESOURO NACIO BILLS 07/26 0.00000 N/A ZM0253397 1559000 PA 254449.56 0.1585192395 Long DBT NUSS BR N 2 2026-07-01 None 0.000000000000 N N N N N N BULGARIA GOVERNMENT INTERNATIO SR UNSECURED REGS 01/33 4.5 N/A ZM5000082 75000 PA 86831.75 0.0540952123 Long DBT NUSS BG N 2 2033-01-27 Fixed 4.500000000000 N N N N N N Braskem Netherlands Finance B.V. N/A ZM9567631 200000 PA USD 168416.68 0.1049217143 Long DBT CORP NL N 2 2033-02-13 Fixed 7.250000000000 N N N N N N REPUBLIC OF POLAND GOVERNMENT BONDS 07/28 7.5 N/A ZN1430620 1535000 PA 429352.2 0.2674816345 Long DBT NUSS PL N 2 2028-07-25 Fixed 7.500000000000 N N N N N N Country Garden Holdings Company Limited 549300MGHLPT1EFHGF84 ZO9642588 290000 PA USD 21361.4 0.0133079141 Long DBT CORP CN N 2 2030-10-22 None 0 Y N N N N N HUNGARY GOVERNMENT BOND BONDS 04/33 2.25 N/A ZO9985268 20280000 PA 44159.46 0.0275108513 Long DBT NUSS HU N 2 2033-04-20 Fixed 2.250000000000 N N N N N N Yuzhou Group Holdings Company Limited N/A ZP2920954 200000 PA USD 12136 0.0075605927 Long DBT CORP CN N 2 2026-01-13 None 0 Y N N N N N Indonesia Government International Bond N/A ZQ2589344 380000 PA 355212.52 0.2212934403 Long DBT NUSS ID N 2 2031-10-30 Fixed 1.400000000000 N N N N N N HUNGARY GOVERNMENT BOND BONDS 11/25 1 N/A ZQ4946856 11030000 PA 28893.02 0.0180000294 Long DBT NUSS HU N 2 2025-11-26 Fixed 1.000000000000 N N N N N N Malaysia Government Bond N/A ZQ6789759 270000 PA 56174.66 0.0349961870 Long DBT NUSS MY N 2 2040-05-22 Fixed 3.757000000000 N N N N N N NEW ZEALAND GOVERNMENT BOND UNSECURED 05/31 1.5 N/A ZR6098787 690000 PA 360475.05 0.2245719379 Long DBT NUSS NZ N 2 2031-05-15 Fixed 1.500000000000 N N N N N N SOLD JPY/BOUGHT USD N/A N/A 1 NC USD -11079.99 -0.0069027103 N/A DFE CORP JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 70767000.000000000000 JPY 492865.340000000000 USD 2024-01-31 -11079.990000000000 N N N BOUGHT JPY/SOLD USD N/A N/A 1 NC 4963.06 0.0030919311 N/A DFE CORP JP N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 507456.490000000000 USD 71957000.000000000000 JPY 2024-01-31 4963.060000000000 N N N International Flavors and Fragrances Inc. BZLRL03D3GPGMOGFO832 459506AS0 35000 PA USD 23887.04 0.0148813596 Long DBT CORP US N 2 2050-12-01 Fixed 3.468000000000 N N N N N N Intesa Sanpaolo S.p.A 2W8N8UU78PMDQKZENC08 46115HCF2 200000 PA USD 219594.3 0.1368048010 Long DBT CORP IT N 2 2053-11-28 Fixed 7.800000000000 N N N N N N Iron Mountain Incorporated SQL3F6CKNNBM3SQGHX24 46284VAP6 160000 PA USD 164460.48 0.1024570458 Long DBT CORP US N 2 2029-02-15 Fixed 7.000000000000 N N N N N N JPMorgan Chase and Co. 8I5DZWZKVSZI1NUHU748 46647PBL9 30000 PA USD 25942.11 0.0161616453 Long DBT CORP US N 2 2031-04-22 Variable 2.522000000000 N N N N N N T-Mobile USA Inc. 549300V2JRLO5DIFGE82 87264AAV7 20000 PA USD 19927.41 0.0124145543 Long DBT CORP US N 2 2028-02-01 Fixed 4.750000000000 N N N N N N T-Mobile USA Inc. 549300V2JRLO5DIFGE82 87264ABL8 20000 PA USD 14967.15 0.0093243676 Long DBT CORP US N 2 2041-02-15 Fixed 3.000000000000 N N N N N N T-Mobile USA Inc. 549300V2JRLO5DIFGE82 87264ADD4 15000 PA USD 16449.88 0.0102480919 Long DBT CORP US N 2 2054-06-15 Fixed 6.000000000000 N N N N N N TRTX 2019-FL3 ISSUER LTD TRTX 2019 FL3 D 144A N/A 87276VAJ4 100000 PA USD 95332.05 0.0593908045 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 7.926290000000 N N N N N N Tapestry Inc. 549300LJNVY5SW3VTN33 876030AC1 20000 PA USD 20733.65 0.0129168328 Long DBT CORP US N 2 2026-11-27 Fixed 7.000000000000 N N N N N N Tapestry Inc. 549300LJNVY5SW3VTN33 876030AE7 30000 PA USD 31581.13 0.0196746919 Long DBT CORP US N 2 2030-11-27 Fixed 7.700000000000 N N N N N N SOLD RON/BOUGHT USD N/A N/A 1 NC USD -1447.45 -0.0009017452 N/A DFE CORP RO N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 294000.000000000000 RON 63726.300000000000 USD 2024-03-20 -1447.450000000000 N N N IRB Holding Corp. N/A 44988LAH0 195502.41 PA USD 195641.22 0.1218822992 Long LON CORP US N 2 2027-12-15 Floating 8.456 N N N N N N State of Illinois 54930048FV8RWPR02D67 452151LF8 40000 PA USD 39577.59 0.0246563974 Long DBT MUN US N 2 2033-06-01 Fixed 5.100000000000 N N N N N N MH SUB I LLC N/A 45567YAN5 97988.61 PA USD 96178.76 0.0599182954 Long LON CORP US N 2 2028-05-03 Floating 9.606 N N N N N N Indonesia Treasury Bond N/A BQ3772713 2293000000 PA 146618.9 0.0913419403 Long DBT NUSS ID N 2 2032-04-15 Fixed 6.375000000000 N N N N N N Indonesia Treasury Bond N/A BQ3773885 271000000 PA 18274.4 0.0113847475 Long DBT NUSS ID N 2 2042-06-15 Fixed 7.125000000000 N N N N N N Thailand Government Bond N/A BQ5009007 6320000 PA 176440.18 0.1099202653 Long DBT NUSS TH N 2 2027-06-17 Fixed 1.000000000000 N N N N N N BENIN GOVERNMENT INTERNATIONAL SR UNSECURED REGS 01/35 4.95 N/A BQ5680211 280000 PA 242710.07 0.1512056681 Long DBT NUSS BJ N 2 2035-01-22 Fixed 4.950000000000 N N N N N N Valeo 5493006IH2N2WMIBB742 BQ6920418 500000 PA 483676.09 0.3013248124 Long DBT CORP FR N 2 2028-08-03 Fixed 1.000000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS 07/37 1.95 N/A BR1344414 460000 PA 16482.97 0.0102687066 Long DBT NUSS CZ N 2 2037-07-30 Fixed 1.950000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS 02/26 6 N/A BV5782339 2430000 PA 113091.23 0.0704545756 Long DBT NUSS CZ N 2 2026-02-26 Fixed 6.000000000000 N N N N N N ANGOLAN GOVERNMENT INTERNATION SR UNSECURED REGS 04/32 8.75 N/A BV8060618 200000 PA USD 175596.8 0.1093948490 Long DBT NUSS AO N 2 2032-04-14 Fixed 8.750000000000 N N N N N N 888 ACQUISITIONS LTD SR SECURED REGS 07/27 7.558 N/A BX3897010 200000 PA 210233.41 0.1309730709 Long DBT CORP GI N 2 2027-07-15 Fixed 7.558000000000 N N N N N N MEXICAN BONOS BONDS 07/53 8 N/A BX4963407 1879200 PA 98205.1 0.0611806826 Long DBT NUSS MX N 2 2053-07-31 Fixed 8.000000000000 N N N N N N BRAZIL LETRAS DO TESOURO NACIO BILLS 01/26 0.00000 N/A BX5046434 1697000 PA 289514.64 0.1803643934 Long DBT NUSS BR N 2 2026-01-01 None 0.000000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS 09/30 5 N/A BY3335613 4340000 PA 208385.98 0.1298221426 Long DBT NUSS CZ N 2 2030-09-30 Fixed 5.000000000000 N N N N N N Indonesia Treasury Bond N/A BY4236745 4542000000 PA 294176.79 0.1832688609 Long DBT NUSS ID N 2 2028-08-15 Fixed 6.375000000000 N N N N N N Indonesia Treasury Bond N/A BY4236786 2088000000 PA 140345.66 0.0874337817 Long DBT NUSS ID N 2 2033-02-15 Fixed 7.000000000000 N N N N N N Indonesia Treasury Bond N/A BY4236828 920000000 PA 61965.36 0.0386037285 Long DBT NUSS ID N 2 2043-06-15 Fixed 7.125000000000 N N N N N N Thailand Government Bond N/A BY4967448 4970000 PA 152237.5 0.0948422655 Long DBT NUSS TH N 2 2043-06-17 Fixed 3.450000000000 N N N N N N ROMANIA GOVERNMENT BOND BONDS 09/32 8.25 N/A BZ4404662 1180000 PA 294336.81 0.1833685516 Long DBT NUSS RO N 2 2032-09-29 Fixed 8.250000000000 N N N N N N Thailand Government Bond N/A BZ5011797 7617000 PA 234716.44 0.1462257257 Long DBT NUSS TH N 2 2033-06-17 Fixed 3.350000000000 N N N N N N SOLD KZT/BOUGHT USD N/A N/A 1 NC USD -1830.26 -0.0011402316 N/A DFE CORP KZ N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 12800000.000000000000 KZT 26029.490000000000 USD 2024-02-07 -1830.260000000000 N N N SOLD RON/BOUGHT USD N/A N/A 1 NC USD -1257.03 -0.0007831157 N/A DFE CORP RO N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 247000.000000000000 RON 53497.790000000000 USD 2024-03-20 -1257.030000000000 N N N BOUGHT CNH/SOLD USD N/A N/A 1 NC 1417.74 0.0008832362 N/A DFE CORP CN N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 160689.820000000000 USD 1149000.000000000000 CNY 2024-03-20 1417.740000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 1516.62 0.0009448374 N/A DFE CORP MX N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 54316.320000000000 USD 960000.000000000000 MXN 2024-03-20 1516.620000000000 N N N BOUGHT NOK/SOLD USD N/A N/A 1 NC 35243.41 0.0219562516 N/A DFE CORP NO N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 1697263.070000000000 USD 17590000.000000000000 NOK 2024-01-31 35243.410000000000 N N N Frontier Communications Holdings LLC N/A 35906ABG2 218000 PA USD 194936.23 0.1214430983 Long DBT CORP US N 2 2029-05-01 Fixed 6.750000000000 N N N N N GS MORTGAGE SECURITIES TRUST 2 GSMS 2017 GS6 C N/A 36253PAJ1 25000 PA USD 19068.87 0.0118796934 Long ABS-MBS CORP US N 2 2050-05-10 Variable 4.322000000000 N N N N N N General Motors Financial Company Inc. 5493008B6JBRUJ90QL97 37045XDB9 110000 PA USD 101583.98 0.0632856872 Long DBT CORP US N 2 2030-09-30 Variable 5.700000000000 N N N N N N US 10YR NOTE CBT 0324 N/A ADI2HX5Y9 149 NC USD 318060.55 0.1981481772 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long US 10yr 6% US 10yr 6% 2024-03-19 16479361.330000000000 USD 318060.550000000000 N N N US LONG BONDCBT 0324 N/A ADI2JTX90 25 NC USD -217895.36 -0.1357463804 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short US 20yr 6% US 20yr 6% 2024-03-19 -2894604.640000000000 USD -217895.360000000000 N N N US 10YR ULTRA FUT 0324 N/A ADI2JV000 2 NC USD 10079.19 0.0062792230 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long US 10yr 6% US 10yr 6% 2024-03-19 225483.310000000000 USD 10079.190000000000 N N N US 2YR NOTE CBT 0324 N/A ADI2JV0C4 157 NC USD 305339.83 0.1902233104 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long US 2yr 6% US 2yr 6% 2024-03-28 32018261.650000000000 USD 305339.830000000000 N N N NORTH MACEDONIA GOVERNMENT INT SR UNSECURED REGS 03/28 1.625 N/A BO3834856 470000 PA 448571.22 0.2794548698 Long DBT NUSS MK N 2 2028-03-10 Fixed 1.625000000000 N N N N N N Clear Channel Outdoor Holdings Inc. N/A 18453HAE6 115000 PA USD 119998.48 0.0747577154 Long DBT CORP US N 2 2028-09-15 Fixed 9.000000000000 N N N N N N Clydesdale Acquisition Holdings Inc. N/A 18972EAB1 175000 PA USD 163164.17 0.1016494591 Long DBT CORP US N 2 2030-04-15 Fixed 8.750000000000 N N N N N N CoBank ACB N/A 19075QAC6 41000 PA USD 39461.21 0.0245838939 Long DBT CORP US N 2 2026-10-01 Variable 6.250000000000 N N N N N N Colombia Government International Bond N/A 195325DX0 645000 PA USD 400984.21 0.2498086930 Long DBT NUSS CO N 2 2061-02-15 Fixed 3.875000000000 N N N N N N Colombia Government International Bond N/A 195325EA9 840000 PA USD 598873.29 0.3730913839 Long DBT NUSS CO N 2 2042-02-22 Fixed 4.125000000000 N N N N N N SOLD UYU/BOUGHT USD N/A N/A 1 NC USD 1395.52 0.0008693934 N/A DFE CORP UY N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 3406000.000000000000 UYU 87896.770000000000 USD 2024-01-16 1395.520000000000 N N N FREDDIE MAC POOL FR 11/53 FIXED 6.5 S6XOOCT0IEG5ABCC6L87 3142GQGM8 110253.89 PA USD 113555.63 0.0707438917 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.500000000000 N N N N N N Freddie Mac STACR REMIC Trust 2021-HQA1 N/A 35564KBS7 163850.22 PA USD 163381.59 0.1017849093 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 7.587430000000 N N N N N N Freddie Mac STACR REMIC Trust 2022-HQA3 N/A 35564KE47 60000 PA USD 62032.86 0.0386457803 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 8.887430000000 N N N N N N Freddie Mac STACR REMIC Trust 2021-HQA3 N/A 35564KJP5 355000 PA USD 350222.62 0.2181847883 Long ABS-MBS USGSE US N 2 2041-09-25 Floating 7.437430000000 N N N N N N Freddie Mac STACR REMIC Trust 2021-DNA6 N/A 35564KKY4 188000 PA USD 186355.09 0.1160971437 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 6.837430000000 N N N N N N Freddie Mac STACR REMIC Trust 2022-DNA1 N/A 35564KQY8 175000 PA USD 174295.19 0.1085839605 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 8.737430000000 N N N N N N The Goldman Sachs Group Inc. 784F5XWPLTWKTBV3E584 38144GAB7 88000 PA USD 84029.4 0.0523493795 Long DBT CORP US N 2 2025-02-10 Variable 4.950000000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379LS49 127798.18 PA USD 24573.79 0.0153091972 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 4.500000000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380GAS3 131339.72 PA USD 22041.04 0.0137313222 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 4.500000000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381BEZ3 109491.21 PA USD 19962.37 0.0124363340 Long ABS-MBS USGA US N 2 2048-12-16 Fixed 5.000000000000 N N N N N N The Boeing Company RVHJWBXLJ1RFUBSY1F30 097023CR4 25000 PA USD 19126.71 0.0119157271 Long DBT CORP US N 2 2059-08-01 Fixed 3.950000000000 N N N N N N Consolidated Edison Company of New York Inc. VZFZPMWDHTQCFKYOBP05 209111GG2 30000 PA USD 32990.52 0.0205527262 Long DBT CORP US N 2 2053-11-15 Fixed 5.900000000000 N N N N N N COREVEST AMERICAN FINANCE 2020 CAFL 2020 4 B 144A N/A 21873AAG2 100000 PA USD 90828.91 0.0565853984 Long ABS-O CORP US N 2 2052-12-15 Fixed 1.707000000000 N N N N N N Corporacion Nacional del Cobre de Chile 549300UVMBCBCIPSUI70 21987BBG2 400000 PA USD 405460 0.2525970603 Long DBT CORP CL N 2 2034-01-08 Fixed 5.950000000000 N N N N N N Corporacion Nacional del Cobre de Chile 549300UVMBCBCIPSUI70 21987BBH0 200000 PA USD 202570 0.1261988519 Long DBT CORP CL N 2 2053-09-08 Fixed 6.300000000000 N N N N N N SOLD PEN/BOUGHT USD N/A N/A 1 NC USD -2094 -0.0013045387 N/A DFE CORP PE N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 553000.000000000000 PEN 147035.360000000000 USD 2024-03-20 -2094.000000000000 N N N SOLD CZK/BOUGHT USD N/A N/A 1 NC USD 626.52 0.0003903150 N/A DFE CORP CZ N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 2324000.000000000000 CZK 104334.740000000000 USD 2024-03-20 626.520000000000 N N N BOUGHT INR/SOLD USD N/A N/A 1 NC -160 -0.0000996782 N/A DFE CORP IN N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 59914.750000000000 USD 4990000.000000000000 INR 2024-03-20 -160.000000000000 N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC -17.21 -0.0000107216 N/A DFE CORP TR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2542.910000000000 USD 80000.000000000000 TRY 2024-03-20 -17.210000000000 N N N BOUGHT COP/SOLD USD N/A N/A 1 NC 16850.85 0.0104978917 N/A DFE CORP CO N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 757595.270000000000 USD 3018305000.000000000000 COP 2024-01-31 16850.850000000000 N N N BOUGHT HUF/SOLD USD N/A N/A 1 NC 12175.88 0.0075854375 N/A DFE CORP HU N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1882314.850000000000 USD 659789000.000000000000 HUF 2024-01-31 12175.880000000000 N N N BOUGHT PLN/SOLD USD N/A N/A 1 NC -2812.53 -0.0017521748 N/A DFE CORP PL N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 731191.020000000000 USD 2867000.000000000000 PLN 2024-01-31 -2812.530000000000 N N N The Greenbrier Companies Inc. 5493001GAGGFR30BP390 393657AM3 115000 PA USD 112815 0.0702824874 Long DBT CORP US N 2 2028-04-15 Fixed 2.875000000000 N N N N Y The Greenbrier Companies, Inc. USD XXXX N N N GREYSTONE CRE NOTES 2021-FL3 L GSTNE 2021 FL3 B 144A N/A 39809PAE5 100000 PA USD 96417.67 0.0600671336 Long ABS-CBDO CORP KY N 2 2039-07-15 Floating 7.126290000000 N N N N N N GTCR (AP) Finance Inc. N/A 40060QAA3 70000 PA USD 70703.71 0.0440476232 Long DBT CORP US N 2 2027-05-15 Fixed 8.000000000000 N N N N N N The Michaels Companies Inc. 549300H9LWMBP7HYLR98 55916AAA2 100000 PA USD 79058.49 0.0492525580 Long DBT CORP US N 2 2028-05-01 Fixed 5.250000000000 N N N N N N The Michaels Companies Inc. 549300H9LWMBP7HYLR98 55916AAB0 113000 PA USD 71143.67 0.0443217134 Long DBT CORP US N 2 2029-05-01 Fixed 7.875000000000 N N N N N N MajorDrive Holdings IV LLC N/A 56085RAA8 48000 PA USD 41333.83 0.0257505153 Long DBT CORP US N 2 2029-06-01 Fixed 6.375000000000 N N N N N N Medline Borrower LP N/A 58503UAC7 101666.31 PA USD 102079.08 0.0635941289 Long LON CORP US N 2 2028-10-23 Floating 8.47 N N N N N N Merck and Co. Inc. 4YV9Y5M8S0BRK1RP0397 58933YBN4 10000 PA USD 10425.61 0.0064950388 Long DBT CORP US N 2 2063-05-17 Fixed 5.150000000000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59259YBY4 15000 PA USD 16528.59 0.0102971273 Long DBT MUN US N 2 2039-11-15 Fixed 6.668000000000 N N N N N N NCL Corporation Ltd. UNZWILHE4KMRP9K2L524 62886HBK6 129000 PA USD 120744 0.0752221660 Long DBT CORP US N 2 2027-02-15 Fixed 2.500000000000 N N N N Y NCL Corp Ltd USD XXXX N N N Pacific Gas and Electric Company 1HNPXZSMMB7HMBMVBS46 694308KK2 94000 PA USD 101989.76 0.0635384836 Long DBT CORP US N 2 2053-04-01 