NPORT-P false 0000804239 XXXXXXXX S000035780 C000147404 C000109625 SEI INSTITUTIONAL MANAGED TRUST 811-04878 0000804239 9FTE3UO0Y1HGMNV0D371 2 OLIVER STREET BOSTON 02109 8003455734 SIMT Multi-Asset Income Fund S000035780 0ZCM0U5P3NFTL2OJ8D74 2020-09-30 2020-03-31 N 939183834.31 97490740.10 841693094.21 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 27554332.64000000 USD N PAYCHEX, INC. 529900K900DW6SUBM174 704326107 1415.00000000 NS USD 89031.80000000 0.010577703513 Long EC US N 1 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 617446448 5295.00000000 NS USD 180030.00000000 0.021389031374 Long EC US N 1 N N N FLEETCOR TECHNOLOGIES, INC. 549300DG6RR0NQSFLN74 339041105 383.00000000 NS USD 71444.82000000 0.008488226942 Long EC US N 1 N N N USD CALL/CAD PUT 1.3325 N/A USCAC0027 -2880000.00000000 NC USD -157426.71000000 -0.01870357628 N/A DFE US N 2 BNP PARIBAS N/A Call Written N/A N/A -2880000.00000000 1.33250000 USD 2020-04-23 XXXX -148498.71000000 N N N PACKAGING CORPORATION OF AMERICA 549300XZP8MFZFY8TJ84 695156109 383.00000000 NS USD 33255.89000000 0.003951070791 Long EC US N 1 N N N PISCES MIDCO INC N/A 72431HAB6 738750.00000000 PA USD 624243.75000000 0.074165245538 Long LON XX N 2 2025-04-12 Floating 4.56138000 N N N N N N VERISK ANALYTICS, INC. 549300I1YSWNIRKBWP67 92345Y106 725.00000000 NS USD 101050.50000000 0.012005623034 Long EC US N 1 N N N NOBLE ENERGY, INC. 02VFQXG2D1LR5ZH3K186 655044105 2020.00000000 NS USD 12200.80000000 0.001449554485 Long EC US N 1 N N N NVR, Inc. 529900RWXR4JI3JYTV70 62944T105 15.00000000 NS USD 38536.65000000 0.004578468121 Long EC US N 1 N N N PERKINELMER, INC. 549300IKL1SDPFI7N655 714046109 524.00000000 NS USD 39446.72000000 0.004686591855 Long EC US N 1 N N N NETAPP, INC. QTX3D84DZDD5JYOCYH15 64110D104 913.00000000 NS USD 38062.97000000 0.004522191076 Long EC US N 1 N N N PEOPLE'S UNITED FINANCIAL, INC. ROPY7PEPIPIDJNF0BO69 712704105 1719.00000000 NS USD 18994.95000000 0.002256754882 Long EC US N 1 N N N GE BUSINESS LOAN TRUST N/A 36160RAE0 371933.98000000 PA USD 332282.25000000 0.039477839640 Long ABS-MBS US N 2 2035-04-16 Floating 2.10825000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -23790.22000000 -0.00282647204 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1560000.00000000 CAD 1072486.33000000 USD 2020-04-17 -23790.22000000 N N N Banco de Bogota S.A. 549300LYHE7LWSKDZT53 P09252AK6 400000.00000000 PA USD 378166.00000000 0.044929203126 Long DBT NUSS CO N 2 2026-05-12 Fixed 6.25000000 N N N N N N BRK: MORGAN STANLEY N/A N/A -1620000.00000000 NC USD 2487.13000000 0.000295491315 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-12-20 33866.19000000 USD 0.00000000 USD -1620000.00000000 USD -31379.06000000 N N N YAPI VE KREDI BANKASI ANONIM SIRKETI B85ZYWEZ5IZCZ2WNIO12 N/A 200000.00000000 PA USD 184980.00000000 0.021977131720 Long DBT NUSS XX N 2 2023-03-16 Fixed 6.10000000 N N N N N N CONSOLIDATED COMMUNICATIONS INC N/A 20903EAX3 940331.72000000 PA USD 820439.43000000 0.097474891459 Long LON XX N 2 2023-10-05 Floating 4.61000160 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAT4 300000.00000000 PA USD 293849.34000000 0.034911696676 Long DBT NUSS IT Y 2 2024-06-26 Fixed 5.01700000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 458186.73000000 0.054436318077 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 5982453.78000000 AUD 4119577.50000000 USD 2020-04-17 458186.73000000 N N N HANESBRANDS INC. GX5LWVWZLL5S4W1L2F20 410345AL6 320000.00000000 PA USD 313635.20000000 0.037262418113 Long DBT CORP US Y 2 2026-05-15 Fixed 4.87500000 N N N N N N FIRST EAGLE HOLDINGS, INC. N/A 05554JAH0 59548.87000000 PA USD 49872.18000000 0.005925221478 Long LON XX N 2 2027-02-01 Floating 4.26237840 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 N/A 1000000.00000000 PA 1004389.00000000 0.119329599697 Long DBT NUSS GB N 2 2168-06-27 Fixed 6.37500000 N N N Y Y LLOYDS BANKING GROUP PLC GBP XXXX N N N U.S. RENAL