Fixed 6.700000000000 N N N N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -5837.23 -0.0036365292 N/A DFE CORP MX N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 3345000.000000000000 MXN 188929.680000000000 USD 2024-03-13 -5837.230000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 5940.67 0.0037009712 N/A DFE CORP MX N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 320981.960000000000 USD 5570000.000000000000 MXN 2024-01-24 5940.670000000000 N N N SOLD KZT/BOUGHT USD N/A N/A 1 NC USD -952.63 -0.0005934779 N/A DFE CORP KZ N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 23500000.000000000000 KZT 50106.610000000000 USD 2024-02-14 -952.630000000000 N N N SOLD BRL/BOUGHT USD N/A N/A 1 NC USD -108925.18 -0.0678591729 N/A DFE CORP BR N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 41069000.000000000000 BRL 8345661.450000000000 USD 2024-01-03 -108925.180000000000 N N N SOLD PEN/BOUGHT USD N/A N/A 1 NC USD -1109.08 -0.0006909445 N/A DFE CORP PE N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 245000.000000000000 PEN 64960.890000000000 USD 2024-03-20 -1109.080000000000 N N N SOLD PLN/BOUGHT USD N/A N/A 1 NC USD -347.42 -0.0002164388 N/A DFE CORP PL N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 335000.000000000000 PLN 84702.910000000000 USD 2024-03-20 -347.420000000000 N N N SOLD KRW/BOUGHT USD N/A N/A 1 NC USD -33017.2 -0.0205693476 N/A DFE CORP KR N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 4963397000.000000000000 KRW 3804564.650000000000 USD 2024-01-31 -33017.200000000000 N N N BOUGHT IDR/SOLD USD N/A N/A 1 NC 640.31 0.0003989060 N/A DFE CORP ID N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 123465.560000000000 USD 1911000000.000000000000 IDR 2024-03-20 640.310000000000 N N N Fannie Mae Interest Strip B1V7KEBTPIMZEU4LTD58 31395QCT5 115348.94 PA USD 11246.19 0.0070062510 Long ABS-MBS USGSE US N 2 2032-04-25 Fixed 4.000000000000 N N N N N N Fannie Mae Pool B1V7KEBTPIMZEU4LTD58 3140QTHC6 188651.05 PA USD 194300.53 0.1210470643 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.500000000000 N N N N N N Aircastle Limited 549300PNK8AKY3OIKP58 00928QAW1 142000 PA USD 121738.22 0.0758415540 Long DBT CORP US N 2 2026-06-15 Variable 5.250000000000 N N N N N N Alarm.com Holdings Inc. 549300HIH92U1EKIHZ32 011642AB1 140000 PA USD 124180 0.0773627557 Long DBT CORP US N 2 2026-01-15 None 0.000000000000 N N N N Y Alarm.com Holdings, Inc. USD XXXX N N N Albemarle Corporation HDBLS2Q6GV1LSKQPBS54 012653AF8 97000 PA USD 89997.31 0.0560673209 Long DBT CORP US N 2 2052-06-01 Fixed 5.650000000000 N N N N N N Bread Financial Holdings Inc. 549300G8S4PO686J7H97 018581AP3 185000 PA USD 191784.88 0.1194798424 Long DBT CORP US N 2 2029-03-15 Fixed 9.750000000000 N N N N N N Alliant Energy Corporation N/A 018802AB4 315000 PA USD 312637.5 0.1947696775 Long DBT CORP US N 2 2026-03-15 Fixed 3.875000000000 N N N N Y Alliant Energy, Corp. USD XXXX N N N ALLIANT HOLDINGS INTERMEDIATE SR UNSECURED 144A 10/27 6.75 N/A 01883LAA1 144000 PA USD 143490.96 0.0893932686 Long DBT CORP US N 2 2027-10-15 Fixed 6.750000000000 N N N N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC 516.25 0.0003216180 N/A DFE CORP TR N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 44472.740000000000 USD 1425000.000000000000 TRY 2024-03-20 516.250000000000 N N N BOUGHT BRL/SOLD USD N/A N/A 1 NC 188.7 0.0001175580 N/A DFE CORP BR N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 13930.250000000000 USD 69000.000000000000 BRL 2024-03-04 188.700000000000 N N N BOUGHT BRL/SOLD USD N/A N/A 1 NC 66310.49 0.0413106961 N/A DFE CORP BR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 8388276.140000000000 USD 41069000.000000000000 BRL 2024-01-03 66310.490000000000 N N N Edison International N/A 281020AW7 50000 PA USD 54261.03 0.0338040168 Long DBT CORP US N 2 2029-11-15 Fixed 6.950000000000 N N N N N N Edison International N/A 281020AZ0 130000 PA USD 130975 0.0815959650 Long DBT CORP US N 2 2054-06-15 Variable 7.875000000000 N N N N N N Emera Incorporated NQZVQT2P5IUF2PGA1Q48 290876AD3 155000 PA USD 151779.01 0.0945566313 Long DBT CORP CA N 2 2076-06-15 Variable 6.750000000000 N N N N N N Emera US Finance LP N/A 29103DAM8 20000 PA USD 16454.22 0.0102507956 Long DBT CORP US N 2 2046-06-15 Fixed 4.750000000000 N N N N N N Enbridge Inc. 98TPTUM4IVMFCZBCUR27 29250NBC8 269000 PA USD 248152.5 0.1545962413 Long DBT CORP CA N 2 2080-07-15 Variable 5.750000000000 N N N N N N Enbridge Inc. 98TPTUM4IVMFCZBCUR27 29250NBR5 35000 PA USD 36378.9 0.0226636492 Long DBT CORP CA N 2 2033-03-08 Fixed 5.700000000000 N N N N N N Enbridge Inc. 98TPTUM4IVMFCZBCUR27 29250NBT1 38000 PA USD 40418.55 0.0251803061 Long DBT CORP CA N 2 2084-01-15 Variable 8.500000000000 N N N N N N Exact Sciences Corporation N/A 30063PAB1 115000 PA USD 111262.5 0.0693152972 Long DBT CORP US N 2 2027-03-15 Fixed 0.375000000000 N N N N Y Exact Sciences, Corp. USD XXXX N N N FREDDIE MAC STRUCTURED AGENCY STACR 2023 DNA2 B1 144A S6XOOCT0IEG5ABCC6L87 35564KW70 20000 PA USD 21789.72 0.0135747527 Long ABS-MBS USGSE US N 2 2043-04-25 Floating 12.937430000000 N N N N N N Freddie Mac Stacr Remic Trust 2022-Dna5 N/A 35564KYW3 75000 PA USD 83566.28 0.0520608609 Long ABS-MBS USGSE US N 2 2042-06-25 Floating 12.087430000000 N N N N N N Huntington Bancshares Incorporated 549300XTVCVV9I7B5T19 446150AV6 51000 PA USD 44726.35 0.0278640175 Long DBT CORP US N 2 2027-10-15 Variable 4.450000000000 N N N N N N Huntington Bancshares Incorporated 549300XTVCVV9I7B5T19 446150BB9 25000 PA USD 24232.03 0.0150962846 Long DBT CORP US N 2 2028-08-04 Variable 4.443000000000 N N N N N N Huntington Bancshares Incorporated 549300XTVCVV9I7B5T19 446150BC7 20000 PA USD 20622.61 0.0128476561 Long DBT CORP US N 2 2029-08-21 Variable 6.208000000000 N N N N N N Indonesia Government International Bond N/A BN3328919 280000 PA 243820.37 0.1518973726 Long DBT NUSS ID N 2 2033-03-12 Fixed 1.100000000000 N N N N N N ROMANIA GOVERNMENT BOND BONDS 10/34 4.75 N/A ZR8870548 750000 PA 146493.3 0.0912636929 Long DBT NUSS RO N 2 2034-10-11 Fixed 4.750000000000 N N N N N N Nordea Kredit Realkreditaktieselskab N/A ZS9944027 1.02 PA 0.11 0.0000000685 Long DBT CORP DK N 2 2050-10-01 Fixed 1.000000000000 N N N N N N Fannie Mae Pool B1V7KEBTPIMZEU4LTD58 3140XNG32 274010 PA USD 236876.69 0.1475715374 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.500000000000 N N N N N N Fannie Mae Pool B1V7KEBTPIMZEU4LTD58 31418EXT2 830561.41 PA USD 822024.9 0.5121123494 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 5.000000000000 N N N N N N Fannie Mae Interest Strip B1V7KEBTPIMZEU4LTD58 31424UPE0 122472.49 PA USD 18318.4 0.0114121590 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2.500000000000 N N N N N N Global Atlantic (Fin) Company N/A 37959GAC1 132000 PA USD 113136.45 0.0704827472 Long DBT CORP US N 2 2051-10-15 Variable 4.700000000000 N N N N N N Global Atlantic (Fin) Company N/A 37959GAD9 37000 PA USD 41005.67 0.0255460753 Long DBT CORP US N 2 2033-06-15 Fixed 7.950000000000 N N N N N N goeasy Ltd. 5493009DJVZG2P8YV435 380355AF4 40000 PA USD 38511.78 0.0239924096 Long DBT CORP CA N 2 2026-05-01 Fixed 4.375000000000 N N N N N N goeasy Ltd. 5493009DJVZG2P8YV435 380355AH0 140000 PA USD 149515.8 0.0931466767 Long DBT CORP CA N 2 2028-12-01 Fixed 9.250000000000 N N N N N N The Goldman Sachs Group Inc. 784F5XWPLTWKTBV3E584 38141GXG4 35000 PA USD 30755.95 0.0191606140 Long DBT CORP US N 2 2030-02-07 Fixed 2.600000000000 N N N N N N The Goldman Sachs Group Inc. 784F5XWPLTWKTBV3E584 38141GYM0 30000 PA USD 27444.62 0.0170976923 Long DBT CORP US N 2 2027-10-21 Variable 1.948000000000 N N N N N N Panama Government International Bond N/A 698299BW3 200000 PA USD 199428.14 0.1242415082 Long DBT NUSS PA N 2 2036-01-31 Fixed 6.875000000000 N N N N N N PAR Technology Corporation N/A 698884AE3 25000 PA USD 22075 0.0137524789 Long DBT CORP US N 2 2027-10-15 Fixed 1.500000000000 N N N N Y PAR Technology, Corp. USD XXXX N N N Patrick Industries Inc N/A 703343AG8 42000 PA USD 47670 0.0296978786 Long DBT CORP US N 2 2028-12-01 Fixed 1.750000000000 N N N N N Patrick Industries, Inc. USD XXXX N N N Patterson-UTI Energy Inc. N/A 703481AB7 30000 PA USD 27942.78 0.0174080405 Long DBT CORP US N 2 2028-02-01 Fixed 3.950000000000 N N N N N N Pebblebrook Hotel Trust N/A 70509VAA8 65000 PA USD 57889 0.0360642017 Long DBT CORP US N 2 2026-12-15 Fixed 1.750000000000 N N N N Y Pebblebrook Hotel Trust USD XXXX N N N Pegasystems Inc. 549300FMCOKPL06FYN26 705573AB9 122000 PA USD 112667 0.0701902851 Long DBT CORP US N 2 2025-03-01 Fixed 0.750000000000 N N N N Y Pegasystems, Inc. USD XXXX N N N PennyMac Financial Services Inc. N/A 70932MAC1 48000 PA USD 44423.1 0.0276750961 Long DBT CORP US N 2 2031-09-15 Fixed 5.750000000000 N N N N N N PennyMac Financial Services Inc. N/A 70932MAD9 15000 PA USD 15440.51 0.0096192656 Long DBT CORP US N 2 2029-12-15 Fixed 7.875000000000 N N N N N N PENSKE TRUCK LEASING CO LP / P SR UNSECURED 144A 05/26 5.75 N/A 709599BU7 10000 PA USD 10079.18 0.0062792168 Long DBT CORP US N 2 2026-05-24 Fixed 5.750000000000 N N N N N N PENSKE TRUCK LEASING CO LP / P SR UNSECURED 144A 08/28 6.05 N/A 709599BW3 15000 PA USD 15547.31 0.0096858008 Long DBT CORP US N 2 2028-08-01 Fixed 6.050000000000 N N N N N N Credit Acceptance Corporation N/A 225310AQ4 125000 PA USD 133243.75 0.0830093710 Long DBT CORP US N 2 2028-12-15 Fixed 9.250000000000 N N N N N N Cushman and Wakefield U.S. Borrower LLC. N/A 23166MAC7 20000 PA USD 21195.4 0.0132044979 Long DBT CORP US N 2 2031-09-01 Fixed 8.875000000000 N N N N N N Cytokinetics Incorporated 549300BE5DY1HW7IHA64 23282WAC4 80000 PA USD 140400 0.0874676349 Long DBT CORP US N 2 2027-07-01 Fixed 3.500000000000 N N N N N Cytokinetics, Inc. USD XXXX N N N SOLD GBP/BOUGHT USD N/A N/A 1 NC USD 102.22 0.0000636819 N/A DFE CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 128000.000000000000 GBP 163319.170000000000 USD 2024-03-20 102.220000000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 251526BZ1 120000 PA USD 116636.6 0.0726633016 Long DBT CORP US N 2 2026-01-13 Fixed 4.100000000000 N N N N N N Dominion Energy Inc. ILUL7B6Z54MRYCF6H308 25746UDQ9 20000 PA USD 18386.98 0.0114548836 Long DBT CORP US N 2 2052-08-15 Fixed 4.850000000000 N N N N N N Domino's Pizza Master Issuer LLC N/A 25755TAL4 48125.01 PA USD 43906.23 0.0273530919 Long ABS-O CORP US N 2 2049-10-25 Fixed 3.668000000000 N N N N N N Domino's Pizza Master Issuer LLC N/A 25755TAP5 58500 PA USD 50149.53 0.0312425982 Long ABS-O CORP US N 2 2051-04-25 Fixed 3.151000000000 N N N N N N DraftKings Holdings Inc. N/A 26142RAB0 95000 PA USD 76142.5 0.0474359287 Long DBT CORP US N 2 2028-03-15 None 0.000000000000 N N N N Y DraftKings, Inc. USD XXXX N N N Dropbox Inc. N/A 26210CAD6 130000 PA USD 130812.5 0.0814947293 Long DBT CORP US N 2 2028-03-01 None 0.000000000000 N N N N Y Dropbox, Inc. USD XXXX N N N Duke Energy Corporation I1BZKREC126H0VB1BL91 26441CBG9 42000 PA USD 41352.59 0.0257622026 Long DBT CORP US N 2 2024-09-16 Variable 4.875000000000 N N N N N N Duke Energy Corporation I1BZKREC126H0VB1BL91 26441CBX2 395000 PA USD 395987.5 0.2466957984 Long DBT CORP US N 2 2026-04-15 Fixed 4.125000000000 N N N N Y Duke Energy, Corp. USD XXXX N N N EnLink Midstream Partners LP 88CPW63VL7KHJWS0NY83 29336UAG2 106000 PA USD 92485 0.0576171241 Long DBT CORP US N 2 2047-06-01 Fixed 5.450000000000 N N N N N N Equitable Financial Life Global Funding N/A 29449WAF4 50000 PA USD 43795.9 0.0272843575 Long DBT CORP US N 2 2028-03-08 Fixed 1.800000000000 N N N N N N Euronet Worldwide Inc. YG3575C4DSHJPA5KET68 298736AL3 42000 PA USD 39270 0.0244647723 Long DBT CORP US N 2 2049-03-15 Fixed 0.750000000000 N N N N Y Euronet Worldwide, Inc. USD XXXX N N N Peru Government Bond N/A AO4008642 70000 PA 18465.2 0.0115036138 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.150000000000 N N N N N N Indonesia Treasury Bond N/A AO6754680 2489000000 PA 172571.81 0.1075103139 Long DBT NUSS ID N 2 2038-05-15 Fixed 7.500000000000 N N N N N N Uruguay Government International Bond N/A AP0760557 10093000 PA 248156.13 0.1545985027 Long DBT NUSS UY N 2 2028-03-15 Fixed 8.500000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS 10/33 2 N/A AP5145606 2990000 PA 114592.99 0.0713901554 Long DBT NUSS CZ N 2 2033-10-13 Fixed 2.000000000000 N N N N N N SWEDEN INFLATION LINKED BOND BONDS REGS 06/39 0.125 N/A BR1981793 5550000 PA 614568.53 0.3828693435 Long DBT NUSS SE N 2 2039-06-01 Fixed 0.125000000000 N N N N N N NEW ZEALAND GOVERNMENT BOND BONDS 05/51 2.75 N/A BR2219516 2975000 PA 1341530.83 0.8357587528 Long DBT NUSS NZ N 2 2051-05-15 Fixed 2.750000000000 N N N N N N Allianz SE N/A BR2440781 200000 PA 159520.11 0.0993792503 Long DBT CORP DE N 2 2031-10-30 Variable 2.600000000000 N N N N N N Paramount Global 5KYC8KF17ROCY24M3H09 124857AF0 15000 PA USD 13560.41 0.0084479843 Long DBT CORP US N 2 2040-10-15 Fixed 5.900000000000 N N N N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPCB7 251000 PA USD 236589.16 0.1473924094 Long DBT CORP US N 2 2029-06-01 Fixed 5.375000000000 N N N N N N CHS/Community Health Systems Inc. 5493007X5NC5XI1BB106 12543DBD1 90000 PA USD 86856.72 0.0541107684 Long DBT CORP US N 2 2027-12-15 Fixed 8.000000000000 N N N N N N CMS Energy Corporation 549300IA9XFBAGNIBW29 125896BU3 247000 PA USD 223023.87 0.1389413849 Long DBT CORP US N 2 2050-06-01 Variable 4.750000000000 N N N N N N CMS Energy Corporation 549300IA9XFBAGNIBW29 125896BV1 103000 PA USD 81305.54 0.0506524451 Long DBT CORP US N 2 2050-12-01 Variable 3.750000000000 N N N N N N CMS Energy Corporation 549300IA9XFBAGNIBW29 125896BW9 85000 PA USD 84065 0.0523715579 Long DBT CORP US N 2 2028-05-01 Fixed 3.375000000000 N N N N Y CMS Energy, Corp. USD XXXX N N N CP Atlas Buyer Inc. N/A 12597YAA7 145000 PA USD 126226.85 0.0786379205 Long DBT CORP US N 2 2028-12-01 Fixed 7.000000000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307BD8 200000 PA USD 120424.08 0.0750228595 Long DBT CORP US N 2 2030-12-01 Fixed 4.625000000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307BH9 200000 PA USD 151215.14 0.0942053466 Long DBT CORP US N 2 2031-11-15 Fixed 4.500000000000 N N N N N N CSMC 2021-NQM6 CSMC 2021 NQM6 A2 144A N/A 12662KAB5 67645.55 PA USD 53945.4 0.0336073829 Long ABS-MBS CORP US N 2 2066-07-25 Variable 1.379000000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2022 R03 1B1 144A N/A 20753XAF1 69000 PA USD 75645.45 0.0471262721 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 11.587430000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2022 R04 1B1 144A N/A 20753YAF9 165000 PA USD 175798.44 0.1095204685 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 10.587430000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2022 R02 2B1 144A N/A 20754BAF8 175000 PA USD 180157.5 0.1122361143 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 9.837430000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2022 R05 2B1 144A N/A 20754DAF4 70000 PA USD 72020.1 0.0448677195 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 9.837430000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2023 R06 1B1 144A N/A 20754EAF2 20000 PA USD 20394.14 0.0127053219 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 9.237430000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2023 R02 1M2 144A N/A 20755AAC6 40000 PA USD 41907.8 0.0261080922 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 8.687430000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2023 R08 1B1 144A N/A 20755CAF5 35000 PA USD 35467.11 0.0220956142 Long ABS-MBS USGSE US N 2 2043-10-25 Floating 8.887430000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2023 R01 1B1 144A N/A 207932AF1 20000 PA USD 21366.93 0.0133113592 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 10.437430000000 N N N N N N CONNECTICUT AVENUE SECURITIES CAS 2023 R05 1M2 144A N/A 207942AB9 36000 PA USD 37593.6 0.0234203937 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 8.437430000000 N N N N N N Freddie Mac STACR REMIC Trust 2020-DNA6 N/A 35566CBD6 35000 PA USD 36221.57 0.0225656343 Long ABS-MBS USGSE US N 2 2050-12-25 Floating 8.337430000000 N N N N N N Freedom Mortgage Corporation 