CARE, INC. N/A 90290PAN4 872812.50000000 PA USD 754363.12000000 0.089624487261 Long LON XX N 2 2026-06-26 Floating 6.62500080 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CW3 1425000.00000000 PA USD 779938.30000000 0.092663027101 Long DBT CORP US N 2 2024-08-15 Fixed 2.90000000 N N N N N N CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST) N/A 12668BBN2 745025.04480000 PA USD 584335.81000000 0.069423856987 Long ABS-MBS US N 2 2037-02-25 Floating 1.90675080 N N N N N N PANTHER BF AGGREGATOR 2 L.P. N/A C8000CAB9 249375.00000000 PA USD 226931.25000000 0.026961282153 Long LON XX N 2 2026-04-30 Floating 4.44088080 N N N N N N ALLEN MEDIA TL 1L B N/A N/A 530000.00000000 PA USD 439900.00000000 0.052263705503 Long LON XX N 2 2027-02-10 Floating 7.23088080 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3789.33000000 -0.00045020328 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 500000.00000000 EUR 545146.00000000 USD 2020-04-17 -3789.33000000 N N N NEXSTAR BROADCASTING 6/19 COV-LITE N/A 65336RAW8 835716.80000000 PA USD 774709.47000000 0.092041799478 Long LON XX N 2 2026-09-18 Floating 4.33113120 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 15833.42000000 0.001881139349 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 930000.00000000 EUR 1036853.13000000 USD 2020-04-17 15833.42000000 N N N CoreCivic, Inc. N/A N/A 380000.00000000 PA USD 330600.00000000 0.039277974629 Long LON XX N 2 2024-12-12 Floating 6.15999960 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 20662.06000000 0.002454821138 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1065640.00000000 EUR 1190596.95000000 USD 2020-04-17 20662.06000000 N N N INNOPHOS HOLDINGS, INC. N/A N/A 520000.00000000 PA USD 440700.00000000 0.052358752023 Long LON XX N 2 2027-02-05 Floating 4.75512840 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -102615.89000000 -0.01219160412 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 554267.09000000 USD 35370000.00000000 RUB 2020-04-17 -102615.89000000 N N N CSC HOLDINGS LLC N/A 64072UAE2 494910.95000000 PA USD 470991.90000000 0.055957676644 Long LON XX N 2 2025-07-17 Floating 2.86162920 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCC4 20000.00000000 PA USD 13028.00000000 0.001547832587 Long DBT NUSS MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5499.46000000 0.000653380672 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 530000.00000000 EUR 587370.91000000 USD 2020-04-17 5499.46000000 N N N BRK: BNP PARIBAS N/A N/A 10390000.00000000 NC USD 125650.01000000 0.014928245326 N/A DIR XX N 2 BRK: BNP PARIBAS N/A Y 2027-03-24 86797.24000000 USD 0.00000000 USD -10390000.00000000 USD 38852.77000000 N N N SUNOCO LP 54930001NJU8E40NQ561 86765LAL1 240000.00000000 PA USD 207667.20000000 0.024672555997 Long DBT CORP US N 2 2026-02-15 Fixed 5.50000000 N N N N N N USD CALL/AUD PUT N/A USAUC0038 -3820000.00000000 NC USD -212478.24000000 -0.02524414676 N/A DFE US N 2 JPM CHASE N/A Call Written N/A N/A -3820000.00000000 0.64650000 USD 2020-05-25 XXXX -189099.84000000 N N N THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY 2138005O9XJIJN4JPN90 780097BE0 700000.00000000 PA USD 691269.72000000 0.082128477084 Long DBT NUSS GB N 2 2023-05-15 Fixed 3.49800000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 8247.42000000 0.000979860718 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A 595495.60000000 USD 65110000.00000000 JPY 2020-04-17 8247.42000000 N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CW3 70000.00000000 PA USD 38312.76000000 0.004551868164 Long DBT CORP US N 2 2024-08-15 Fixed 2.90000000 N N N N N N GLOBALTRANZ ENTE TL 1L N/A 37959BAC2 529901.28000000 PA USD 374905.16000000 0.044541788756 Long LON XX N 2 2026-05-15 Floating 5.92850160 N N N N N N Ukraine 6354001WLTJXOMEXPY07 903724BV3 640000.00000000 PA USD 621145.60000000 0.073797160066 Long DBT NUSS UA Y 2 2028-11-01 Fixed 9.75000000 N N N N N N Federal National Mortgage Association N/A 3136AXB95 2633831.45000000 PA USD 411998.14000000 0.048948737115 Long DBT USGA US N 2 2047-09-25 Floating 5.20337160 N N N N N N BRK: MORGAN STANLEY N/A N/A -6820000.00000000 NC USD -149815.22000000 -0.01779926923 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 55113.75000000 USD 0.00000000 USD -6820000.00000000 USD -204928.97000000 N N N KRATON POLYMERS LLC 549300UKP7HNTB21X136 50077DAE4 1000000.00000000 PA USD 885000.00000000 0.105145213390 Long DBT CORP US Y 2 2025-04-15 Fixed 7.00000000 N N N N N N THE ESTEE LAUDER COMPANIES INC. 549300VFZ8XJ9NUPU221 518439104 976.00000000 NS USD 155515.84000000 0.018476549358 Long EC US N 1 N N N HONEYWELL INTERNATIONAL INC. ISRPG12PN4EIEOEMW547 438516106 3103.00000000 NS USD 415150.37000000 0.049323247731 Long EC US N 1 N N N Suzano Austria GmbH 254900287ZNSGVP1R341 A9890AAA8 400000.00000000 PA USD 388166.00000000 0.046117284633 Long DBT NUSS AT N 2 2026-07-14 Fixed 5.75000000 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS, LLC 549300I7CIEWU1BBLQ53 16412XAG0 850000.00000000 PA USD 754892.32000000 0.089687360534 Long DBT CORP US N 2 2027-06-30 Fixed 5.12500000 N N N N N N LIONS GATE CAPITAL HOLDINGS LLC 549300MWJHNLR35C0837 53627NAA9 330000.00000000 PA USD 282150.00000000 0.033521719726 Long DBT CORP US Y 2 2024-11-01 Fixed 5.87500000 N N N N N N USD PUT/JPYCALL N/A USJPP0130 -3720000.00000000 NC USD -6426.24000000 -0.00076348969 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A Put Written N/A N/A -3720000.00000000 104.95000000 USD 2020-04-06 XXXX 12210.96000000 N N N GFL ENVIRONMENTAL INC. 549300FYK4MBXWIVZU26 36168Q120 6850.00000000 NS USD 313661.50000000 0.037265542768 Long EP CA N 2 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 53278.38000000 0.006329905801 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 18343660000.00000000 IDR 1177763.08000000 USD 2020-04-17 53278.38000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 9016.45000000 0.001071227750 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A 820423.17000000 USD 89450000.00000000 JPY 2020-04-17 9016.45000000 N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045V100 5536.00000000 NS USD 115038.08000000 0.013667461547 Long EC US N 1 N N N FREEPORT-MCMORAN INC. 549300IRDTHJQ1PVET45 35671D857 6259.00000000 NS USD 42248.25000000 0.005019436453 Long EC US N 1 N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 730000.00000000 NC -32680.30000000 -0.00388268600 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2030-03-18 0.00000000 EUR -23305.58000000 EUR -730000.00000000 EUR -9374.72000000 N N N EOG RESOURCES, INC. XWTZDRYZPBUHIQBKDB46 26875P101 2521.00000000 NS USD 90554.32000000 0.010758591299 Long EC US N 1 N N N THE CHARLES SCHWAB CORPORATION 549300VSGCJ7E698NM85 808513105 4852.00000000 NS USD 163124.24000000 0.019380489292 Long EC US N 1 N N N TEGNA INC. 549300YC5EDBGX85AO10 87901JAE5 1050000.00000000 PA USD 922687.50000000 0.109622795570 Long DBT CORP US Y 2 2028-03-15 Fixed 4.62500000 N N N N N N EURO N/A N/A 1.00000000 NC 33662.47000000 0.003999375809 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 3682982.23000000 USD 3385321.10000000 EUR 2020-04-17 33662.47000000 N N N Republic of Kazakhstan 5493007OEK8EF02UO833 N/A 1300000.00000000 PA USD 1398020.00000000 0.166096170874 Long DBT NUSS KZ N 2 2025-07-21 Fixed 5.12500000 N N N N N N Government National Mortgage Association N/A 38381Y7J7 3752205.12000000 PA USD 526148.84000000 0.062510770685 Long DBT USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N GENUINE PARTS COMPANY 549300D46DQVEU651W04 372460105 649.00000000 NS USD 43697.17000000 0.005191579959 Long EC US N 1 N N N VENTAS, INC. ORQTRC074CWLT3DKHT41 92276F100 1615.00000000 NS USD 43282.00000000 0.005142254379 Long EC US N 1 N N N DUPONT DE NEMOURS, INC. 5493004JF0SDFLM8GD76 26614N102 3284.00000000 NS USD 111984.40000000 0.013304659473 Long EC US N 1 N N N CONSTELLATION