549300LYRWPSYPK6S325 35640YAH0 92000 PA USD 90799.32 0.0565669642 Long DBT CORP US N 2 2026-05-01 Fixed 7.625000000000 N N N N N N Freedom Mortgage Corporation 549300LYRWPSYPK6S325 35640YAK3 20000 PA USD 21842.54 0.0136076589 Long DBT CORP US N 2 2028-10-01 Fixed 12.000000000000 N N N N N N Freedom Mortgage Corporation 549300LYRWPSYPK6S325 35640YAL1 70000 PA USD 76842.99 0.0478723262 Long DBT CORP US N 2 2030-10-01 Fixed 12.250000000000 N N N N N N VOLT XCVI LLC VOLT 2021 NPL5 A1 144A N/A 92873FAA5 47425.88 PA USD 46107.9 0.0287247077 Long ABS-MBS CORP US N 2 2051-03-27 Variable 2.115700000000 N N N N N N VERICREST OPPORTUNITY LOAN TRA VOLT 2021 NP11 A1 144A N/A 92873HAA1 142146.27 PA USD 134398.42 0.0837287175 Long ABS-MBS CORP US N 2 2051-08-25 Variable 1.867800000000 N N N N N N VOYA CLO 2013-3 LTD INGIM 2013 3A BRR 144A N/A 92916XAN7 250000 PA USD 245362.5 0.1528581024 Long ABS-CBDO CORP KY N 2 2031-10-18 Floating 7.906250000000 N N N N N N WFRBS Commercial Mortgage Trust 2011-C4 N/A 92936CAU3 53178.13 PA USD 49489.15 0.0308311888 Long ABS-MBS CORP US N 2 2044-06-15 Variable 4.978690000000 N N N N N N WW International Inc. SGT8R1MU6ESIC7UJC518 92941PAC7 94500 PA USD 66464.69 0.0414067610 Long LON CORP US N 2 2028-04-13 Floating 8.843 N N N N N N WSTN TRUST 2023-MAUI WSTN 2023 MAUI B 144A N/A 92943AAC8 30000 PA USD 29753.43 0.0185360552 Long ABS-MBS CORP US N 2 2037-07-05 Variable 7.017940000000 N N N N N N WE Soda Investments Holding PLC N/A 92943TAA1 200000 PA USD 205960 0.1283107841 Long DBT CORP GB N 2 2028-10-06 Fixed 9.500000000000 N N N N N N Boels Topholding B.V. N/A 937RMFII4 133620.69 PA 147388.14 0.0918211683 Long LON CORP NL N 2 2027-02-06 Floating 7.202 N N N N N N Wells Fargo and Company PBLD0EJDB5FWOLXP3B76 949746804 110 NS USD 131518.2 0.0819343725 Long EP CORP US N 1 N N N Wells Fargo and Company PBLD0EJDB5FWOLXP3B76 949746TD3 129000 PA USD 119190.4 0.0742542906 Long DBT CORP US N 2 2026-03-15 Variable 3.900000000000 N N N N N N Wells Fargo and Company PBLD0EJDB5FWOLXP3B76 95000U2Z5 15000 PA USD 13485.37 0.0084012352 Long DBT CORP US N 2 2053-04-25 Variable 4.611000000000 N N N N N N Wells Fargo and Company PBLD0EJDB5FWOLXP3B76 95000U3A9 20000 PA USD 19853.44 0.0123684718 Long DBT CORP US N 2 2028-07-25 Variable 4.808000000000 N N N N N N JPN 10Y BONDOSE 0324 N/A ADI2JSYM2 7 NC -7877.24822695035 -0.0049074378 N/A DIR CORP JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short Jpn 10yr 6% Jpn 10yr 6% 2024-03-13 -1024459308.000000000000 JPY -7877.248226950350 N N N AssuredPartners Inc. 549300HNDSDQWQ3L2P80 04624VAB5 143000 PA USD 133497.41 0.0831673983 Long DBT CORP US N 2 2029-01-15 Fixed 5.625000000000 N N N N N N Bank of America Corporation 9DJT3UXIJIZJI4WXO774 06051GLH0 45000 PA USD 45103.56 0.0280990151 Long DBT CORP US N 2 2034-04-25 Variable 5.288000000000 N N N N N N Celanese US Holdings LLC N/A 15089QAP9 30000 PA USD 31712.58 0.0197565838 Long DBT CORP US N 2 2032-07-15 Fixed 6.379000000000 N N N N N N Celanese US Holdings LLC N/A 15089QAX2 40000 PA USD 42285.08 0.0263431335 Long DBT CORP US N 2 2030-11-15 Fixed 6.550000000000 N N N N N N CenterPoint Energy Inc. 21TPXMRRHFKOBHDC8J74 15189TBC0 315000 PA USD 316417.5 0.1971245753 Long DBT CORP US N 2 2026-08-15 Fixed 4.250000000000 N N N N Y CenterPoint Energy, Inc. USD XXXX N N N Ceridian HCM Holding Inc. N/A 15677JAD0 140000 PA USD 125650 0.0782785494 Long DBT CORP US N 2 2026-03-15 Fixed 0.250000000000 N N N N Y Ceridian HCM Holding, Inc. USD XXXX N N N Charter Communications Operating LLC/Charter Communications Operating Capital C N/A 161175BV5 40000 PA USD 26017.18 0.0162084131 Long DBT CORP US N 2 2051-04-01 Fixed 3.700000000000 N N N N N N Cheniere Energy Partners L.P. 5493005UEC8AZ34LDV29 16411QAN1 50000 PA USD 42601.59 0.0265403157 Long DBT CORP US N 2 2032-01-31 Fixed 3.250000000000 N N N N N N SOLD CZK/BOUGHT USD N/A N/A 1 NC USD -565.47 -0.0003522815 N/A DFE CORP CZ N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 1300000.000000000000 CZK 57446.880000000000 USD 2024-03-20 -565.470000000000 N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 1166.22 0.0007265421 N/A DFE CORP DE N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 51986.310000000000 USD 48000.000000000000 EUR 2024-03-20 1166.220000000000 N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC -1134.58 -0.0007068307 N/A DFE CORP TR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 184847.520000000000 USD 5819000.000000000000 TRY 2024-03-20 -1134.580000000000 N N N BOUGHT HUF/SOLD USD N/A N/A 1 NC -56.74 -0.0000353484 N/A DFE CORP HU N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 144284.650000000000 USD 50465000.000000000000 HUF 2024-03-20 -56.740000000000 N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC -802.41 -0.0004998925 N/A DFE CORP TR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 80835.460000000000 USD 2535000.000000000000 TRY 2024-03-20 -802.410000000000 N N N The Charles Schwab Corporation N/A 808513CJ2 30000 PA USD 31459.42 0.0195988680 Long DBT CORP US N 2 2029-11-17 Variable 6.196000000000 N N N N N N Sea Limited N/A 81141RAG5 498000 PA USD 409605 0.2551793491 Long DBT CORP SG N 2 2026-09-15 Fixed 0.250000000000 N N N N Y Sea, Ltd. USD XXXX N N N Sedgwick Claims Management Services Inc. 549300BIN4DWJG5VWF64 81527CAP2 193508.03 PA USD 193964.71 0.1208378522 Long LON CORP US N 2 2028-02-24 Floating 9.106 N N N N N N Sempra PBBKGKLRK5S5C0Y4T545 816851BK4 84000 PA USD 82174.06 0.0511935234 Long DBT CORP US N 2 2025-10-15 Variable 4.875000000000 N N N N N N Sempra PBBKGKLRK5S5C0Y4T545 816851BM0 441000 PA USD 378452.44 0.2357716514 Long DBT CORP US N 2 2052-04-01 Variable 4.125000000000 N N N N N N Shake Shack Inc. N/A 819047AB7 25000 PA USD 20269.87 0.0126279031 Long DBT CORP US N 2 2028-03-01 None 0.000000000000 N N N N Y Shake Shack, Inc. USD XXXX N N N Shift4 Payments Inc N/A 82452JAD1 90000 PA USD 83871 0.0522506981 Long DBT CORP US N 2 2027-08-01 Fixed 0.500000000000 N N N N Y Shift4 Payments, Inc. USD XXXX N N N Shopify Inc. 549300HGQ43STJLLP808 82509LAA5 110000 PA USD 103730 0.0646226337 Long DBT CORP CA N 2 2025-11-01 Fixed 0.125000000000 N N N N Y Shopify, Inc. USD XXXX N N N Snap Inc. 549300JNC0L6VP8A2Q35 83304AAH9 650000 PA USD 508300 0.3166652339 Long DBT CORP US N 2 2028-03-01 Fixed 0.125000000000 N N N N Y Snap, Inc. USD XXXX N N N Societe Generale O2RNE8IBXP4R0TD8PU41 83368RBL5 420000 PA USD 419223.21 0.2611713867 Long DBT CORP FR N 2 2033-06-15 Variable 6.221000000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 83370RAB4 200000 PA USD 175439.5 0.1092968528 Long DBT CORP FR N 2 2026-05-26 Variable 4.750000000000 N N N N N N TotalEnergies SE N/A BN5864192 470000 PA 414609.29 0.2582969659 Long DBT CORP FR N 2 2032-07-25 Variable 2.125000000000 N N N N N N MEXICAN UDIBONOS BONDS 11/31 2.75 N/A BN8404384 22400230.84 PA 1161748.97 0.7237566581 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.750000000000 N N N N N N NORWAY GOVERNMENT BOND SR UNSECURED 144A REGS 09/31 1 N/A BN9945377 27765000 PA 2365513.83 1.4736887473 Long DBT NUSS NO N 2 2031-09-17 Fixed 1.250000000000 N N N N N N SERBIA INTERNATIONAL BOND SR UNSECURED REGS 03/33 1.65 N/A BO2494579 100000 PA 81391.37 0.0507059162 Long DBT NUSS RS N 2 2033-03-03 Fixed 1.650000000000 N N N N N N Diasorin S.P.A. N/A BP3037226 100000 PA 90980.87 0.0566800678 Long DBT CORP IT N 2 2028-05-05 None 0.000000000000 N N N N N DiaSorin SpA EUR XXXX N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 BP3850578 200000 PA 180694.56 0.1125706966 Long DBT CORP DE N 2 2027-10-30 Variable 4.625000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F050619 2953000 PA USD 2923468.52 1.8212882995 Long ABS-MBS USGSE US N 2 N/A Fixed 5.000000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F052615 8661000 PA USD 8703632.91 5.4222662820 Long ABS-MBS USGSE US N 2 N/A Fixed 5.500000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F060618 5191000 PA USD 5273733.12 3.2854769465 Long ABS-MBS USGSE US N 2 N/A Fixed 6.000000000000 N N N N N N BOUGHT KZT/SOLD USD N/A N/A 1 NC 298.57 0.0001860058 N/A DFE CORP KZ N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 23425.750000000000 USD 10900000.000000000000 KZT 2024-02-07 298.570000000000 N N N SOLD HUF/BOUGHT USD N/A N/A 1 NC USD -2046.73 -0.0012750900 N/A DFE CORP HU N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 25100000.000000000000 HUF 69688.540000000000 USD 2024-03-20 -2046.730000000000 N N N BOUGHT HUF/SOLD USD N/A N/A 1 NC -277.39 -0.0001728109 N/A DFE CORP HU N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 46576.650000000000 USD 16200000.000000000000 HUF 2024-03-20 -277.390000000000 N N N SOLD NOK/BOUGHT USD N/A N/A 1 NC USD 5852.42 0.0036459924 N/A DFE CORP NO N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 17590000.000000000000 NOK 1738358.900000000000 USD 2024-01-31 5852.420000000000 N N N BOUGHT HUF/SOLD USD N/A N/A 1 NC -609.03 -0.0003794189 N/A DFE CORP HU N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 127789.100000000000 USD 44500000.000000000000 HUF 2024-03-20 -609.030000000000 N N N DOMINICAN REPUBLIC INTERNATION SR UNSECURED 144A 09/35 11.25 N/A 25714PEW4 84000000 PA 1551670.69 0.9666735431 Long DBT NUSS DO N 2 2035-09-15 Fixed 11.250000000000 N N N N N N Dominion Energy Inc. ILUL7B6Z54MRYCF6H308 25746UDD8 45000 PA USD 42764.73 0.0266419501 Long DBT CORP US N 2 2024-12-15 Variable 4.650000000000 N N N N N N Dominion Energy Inc. ILUL7B6Z54MRYCF6H308 25746UDM8 102000 PA USD 90444.97 0.0563462081 Long DBT CORP US N 2 2027-01-15 Variable 4.350000000000 N N N N N N Medco Laurel Tree Pte. Ltd. N/A BS2398870 200000 PA USD 189007.33 0.1177494597 Long DBT CORP SG N 2 2028-11-12 Fixed 6.950000000000 N N N N N N BRAZIL NOTAS DO TESOURO NACION NOTES 01/33 10 N/A BT2749815 482000 PA 97703.41 0.0608681353 Long DBT NUSS BR N 2 2033-01-01 Fixed 10.000000000000 N N N N N N HUNGARY GOVERNMENT BOND BONDS 11/32 4.75 N/A BT4396433 83200000 PA 220419.81 0.1373190846 Long DBT NUSS HU N 2 2032-11-24 Fixed 4.750000000000 N N N N N N HUNGARY GOVERNMENT BOND BONDS 03/28 4.5 N/A BT4398900 19240000 PA 52746.84 0.0328606933 Long DBT NUSS HU N 2 2028-03-23 Fixed 4.500000000000 N N N N N N REPUBLIC OF POLAND GOVERNMENT BONDS 05/27 3.75 N/A BT4925082 1420000 PA 347626.54 0.2165674594 Long DBT NUSS PL N 2 2027-05-25 Fixed 3.750000000000 N N N N N N ROMANIA GOVERNMENT BOND BONDS 02/32 6.7 N/A BV1224013 320000 PA 72722.79 0.0453054875 Long DBT NUSS RO N 2 2032-02-25 Fixed 6.700000000000 N N N N N N Malaysia Government Bond N/A EG4790283 305000 PA 66167.31 0.0412214966 Long DBT NUSS MY N 2 2027-05-31 Fixed 3.502000000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 BP5040772 200000 PA USD 180630 0.1125304765 Long DBT CORP DK N 2 2026-05-18 Variable 4.375000000000 N N N N N N REPUBLIC OF POLAND GOVERNMENT BONDS 04/32 1.75 N/A BP9867766 505000 PA 99742.23 0.0621382974 Long DBT NUSS PL N 2 2032-04-25 Fixed 1.750000000000 N N N N N N COLOMBIAN TES BONDS 03/31 7 N/A BQ2333632 952100000 PA 211843.02 0.1319758400 Long DBT NUSS CO N 2 2031-03-26 Fixed 7.000000000000 N N N N N N Columbia Pipelines Operating Company LLC N/A 19828TAE6 20000 PA USD 21418.77 0.0133436550 Long DBT CORP US N 2 2043-08-15 Fixed 6.497000000000 N N N N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -35712.35 -0.0222483960 N/A DFE CORP MX N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 9710000.000000000000 MXN 524581.310000000000 USD 2024-05-06 -35712.350000000000 N N N SOLD BRL/BOUGHT USD N/A N/A 1 NC USD -1309.05 -0.0008155236 N/A DFE CORP BR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 1068000.000000000000 BRL 217227.700000000000 USD 2024-03-04 -1309.050000000000 N N N SOLD UYU/BOUGHT USD N/A N/A 1 NC USD 1253.88 0.0007811533 N/A DFE CORP UY N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 3545000.000000000000 UYU 88647.160000000000 USD 2024-05-13 1253.880000000000 N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -14823.09 -0.0092346198 N/A DFE CORP MX N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 8867000.000000000000 MXN 500875.560000000000 USD 2024-03-20 -14823.090000000000 N N N SOLD ZAR/BOUGHT USD N/A N/A 1 NC USD 144.36 0.0000899347 N/A DFE CORP ZA N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 1118000.000000000000 ZAR 60855.160000000000 USD 2024-03-20 144.360000000000 N N N BOUGHT PLN/SOLD USD N/A N/A 1 NC 79.7 0.0000496522 N/A DFE CORP PL N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 897391.700000000000 USD 3535000.000000000000 PLN 2024-03-20 79.700000000000 N N N BOUGHT BRL/SOLD USD N/A N/A 1 NC 61.97 0.0000386066 N/A DFE CORP BR N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 76671.440000000000 USD 375000.000000000000 BRL 2024-03-04 61.970000000000 N N N SOLD AUD/BOUGHT USD N/A N/A 1 NC USD -25284.58 -0.0157520115 N/A DFE CORP AU N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 5527000.000000000000 AUD 3744481.710000000000 USD 2024-01-31 -25284.580000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD -69004.55 -0.0429890654 N/A DFE CORP DE N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 7744386.180000000000 EUR 8489778.710000000000 USD 2024-01-31 -69004.550000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 7.79 0.0000048531 N/A DFE CORP MX N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 31979.830000000000 USD 550000.000000000000 MXN 2024-03-20 7.790000000000 N N N SOLD GBP/BOUGHT USD N/A N/A 1 NC USD -341.03 -0.0002124579 N/A DFE CORP GB N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 124000.000000000000 GBP 157739.590000000000 USD 2024-01-31 -341.030000000000 N N N CAMB COMMERCIAL MORTGAGE TRUST CAMB 2019 LIFE E 144A N/A 12482HAN4 120000 PA USD 117584.71 0.0732539636 Long ABS-MBS CORP US N 2 2037-12-15 Floating 7.809000000000 N N N N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -13762.52 -0.0085738965 N/A DFE CORP MX N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 11140000.000000000000 MXN 640082.740000000000 USD 2024-01-24 -13762.520000000000 N N N BOUGHT RON/SOLD USD N/A N/A 1 NC 1709.22 0.0010648250 N/A DFE CORP RO N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 256325.620000000000 USD 1164000.000000000000 RON 2024-03-20 1709.220000000000 N N N SOLD CAD/BOUGHT USD N/A N/A 1 NC USD -33753.46 -0.0210280293 N/A DFE CORP CA N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 7053000.000000000000 CAD 5291251.400000000000 USD 2024-01-31 -33753.460000000000 N N N SOLD PHP/BOUGHT USD N/A N/A 1 NC USD -15142.54 -0.0094336336 N/A DFE CORP PH N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 80731000.000000000000 PHP 1443042.270000000000 USD 2024-01-31 -15142.540000000000 N N N BOUGHT HUF/SOLD USD N/A N/A 1 NC -51.95 -0.0000323643 N/A DFE CORP HU N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 32918.710000000000 USD 11500000.000000000000 HUF 2024-03-20 -51.950000000000 N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172DA4 20000 PA USD 20326.4 0.0126631206 Long DBT CORP US N 2 2030-02-15 Fixed 5.125000000000 N N N N N N Post Holdings Inc. JM1I5YUAURL6DC8N1468 737446AP9 98000 PA USD 94429.65 0.0588286193 Long DBT CORP US N 2 2029-12-15 Fixed 5.500000000000 N N N N N N Artera Services LLC N/A 73937UAK4 97500 PA USD 91497.9 0.0570021718 Long LON CORP US N 2 2025-03-06 Floating 8.948 N N N N N N Presidio Holdings Inc. N/A 74101XAF7 63000 PA USD 63648.08 0.0396520443 Long DBT CORP US N 2 2028-02-01 Fixed 8.250000000000 N N N N N N Royalty Pharma plc N/A 78081BAL7 21000 PA USD 15774.46 0.0098273127 Long DBT CORP US N 2 2040-09-02 Fixed 3.300000000000 N N N N N N Royalty Pharma plc N/A 78081BAP8 25000 PA USD 16903.68 0.0105308042 Long DBT CORP US N 2 2051-09-02 Fixed 3.350000000000 N N N N N N VERUS SECURITIZATION TRUST 202 VERUS 2021 5 A1 144A N/A 92538KAA1 66480.09 PA USD 54539.72 0.0339776376 Long ABS-MBS CORP US N 2 2066-09-25 Variable 1.013000000000 N N N N N N Western Midstream Operating LP L6D8A6MLSY454J2JXJ60 958667AC1 183000 PA USD 171130.67 0.1066124998 Long DBT CORP US N 2 2030-02-01 Fixed 4.050000000000 N N N N N N Windsor Holdings III LLC N/A 97360AAA5 110000 PA USD 114953.08 0.0716144874 Long DBT CORP US N 2 2030-06-15 Fixed 8.500000000000 N N N N N N Windsor Holdings III LLC N/A 97360BAB1 114710.54 PA USD 115319.65 0.0718428565 Long LON CORP US N 2 2030-08-01 Floating 9.841 N N N N N N REPUBLIC OF SOUTH AFRICA GOVT SR UNSECURED 02/31 7 N/A 989RJPII3 4785000 PA 218813.86 0.1363185956 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7.000000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS 06/32 1.75 N/A ACI1X98N9 2870000 PA 110250.61 0.0686849010 Long DBT NUSS CZ N 2 2032-06-23 Fixed 1.750000000000 N N N N N N Endeavour Mining PLC N/A ACI1YMWL6 1012 NS 22736.68 0.0141646982 Long EC CORP GB N 1 N N N CAN 10YR BOND FUT 0324 N/A ADI2FF9Y6 29 NC -54635.3118750236 -0.0340371903 N/A DIR CORP CA N 1 MONTREAL EXCHANGE THE - BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Short Can 10yr 6% Can 10yr 6% 2024-03-19 -3526795.480000000000 CAD -54635.311875023600 N N N EURO BUXL 30Y BND 0324 N/A ADI2HHCR1 30 NC -265761.75872507 -0.1655666132 N/A DIR CORP DE N 1 EUREX ZURICH 529900LN3S50JPU47S06 Short Euro 30yr 4% Bond Euro 30yr 4% Bond 2024-03-07 -3992262.900000000000 EUR -265761.758725070000 N N N MEXICAN BONOS BONDS 11/36 10 N/A B1GCCFII9 1035600 PA 65682.32 0.0409193532 Long DBT NUSS MX N 2 2036-11-20 Fixed 10.000000000000 N N N N N N Piraeus Financial Holdings S.A. M6AD1Y1KW32H8THQ6F76 BG0391766 100000 PA 107867.32 0.0672001379 Long DBT CORP GR N 2 2030-02-19 Variable 5.500000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS 03/31 1.2 N/A BG1229221 6810000 PA 256032.55 0.1595054246 Long DBT NUSS CZ N 2 2031-03-13 Fixed 1.200000000000 N N N N N N Smart Insight International Limited N/A BGKT2PII3 2000000 PA 23694.69 0.0147615277 Long DBT CORP CN N 2 2023-12-05 None 0 Y N N N N Smart Insight International, Ltd. HKD XXXX N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAX8 144112.89 PA USD 143632.99 0.0894817517 Long LON CORP US N 2 2026-12-23 Floating 8.72 N N N N N N BOUGHT KZT/SOLD USD N/A N/A 1 NC 52.04 0.0000324203 N/A DFE CORP KZ N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 4083.390000000000 USD 1900000.000000000000 KZT 2024-02-07 52.040000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 8552.39 0.0053280436 N/A DFE CORP MX N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 444448.080000000000 USD 7780000.000000000000 MXN 2024-03-13 8552.390000000000 N N N SOLD CZK/BOUGHT USD N/A N/A 1 NC USD -898.16 -0.0005595437 N/A DFE CORP CZ N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1220000.000000000000 CZK 53544.190000000000 USD 2024-03-20 -898.160000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD -511.12 -0.0003184221 N/A DFE CORP DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 46000.000000000000 EUR 50426.720000000000 USD 2024-03-20 -511.120000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD -3245.88 -0.0020221471 N/A DFE CORP DE N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 473000.000000000000 EUR 520527.990000000000 USD 2024-03-20 -3245.880000000000 N N N SOLD BRL/BOUGHT USD N/A N/A 1 NC USD -275.75 -0.0001717892 N/A DFE CORP BR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 170000.000000000000 BRL 34510.060000000000 USD 2024-03-04 -275.750000000000 N N N BOUGHT IDR/SOLD USD N/A N/A 1 NC 248.51 0.0001548190 N/A DFE CORP ID N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 114375.700000000000 USD 1765000000.000000000000 IDR 2024-03-20 248.510000000000 N N N SOLD NZD/BOUGHT USD N/A N/A 1 NC USD 8293.64 0.0051668453 N/A DFE CORP NZ N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 2065000.000000000000 NZD 1313822.590000000000 USD 2024-01-31 8293.640000000000 N N N SOLD EUR/BOUGHT USD N/A N/A 1 NC USD 1392.94 0.0008677861 N/A DFE CORP DE N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 214000.000000000000 EUR 238364.630000000000 USD 2024-03-20 1392.940000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC -296.74 -0.0001848657 N/A DFE CORP MX N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 73577.480000000000 USD 1260000.000000000000 MXN 2024-03-20 -296.740000000000 N N N Emerald Debt Merger Sub L.L.C. N/A 26872NAC3 111555.27 PA USD 111876.55 0.0696978435 Long LON CORP US N 2 2030-05-31 Floating 8.356 N N N N N N EQM Midstream Partners LP N/A 26885BAL4 90000 PA USD 83758.4 0.0521805495 Long DBT CORP US N 2 2031-01-15 Fixed 4.750000000000 N N N N N N Edison International N/A 281020AS6 162000 PA USD 153219.41 0.0954539845 Long DBT CORP US N 2 2026-03-15 Variable 5.375000000000 N N N N N N Enphase Energy Inc. 5493008U7KIGMI59Z314 29355AAK3 25000 PA USD 22235 0.0138521571 Long DBT CORP US N 2 2028-03-01 None 0.000000000000 N N N N Y Enphase Energy, Inc. USD XXXX N N N Etsy Inc. 54930089Q7XT501AEA40 29786AAN6 165000 PA USD 132099 0.0822962045 Long DBT CORP US N 2 2028-06-15 Fixed 0.250000000000 N N N N Y Etsy, Inc. USD XXXX N N N Hertz Vehicle Financing III LLC N/A 42806MCE7 100000 PA USD 103626.73 0.0645582976 Long ABS-O CORP US N 2 2030-03-25 Fixed 6.150000000000 N N N N N N Hightower Holding LLC N/A 43118DAA8 160000 PA USD 144204.8 0.0898379829 Long DBT CORP US N 2 2029-04-15 Fixed 6.750000000000 N N N N N N Highwoods Realty Limited Partnership JUJNVZX73BIYHLR58F51 431282AQ5 18000 PA USD 16576.32 0.0103268626 Long DBT CORP US N 2 2028-03-15 Fixed 4.125000000000 N N N N N N Splunk Inc. 549300XGDSGBP6UEI867 848637AF1 85000 PA USD 82322.5 0.0512859998 Long DBT CORP US N 2 2027-06-15 Fixed 1.125000000000 N N N N Y Splunk, Inc. USD XXXX N N N Spotify USA Inc. N/A 84921RAB6 140000 PA USD 123200 0.0767522267 Long DBT CORP US N 2 2026-03-15 None 0.000000000000 N N N N Y Spotify USA, Inc. USD XXXX N N N Spirit AeroSystems Inc. N/A 85205TAR1 55000 PA USD 59123.57 0.0368333250 Long DBT CORP US N 2 2030-11-15 Fixed 9.750000000000 N N N N N N BOUGHT KRW/SOLD USD N/A N/A 1 NC 16106.35 0.0100340765 N/A DFE CORP KR N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 1855931.750000000000 USD 2421230000.000000000000 KRW 2024-01-31 16106.350000000000 N N N BOUGHT GBP/SOLD USD N/A N/A 1 NC 4307.75 0.0026836802 N/A DFE CORP GB N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 703230.510000000000 USD 555000.000000000000 GBP 2024-01-31 4307.750000000000 N N N SOLD BRL/BOUGHT USD N/A N/A 1 NC USD 314.81 0.0001961231 N/A DFE CORP BR N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 415000.000000000000 BRL 85233.110000000000 USD 2024-03-04 314.810000000000 N N N BOUGHT INR/SOLD USD N/A N/A 1 NC 158.68 0.0000988559 N/A DFE CORP IN N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 123841.420000000000 USD 10355000.000000000000 INR 2024-03-20 158.680000000000 N N N BOUGHT NZD/SOLD USD N/A N/A 1 NC 2853.19 0.0017775056 N/A DFE CORP NZ N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 85665.440000000000 USD 140000.000000000000 NZD 2024-03-20 2853.190000000000 N N N SOLD PHP/BOUGHT USD N/A N/A 1 NC USD -282.18 -0.0001757950 N/A DFE CORP PH N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2800000.000000000000 PHP 50291.870000000000 USD 2024-03-20 -282.180000000000 N N N SOLD HKD/BOUGHT USD N/A N/A 1 NC USD 150.6 0.0000938221 N/A DFE CORP HK N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 2026000.000000000000 HKD 259770.000000000000 USD 2024-01-31 150.600000000000 N N N BOUGHT SEK/SOLD USD N/A N/A 1 NC 19120.58 0.0119119082 N/A DFE CORP SE N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 1695048.340000000000 USD 17270000.000000000000 SEK 2024-01-31 19120.580000000000 N N N Performance Food Group Inc. N/A 71376LAE0 182000 PA USD 166929.11 0.1039949747 Long DBT CORP US N 2 2029-08-01 Fixed 4.250000000000 N N N N N N Pfizer Investment Enterprises Pte. Ltd. N/A 716973AF9 20000 PA USD 19928.83 0.0124154389 Long DBT CORP SG N 2 2043-05-19 Fixed 5.110000000000 N N N N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172AC3 15000 PA USD 16784.2 0.0104563695 Long DBT CORP US N 2 2038-05-16 Fixed 6.375000000000 N N N N N N SCOR SE N/A AR5064167 200000 PA USD 161057.6 0.1003370895 Long DBT CORP FR N 2 2029-03-13 Variable 5.250000000000 N N N N N N Malaysia Government Bond N/A AR6908263 190000 PA 41613.1 0.0259244974 Long DBT NUSS MY N 2 2025-03-14 Fixed 3.882000000000 N N N N N N CaixaBank S.A. 7CUNS533WID6K7DGFI87 AR7387665 200000 PA 204782.75 0.1275773705 Long DBT CORP ES N 2 2026-03-23 Variable 5.250000000000 N N N N N N Malaysia Government Bond N/A AS4638860 610000 PA 142477.15 0.0887616762 Long DBT NUSS MY N 2 2033-11-07 Fixed 4.642000000000 N N N N N N INFLATION LINKED KOREA TREASUR BONDS 06/28 1.75 N/A AS6393639 1638763138 PA 1354252.24 0.8436840494 Long DBT NUSS KR N 2 2028-06-10 Fixed 1.750000000000 N N N N N N Malaysia Government Bond N/A AS9547660 450000 PA 107448.64 0.0669393050 Long DBT NUSS MY N 2 2038-06-08 Fixed 4.893000000000 N N N N N N BONOS DE LA TESORERIA DE LA RE UNSECURED 144A REGS 09/30 4.7 N/A AT3408966 120000000 PA 133428.68 0.0831245803 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.700000000000 N N N N N N HUNGARY GOVERNMENT BOND BONDS 10/27 3 N/A JV5267275 73230000 PA 192180.66 0.1197264089 Long DBT NUSS HU N 2 2027-10-27 Fixed 3.000000000000 N N N N N N Delta 2 (Lux) Sarl 549300BBG8Z3D6QSYP53 L2465BAS5 140000 PA USD 140263.2 0.0873824101 Long LON CORP LU N 2 2030-01-15 Floating 7.598 N N N N N N Sunshine Luxembourg VII SARL N/A L8908YAE8 97005.04 PA USD 97421.19 0.0606923154 Long LON CORP LU N 2 2026-10-01 Floating 8.948 N N N N N N Verisure Holding AB N/A W9818XAM7 155000 PA 170651.98 0.1063142813 Long LON CORP SE N 2 2028-03-27 Floating 6.969 N N N N N N TURKIYE GOVERNMENT BOND BONDS 10/33 26.2 N/A ZH5408328 6220000 PA 219091.75 0.1364917180 Long DBT NUSS TR N 2 2033-10-05 Fixed 26.200000000000 N N N N N N Indonesia Treasury Bond N/A ZH8062890 917000000 PA 60367.56 0.0376083170 Long DBT NUSS ID N 2 2029-04-15 Fixed 6.875000000000 N N N N N N CZECH REPUBLIC GOVERNMENT BOND BONDS 11/32 4.5 N/A ZI2447426 1970000 PA 92881 0.0578638276 Long DBT NUSS CZ N 2 2032-11-11 Fixed 4.500000000000 N N N N N N BRAZIL LETRAS DO TESOURO NACIO BILLS 07/27 0.00000 N/A ZJ0428889 3692000 PA 546115.91 0.3402241243 Long DBT NUSS BR N 2 2027-07-01 None 0.000000000000 N N N N N N ANTLR MORTGAGE TRUST 2021-RTL1 ANTLR 2021 RTL1 A1 144A N/A 00201QAA7 19950.14 PA USD 19890.8 0.0123917467 Long ABS-MBS CORP US N 2 2024-11-25 Variable 3.115000000000 N N N N N N Affirm Holdings Inc. N/A 00827BAB2 90000 PA USD 73575 0.0458364048 Long DBT CORP US N 2 2026-11-15 None 0.000000000000 N N N N Y Affirm Holdings, Inc. USD XXXX N N N Covanta Holding Corporation 40XIFLS8XDQGGHGPGC04 22282EAJ1 110000 PA USD 93627.6 0.0583289511 Long DBT CORP US N 2 2030-09-01 Fixed 5.000000000000 N N N N N N Cracker Barrel Old Country Store Inc. 8P4PHQIUWPIECBFBW745 22410JAB2 475000 PA USD 409117.5 0.2548756420 Long DBT CORP US N 2 2026-06-15 Fixed 0.625000000000 N N N N Y Cracker Barrel Old Country Store, Inc. USD XXXX N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 10011.27 0.0062369096 N/A DFE CORP MX N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 240405.460000000000 USD 4435000.000000000000 MXN 2024-09-13 10011.270000000000 N N N Southwest Gas Corporation N/A 845011AE5 10000 PA USD 9369.88 0.0058373308 Long DBT CORP US N 2 2032-03-15 Fixed 4.050000000000 N N N N N N UNITED STATES TREASURY INFLATI 10/28 2.375 N/A 91282CJH5 2541410.3 PA USD 2617258.89 1.6305231134 Long DBT UST US N 2 2028-10-15 Fixed 2.375000000000 N N N N N N United States Treasury Note/Bond N/A 91282CJJ1 25100 PA USD 26351.08 0.0164164291 Long DBT UST US N 2 2033-11-15 Fixed 4.500000000000 N N N N N N UnitedHealth Group Incorporated 549300GHBMY8T5GXDE41 91324PDF6 27000 PA USD 22234.78 0.0138520201 Long DBT CORP US N 2 2047-10-15 Fixed 3.750000000000 N N N N N N UnitedHealth Group Incorporated 549300GHBMY8T5GXDE41 91324PDX7 40000 PA USD 34571.9 0.0215379083 Long DBT CORP US N 2 2030-05-15 Fixed 2.000000000000 N N N N N N Unity Software Inc. N/A 91332UAB7 110000 PA USD 91410 0.0569474110 Long DBT CORP US N 2 2026-11-15 None 0.000000000000 N N N N Y Unity Software, Inc. USD XXXX N N N Unum Group 549300E32YFDO6TZ8R31 91529YAR7 45000 PA USD 33590.83 0.0209267126 Long DBT CORP US N 2 2051-06-15 Fixed 4.125000000000 N N N N N N Ventas Realty Limited Partnership 32SXKSJ72K64GM3HOU64 92277GAY3 80000 PA USD 84400 0.0525802592 Long DBT CORP US N 2 2026-06-01 Fixed 3.750000000000 N N N N Y Ventas Realty LP USD XXXX N N N Verizon Communications Inc. 2S72QS2UO2OESLG6Y829 92343VGH1 37000 PA USD 33470.37 0.0208516674 Long DBT CORP US N 2 2028-03-22 Fixed 2.100000000000 N N N N N N Verizon Communications Inc. 2S72QS2UO2OESLG6Y829 92343VGK4 22000 PA USD 17512.91 0.0109103477 Long DBT CORP US N 2 2041-03-22 Fixed 3.400000000000 N N N N N N VERUS SECURITIZATION TRUST 202 VERUS 2020 INV1 A3 144A N/A 92537TAE5 100000 PA USD 96654.8 0.0602148630 Long ABS-MBS CORP US N 2 2060-03-25 Variable 3.889000000000 N N N N N N BRAZIL NOTAS DO TESOURO NACION NOTES 01/29 10 N/A AQ6084745 47528000 PA 9757702.5 6.0789398867 Long DBT NUSS BR N 2 2029-01-01 Fixed 10.000000000000 N N N N N N SOLD UYU/BOUGHT USD N/A N/A 1 NC USD 302.17 0.0001882485 N/A DFE CORP UY N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 1090000.000000000000 UYU 27984.600000000000 USD 2024-01-16 302.170000000000 N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -9246.52 -0.0057604789 N/A DFE CORP MX N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9710000.000000000000 MXN 534307.670000000000 USD 2024-11-06 -9246.520000000000 N N N SOLD CLP/BOUGHT USD N/A N/A 1 NC USD -11.38 -0.0000070896 N/A DFE CORP CL N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 11150000.000000000000 CLP 12589.910000000000 USD 2024-03-20 -11.380000000000 N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC -16.22 -0.0000101049 N/A DFE CORP TR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 1942.060000000000 USD 61000.000000000000 TRY 2024-03-20 -16.220000000000 N N N SOLD ZAR/BOUGHT USD N/A N/A 1 NC USD -23332.66 -0.0145359871 N/A DFE CORP ZA N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 29232000.000000000000 ZAR 1570967.370000000000 USD 2024-01-31 -23332.660000000000 N N N SOLD PLN/BOUGHT USD N/A N/A 1 NC USD -6082.55 -0.0037893608 N/A DFE CORP PL N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3786000.000000000000 PLN 955773.390000000000 USD 2024-01-31 -6082.550000000000 N N N SOLD GBP/BOUGHT USD N/A N/A 1 NC USD -2852.99 -0.0017773810 N/A DFE CORP GB N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 549000.000000000000 GBP 697036.210000000000 USD 2024-01-31 -2852.990000000000 N N N BOUGHT NOK/SOLD USD N/A N/A 1 NC -7484.46 -0.0046627351 N/A DFE CORP NO N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 1957465.320000000000 USD 19798000.000000000000 NOK 2024-01-31 -7484.460000000000 N N N Exact Sciences Corporation N/A 30063PAD7 17000 PA USD 20391.5 0.0127036772 Long DBT CORP US N 2 2030-03-01 Fixed 2.000000000000 N N N N Y Exact Sciences, Corp. USD XXXX N N N EXETER AUTOMOBILE RECEIVABLES EART 2023 4A C N/A 30166TAE3 50000 PA USD 50581.62 0.0315117854 Long ABS-O CORP US N 2 2028-08-15 Fixed 6.510000000000 N N N N N N EXETER AUTOMOBILE RECEIVABLES EART 2023 1A D N/A 30168BAF7 40000 PA USD 40295.72 0.0251037844 Long ABS-O CORP US N 2 2029-06-15 Fixed 6.690000000000 N N N N N N Meta Platforms Inc. BQ4BKCS1HXDV9HN80Z93 30303M8H8 20000 PA USD 19022.81 0.0118509986 Long DBT CORP US N 2 2032-08-15 Fixed 3.850000000000 N N N N N N Meta Platforms Inc. BQ4BKCS1HXDV9HN80Z93 30303M8Q8 30000 PA USD 32515.02 0.0202564950 Long DBT CORP US N 2 2053-05-15 Fixed 5.600000000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE CAS 2018 C05 1B1 B1V7KEBTPIMZEU4LTD58 30711XY32 230000 PA USD 249074.57 0.1551706806 Long ABS-MBS USGSE US N 2 2031-01-25 Floating 9.701910000000 N N N N N N Freddie Mac Strips S6XOOCT0IEG5ABCC6L87 31325VBN3 196634.77 PA USD 19911.71 0.0124047734 Long ABS-MBS USGSE US N 2 2033-12-15 Fixed 4.000000000000 N N N N N N FREDDIE MAC POOL FR 04/53 FIXED 5 S6XOOCT0IEG5ABCC6L87 3132DWGY3 789108.75 PA USD 781244.89 0.4867068578 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.000000000000 N N N N N N FREDDIE MAC POOL FR 10/53 FIXED 5.5 S6XOOCT0IEG5ABCC6L87 3132DWJL8 808057.79 PA USD 811898.08 0.5058034535 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.500000000000 N N N N N N FANNIE MAE REMICS FNR 2016 88 SK B1V7KEBTPIMZEU4LTD58 