BRANDS, INC. 5493005GKEG8QCVY7037 21036PBE7 600000.00000000 PA USD 557276.47000000 0.066208986842 Long DBT CORP US N 2 2029-08-01 Fixed 3.15000000 N N N N N N KIMCO REALTY CORPORATION 549300EA7I6T15IBYS12 49446R109 1773.00000000 NS USD 17144.91000000 0.002036955051 Long EC US N 1 N N N THE J. M. SMUCKER COMPANY 5493000WDH6A0LHDJD55 832696405 524.00000000 NS USD 58164.00000000 0.006910357278 Long EC US N 1 N N N PPL CORPORATION 9N3UAJSNOUXFKQLF3V18 69351T106 3145.00000000 NS USD 77618.60000000 0.009221722327 Long EC US N 1 N N N ALBANY MOLECULAR (AMRI) 1L TL CL N/A 01242HAJ7 736809.45000000 PA USD 635269.74000000 0.075475223020 Long LON XX N 2 2024-08-30 Floating 4.85337960 N N N N N N NISOURCE INC. 549300D8GOWWH0SJB189 65473P105 1591.00000000 NS USD 39727.27000000 0.004719923482 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 900000.00000000 NC 3241.74000000 0.000385145134 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2025-01-02 0.00000000 BRL -194.42000000 BRL -900000.00000000 BRL 3436.16000000 N N N MARATHON OIL CORPORATION 1FRVQX2CRLGC1XLP5727 565849106 3620.00000000 NS USD 11909.80000000 0.001414981313 Long EC US N 1 N N N INTERNATIONAL FLAVORS & FRAGRANCES INC. BZLRL03D3GPGMOGFO832 459506101 445.00000000 NS USD 45425.60000000 0.005396931531 Long EC US N 1 N N N LAS VEGAS SANDS CORP. 549300DUOO1KXOHPM605 517834107 1399.00000000 NS USD 59415.53000000 0.007059049243 Long EC US N 1 N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 500000.00000000 NC -48051.58000000 -0.00570891935 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2040-03-18 0.00000000 EUR -27741.73000000 EUR -500000.00000000 EUR -20309.85000000 N N N Provincia de Buenos Aires 549300L6AYROPOTQ4L07 744080AK8 550000.00000000 PA USD 143000.00000000 0.016989565553 Long DBT NUSS AR Y 2 2024-03-16 Fixed 9.12500000 N N N N N N LAMB WESTON HOLDINGS, INC. 5493005SMYID1D2OY946 513272104 600.00000000 NS USD 34260.00000000 0.004070367243 Long EC US N 1 N N N HCA HEALTHCARE, INC. 529900PH4ZGUH2MNEU89 40412C101 1174.00000000 NS USD 105483.90000000 0.012532347090 Long EC US N 1 N N N MONSTER BEVERAGE CORPORATION 52990090AP0E7HCB6F33 61174X109 1621.00000000 NS USD 91197.46000000 0.010835001573 Long EC US N 1 N N N COUNTRY GARDEN HOLDINGS COMPANY LIMITED 549300MGHLPT1EFHGF84 G24524AH6 500000.00000000 PA USD 501300.00000000 0.059558525957 Long DBT NUSS KY N 2 2021-04-04 Fixed 7.25000000 N N N N N N ESSEX PROPERTY TRUST, INC. 549300TR2H2VEFX0NC60 297178105 294.00000000 NS USD 64750.56000000 0.007692894291 Long EC US N 1 N N N Deutsche Bank AG (New York Branch) N/A 251526BN8 1200000.00000000 PA USD 984000.00000000 0.116907220312 Long DBT CORP DE N 2 2032-12-01 Fixed 4.87500000 N N N N N N WALGREENS BOOTS ALLIANCE, INC. 549300RPTUOIXG4LIH86 931427108 3225.00000000 NS USD 147543.75000000 0.017529400088 Long EC US N 1 N N N HOLLYFRONTIER CORPORATION 549300J3U2WK73C9ZK26 436106108 665.00000000 NS USD 16299.15000000 0.001936471869 Long EC US N 1 N N N MARATHON CLO LTD. N/A 565764AN7 750000.00000000 PA USD 267.75000000 0.000031810882 Long ABS-CBDO CORP KY N 3 2019-12-20 Variable 0.00000000 N N N N N N DIGITAL REALTY TRUST, INC. 549300HKCZ31D08NEI41 253868103 1123.00000000 NS USD 155995.93000000 0.018533587963 Long EC US N 1 N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023CA1 375000.00000000 PA USD 325629.21000000 0.038687404261 Long DBT CORP US N 2 2028-11-01 Fixed 3.45000000 N N N N N N Government National Mortgage Association 2 N/A 21H022648 1000000.00000000 PA USD 1045078.13000000 0.124163799987 Long DBT USGA XX N 2 2048-04-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38379VUJ1 1085004.08470000 PA USD 98451.75000000 0.011696870353 Long DBT USGA US N 2 2045-06-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association N/A 3140HXEV8 360000.00000000 PA USD 389325.38000000 0.046255028427 Long DBT USGA US N 2 2035-01-01 Fixed 2.68000000 N N N N N N FEDEX CORPORATION 549300E707U7WNPZN687 31428X106 1040.00000000 NS USD 126110.40000000 0.014982943411 Long EC US N 1 N N N AIA Group Limited ZP5ILWVSYE4LJGMMVD57 00131LAF2 475000.00000000 PA USD 499581.25000000 0.059354324448 Long DBT NUSS HK Y 2 2028-04-06 Fixed 3.90000000 N N N N N N NRG ENERGY, INC. 5E2UPK5SW04M13XY7I38 629377508 1209.00000000 NS USD 32957.34000000 0.003915600618 Long EC US N 1 N N N Republica de Angola 549300QHR2R3J8JSGK83 035198AC4 200000.00000000 PA USD 78000.00000000 0.009267035756 Long DBT NUSS AO Y 2 2048-05-08 Fixed 9.37500000 N N N N N N ALLEGION PUBLIC LIMITED COMPANY N/A G0176J109 415.00000000 NS USD 38188.30000000 0.004537081302 Long EC IE N 1 N N N BROADRIDGE FINANCIAL SOLUTIONS, INC. N/A 11133T103 466.00000000 NS USD 44190.78000000 0.005250224850 Long EC US N 1 N N N BLACKSTONE CQP HOLDCO LP N/A 09259HAB7 995000.00000000 PA USD 774110.00000000 0.091970577556 Long LON XX N 2 2024-09-30 Floating 4.61575080 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3101.61000000 -0.00036849654 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 33200000.00000000 MXN 1408665.24000000 USD 2020-04-17 -3101.61000000 N N N U.S. BANCORP N1GZ7BBF3NP8GI976H15 902973304 6056.00000000 NS USD 208629.20000000 0.024786849438 Long EC US N 1 N N N GO DADDY OPERATING COMPANY, LLC 5493005GJOH8HLL11157 38016LAA3 260000.00000000 PA USD 262392.00000000 0.031174308284 Long DBT CORP US Y 2 2027-12-01 Fixed 5.25000000 N N N N N N Emirate of Abu Dhabi 213800FER4348CINTA77 29135LAB6 1180000.00000000 PA USD 1277118.72000000 0.151732113377 Long DBT NUSS AE Y 2 2047-10-11 Fixed 4.12500000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HP8 1250000.00000000 PA USD 363762.50000000 0.043217949927 Long DBT NUSS AR N 2 2023-01-11 Fixed 4.62500000 N N N N N N GLOBAL PAYMENTS INC. 549300NOMHGVQBX6S778 37940XAB8 225000.00000000 PA USD 214718.57000000 0.025510316227 Long DBT CORP US N 2 2029-08-15 Fixed 3.20000000 N N N N N N TELECOM ARGENTINA SOCIEDAD ANONIMA 549300MKPIRSJD8SB782 12686NAT2 140000.00000000 PA USD 117776.40000000 0.013992796282 Long DBT NUSS AR Y 2 2021-06-15 Fixed 6.50000000 N N N N N N NEXTERA ENERGY, INC. N/A 65339F101 2125.00000000 NS USD 511317.50000000 0.060748686607 Long EC US N 1 N N N TIFFANY & CO. 549300EJG9IEYQL5XT21 886547108 459.00000000 NS USD 59440.50000000 0.007062015883 Long EC US N 1 N N N MONTAGE RESOURCES CORPORATION 54930070862I62NN3X72 27890GAB6 1600000.00000000 PA USD 1080000.00000000 0.128312802781 Long DBT CORP US N 2 2023-07-15 Fixed 8.87500000 N N N N N N DELL INTERNATIONAL L.L.C. N/A 25272KAG8 525000.00000000 PA USD 539516.69000000 0.064098980223 Long DBT CORP US Y 2 2023-06-15 Fixed 5.45000000 N N N N N N BAKER HUGHES COMPANY N/A 05722G100 2960.00000000 NS USD 31080.00000000 0.003692557324 Long EC US N 1 N N N ADVANCED MICRO DEVICES, INC. R2I72C950HOYXII45366 007903107 4908.00000000 NS USD 223215.84000000 0.026519861162 Long EC US N 1 N N N N/A N/A BGH4R5AF3 13812.07000000 NS USD 0.01000000 0.000000001188 Long EC US N 3 N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040Q104 1793.00000000 NS USD 82083.54000000 0.009752193592 Long EC US N 1 N N N JACKSON MILL CLO LTD. N/A 468367AQ0 1250000.00000000 PA USD 982875.00000000 0.116773561142 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 4.63124880 N N N N N N CMS ENERGY CORPORATION 549300IA9XFBAGNIBW29 125896100 1278.00000000 NS USD 75082.50000000 0.008920412976 Long EC US N 1 N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CS8 200000.00000000 PA USD 194235.82000000 0.023076798578 Long DBT CORP US N 2 2030-04-01 Fixed 2.60000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 200000.00000000 PA 172855.37000000 0.020536626852 Long DBT NUSS EG Y 2 2031-04-11 Fixed 6.37500000 N N N N N N BOYD GAMING CORPORATION 254900787YGRYS2A1Z35 103304BR1 1200000.00000000 PA USD 990000.00000000 0.117620069216 Long DBT CORP US Y 2 2027-12-01 Fixed 4.75000000 N N N N N N NEWS CORPORATION 549300ITS31QK8VRBQ14 65249B208 450.00000000 