3136AUTB7 378562.17 PA USD 40533.26 0.0252517691 Long ABS-MBS USGSE US N 2 2046-12-25 Floating 0.548090000000 N N N N N N FANNIE MAE REMICS FNR 2019 25 SA B1V7KEBTPIMZEU4LTD58 3136B4ZB7 1623883.92 PA USD 194913.33 0.1214288319 Long ABS-MBS USGSE US N 2 2049-06-25 Floating 0.598090000000 N N N N N N FREDDIE MAC MULTIFAMILY STRUCT FHMS K737 X1 S6XOOCT0IEG5ABCC6L87 3137FQXL2 483048.52 PA USD 6525.55 0.0040653449 Long ABS-MBS USGSE US N 2 2026-10-25 Variable 0.631137000000 N N N N N N Glencore Funding LLC N/A 378272BQ0 25000 PA USD 27255.46 0.0169798478 Long DBT CORP US N 2 2033-10-06 Fixed 6.500000000000 N N N N N N NORTH MACEDONIA GOVERNMENT INT SR UNSECURED REGS 01/25 2.75 N/A AQ6167367 150000 PA 161443.77 0.1005776691 Long DBT NUSS MK N 2 2025-01-18 Fixed 2.750000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F020612 325000 PA USD 265743.34 0.1655551385 Long ABS-MBS USGSE US N 2 N/A Fixed 2.000000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F022618 775000 PA USD 660082.07 0.4112237716 Long ABS-MBS USGSE US N 2 N/A Fixed 2.500000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F032617 140000 PA USD 128515.63 0.0800638049 Long ABS-MBS USGSE US N 2 N/A Fixed 3.500000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F032617 140000 PA USD -128515.63 -0.0800638049 Short ABS-MBS USGSE US N 2 N/A Fixed 3.500000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F040610 631000 PA USD -597182.06 -0.3720377665 Short ABS-MBS USGSE US N 2 N/A Fixed 4.000000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F0406C6 499000 PA USD 471730.2 0.2938826561 Long ABS-MBS USGSE US N 2 N/A Fixed 4.000000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F0406C6 499000 PA USD -471730.2 -0.2938826561 Short ABS-MBS USGSE US N 2 N/A Fixed 4.000000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 15YR TBA N/A 01F042418 1042000 PA USD 1036382.47 0.6456547261 Long ABS-MBS USGSE US N 2 N/A Fixed 4.500000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 15YR TBA N/A 01F042418 1042000 PA USD -1036382.47 -0.6456547261 Short ABS-MBS USGSE US N 2 N/A Fixed 4.500000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F042616 398000 PA USD 386122.01 0.2405497081 Long ABS-MBS USGSE US N 2 N/A Fixed 4.500000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F042616 55000 PA USD -53358.57 -0.0332417943 Short ABS-MBS USGSE US N 2 N/A Fixed 4.500000000000 N N N N N N Antero Resources Corporation APVBKPOULHUX7YZLKU17 03674XAS5 70000 PA USD 67092.24 0.0417977176 Long DBT CORP US N 2 2030-03-01 Fixed 5.375000000000 N N N N N N Apellis Pharmaceuticals Inc. N/A 03753UAB2 60000 PA USD 97728 0.0608834546 Long DBT CORP US N 2 2026-09-15 Fixed 3.500000000000 N N N N Y Apellis Pharmaceuticals, Inc. USD XXXX N N N ARBOR REALTY COMMERCIAL REAL E ARCLO 2021 FL3 B 144A N/A 03880KAE4 110000 PA USD 106222.52 0.0661754459 Long ABS-CBDO CORP KY N 2 2034-08-15 Floating 7.076290000000 N N N N N N Ares Finance Co. III LLC N/A 04018VAA1 120000 PA USD 101695.01 0.0633548576 Long DBT CORP US N 2 2051-06-30 Variable 4.125000000000 N N N N N N Arizona Public Service Company YG6VT0TPHRH4TFVAQV64 040555CT9 5000 PA USD 4204.26 0.0026192071 Long DBT CORP US N 2 2045-11-15 Fixed 4.350000000000 N N N N N N Arizona Public Service Company YG6VT0TPHRH4TFVAQV64 040555CX0 15000 PA USD 11991.19 0.0074703777 Long DBT CORP US N 2 2048-08-15 Fixed 4.200000000000 N N N N N N Arizona Public Service Company YG6VT0TPHRH4TFVAQV64 040555DD3 15000 PA USD 12186.42 0.0075920038 Long DBT CORP US N 2 2031-12-15 Fixed 2.200000000000 N N N N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 34590.99 0.0215498012 N/A DFE CORP MX N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 508963.200000000000 USD 9710000.000000000000 MXN 2024-11-06 34590.990000000000 N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -5697.94 -0.0035497531 N/A DFE CORP MX N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 5570000.000000000000 MXN 311477.700000000000 USD 2024-07-24 -5697.940000000000 N N N SOLD HUF/BOUGHT USD N/A N/A 1 NC USD -1149.95 -0.0007164060 N/A DFE CORP HU N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 18800000.000000000000 HUF 52580.060000000000 USD 2024-03-20 -1149.950000000000 N N N BOUGHT MYR/SOLD USD N/A N/A 1 NC 8554.57 0.0053294018 N/A DFE CORP MY N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 398282.340000000000 USD 1855000.000000000000 MYR 2024-03-20 8554.570000000000 N N N SOLD ZAR/BOUGHT USD N/A N/A 1 NC USD -5305.82 -0.0033054667 N/A DFE CORP ZA N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2210000.000000000000 ZAR 114703.900000000000 USD 2024-03-20 -5305.820000000000 N N N BOUGHT ZAR/SOLD USD N/A N/A 1 NC 102.12 0.0000636196 N/A DFE CORP ZA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 58545.170000000000 USD 1080000.000000000000 ZAR 2024-03-20 102.120000000000 N N N BOUGHT AUD/SOLD USD N/A N/A 1 NC 8627.96 0.0053751229 N/A DFE CORP AU N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 1277744.250000000000 USD 1886000.000000000000 AUD 2024-01-31 8627.960000000000 N N N BOUGHT NZD/SOLD USD N/A N/A 1 NC 244.57 0.0001523644 N/A DFE CORP NZ N 2 JPMORGAN CHASE BANK N.A 7H6GLXDRUGQFU57RNE97 53498.890000000000 USD 85000.000000000000 NZD 2024-03-20 244.570000000000 N N N BOUGHT NZD/SOLD USD N/A N/A 1 NC 374.03 0.0002330165 N/A DFE CORP NZ N 2 JPMORGAN CHASE BANK N.A 7H6GLXDRUGQFU57RNE97 53369.430000000000 USD 85000.000000000000 NZD 2024-03-20 374.030000000000 N N N BOUGHT PLN/SOLD USD N/A N/A 1 NC -1014.65 -0.0006321156 N/A DFE CORP PL N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 108914.320000000000 USD 425000.000000000000 PLN 2024-03-20 -1014.650000000000 N N N Intel Corporation KNX4USFCNGPY45LOCE31 458140BW9 40000 PA USD 28166.53 0.0175474342 Long DBT CORP US N 2 2051-08-12 Fixed 3.050000000000 N N N N N N Intercontinental Exchange Inc. 5493000F4ZO33MV32P92 45866FAN4 20000 PA USD 15994.88 0.0099646319 Long DBT CORP US N 2 2032-09-15 Fixed 1.850000000000 N N N N N N Intercontinental Exchange Inc. 5493000F4ZO33MV32P92 45866FAW4 10000 PA USD 9942.23 0.0061938985 Long DBT CORP US N 2 2033-03-15 Fixed 4.600000000000 N N N N N N International Flavors and Fragrances Inc. BZLRL03D3GPGMOGFO832 459506AQ4 50000 PA USD 41343.82 0.0257567390 Long DBT CORP US N 2 2030-11-01 Fixed 2.300000000000 N N N N N N The Michaels Companies Inc. 549300H9LWMBP7HYLR98 59408UAB3 126750 PA USD 104822.25 0.0653030933 Long LON CORP US N 2 2028-04-15 Floating 9.86 N N N N N N Micron Technology Inc. B3DXGBC8GAIYWI2Z0172 595112BP7 30000 PA USD 29424.77 0.0183313037 Long DBT CORP US N 2 2027-02-15 Fixed 4.185000000000 N N N N N N Micron Technology Inc. B3DXGBC8GAIYWI2Z0172 595112CB7 10000 PA USD 10400.82 0.0064795949 Long DBT CORP US N 2 2033-09-15 Fixed 5.875000000000 N N N N N N Midcap Financial Issuer Trust N/A 59567LAA2 200000 PA USD 187100 0.1165612144 Long DBT CORP US N 2 2028-05-01 Fixed 6.500000000000 N N N N N N Mineral Resources Limited N/A 603051AE3 75000 PA USD 79782.75 0.0497037639 Long DBT CORP AU N 2 2028-10-01 Fixed 9.250000000000 N N N N N N Minerva Luxembourg S.A. 222100NM3G3RCPGZ2Z17 603374AH2 200000 PA USD 211458.81 0.1317364815 Long DBT CORP LU N 2 2033-09-13 Fixed 8.875000000000 N N N N N N Monongahela Power Company N/A 609935AA9 20000 PA USD 20985.39 0.0130736640 Long DBT CORP US N 2 2034-02-15 Fixed 5.850000000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174468P7 42000 PA USD 38691.51 0.0241043794 Long DBT CORP US N 2 2031-04-01 Variable 3.622000000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61762V861 4250 NS USD 81047.5 0.0504916890 Long EP CORP US N 1 N N N Medline Borrower LP N/A 62482BAB8 190000 PA USD 179089.52 0.1115707746 Long DBT CORP US N 2 2029-10-01 Fixed 5.250000000000 N N N N N N NEP Group Inc. N/A 62908HAD7 90000 PA USD 84787.2 0.0528214805 Long LON CORP US N 2 2025-10-20 Floating 8.722 N N N N N N NIO Inc. N/A 62914VAF3 392000 PA USD 358680 0.2234536417 Long DBT CORP CN N 2 2027-02-01 Fixed 0.500000000000 N N N N N NIO, Inc. USD XXXX N N NYMT LOAN TRUST I SERIES 2021- NYMT 2021 BPL1 A1 144A N/A 62955KAA8 130147.69 PA USD 129072.5 0.0804107287 Long ABS-MBS CORP US N 2 2026-05-25 Variable 2.239000000000 N N N N N N Nabors Industries Inc. 549300VFQWRKICUFNU92 62957HAB1 26000 PA USD 25129 0.0156550869 Long DBT CORP US N 2 2024-01-15 Fixed 0.750000000000 N N N N Y Nabors Industries, Inc. USD XXXX N N N Nabors Industries Inc. 549300VFQWRKICUFNU92 62957HAP0 65000 PA USD 65263.9 0.0406586822 Long DBT CORP US N 2 2030-01-31 Fixed 9.125000000000 N N N N N N Nationstar Mortgage Holdings Inc. N/A 63861CAD1 110000 PA USD 99454.55 0.0619590760 Long DBT CORP US N 2 2030-12-15 Fixed 5.125000000000 N N N N N N NEW ECONOMY ASSETS PHASE 1 SPO USRE 2021 1 A1 144A N/A 643821AA9 120000 PA USD 105010.7 0.0654204955 Long ABS-O CORP US N 2 2061-10-20 Fixed 1.910000000000 N N N N N N New York City of 549300ABYZD2SFD5JB29 64966Q7G9 30000 PA USD 33818.45 0.0210685174 Long DBT MUN US N 2 2053-10-01 Fixed 5.828000000000 N N N N N N Occidental Petroleum Corporation IM7X0T3ECJW4C1T7ON55 674599DL6 20000 PA USD 21654.8 0.0134906990 Long DBT CORP US N 2 2046-03-15 Fixed 6.600000000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 683234XU7 2870559.8 PA 2051538.76 1.2780857786 Long DBT NUSS CA N 2 2036-12-01 Fixed 2.000000000000 N N N N N N Open Text Holdings Inc. N/A 683720AC0 138000 PA USD 121973.66 0.0759882305 Long DBT CORP US N 2 2031-12-01 Fixed 4.125000000000 N N N N N N Uber Technologies Inc N/A 90353TAJ9 130000 PA USD 132191.64 0.0823539182 Long DBT CORP US N 2 2025-12-15 None 0.000000000000 N N N N Y Uber Technologies, Inc. USD XXXX N N N Uber Technologies Inc N/A 90353TAK6 209000 PA USD 199379 0.1242108945 Long DBT CORP US N 2 2029-08-15 Fixed 4.500000000000 N N N N N N Uber Technologies Inc N/A 90353TAL4 103000 PA USD 112012.5 0.0697825389 Long DBT CORP US N 2 2028-12-01 Fixed 0.875000000000 N N N N N Uber Technologies, Inc. USD XXXX N N N UL Solutions Inc. N/A 903731AA5 25000 PA USD 26286.41 0.0163761404 Long DBT CORP US N 2 2028-10-20 Fixed 6.500000000000 N N N N N N SOLD KZT/BOUGHT USD N/A N/A 1 NC USD -1557.97 -0.0009705979 N/A DFE CORP KZ N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 10900000.000000000000 KZT 22154.470000000000 USD 2024-02-09 -1557.970000000000 N N N BOUGHT KZT/SOLD USD N/A N/A 1 NC 1689.49 0.0010525334 N/A DFE CORP KZ N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 49369.750000000000 USD 23500000.000000000000 KZT 2024-02-14 1689.490000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 6430.1 0.0040058806 N/A DFE CORP MX N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 320492.530000000000 USD 5570000.000000000000 MXN 2024-01-24 6430.100000000000 N N N SOLD TRY/BOUGHT USD N/A N/A 1 NC USD -101.77 -0.0000634016 N/A DFE CORP TR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2243000.000000000000 TRY 70712.480000000000 USD 2024-03-20 -101.770000000000 N N N SOLD AUD/BOUGHT USD N/A N/A 1 NC USD -1996.85 -0.0012440153 N/A DFE CORP AU N 2 JPMORGAN CHASE BANK N.A 7H6GLXDRUGQFU57RNE97 80000.000000000000 AUD 52645.220000000000 USD 2024-03-20 -1996.850000000000 N N N SOLD INR/BOUGHT USD N/A N/A 1 NC USD 517.7 0.0003225213 N/A DFE CORP IN N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 68366000.000000000000 INR 821025.830000000000 USD 2024-01-31 517.700000000000 N N N SOLD SGD/BOUGHT USD N/A N/A 1 NC USD -17793.66 -0.0110852518 N/A DFE CORP SG N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2513000.000000000000 SGD 1888826.090000000000 USD 2024-01-31 -17793.660000000000 N N N SOLD SEK/BOUGHT USD N/A N/A 1 NC USD -42302.2 -0.0263537990 N/A DFE CORP SE N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 38208000.000000000000 SEK 3750110.420000000000 USD 2024-01-31 -42302.200000000000 N N N BOUGHT IDR/SOLD USD N/A N/A 1 NC 15177.88 0.0094556500 N/A DFE CORP ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1774856.660000000000 USD 27555537000.000000000000 IDR 2024-01-31 15177.880000000000 N N N HCA Inc. L3CJ6J7LJ2DX62FTXD46 404119CA5 40000 PA USD 36261.05 0.0225902299 Long DBT CORP US N 2 2030-09-01 Fixed 3.500000000000 N N N N N N Athene Global Funding N/A 04685A2W0 20000 PA USD 19688.85 0.0122659341 Long DBT CORP US N 2 2024-04-16 Fixed 1.000000000000 N N N N N N Athene Global Funding N/A 04685A3A7 40000 PA USD 38743.39 0.0241367001 Long DBT CORP US N 2 2024-08-19 Fixed 0.914000000000 N N N N N N Athene Holding Ltd. 549300H316CT32FQXI76 04686J309 2995 NS USD 72538.9 0.0451909261 Long EP CORP US N 1 N N N Athene Holding Ltd. 549300H316CT32FQXI76 04686JAG6 20000 PA USD 20182.88 0.0125737093 Long DBT CORP US N 2 2034-01-15 Fixed 5.875000000000 N N N N N N AthenaHealth Group Inc. N/A 04686RAB9 98360.97 PA USD 97819.98 0.0609407571 Long LON CORP US N 2 2029-02-15 Floating 8.606 N N N N N N HCA Inc. L3CJ6J7LJ2DX62FTXD46 404119CL1 15000 PA USD 12756.14 0.0079469330 Long DBT CORP US N 2 2052-03-15 Fixed 4.625000000000 N N N N N N Hanesbrands Inc. GX5LWVWZLL5S4W1L2F20 410345AQ5 240000 PA USD 235091.02 0.1464590849 Long DBT CORP US N 2 2031-02-15 Fixed 9.000000000000 N N N N N Avis Budget Rental Car Funding (AESOP) LLC IHXLB8SL0QWSSG2VG640 05377RHM9 100000 PA USD 102959.18 0.0641424214 Long ABS-O CORP US N 2 2030-02-20 Fixed 6.020000000000 N N N N N N Hanesbrands Inc. GX5LWVWZLL5S4W1L2F20 410346AX8 99250 PA USD 99001.88 0.0616770676 Long LON CORP US N 2 2030-03-08 Floating 9.106 N N N N N N HAWAIIAN BRAND INTELLECTUAL PR SR SECURED 144A 01/26 5.75 N/A 41984LAA5 20802 PA USD 19598.43 0.0122096034 Long DBT CORP US N 2 2026-01-20 Fixed 5.750000000000 N N N N N N Axon Enterprise Inc. N/A 05464CAB7 46000 PA USD 57983 0.0361227627 Long DBT CORP US N 2 2027-12-15 Fixed 0.500000000000 N N N N Y Axon Enterprise, Inc. USD XXXX N N N LBM Acquisition LLC N/A 05552BAA4 43000 PA USD 38396.85 0.0239208095 Long DBT CORP US N 2 2029-01-15 Fixed 6.250000000000 N N N N N N Health Catalyst Inc. N/A 42225TAB3 5000 PA USD 4737.5 0.0029514097 Long DBT CORP US N 2 2025-04-15 Fixed 2.500000000000 N N N N Y Health Catalyst, Inc. USD XXXX N N N HEICO Corporation N/A 422806AB5 35000 PA USD 35831.46 0.0223226002 Long DBT CORP US N 2 2033-08-01 Fixed 5.350000000000 N N N N N N BCPE Ulysses Intermediate Inc. N/A 05553LAA1 94000 PA USD 87609.75 0.0545798976 Long DBT CORP US N 2 2027-04-01 Fixed 7.750000000000 N N Y N N N BP Capital Markets p.l.c. 549300CRVT18MXX0AG93 05565QDV7 129000 PA USD 122523.88 0.0763310114 Long DBT CORP GB N 2 2030-03-22 Variable 4.875000000000 N N N N N N The Hertz Corporation 549300PD0C69OJ0NLB27 428040DB2 205000 PA USD 168163.1 0.1047637368 Long DBT CORP US N 2 2029-12-01 Fixed 5.000000000000 N N N N N N HERTZ VEHICLE FINANCING III LP HERTZ 2021 2A B 144A N/A 42806MAF6 100000 PA USD 90324.86 0.0562713809 Long ABS-O CORP US N 2 2027-12-27 Fixed 2.120000000000 N N N N N N BX TRUST 2021-ARIA BX 2021 ARIA C 144A N/A 05608RAG0 25000 PA USD 24152.64 0.0150468255 Long ABS-MBS CORP US N 2 2036-10-15 Floating 7.122480000000 N N N N N N The Bank of New York Mellon Corporation WFLLPEPC7FZXENRZV188 064058AJ9 46000 PA USD 43088.66 0.0268437549 Long DBT CORP US N 2 2026-03-20 Variable 3.700000000000 N N N N N N Hertz Vehicle Financing LLC 5493004IHDYOZ9K9WF47 42806MAP4 100000 PA USD 90420.81 0.0563311567 Long ABS-O CORP US N 2 2028-06-26 Fixed 2.650000000000 N N N N N N Hertz Vehicle Financing LLC 5493004IHDYOZ9K9WF47 42806MAQ2 100000 PA USD 89309.19 0.0556386298 Long ABS-O CORP US N 2 2028-06-26 Fixed 2.950000000000 N N N N N N Jones Lang LaSalle Incorporated 6SYKCME112RT8TQUO411 48020QAB3 30000 PA USD 31749.27 0.0197794413 Long DBT CORP US N 2 2028-12-01 Fixed 6.875000000000 N N N N N N JPMorgan Chase and Co. 8I5DZWZKVSZI1NUHU748 48128B523 2000 NS USD 38020 0.0236860362 Long EP CORP US N 1 N N N Kilroy Realty L.P. 5493008CT3N3JR7P1552 49427RAQ5 15000 PA USD 11359.28 0.0070767048 Long DBT CORP US N 2 2032-11-15 Fixed 2.500000000000 N N N N N N Kyndryl Holdings Inc. N/A 50155QAL4 65000 PA USD 54312.41 0.0338360260 Long DBT CORP US N 2 2031-10-15 Fixed 3.150000000000 N N N N N N The Bank of Nova Scotia L3I9ZG2KFGXZ61BMYR72 0641598N9 200000 PA USD 153580.22 0.0956787651 Long DBT CORP CA N 2 2081-10-27 Variable 3.625000000000 N N N N N N The Bank of Nova Scotia L3I9ZG2KFGXZ61BMYR72 064159VJ2 124000 PA USD 118438.87 0.0737860958 Long DBT CORP CA N 2 2025-06-04 Variable 4.900000000000 N N N N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC -104.5 -0.0000651023 N/A DFE CORP TR N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 65141.220000000000 USD 2060000.000000000000 TRY 2024-03-20 -104.500000000000 N N N Fluor Corporation CQ7WZ4NOFWT7FAE6Q943 343412AH5 18000 PA USD 19575 0.0121950068 Long DBT CORP US N 2 2029-08-15 Fixed 1.125000000000 N N N N N Fluor, Corp. USD XXXX N N N NextEra Energy Operating Partners LP N/A 65342QAM4 45000 PA USD 47110.82 0.0293495157 Long DBT CORP US N 2 2029-01-15 Fixed 7.250000000000 N N N N N N NOKIA OYJ SR UNSECURED 05/39 6.625 N/A 654902AC9 556000 PA USD 549894.59 0.3425781998 Long DBT CORP FI N 2 2039-05-15 Fixed 6.625000000000 N N N N N N FORD CREDIT AUTO OWNER TRUST 2 FORDR 2023 2 C 144A N/A 34535CAC0 100000 PA USD 102056.46 0.0635800369 Long ABS-O CORP US N 2 2036-02-15 Fixed 6.160000000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY STACR 2023 HQA2 M1B 144A S6XOOCT0IEG5ABCC6L87 35564K2G3 50000 PA USD 52769.84 0.0328750221 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 8.687430000000 N N N N N N Freddie Mac STACR REMIC Trust 2023-DNA1 N/A 35564KP94 35000 PA USD 37662.53 0.0234633364 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 10.837430000000 N N N N N N Georgia Power Company D981X4Z4RWS7PDMJUZ03 373334JW2 30000 PA USD 26522.88 0.0165234586 Long DBT CORP US N 2 2042-03-15 Fixed 4.300000000000 N N N N N N Bentley Systems Incorporated N/A 08265TAB5 135000 PA USD 133393.5 0.0831026635 Long DBT CORP US N 2 2026-01-15 Fixed 0.125000000000 N N N N Y Bentley Systems, Inc. USD XXXX N N N Berlin Packaging L.L.C. N/A 08511LAX6 166175 PA USD 166193.28 0.1035365609 Long LON CORP US N 2 2028-03-11 Floating 9.214 N N N N N N Georgia Power Company D981X4Z4RWS7PDMJUZ03 373334KR1 15000 PA USD 14839.28 0.0092447060 Long DBT CORP US N 2 2052-05-15 Fixed 5.125000000000 N N N N N N PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN1 A2 144A N/A 74140QAB4 185000 PA USD 167850.54 0.1045690154 Long ABS-MBS CORP US N 2 2061-02-25 Variable 3.597900000000 N N N N N N Nordstrom Inc. 549300S3IZB5P35KNV16 655664AX8 35000 PA USD 34521.9 0.0215067589 Long DBT CORP US N 2 2024-04-08 Fixed 2.300000000000 N N N N N N Nutanix Inc. 549300X7J6E8TKVIXW09 67059NAH1 40000 PA USD 41600 0.0259163363 Long DBT CORP US N 2 2027-10-01 Fixed 0.250000000000 N N N N Y Nutanix, Inc. USD XXXX N N N Beyond Meat Inc. N/A 08862EAB5 130000 PA USD 23400 0.0145779392 Long DBT CORP US N 2 2027-03-15 None 0.000000000000 N N N N Y Beyond Meat, Inc. USD XXXX N N N BILL Holdings Inc. N/A 090043AD2 121000 PA USD 100248.5 0.0624536980 Long DBT CORP US N 2 2027-04-01 None 0.000000000000 N N N N N Bill.com Holdings, Inc. USD XXXX N N N Telecom Italia Capital SA 549300777DJZOR5C4L39 87927VAF5 5000 PA USD 4890.54 0.0030467519 Long DBT CORP LU N 2 2033-11-15 Fixed 6.375000000000 N N N N N N NuVasive Inc. 549300C5ZB4NZ6TWM881 670704AJ4 95000 PA USD 87400 0.0544492257 Long DBT CORP US N 2 2025-03-15 Fixed 0.375000000000 N N N N Y NuVasive, Inc. USD XXXX N N N OZLM VII Ltd. N/A 67108WBL2 250000 PA USD 249795.75 0.1556199677 Long ABS-CBDO CORP KY N 2 2029-07-17 Floating 8.664440000000 N N N N N N Black Knight InfoServ LLC N/A 092174AA9 490000 PA USD 463662.5 0.2888565690 Long DBT CORP US N 2 2028-09-01 Fixed 3.625000000000 N N N N N N BLUEMOUNTAIN CLO 2018-2 LTD BLUEM 2018 2A D 144A N/A 09629VAJ2 250000 PA USD 238820.25 0.1487823536 Long ABS-CBDO CORP KY N 2 2031-08-15 Floating 8.791330000000 N N N N N N OBX 2022-NQM5 TRUST OBX 2022 NQM5 A1 144A N/A 67115FAA5 106449.55 PA USD 103988.03 0.0647833835 Long ABS-MBS CORP US N 2 2062-05-25 Variable 4.310000000000 N N N N N N Occidental Petroleum Corporation IM7X0T3ECJW4C1T7ON55 674599DK8 60000 PA USD 46650 0.0290624300 Long DBT CORP US N 2 2044-07-15 Fixed 4.500000000000 N N N N N N The Boeing Company RVHJWBXLJ1RFUBSY1F30 097023CP8 40000 PA USD 33734.68 0.0210163296 Long DBT CORP US N 2 2035-02-01 Fixed 3.250000000000 N N N N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 5734.09 0.0035722742 N/A DFE CORP MX N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 183137.150000000000 USD 3345000.000000000000 MXN 2024-09-13 5734.090000000000 N N N SOLD PLN/BOUGHT USD N/A N/A 1 NC USD -1052.48 -0.0006556833 N/A DFE CORP PL N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 195000.000000000000 PLN 48454.430000000000 USD 2024-03-20 -1052.480000000000 N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 470.86 0.0002933405 N/A DFE CORP DE N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 100297.470000000000 USD 91000.000000000000 EUR 2024-03-20 470.860000000000 N N N NEW YORK CITY TRANSITIONAL FIN NYCGEN 02/29 FIXED 4.75 N/A 64971X6K9 45000 PA USD 45393.38 0.0282795697 Long DBT MUN US N 2 2029-02-01 Fixed 4.750000000000 N N N N N N NextEra Energy Capital Holdings Inc. UMI46YPGBLUE4VGNNT48 65339KCB4 165000 PA USD 139758.7 0.0870681122 Long DBT CORP US N 2 2082-03-15 Variable 3.800000000000 N N N N N N SOLD UYU/BOUGHT USD N/A N/A 1 NC USD 117.37 0.0000731202 N/A DFE CORP UY N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 1362000.000000000000 UYU 34707.710000000000 USD 2024-01-16 117.370000000000 N N N BOUGHT MXN/SOLD USD N/A N/A 1 NC 10152.02 0.0063245953 N/A DFE CORP MX N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 550141.640000000000 USD 9710000.000000000000 MXN 2024-05-06 10152.020000000000 N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC -53.36 -0.0000332427 N/A DFE CORP TR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 10945.430000000000 USD 345000.000000000000 TRY 2024-03-20 -53.360000000000 N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -1523.95 -0.0009494039 N/A DFE CORP MX N 2 JPMORGAN CHASE BANK N.A 7H6GLXDRUGQFU57RNE97 1300000.000000000000 MXN 74083.160000000000 USD 2024-03-20 -1523.950000000000 N N N SOLD CNH/BOUGHT USD N/A N/A 1 NC USD -1730.93 -0.0010783501 N/A DFE CORP CN N 2 HSBC BANKPLC 1IE8VN30JCEQV1H4R804 5565000.000000000000 CNY 780689.300000000000 USD 2024-01-31 -1730.930000000000 N N N SOLD BRL/BOUGHT USD N/A N/A 1 NC USD -87915.47 -0.0547703578 N/A DFE CORP BR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 41069000.000000000000 BRL 8352960.320000000000 USD 2024-02-02 -87915.470000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 2649.41 0.0016505529 N/A DFE CORP CA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1033208.620000000000 USD 1372000.000000000000 CAD 2024-01-31 2649.410000000000 N N N Great Lakes Dredge and Dock Corporation 549300H65E3MZ1CX0P05 390607AF6 400000 PA USD 340084.39 0.2118687840 Long DBT CORP US N 2 2029-06-01 Fixed 5.250000000000 N N N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC -16.53 -0.0000102980 N/A DFE CORP TR N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 1721.380000000000 USD 54000.000000000000 TRY 2024-03-20 -16.530000000000 N N N FREDDIE MAC MULTIFAMILY STRUCT FHMS K122 X1 S6XOOCT0IEG5ABCC6L87 3137F82T9 99184.45 PA USD 4682.46 0.0029171204 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.878597000000 N N N N N N FREDDIE MAC MULTIFAMILY STRUCT FHMS K103 X1 S6XOOCT0IEG5ABCC6L87 3137FQKQ5 1019635.64 PA USD 31755.74 0.0197834720 Long ABS-MBS USGSE US N 2 2029-11-25 Variable 0.638688000000 N N N N N N FREDDIE MAC REMICS FHR 4954 SL S6XOOCT0IEG5ABCC6L87 3137FR3C3 1319787.72 PA USD 150209.66 0.0935789438 Long ABS-MBS USGSE US N 2 2050-02-25 Floating 0.598090000000 N N N N N N FREDDIE MAC MULTIFAMILY STRUCT FHMS K106 X3 S6XOOCT0IEG5ABCC6L87 3137FRUW9 490000 PA USD 45122.14 0.0281105902 Long ABS-MBS USGSE US N 2 2048-03-25 Variable 1.908392000000 N N N N N N FREDDIE MAC MULTIFAMILY STRUCT FHMS K742 X3 S6XOOCT0IEG5ABCC6L87 3137H0GY8 100000 PA USD 9069.67 0.0056503033 Long ABS-MBS USGSE US N 2 2028-04-25 Variable 2.594867000000 N N N N N N FREDDIE MAC MULTIFAMILY STRUCT FHMS K129 X3 S6XOOCT0IEG5ABCC6L87 3137H13S3 165000 PA USD 29687.84 0.0184951934 Long ABS-MBS USGSE US N 2 2031-05-25 Variable 3.163117000000 N N N N N N LENDBUZZ SECURITIZATION TRUST LBZZ 2021 1A A 144A N/A 52607BAA1 56981.69 PA USD 55146.86 0.0343558790 Long ABS-O CORP US N 2 2026-06-15 Fixed 1.460000000000 N N N N N N Western Midstream Operating LP L6D8A6MLSY454J2JXJ60 958254AD6 20000 PA USD 18106.08 0.0112798860 Long DBT CORP US N 2 2044-04-01 Fixed 5.450000000000 N N N N N N BOUGHT BRL/SOLD USD N/A N/A 1 NC 2460.51 0.0015328703 N/A DFE CORP BR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 199911.060000000000 USD 989000.000000000000 BRL 2024-03-04 2460.510000000000 N N N SOLD NZD/BOUGHT USD N/A N/A 1 NC USD -6431.86 -0.0040069771 N/A DFE CORP NZ N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 310000.000000000000 NZD 189573.680000000000 USD 2024-03-20 -6431.860000000000 N N N BOUGHT CAD/SOLD USD N/A N/A 1 NC 2057.38 0.0012817248 N/A DFE CORP CA N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 84823.290000000000 USD 115000.000000000000 CAD 2024-03-20 2057.380000000000 N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 1807 0.0011257409 N/A DFE CORP DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 69063.040000000000 USD 64000.000000000000 EUR 2024-03-20 1807.000000000000 N N N BOUGHT GBP/SOLD USD N/A N/A 1 NC 7623.58 0.0047494054 N/A DFE CORP GB N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 1862572.150000000000 USD 1467000.000000000000 GBP 2024-01-31 7623.580000000000 N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC -839.4 -0.0005229368 N/A DFE CORP DE N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 116881.170000000000 USD 105000.000000000000 EUR 2024-01-31 -839.400000000000 N N N ATandT Inc. 549300Z40J86GGSTL398 00206RJX1 32000 PA USD 29702.16 0.0185041146 Long DBT CORP US N 2 2027-06-01 Fixed 2.300000000000 N N N N N N ATandT Inc. 549300Z40J86GGSTL398 00206RJZ6 15000 PA USD 11911.2 0.0074205448 Long DBT CORP US N 2 2041-06-01 Fixed 3.500000000000 N N N N N N ATandT Inc. 549300Z40J86GGSTL398 00206RKJ0 25000 PA USD 18142.68 0.0113026874 Long DBT CORP US N 2 2053-09-15 Fixed 3.500000000000 N N N N N N ATandT Inc. 549300Z40J86GGSTL398 00206RLV2 20000 PA USD 14333.84 0.0089298225 Long DBT CORP US N 2 2059-09-15 Fixed 3.650000000000 N N N N N N ATandT Inc. 549300Z40J86GGSTL398 00206RMT6 10000 PA USD 10313.25 0.0064250398 Long DBT CORP US N 2 2034-02-15 Fixed 5.400000000000 N N N N N N AbbVie Inc. FR5LCKFTG8054YNNRU85 00287YAM1 15000 PA USD 13907.52 0.0086642299 Long DBT CORP US N 2 2042-11-06 Fixed 4.400000000000 N N N N N N AbbVie Inc. FR5LCKFTG8054YNNRU85 00287YCB3 15000 PA USD 13367.31 0.0083276851 Long DBT CORP US N 2 2049-11-21 Fixed 4.250000000000 N N N N N N AbbVie Inc. FR5LCKFTG8054YNNRU85 00287YCY3 20000 PA USD 19613.09 0.0122187364 Long DBT CORP US N 2 2035-03-15 Fixed 4.550000000000 N N N N N N ACRISURE LLC / ACRISURE FINANC SR UNSECURED 144A 11/25 7 N/A 00489LAA1 90000 PA USD 89785.64 0.0559354529 Long DBT CORP US N 2 2025-11-15 Fixed 7.000000000000 N N N N N N Adams Homes Inc. N/A 00623PAA9 4000 PA USD 3953.6 0.0024630487 Long DBT CORP US N 2 2025-02-15 Fixed 7.500000000000 N N N N N N Adams Homes Inc. N/A 00623PAB7 65000 PA USD 65918.32 0.0410663786 Long DBT CORP US N 2 2028-10-15 Fixed 9.250000000000 N N N N N N AMERIGAS PARTNERS LP / AMERIGA SR UNSECURED 05/27 5.75 N/A 030981AL8 107000 PA USD 104059.89 0.0648281515 Long DBT CORP US N 2 2027-05-20 Fixed 5.750000000000 N N N N N N Amgen Inc. 62QBXGPJ34PQ72Z12S66 031162CU2 35000 PA USD 31037.57 0.0193360601 Long DBT CORP US N 2 2030-02-21 Fixed 2.450000000000 N N N N N N Amgen Inc. 62QBXGPJ34PQ72Z12S66 031162DS6 5000 PA USD 5166.55 0.0032187031 Long DBT CORP US N 2 2043-03-02 Fixed 5.600000000000 N N N N N N ANGEL OAK MORTGAGE TRUST 2020- AOMT 2020 3 M1 144A N/A 03465LAD7 180000 PA USD 163482.75 0.1018479309 Long ABS-MBS CORP US N 2 2065-04-25 Variable 3.809000000000 N N N N N N ANHEUSER-BUSCH COS LLC / ANHEU COMPANY GUAR 02/46 4.9 N/A 03522AAJ9 17000 PA USD 16664.1 0.0103815485 Long DBT CORP US N 2 2046-02-01 Fixed 4.900000000000 N N N N N N ANHEUSER-BUSCH INBEV WORLDWIDE COMPANY GUAR 01/39 5.45 549300CRGMZK3K53BF92 03523TBU1 20000 PA USD 21082.9 0.0131344117 Long DBT CORP US N 2 2039-01-23 Fixed 5.450000000000 N N N N N N Anheuser-Busch InBev Worldwide Inc. 549300CRGMZK3K53BF92 035240AN0 5000 PA USD 4732.36 0.0029482075 Long DBT CORP US N 2 2048-04-15 Fixed 4.600000000000 N N N N N N Apple Inc. HWUPKR0MPOU8FGXBT394 037833DW7 22000 PA USD 15143.41 0.0094341756 Long DBT CORP US N 2 2050-05-11 Fixed 2.650000000000 N N N N N N Aretec Group Inc. N/A 04020JAA4 90000 PA USD 95638.5 0.0595817194 Long DBT CORP US N 2 2030-08-15 Fixed 10.000000000000 N N N N N N Arrival N/A 04271QAA4 515000 PA USD 5150 0.0032083926 Long DBT CORP LU N 2 2026-12-01 None 0 Y N N N N Arrival SA USD XXXX N N N BOJANGLES ISSUER LLC BOJA 2020 1A A2 144A N/A 09748RAA6 122812.5 PA USD 114754.4 0.0714907120 Long ABS-O CORP US N 2 2050-10-20 Fixed 3.832000000000 N N N N N N Braskem Netherlands Finance B.V. N/A 10554TAH8 200000 PA USD 186000 0.1158759266 Long DBT CORP NL N 2 2031-01-12 Fixed 8.500000000000 N N N N N N BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2020 NQM1 M1 144A N/A 105699AD4 180000 PA USD 166041.81 0.1034421967 Long ABS-MBS CORP US N 2 2060-05-25 Variable 3.181000000000 N N N N N N BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 M1 144A N/A 10569TAD0 100000 PA USD 76568.31 0.0477012036 Long ABS-MBS CORP US N 2 2049-02-25 Variable 2.316000000000 N N N N N N Broadcom Corp / Broadcom Cayman Finance Ltd N/A 11134LAH2 74000 PA USD 72217.03 0.0449904047 Long DBT CORP US N 2 2027-01-15 Fixed 3.875000000000 N N N N N N Broadcom Inc. N/A 11135FBP5 2000 PA USD 1641.97 0.0010229290 Long DBT CORP US N 2 2035-11-15 Fixed 3.137000000000 N N N N N N Broadcom Inc. N/A 11135FBQ3 2000 PA USD 1620.71 0.0010096843 Long DBT CORP US N 2 2036-11-15 Fixed 3.187000000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2 BX 2020 VKNG F 144A N/A 12433YAQ0 189000 PA USD 183405.28 0.1142594450 Long ABS-MBS CORP US N 2 2037-10-15 Floating 8.226290000000 N N N N N N DIAMOND FOREIGN ASSET CO / DIA SECURED 144A 10/30 8.5 N/A 25260WAD3 165000 PA USD 168729.33 0.1051164917 Long DBT CORP KY N 2 2030-10-01 Fixed 8.500000000000 N N N N N N DigitalOcean Holdings Inc. N/A 25402DAB8 107000 PA USD 88210.8 0.0549543451 Long DBT CORP US N 2 2026-12-01 None 0.000000000000 N N N N Y DigitalOcean Holdings, Inc. USD XXXX N N N Discover Financial Services Z1YLO2USPORE63VVUL20 254709AQ1 104000 PA USD 100486.82 0.0626021687 Long DBT CORP US N 2 2025-06-23 Variable 6.125000000000 N N N N N N Discovery Communications LLC L2Z2MO2EQURH3BREWI15 25470DAS8 22000 PA USD 19620.7 0.0122234774 Long DBT CORP US N 2 2037-09-20 Fixed 5.000000000000 N N N N N N DISH DBS Corporation N/A 25470XBD6 10000 PA USD 5153.9 0.0032108222 Long DBT CORP US N 2 2029-06-01 Fixed 5.125000000000 N N N N N N DISH DBS Corporation N/A 25470XBF1 26000 PA USD 20737.6 0.0129192936 Long DBT CORP US N 2 2028-12-01 Fixed 5.750000000000 N N N N N N FANNIE MAE OR FREDDIE MAC MBS 30YR TBA N/A 01F060618 996000 PA USD -1011874.05 -0.6303862536 Short ABS-MBS USGSE US N 2 N/A Fixed 6.000000000000 N N N N N N Covanta Holding Corporation 40XIFLS8XDQGGHGPGC04 22303XAA3 235000 PA USD 205317.15 0.1279102957 Long DBT CORP US N 2 2029-12-01 Fixed 4.875000000000 N N N N N N BOUGHT INR/SOLD USD N/A N/A 1 NC 131.19 0.0000817299 N/A DFE CORP IN N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 133592.530000000000 USD 11167000.000000000000 INR 2024-03-20 131.190000000000 N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC -121.53 -0.0000757118 N/A DFE CORP TR N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 19064.260000000000 USD 600000.000000000000 TRY 2024-03-20 -121.530000000000 N N N BOUGHT GBP/SOLD USD N/A N/A 1 NC 111.27 0.0000693200 N/A DFE CORP GB N 2 JPMORGAN CHASE BANK N.A 7H6GLXDRUGQFU57RNE97 52169.160000000000 USD 41000.000000000000 GBP 2024-03-20 111.270000000000 N N N BOUGHT EUR/SOLD USD N/A N/A 1 NC 10407.19 0.0064835634 N/A DFE CORP DE N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 1280419.300000000000 USD 1168000.000000000000 EUR 2024-01-31 10407.190000000000 N N N