NS USD 4045.50000000 0.000480638373 Long EC US N 1 N N N C.H. ROBINSON WORLDWIDE, INC. 529900WNWN5L0OVDHA79 12541W209 578.00000000 NS USD 38263.60000000 0.004546027556 Long EC US N 1 N N N ROLLINS, INC. 549300F2A0BXT4SGWD84 775711104 630.00000000 NS USD 22768.20000000 0.002705047737 Long EC US N 1 N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023BM6 940000.00000000 PA USD 917678.79000000 0.109027719998 Long DBT CORP US N 2 2020-10-30 Fixed 1.65000000 N N N N N N DOLLAR GENERAL CORPORATION OPX52SQVOZI8IVSWYU66 256677105 1081.00000000 NS USD 163241.81000000 0.019394457566 Long EC US N 1 N N N Evergy, Inc. 549300PGTHDQY6PSUI61 30034W106 984.00000000 NS USD 54169.20000000 0.006435742478 Long EC US N 1 N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 699149AD2 570000.00000000 PA USD 570005.70000000 0.067721323118 Long DBT NUSS PY Y 2 2027-03-27 Fixed 4.70000000 N N N N N N GILEAD SCIENCES, INC. 549300WTZWR07K8MNV44 375558103 5432.00000000 NS USD 406096.32000000 0.048247552794 Long EC US N 1 N N N United States of America N/A N/A 71.00000000 NC USD 8900515.63000000 1.057453802487 N/A DIR US N 1 CITICORP SECURITY SERVICES INC. N/A Long U.S. Treasury Futures US 5-Year Note (consolidated) Jun 2020 2020-07-03 8874901.17000000 USD 25614.46000000 N N N SYNOPSYS, INC. QG7T915N9S0NY5UKNE63 871607107 667.00000000 NS USD 85902.93000000 0.010205968255 Long EC US N 1 N N N AGILENT TECHNOLOGIES, INC. QUIX8Y7A2WP0XRMW7G29 00846U101 1296.00000000 NS USD 92819.52000000 0.011027715522 Long EC US N 1 N N N CROSBY US ACQUISITION CORP. N/A N/A 1019875.00000000 PA USD 801876.72000000 0.095269490211 Long LON XX N 2 2026-06-26 Floating 5.74999920 N N N N N N Petroleos de Venezuela, S.A. 549300YWR8TN1OFD4P06 P7807HAR6 1110000.00000000 PA USD 66600.00000000 0.007912622838 Long DBT NUSS XX N 2 2026-11-15 Fixed 6.00000000 Y N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 721000.00000000 PA USD 129924.20000000 0.015436053936 Long DBT NUSS LB N 2 2029-05-25 Fixed 6.85000000 Y N N N N N DISCOVERY, INC. 5493006ZCRFWKF6B1K26 25470F104 684.00000000 NS USD 13296.96000000 0.001579787227 Long EC US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JW55 360000.00000000 PA USD 289732.32000000 0.034422561144 Long DBT NUSS EG Y 2 2048-02-21 Fixed 7.90300000 N N N N N N NETFLIX, INC. 549300Y7VHGU0I7CE873 64110LAS5 800000.00000000 PA USD 824000.00000000 0.097897916196 Long DBT CORP US N 2 2028-04-15 Fixed 4.87500000 N N N N N N APPLIED MATERIALS, INC. 41BNNE1AFPNAZELZ6K07 038222105 4068.00000000 NS USD 186395.76000000 0.022145335548 Long EC US N 1 N N N BOMBARDIER INC. W7L3VLU8EHQY34Z36697 097751BF7 2050000.00000000 PA USD 1445250.00000000 0.171707479833 Long DBT NUSS CA Y 2 2023-01-15 Fixed 6.12500000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 250000.00000000 PA USD 220153.72000000 0.026156056348 Long DBT CORP US N 2 2029-02-15 Fixed 4.80000000 N N N N N N ALASKA AIR GROUP, INC. 529900G48RT4KWLC6C27 011659109 494.00000000 NS USD 14064.18000000 0.001670939217 Long EC US N 1 N N N MATCH GROUP, INC. 549300BIJKT86CPCKK96 57665RAL0 691000.00000000 PA USD 617581.25000000 0.073373686234 Long DBT CORP US Y 2 2030-08-01 Fixed 4.12500000 N N N N N N Mexico City Airport Trust N/A 59284MAA2 210000.00000000 PA USD 187425.00000000 0.022267617649 Long DBT NUSS MX Y 2 2026-10-31 Fixed 4.25000000 N N N N N N Amentum/Aecom Maverick 1/20 Cov-Lite TLB N/A N/A 550000.00000000 PA USD 506000.00000000 0.060116924266 Long LON XX N 2 2027-01-29 Floating 5.76237960 N N N N N N TRANSDIGM GROUP INCORPORATED N/A 893641100 216.00000000 NS USD 69161.04000000 0.008216895264 Long EC US N 1 N N N BRK: CITIBANK, NA N/A N/A 2020000.00000000 NC -23075.62000000 -0.00274157173 N/A DIR XX N 2 BRK: CITIBANK, NA N/A Y 2025-03-18 28986.54000000 EUR 0.00000000 EUR -2020000.00000000 EUR -52062.16000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 84011.89000000 0.009981297289 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1232496.75000000 