BOUGHT TRY/SOLD USD N/A N/A 1 NC 54.51 0.0000339591 N/A DFE CORP TR N 2 BARCLAYS BANK PLC WHOLESALE G5GSEF7VJP5I7OUK5573 122264.250000000000 USD 3701000.000000000000 TRY 2024-01-31 54.510000000000 N N N Fifth Third Bancorp THRNG6BD57P9QWTQLG42 316773DB3 63000 PA USD 58436.15 0.0364050701 Long DBT CORP US N 2 2025-09-30 Variable 4.500000000000 N N N N N N FirstCash Inc. 549300V2X3UU7K0DG350 31944TAA8 43000 PA USD 41179.77 0.0256545377 Long DBT CORP US N 2 2030-01-01 Fixed 5.625000000000 N N N N N N FIRST STUDENT BIDCO INC / FIRS SR SECURED 144A 07/29 4 N/A 337120AA7 125000 PA USD 108385 0.0675226468 Long DBT CORP US N 2 2029-07-31 Fixed 4.000000000000 N N N N N N FirstCash Inc. 549300V2X3UU7K0DG350 33767DAB1 44000 PA USD 41071.52 0.0255870991 Long DBT CORP US N 2 2028-09-01 Fixed 4.625000000000 N N N N N N FirstEnergy Corp. 549300SVYJS666PQJH88 337932AC1 15000 PA USD 17695.7 0.0110242238 Long DBT CORP US N 2 2031-11-15 Fixed 7.375000000000 N N N N N N FirstEnergy Corp. 549300SVYJS666PQJH88 337932AJ6 25000 PA USD 22886.74 0.0142581839 Long DBT CORP US N 2 2047-07-15 Fixed 5.100000000000 N N N N N N FirstEnergy Corp. 549300SVYJS666PQJH88 337932AQ0 320000 PA USD 316960 0.1974625468 Long DBT CORP US N 2 2026-05-01 Fixed 4.000000000000 N N N N Y FirstEnergy, Corp. USD XXXX N N N FLAGSHIP CREDIT AUTO TRUST 202 FCAT 2021 3 D 144A N/A 33846QAG6 112000 PA USD 100282.04 0.0624745931 Long ABS-O CORP US N 2 2027-09-15 Fixed 1.650000000000 N N N N N N MandT Bank Corporation N/A 55261FAQ7 40000 PA USD 38534.27 0.0240064207 Long DBT CORP US N 2 2028-08-16 Variable 4.553000000000 N N N N N N MandT Bank Corporation N/A 55261FAR5 5000 PA USD 4737.51 0.0029514159 Long DBT CORP US N 2 2034-01-27 Variable 5.053000000000 N N N N N N MandT Bank Corporation N/A 55261FAS3 25000 PA USD 26890.67 0.0167525877 Long DBT CORP US N 2 2029-10-30 Variable 7.413000000000 N N N N N N OCTAGON INVESTMENT PARTNERS 49 OCT49 2020 5A D 144A N/A 67578FAG2 250000 PA USD 249265.75 0.1552897836 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 9.055480000000 N N N N N N Okta Inc. 549300N8J06I8MRHU620 679295AD7 100000 PA USD 92050 0.0573461239 Long DBT CORP US N 2 2025-09-01 Fixed 0.125000000000 N N N N Y Okta, Inc. USD XXXX N N N ONEOK Inc. 2T3D6M0JSY48PSZI1Q41 682680BE2 20000 PA USD 21359.88 0.0133069671 Long DBT CORP US N 2 2031-01-15 Fixed 6.350000000000 N N N N N N ONEOK Inc. 2T3D6M0JSY48PSZI1Q41 682680BK8 30000 PA USD 31189.33 0.0194306049 Long DBT CORP US N 2 2030-11-01 Fixed 5.800000000000 N N N N N N ONEOK Inc. 2T3D6M0JSY48PSZI1Q41 682680BN2 15000 PA USD 16787.06 0.0104581513 Long DBT CORP US N 2 2053-09-01 Fixed 6.625000000000 N N N N N N OneMain Finance Corporation 5493008I795YYBFWFU90 682695AA9 78000 PA USD 82463.86 0.0513740655 Long DBT CORP US N 2 2029-01-15 Fixed 9.000000000000 N N N N N N ONTARIO GAMING GTA LP SR SECURED 144A 08/30 8 N/A 68306MAA7 90000 PA USD 92812.5 0.0578211529 Long DBT CORP CA N 2 2030-08-01 Fixed 8.000000000000 N N N N N N 3D Systems Corporation 5493003HHDOCCW4OP744 88554DAD8 28000 PA USD 21294 0.0132659246 Long DBT CORP US N 2 2026-11-15 None 0.000000000000 N N N N Y 3D Systems Corp. USD XXXX N N N The Toledo Hospital N/A 889184AD9 85000 PA USD 84428.89 0.0525982573 Long DBT CORP US N 2 2038-11-15 Fixed 5.750000000000 N N N N N N TransCanada Trust N/A 89356BAB4 41000 PA USD 38756.4 0.0241448052 Long DBT CORP CA N 2 2076-08-15 Variable 5.875000000000 N N N N N N TransCanada Trust N/A 89356BAG3 297000 PA USD 248809.82 0.1550057443 Long DBT CORP CA N 2 2082-03-07 Variable 5.600000000000 N N N N N N TransDigm Inc. 88Q84GB3X55CF5OC7582 89364MBZ6 165083.96 PA USD 165703.02 0.1032311343 Long LON CORP US N 2 2028-08-24 Floating 8.598 N N N N N N TRINSEO MATERIALS OPERATING SC COMPANY GUAR 144A 04/29 5.125 N/A 89668QAF5 105000 PA USD 42786.33 0.0266554066 Long DBT CORP LU N 2 2029-04-01 Fixed 5.125000000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 902613AG3 200000 PA USD 178504.54 0.1112063386 Long DBT CORP CH N 2 2026-06-02 Variable 3.875000000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 902613AH1 200000 PA USD 180708.68 0.1125794932 Long DBT CORP CH N 2 2027-08-10 Variable 1.494000000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 902613BE7 200000 PA USD 221653 0.1380873482 Long DBT CORP CH N 2 2033-11-13 Variable 9.250000000000 N N N N N N UFC Holdings LLC N/A 90266UAJ2 175362.78 PA USD 175825.74 0.1095374761 Long LON CORP US N 2 2026-04-29 Floating 8.399 N N N N N N USI Inc. N/A 90351NAJ4 199776.91 PA USD 199932.74 0.1245558683 Long LON CORP US N 2 2029-11-22 Floating 9.11 N N N N N N SOLD MXN/BOUGHT USD N/A N/A 1 NC USD -6184.88 -0.0038531113 N/A DFE CORP MX N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5570000.000000000000 MXN 310990.760000000000 USD 2024-07-24 -6184.880000000000 N N N BOUGHT THB/SOLD USD N/A N/A 1 NC 1047.3 0.0006524562 N/A DFE CORP TH N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 42896.210000000000 USD 1490000.000000000000 THB 2024-03-20 1047.300000000000 N N N Gilead Sciences Inc. 549300WTZWR07K8MNV44 375558BT9 20000 PA USD 13803.59 0.0085994827 Long DBT CORP US N 2 2050-10-01 Fixed 2.800000000000 N N N N N N Glencore Funding LLC N/A 378272BN7 30000 PA USD 31428.32 0.0195794930 Long DBT CORP US N 2 2028-10-06 Fixed 6.125000000000 N N N N N N The Goldman Sachs Group Inc. 784F5XWPLTWKTBV3E584 38141GZU1 32000 PA USD 31435.05 0.0195836857 Long DBT CORP US N 2 2028-08-23 Variable 4.482000000000 N N N N N N Grand Parkway Transportation Corporation N/A 38611TDL8 190000 PA USD 142712.9 0.0889085459 Long DBT MUN US N 2 2052-10-01 Fixed 3.236000000000 N N N N N N Terex Corporation YAWJZJYEQ7M1SYMOS462 880779BA0 88000 PA USD 82940 0.0516706955 Long DBT CORP US N 2 2029-05-15 Fixed 5.000000000000 N N N N N N TEXAS NATURAL GAS SECURITIZATI TNGUTL 04/41 FIXED 5.169 N/A 88258MAB1 50000 PA USD 51669.42 0.0321894727 Long ABS-O MUN US N 2 2041-04-01 Fixed 5.169000000000 N N N N N N AUST 10Y BOND FUT 0324 N/A ADI2JXP90 65 NC 118060.36148199 0.0735502892 N/A DIR CORP AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300VSBVYUCBIQKT71 Long Aust 10yr 6% Aust 10yr 6% 2024-03-15 7412946.760000000000 AUD 118060.361481990000 N N N US ULTRA BOND CBT 0324 N/A ADI2K0FZ3 3 NC USD -2473.46 -0.0015409380 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short US 30yr 6% US 30yr 6% 2024-03-19 -396620.290000000000 USD -2473.460000000000 N N N US 5YR NOTE CBT 0324 N/A ADI2K85R5 209 NC USD 267336.98 0.1665479585 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long US 5yr 6% US 5yr 6% 2024-03-28 22446717.810000000000 USD 267336.980000000000 N N N CAN 5YR BOND FUT 0324 N/A ADI2KP2C3 10 NC 14498.4717557828 0.0090323863 N/A DIR CORP CA N 1 MONTREAL EXCHANGE THE - BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long Can 5yr 6% Can 5yr 6% 2024-03-19 1107788.800000000000 CAD 14498.471755782800 N N N Indonesia Treasury Bond N/A AL1453656 3865000000 PA 265439.97 0.1653661424 Long DBT NUSS ID N 2 2032-08-15 Fixed 7.500000000000 N N N N N N ICELAND RIKISBREF BONDS 11/28 5 N/A AM2164920 433770000 PA 2913868.72 1.8153077311 Long DBT NUSS IS N 2 2028-11-15 Fixed 5.000000000000 N N N N N N NEW ZEALAND GOVERNMENT INFLATI BONDS REGS 09/40 2.5 N/A AM6596531 3365000 PA 2643729.07 1.6470137405 Long DBT NUSS NZ N 2 2040-09-20 Fixed 2.500000000000 N N N N N N MEXICAN BONOS BONDS 11/47 8 N/A AM7523740 1039900 PA 54718.91 0.0340892710 Long DBT NUSS MX N 2 2047-11-07 Fixed 8.000000000000 N N N N N N CDS CMBX.NA.BBB-.14 R 300 20721216 N/A N/A 25000 PA USD -5003.55 -0.0031171559 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.14 137BERAN7 Y Selling protection on reference asset 2072-12-16 0.000000000000 USD 4108.810000000000 USD 25000 USD -894.74 N N N CDS CDX.EM.IG.40 P 100 20281220 N/A N/A 3090000 PA USD -45451.12 -0.0283155411 N/A DCR CORP US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.EM.IG.40 1D765YAA9 Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 40541.650000000000 USD 3090000 USD -4909.47 N N N CDS CDX.EM.40 P 100 20281220 N/A N/A 24060000 PA USD 700186.9 0.4362086336 N/A DCR CORP US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.EM.40 2I65BZFE7 Y Buying protection on reference asset 2028-12-20 1146483.400000000000 USD 0.000000000000 USD 24060000 USD -446296.5 N N N CDS CDX.NA.HY.41 P 500 20281220 N/A N/A 1445400 PA USD -84558.20999999996 -0.0526788222 N/A DCR CORP US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.HY.41 2I65BRZP8 Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 62608.190000000000 USD 1445400 USD -21950.020000000004 N N N CDS CDX.NA.IG.41 P 100 20281220 N/A N/A 14770000 PA USD -287842.19 -0.1793224757 N/A DCR CORP US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.41 2I65BYED3 Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 238756.300000000000 USD 14770000 USD -49085.89 N N N CDS Federative Republic of Brazil P 100 20261220 N/A N/A 585000 PA USD -5165.61 -0.0032181174 N/A DCR CORP BR N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Federative Republic of Brazil Federative Republic of Brazil Y Buying protection on reference asset 2026-12-20 21214.580000000000 USD 0.000000000000 USD 585000 USD -26380.19 N N N CDS Federative Republic of Brazil P 100 20271220 N/A N/A 485000 PA USD -589.47 -0.0003672332 N/A DCR CORP BR N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Federative Republic of Brazil Federative Republic of Brazil Y Buying protection on reference asset 2027-12-20 25277.230000000000 USD 0.000000000000 USD 485000 USD -25866.7 N N N CDS Federative Republic of Brazil P 100 20271220 N/A N/A 620000 PA USD -753.55 -0.0004694533 N/A DCR CORP BR N 2 Bank of America Corporation B4TYDEB6GKMZO031MB27 Federative Republic of Brazil Federative Republic of Brazil Y Buying protection on reference asset 2027-12-20 31814.350000000000 USD 0.000000000000 USD 620000 USD -32567.9 N N N CDS Federative Republic of Brazil P 100 20271220 N/A N/A 2345000 PA USD -2850.11 -0.0017755868 N/A DCR CORP BR N 2 Bank of America Corporation B4TYDEB6GKMZO031MB27 Federative Republic of Brazil Federative Republic of Brazil Y Buying protection on reference asset 2027-12-20 119953.420000000000 USD 0.000000000000 USD 2345000 USD -122803.53 N N N CDS Federative Republic of Brazil P 100 20281220 N/A N/A 2495000 PA USD 34581.45 0.0215438579 N/A DCR CORP BR N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 Federative Republic of Brazil Federative Republic of Brazil Y Buying protection on reference asset 2028-12-20 72783.100000000000 USD 0.000000000000 USD 2495000 USD -38201.65 N N N CDS Federative Republic of Brazil P 100 20281220 N/A N/A 500000 PA USD 6930.15 0.0043174062 N/A DCR CORP BR N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Federative Republic of Brazil Federative Republic of Brazil Y Buying protection on reference asset 2028-12-20 12744.020000000000 USD 0.000000000000 USD 500000 USD -5813.87 N N N CDS iTraxx Europe Crossover Series 40 Version 1 P 500 20281220 N/A N/A 1380000 PA -120896.97 -0.0753174647 N/A DCR CORP DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 iTraxx Europe Crossover Series 40 Version 1 2I667KKS6 Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 75763.460000000000 USD 1380000 EUR -45133.51 N N N CDS iTraxx Europe Senior Financials Series 40 Version 1 P 100 20281220 N/A N/A 3870000 PA -65101.96 -0.0405577954 N/A DCR CORP DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 iTraxx Europe Senior Financials Series 40 Version 1 2I667DCO0 Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 41611.490000000000 USD 3870000 EUR -23490.47 N N N CDS iTraxx Europe Sub Financials Series 40 Version 1 P 100 20281220 N/A N/A 2445000 PA 27761.38 0.0172950303 N/A DCR CORP DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 iTraxx Europe Sub Financials Series 40 Version 1 2I667ECF7 Y Buying protection on reference asset 2028-12-20 54576.710000000000 USD 0.000000000000 USD 2445000 EUR -26815.33 N N N CDS iTraxx Europe Series 40 Version 1 P 100 20281220 N/A N/A 2840000 PA -61028.9 -0.0380203244 N/A DCR CORP DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 iTraxx Europe Series 40 Version 1 2I666VDI3 Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 49772.240000000000 USD 2840000 EUR -11256.66 N N N CDS Malaysia P 100 20281220 N/A N/A 500000 PA USD -13375.05 -0.0083325071 N/A DCR CORP MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Malaysia Malaysia Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 12907.530000000000 USD 500000 USD -467.52 N N N CDS Japan P 100 20241220 N/A N/A 9570000 PA USD -88054.53 -0.0548569906 N/A DCR CORP JP N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 Japan Japan Y Buying protection on reference asset 2024-12-20 0.000000000000 USD 67804.330000000000 USD 9570000 USD -20250.2 N N N CDS People's Republic of China P 100 20281220 N/A N/A 500000 PA USD -9121.75 -0.0056827486 N/A DCR CORP CN N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 People's Republic of China People's Republic of China Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 9173.470000000000 USD 500000 USD 51.72 N N N CDS Malaysia P 100 20281220 N/A N/A 2075000 PA USD -55506.46 -0.0345799058 N/A DCR CORP MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Malaysia Malaysia Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 49553.780000000000 USD 2075000 USD -5952.68 N N N CDS Republic of Chile P 100 20281220 N/A N/A 500000 PA USD -11507.7 -0.0071691688 N/A DCR CORP CL N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 Republic of Chile Republic of Chile Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 8624.740000000000 USD 500000 USD -2882.96 N N N CDS Republic of Chile P 100 20281220 N/A N/A 1445000 PA USD -33257.25 -0.0207188960 N/A DCR CORP CL N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Republic of Chile Republic of Chile Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 23637.150000000000 USD 1445000 USD -9620.1 N N N CDS Republic of Colombia P 100 20281220 N/A N/A 500000 PA USD 12206 0.0076042019 N/A DCR CORP CO N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Republic of Colombia Republic of Colombia Y Buying protection on reference asset 2028-12-20 20598.480000000000 USD 0.000000000000 USD 500000 USD -8392.48 N N N CDS Republic of Colombia P 100 20281220 N/A N/A 500000 PA USD 12206 0.0076042019 N/A DCR CORP CO N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Republic of Colombia Republic of Colombia Y Buying protection on reference asset 2028-12-20 21110.330000000000 USD 0.000000000000 USD 500000 USD -8904.33 N N N CDS United Mexican States P 100 20281220 N/A N/A 500000 PA USD -2703.35 -0.0016841569 N/A DCR CORP MX N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 United Mexican States United Mexican States Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 218.380000000000 USD 500000 USD -2484.97 N N N CDS United Mexican States P 100 20281220 N/A N/A 500000 PA USD -2703.35 -0.0016841569 N/A DCR CORP MX N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 United Mexican States United Mexican States Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 1097.350000000000 USD 500000 USD -1606 N N N CDS United Mexican States P 100 20281220 N/A N/A 500000 PA USD -2703.35 -0.0016841569 N/A DCR CORP MX N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 United Mexican States United Mexican States Y Buying protection on reference asset 2028-12-20 327.380000000000 USD 0.000000000000 USD 500000 USD -3030.73 N N N CDS United Mexican States P 100 20281220 N/A N/A 1550000 PA USD -8380.39 -0.0052208896 N/A DCR CORP MX N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 United Mexican States United Mexican States Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 1693.590000000000 USD 1550000 USD -6686.8 N N N CDS United Mexican States P 100 20281220 N/A N/A 500000 PA USD -2703.35 -0.0016841569 N/A DCR CORP MX N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 United Mexican States United Mexican States Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 2773.740000000000 USD 500000 USD 70.39 N N N CDS United Mexican States P 100 20281220 N/A N/A 500000 PA USD -2703.35 -0.0016841569 N/A DCR CORP MX N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 