CAD 950000.00000000 USD 2020-04-06 84011.89000000 N N N WASTE MANAGEMENT, INC. 549300YX8JIID70NFS41 94106LBH1 475000.00000000 PA USD 494243.19000000 0.058720119411 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N BRK: MORGAN STANLEY N/A N/A 4500000.00000000 NC -44960.37000000 -0.00534165841 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2023-01-02 0.00000000 BRL 0.00000000 BRL -4500000.00000000 BRL -44960.37000000 N N N LIVE NATION ENTERTAINMENT, INC. 5493007B9BM9ZXJINO78 538034109 626.00000000 NS USD 28457.96000000 0.003381037600 Long EC US N 1 N N N Romania 259400VHILGGKLBNL383 N/A 90000.00000000 PA 88067.02000000 0.010463079785 Long DBT NUSS RO Y 2 2050-01-28 Fixed 3.37500000 N N N N N N Government National Mortgage Association N/A 38379EWA6 773013.78000000 PA USD 127336.32000000 0.015128592699 Long DBT USGA US N 2 2044-08-20 Floating 4.82712120 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XCF1 950000.00000000 PA USD 861873.60000000 0.102397608573 Long DBT CORP US N 2 2023-01-05 Fixed 3.25000000 N N N N N N CONOCOPHILLIPS WPTL2Z3FIYTHSP5V2253 20825C104 4653.00000000 NS USD 143312.40000000 0.017026681219 Long EC US N 1 N N N WATERS CORPORATION 5T547R1474YC9HOD8Q74 941848103 267.00000000 NS USD 48607.35000000 0.005774949365 Long EC US N 1 N N N BECTON, DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 075887BV0 1050000.00000000 PA USD 1049607.85000000 0.124701967643 Long DBT CORP US N 2 2024-06-06 Fixed 3.36300000 N N N N N N CASTLE US HOLDING CORPORATION N/A 14852LAA1 839000.00000000 PA USD 797050.00000000 0.094696036534 Long DBT CORP US Y 2 2028-02-15 Fixed 9.50000000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBW8 4575000.00000000 PA USD 4593793.00000000 0.545780051137 Long DBT CORP US Y 2 2029-11-21 Fixed 3.20000000 N N N N N N Government National Mortgage Association N/A 38380TZK5 1966480.71000000 PA USD 254716.48000000 0.030262393947 Long DBT USGA US N 2 2047-07-20 Floating 4.88711880 N N N N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 893647BJ5 590000.00000000 PA USD 529525.00000000 0.062911886011 Long DBT CORP US Y 2 2027-11-15 Fixed 5.50000000 N N N N N N CSC HOLDINGS, LLC 3HG2WD2W22M120IUNG49 126307AZ0 2370000.00000000 PA USD 2556021.30000000 0.303676163863 Long DBT CORP US Y 2 2029-02-01 Fixed 6.50000000 N N N N N N VIPER ENERGY PARTNERS LP 5299009LINL232255G03 92763MAA3 220000.00000000 PA USD 184800.00000000 0.021955746253 Long DBT CORP US Y 2 2027-11-01 Fixed 5.37500000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAT8 210000.00000000 PA USD 216520.82000000 0.025724438217 Long DBT NUSS DK Y 2 2024-01-12 Fixed 5.37500000 N N N N N N HENRY SCHEIN, INC. VGO3WGL8H45T73F4RR92 806407102 634.00000000 NS USD 32029.68000000 0.003805387049 Long EC US N 1 N N N N/A N/A N/A -96.00000000 NC USD -23931600.00000000 -2.84326913985 N/A DIR US N 1 RJ O'BRIEN N/A Short Interest Rate Futures 3M -- 90 Day EuroDollar Future (Consolidated) Mar 2021 2021-03-16 -23902085.90000000 USD -29514.10000000 N N N Schlumberger N.V. 213800ZUA17OK3QLGM62 806857108 6027.00000000 NS USD 81304.23000000 0.009659605212 Long EC CW N 1 N N N DARDEN RESTAURANTS, INC. CY1NFSCCB5GUXC7WZC70 237194105 545.00000000 NS USD 29680.70000000 0.003526309079 Long EC US N 1 N N N Republique de Cote d'Ivoire 254900ICW11T82O6H590 AR7769417 320000.00000000 PA 296520.62000000 0.035229066513 Long DBT CORP XX Y 2 2048-03-22 Fixed 6.62500000 N N N N N N YAPI VE KREDI BANKASI ANONIM SIRKETI B85ZYWEZ5IZCZ2WNIO12 AW5744700 480000.00000000 PA USD 471600.00000000 0.056029923881 Long DBT NUSS TR N 2 2168-07-15 Fixed 13.87500000 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAB7 140000.00000000 PA USD 120915.02000000 0.014365689920 Long DBT NUSS KY Y 2 2023-10-01 Fixed 5.12500000 N N N N N N BANCO MERCANTIL DEL NORTE S.A. N/A 05962GAJ8 200000.00000000 PA USD 152500.00000000 0.018118242985 Long DBT NUSS MX Y 2 2168-10-06 Fixed 7.62500000 N N N N N N NCL