United Mexican States United Mexican States Y Buying protection on reference asset 2028-12-20 541.880000000000 USD 0.000000000000 USD 500000 USD -3245.23 N N N CDS United Mexican States P 100 20281220 N/A N/A 535000 PA USD -2892.58 -0.0018020451 N/A DCR CORP MX N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 United Mexican States United Mexican States Y Buying protection on reference asset 2028-12-20 1043.460000000000 USD 0.000000000000 USD 535000 USD -3936.04 N N N TRS P IBOXHY R 1D USD 20240620 N/A N/A 6110000 PA USD -159776.5 -0.0995389784 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 iBoxx USD Liquid High Yield Index IBOXHY Y Return on reference asset 2024-06-20 0.000000000000 USD 0.000000000000 USD 6110000 USD -159776.5 N N N TRS P IBOXHY R 1D USD 20240620 N/A N/A 3450000 PA USD -87378.15 -0.0544356134 N/A DIR CORP US N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 iBoxx USD Liquid High Yield Index IBOXHY Y Return on reference asset 2024-06-20 0.000000000000 USD 0.000000000000 USD 3450000 USD -87378.15 N N N TRS P IBOXHY R 1D USD 20240320 N/A N/A 2420000 PA USD -205929.9 -0.1282920322 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 iBoxx USD Liquid High Yield Index IBOXHY Y Return on reference asset 2024-03-20 0.000000000000 USD 0.000000000000 USD 2420000 USD -205929.9 N N N TRS P IBOXHY R 1D USD 20240320 N/A N/A 1560000 PA USD -100028.76 -0.0623168024 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 iBoxx USD Liquid High Yield Index IBOXHY Y Return on reference asset 2024-03-20 0.000000000000 USD 0.000000000000 USD 1560000 USD -100028.76 N N N TRS P IBOXIG R 1D USD 20240620 N/A N/A 3890000 PA USD -133559.26 -0.0832059302 N/A DIR CORP US N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 iBoxx USD Liquid Investment Grade Index IBOXIG Y Return on reference asset 2024-06-20 0.000000000000 USD 0.000000000000 USD 3890000 USD -133559.26 N N N TRS P IBXXLLTR R 1D USD 20240620 N/A N/A 1375000 PA USD -18423.63 -0.0114777161 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 iBoxx USD Liquid Leveraged Loan Index IBXXLLTR Y Return on reference asset 2024-06-20 0.000000000000 USD 0.000000000000 USD 1375000 USD -18423.63 N N N TRS P IBXXLLTR R 1D USD 20240620 N/A N/A 1225000 PA USD -16413.78 -0.0102256020 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 iBoxx USD Liquid Leveraged Loan Index IBXXLLTR Y Return on reference asset 2024-06-20 0.000000000000 USD 0.000000000000 USD 1225000 USD -16413.78 N N N IRS AUD R 4.19 20230920-20280920 N/A N/A 4000000 PA 32053.5 0.0199689732 N/A DIR CORP AU N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2028-09-20 0.000000000000 USD 545.790000000000 USD 4000000 AUD 32599.29 N N N IRS CAD R 4.50 20230920-20250920 N/A N/A 6855000 PA 42631.84 0.0265591611 N/A DIR CORP CA N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2025-09-20 0.000000000000 USD 2830.860000000000 USD 6855000 CAD 45462.7 N N N IRS CAD R 3.91 20231220-20281220 N/A N/A 2360000 PA 63742.17 0.0397106614 N/A DIR CORP CA N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2028-12-20 0.000000000000 USD 442.920000000000 USD 2360000 CAD 64185.09 N N N IRS MXN R 6.94 20210915-20310903 N/A N/A 17445000 PA -87486.35 -0.0545030208 N/A DIR CORP MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2031-09-03 0.000000000000 USD 241.140000000000 USD 17445000 MXN -87245.21 N N N IRS MXN R 7.84 20220316-20270310 N/A N/A 52320000 PA -99712.1 -0.0621195268 N/A DIR CORP MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2027-03-10 1597.900000000000 USD 0.000000000000 USD 52320000 MXN -101310 N N N IRS MXN R 8.85 20231220-20331207 N/A N/A 16930000 PA 26754.41 0.0166676992 N/A DIR CORP MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2033-12-07 0.000000000000 USD 0.000000000000 USD 16930000 MXN 26754.41 N N N IRS MXN R 8.84 20230621-20280614 N/A N/A 39115000 PA 17102.94 0.0106549410 N/A DIR CORP MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2028-06-14 0.000000000000 USD 2653.480000000000 USD 39115000 MXN 19756.42 N N N IRS MXN R 9.05 20230621-20280614 N/A N/A 55310000 PA 49811.9 0.0310322584 N/A DIR CORP MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2028-06-14 0.000000000000 USD 0.000000000000 USD 55310000 MXN 49811.9 N N N IRS NZD R 2.66 20220316-20270316 N/A N/A 8500000 PA -260111.65 -0.1620466584 N/A DIR CORP NZ N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2027-03-16 0.000000000000 USD 13729.190000000000 USD 8500000 NZD -246382.46 N N N CDS Anglo American plc R 500 20281220 N/A N/A 260000 PA 45636.87 0.0284312613 N/A DCR CORP GB N 2 Bank of America Corporation B4TYDEB6GKMZO031MB27 Anglo American plc Anglo American plc Y Selling protection on reference asset 2028-12-20 44324.640000000000 USD 0.000000000000 USD 260000 EUR 1312.23 N N N CDS Anglo American plc R 500 20281220 N/A N/A 260000 PA 45636.87 0.0284312613 N/A DCR CORP GB N 2 Bank of America Corporation B4TYDEB6GKMZO031MB27 Anglo American plc Anglo American plc Y Selling protection on reference asset 2028-12-20 44545.500000000000 USD 0.000000000000 USD 260000 EUR 1091.37 N N N CDS CDX.NA.HY.41 R 500 20281220 N/A N/A 277200 PA USD 16216.640000000014 0.0101027860 N/A DCR CORP US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.HY.41 2I65BRZP8 Y Selling protection on reference asset 2028-12-20 9248.490000000000 USD 0.000000000000 USD 277200 USD 6968.15 N N N CDS Republic of Colombia P 100 20281220 N/A N/A 500000 PA USD 12206 0.0076042019 N/A DCR CORP CO N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Republic of Colombia Republic of Colombia Y Buying protection on reference asset 2028-12-20 22420.100000000000 USD 0.000000000000 USD 500000 USD -10214.1 N N N CDS Republic of Colombia P 100 20281220 N/A N/A 500000 PA USD 12206 0.0076042019 N/A DCR CORP CO N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Republic of Colombia Republic of Colombia Y Buying protection on reference asset 2028-12-20 21139.030000000000 USD 0.000000000000 USD 500000 USD -8933.03 N N N CDS Republic of Colombia P 100 20281220 N/A N/A 10000 PA USD 244.12 0.0001520840 N/A DCR CORP CO N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 Republic of Colombia Republic of Colombia Y Buying protection on reference asset 2028-12-20 486.200000000000 USD 0.000000000000 USD 10000 USD -242.08 N N N CDS Republic of Colombia P 100 20281220 N/A N/A 500000 PA USD 12206 0.0076042019 N/A DCR CORP CO N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Republic of Colombia Republic of Colombia Y Buying protection on reference asset 2028-12-20 17114.340000000000 USD 0.000000000000 USD 500000 USD -4908.34 N N N CDS Republic of Colombia P 100 20281220 N/A N/A 500000 PA USD 12206 0.0076042019 N/A DCR CORP CO N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Republic of Colombia Republic of Colombia Y Buying protection on reference asset 2028-12-20 13855.090000000000 USD 0.000000000000 USD 500000 USD -1649.09 N N N CDS Republic of Indonesia P 100 20281220 N/A N/A 500000 PA USD -6708.25 -0.0041791650 N/A DCR CORP ID N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Republic of Indonesia Republic of Indonesia Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 5794.190000000000 USD 500000 USD -914.06 N N N CDS Republic of Indonesia P 100 20281220 N/A N/A 500000 PA USD -6708.25 -0.0041791650 N/A DCR CORP ID N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Republic of Indonesia Republic of Indonesia Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 3030.950000000000 USD 500000 USD -3677.3 N N N CDS Republic of Indonesia P 100 20281220 N/A N/A 500000 PA USD -6708.25 -0.0041791650 N/A DCR CORP ID N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Republic of Indonesia Republic of Indonesia Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 5378.230000000000 USD 500000 USD -1330.02 N N N CDS Republic of Indonesia P 100 20281220 N/A N/A 1145000 PA USD -15361.89 -0.0095702862 N/A DCR CORP ID N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Republic of Indonesia Republic of Indonesia Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 5944.330000000000 USD 1145000 USD -9417.56 N N N CDS Republic of Peru P 100 20281220 N/A N/A 2890000 PA USD -39070.49 -0.0243404797 N/A DCR CORP PE N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 Republic of Peru Republic of Peru Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 26684.710000000000 USD 2890000 USD -12385.78 N N N CDS Republic of Indonesia P 100 20281220 N/A N/A 1540000 PA USD -20661.41 -0.0128718281 N/A DCR CORP ID N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Republic of Indonesia Republic of Indonesia Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 16521.870000000000 USD 1540000 USD -4139.54 N N N CDS Republic of South Africa P 100 20281220 N/A N/A 500000 PA USD 22371.15 0.0139369771 N/A DCR CORP ZA N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 Republic of South Africa Republic of South Africa Y Buying protection on reference asset 2028-12-20 29906.740000000000 USD 0.000000000000 USD 500000 USD -7535.59 N N N CDS Republic of South Africa P 100 20281220 N/A N/A 500000 PA USD 22371.15 0.0139369771 N/A DCR CORP ZA N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 Republic of South Africa Republic of South Africa Y Buying protection on reference asset 2028-12-20 31399.150000000000 USD 0.000000000000 USD 500000 USD -9028 N N N CDS Republic of South Africa P 100 20281220 N/A N/A 580000 PA USD 25950.53 0.0161668909 N/A DCR CORP ZA N 2 Bank of America Corporation B4TYDEB6GKMZO031MB27 Republic of South Africa Republic of South Africa Y Buying protection on reference asset 2028-12-20 37547.910000000000 USD 0.000000000000 USD 580000 USD -11597.38 N N N CDS Republic of South Africa P 100 20281220 N/A N/A 500000 PA USD 22371.15 0.0139369771 N/A DCR CORP ZA N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 Republic of South Africa Republic of South Africa Y Buying protection on reference asset 2028-12-20 28777.990000000000 USD 0.000000000000 USD 500000 USD -6406.84 N N N CDS Republic of South Africa P 100 20281220 N/A N/A 500000 PA USD 22371.15 0.0139369771 N/A DCR CORP ZA N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Republic of South Africa Republic of South Africa Y Buying protection on reference asset 2028-12-20 31493.170000000000 USD 0.000000000000 USD 500000 USD -9122.02 N N N CDS Republic of South Africa P 100 20281220 N/A N/A 500000 PA USD 22371.15 0.0139369771 N/A DCR CORP ZA N 2 MORGAN STANLEY AND CO. INTERNA 4PQUHN3JPFGFNF3BB653 Republic of South Africa Republic of South Africa Y Buying protection on reference asset 2028-12-20 23258.750000000000 USD 0.000000000000 USD 500000 USD -887.6 N N N INF P 3.24 USD-CPI 20220415-20270415 N/A N/A 2990000 PA USD -16728.27 -0.0104215257 N/A DIR CORP US N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Y 2027-04-15 0.000000000000 USD 0.000000000000 USD 2990000 USD -16728.27 N N N INF P 3.15 USD-CPI 20220415-20270415 N/A N/A 5640000 PA USD -4454.98 -0.0027754029 N/A DIR CORP US N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Y 2027-04-15 0.000000000000 USD 0.000000000000 USD 5640000 USD -4454.98 N N N INF P 3.26 USD-CPI 20220415-20270415 N/A N/A 440000 PA USD -2783.37 -0.0017340085 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Y 2027-04-15 0.000000000000 USD 38.470000000000 USD 440000 USD -2744.9 N N N INF P 3.24 USD-CPI 20220415-20270415 N/A N/A 2970000 PA USD -16616.38 -0.0103518195 N/A DIR CORP US N 2 BARCLAYS CAPITAL NY G5GSEF7VJP5I7OUK5573 Y 2027-04-15 0.000000000000 USD 0.000000000000 USD 2970000 USD -16616.38 N N N CDS Republic of the Philippines P 100 20281220 N/A N/A 800000 PA USD -13551.52 -0.0084424459 N/A DCR CORP PH N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Republic of the Philippines Republic of the Philippines Y Buying protection on reference asset 2028-12-20 0.000000000000 USD 7295.140000000000 USD 800000 USD -6256.38 N N N CDS Republic of South Africa P 100 20281220 N/A N/A 1650000 PA USD 73824.79 0.0459920212 N/A DCR CORP ZA N 2 Bank of America Corporation B4TYDEB6GKMZO031MB27 Republic of South Africa Republic of South Africa Y Buying protection on reference asset 2028-12-20 100155.010000000000 USD 0.000000000000 USD 1650000 USD -26330.22 N N N IRS NZD R 2.75 20220316-20270316 N/A N/A 6540000 PA -189113.51 -0.1178156086 N/A DIR CORP NZ N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2027-03-16 4571.400000000000 USD 0.000000000000 USD 6540000 NZD -193684.91 N N N IRS CAD P 3.87 20231220-20531220 N/A N/A 645000 PA -86540.75 -0.0539139226 N/A DIR CORP CA N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2053-12-20 0.000000000000 USD 0.000000000000 USD 645000 CAD -86540.75 N N N IRS CNY P 2.3615 20230920-20280920 N/A N/A 12025000 PA -8447.27 -0.0052625550 N/A DIR CORP CN N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 Y 2028-09-20 0.000000000000 USD 0.000000000000 USD 12025000 CNY -8447.27 N N N IRS CAD P 3.87 20231220-20531220 N/A N/A 645000 PA -85878.39 -0.0535012797 N/A DIR CORP CA N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2053-12-20 0.000000000000 USD 0.000000000000 USD 645000 CAD -85878.39 N N N IRS CNY P 2.445 20230920-20280920 N/A N/A 24530000 PA -30031.11 -0.0187090468 N/A DIR CORP CN N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 Y 2028-09-20 0.000000000000 USD 0.000000000000 USD 24530000 CNY -30031.11 N N N IRS CNY P 2.4 20230920-20280920 N/A N/A 12020000 PA -11335.63 -0.0070619711 N/A DIR CORP CN N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 Y 2028-09-20 0.000000000000 USD 0.000000000000 USD 12020000 CNY -11335.63 N N N IRS CNY P 2.4665 20230920-20280920 N/A N/A 15265000 PA -20739.32 -0.0129203652 N/A DIR CORP CN N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 Y 2028-09-20 0.000000000000 USD 0.000000000000 USD 15265000 CNY -20739.32 N N N IRS CNY P 2.4678 20230920-20280920 N/A N/A 9355000 PA -12785.86 -0.0079654483 N/A DIR CORP CN N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 Y 2028-09-20 0.000000000000 USD 0.000000000000 USD 9355000 CNY -12785.86 N N N IRS ILS P 3.91 20240320-20340320 N/A N/A 3585000 PA -16636.82 -0.0103645534 N/A DIR CORP IL N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2034-03-20 0.000000000000 USD 0.000000000000 USD 3585000 ILS -16636.82 N N N IRS ILS P 3.85 20240320-20340320 N/A N/A 3620000 PA -12275.73 -0.0076476430 N/A DIR CORP IL N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2034-03-20 0.000000000000 USD 0.000000000000 USD 3620000 ILS -12275.73 N N N IRS KRW P 3.4925 20240320-20340320 N/A N/A 1212830000 PA -43445.76 -0.0270662242 N/A DIR CORP KR N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2034-03-20 0.000000000000 USD 0.000000000000 USD 1212830000 KRW -43445.76 N N N IRS KRW P 3.46 20240320-20340320 N/A N/A 1212830000 PA -40737.39999999991 -0.0253789461 N/A DIR CORP KR N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2034-03-20 0.000000000000 USD 0.000000000000 USD 1212830000 KRW -40737.4 N N N IRS PLN P 4.40 20231220-20281220 N/A N/A 5100000 PA -114.45 -0.0000713011 N/A DIR CORP PL N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2028-12-20 0.000000000000 USD 0.000000000000 USD 5100000 PLN -114.45 N N N IRS PLN P 4.31 20231220-20281220 N/A N/A 6320000 PA 6102.6 0.0038018518 N/A DIR CORP PL N 2 London Clearing House 549300TXTCI7WVVJS380 Y 2028-12-20 0.000000000000 USD 0.000000000000 USD 6320000 PLN 6102.6 N N N INF P 1.64 USD-CPI 20200215-20500215 N/A N/A 500000 PA USD 123914.09 0.0771970968 N/A DIR CORP US N 2 Bank of America Corporation B4TYDEB6GKMZO031MB27 Y 2050-02-15 0.000000000000 USD 0.000000000000 USD 500000 USD 123914.09 N N N INF P 1.83 USD-CPI 20200215-20500215 N/A N/A 1700000 PA USD 351123.95 0.2187463068 N/A DIR CORP US N 2 JPMORGAN CHASE BANK N.A. 7H6GLXDRUGQFU57RNE97 Y 2050-02-15 0.000000000000 USD 38544.470000000000 USD 1700000 USD 389668.42 N N N INF P 2.58 USD-CPI 20210215-20510215 N/A N/A 780000 PA USD 27482.15 0.0171210731 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Y 2051-02-15 0.000000000000 USD 0.000000000000 USD 780000 USD 27482.15 N N N 2024-01-30 John Hancock Variable Insurance Trust /s/Salvatore Schiavone Salvatore Schiavone Treasurer