CORPORATION LTD. UNZWILHE4KMRP9K2L524 62886HAP6 610000.00000000 PA USD 389058.00000000 0.046223261504 Long DBT NUSS BM Y 2 2024-12-15 Fixed 3.62500000 N N N N N N EATON CORPORATION PUBLIC LIMITED COMPANY 549300VDIGTMXUNT7H71 G29183103 1748.00000000 NS USD 135802.12000000 0.016134398741 Long EC IE N 1 N N N Open Text Corporation 549300HP7ONDQODZJV16 683715AC0 220000.00000000 PA USD 206800.00000000 0.024569525569 Long DBT NUSS CA Y 2 2028-02-15 Fixed 3.87500000 N N N N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 699149AH3 320000.00000000 PA USD 320003.20000000 0.038018988417 Long DBT NUSS PY Y 2 2050-03-30 Fixed 5.40000000 N N N N N N Government National Mortgage Association N/A 38378WUZ4 272118.78000000 PA USD 42600.33000000 0.005061266427 Long DBT USGA US N 2 2043-08-20 Floating 5.27712120 N N N N N N N/A N/A 02156TAB0 350000.00000000 PA USD 369250.00000000 0.043869909654 Long DBT NUSS LU N 2 2027-05-15 Fixed 10.50000000 N N N N N N ALBERTSONS COMPANIES, INC. 549300YKWOC0AOR16R51 013092AC5 1150000.00000000 PA USD 1144250.00000000 0.135946226465 Long DBT CORP US Y 2 2027-01-15 Fixed 4.62500000 N N N N N N ANTERO MIDSTREAM PARTNERS LP 529900HFO1BDEIT4QU11 03690AAC0 1060000.00000000 PA USD 736382.00000000 0.087488183646 Long DBT CORP US N 2 2024-09-15 Fixed 5.37500000 N N N N N N VALERO ENERGY CORPORATION 549300XTO5VR8SKV1V74 91913Y100 1800.00000000 NS USD 81648.00000000 0.009700447890 Long EC US N 1 N N N CROWN CASTLE INTERNATIONAL CORP. 54930012H97VSM0I2R19 22822V101 1775.00000000 NS USD 256310.00000000 0.030451717111 Long EC US N 1 N N N GE CAPITAL INTERNATIONAL FUNDING COMPANY UNLIMITED COMPANY 549300G6UZOB126GBY72 36164Q6M5 400000.00000000 PA USD 398005.78000000 0.047286330699 Long DBT NUSS IE N 2 2025-11-15 Fixed 3.37300000 N N N N N N CHARTER COMMUNICATIONS OPERATING, LLC 549300TPZNMN50BJ3745 161175AY0 3200000.00000000 PA USD 3397099.01000000 0.403603051203 Long DBT CORP US N 2 2025-07-23 Fixed 4.90800000 N N N N N N Republica de El Salvador 529900AKDMUSFSDOM949 P01012AS5 30000.00000000 PA USD 26325.00000000 0.003127624567 Long DBT NUSS SV N 2 2025-01-30 Fixed 5.87500000 N N N N N N Republica del Ecuador 5299003Y2U5XK0A35H71 AP6418317 1500000.00000000 PA USD 376890.00000000 0.044777603926 Long DBT NUSS EC Y 2 2027-10-23 Fixed 8.87500000 N N N N N N S&P GLOBAL INC. Y6X4K52KMJMZE7I7MY94 78409V104 1044.00000000 NS USD 255832.20000000 0.030394950577 Long EC US N 1 N N N Government National Mortgage Association N/A 38381YXM1 1842682.28200000 PA USD 267706.72000000 0.031805740339 Long DBT USGA US N 2 2049-09-20 Floating 4.45299840 N N N N N N Republica de Guatemala 529900QKDFFU9UWW5315 P5015VAD8 500000.00000000 PA USD 501250.00000000 0.059552585550 Long DBT NUSS GT N 2 2022-06-06 Fixed 5.75000000 N N N N N N USA COMPRESSION PARTNERS, LP N/A 91740PAC2 1175000.00000000 PA USD 734375.00000000 0.087249735687 Long DBT CORP US N 2 2026-04-01 Fixed 6.87500000 N N N N N N NRG ENERGY, INC. 5E2UPK5SW04M13XY7I38 629377CA8 1070000.00000000 PA USD 1120825.00000000 0.133163145534 Long DBT CORP US N 2 2026-05-15 Fixed 7.25000000 N N N N N N OTIS WORLDWIDE CORPORATION 549300ZLBKR8VSU25153 68902VAF4 1425000.00000000 PA USD 1384953.61000000 0.164543777242 Long DBT CORP US Y 2 2030-02-15 Fixed 2.56500000 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441C204 3195.00000000 NS USD 258411.60000000 0.030701404321 Long EC US N 1 N N N B. RILEY FINANCIAL, INC. N/A 05580M801 11475.00000000 NS USD 210681.00000000 0.025030620002 Long EP US N 2 N N N HEWLETT PACKARD ENTERPRISE COMPANY 549300BX44RGX6ANDV88 42824CAW9 1865000.00000000 PA USD 1963640.86000000 0.233296539262 Long DBT CORP US N 2 2025-10-15 Fixed 4.90000000 N N N N N N CELANESE CORPORATION 549300FHJQTDPPN41627 150870103 481.00000000 NS USD 35300.59000000 0.004193997817 Long EC US N 1 N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XCS3 175000.00000000 PA USD 151800.60000000 0.018035148564 Long DBT CORP US N 2 2029-01-17 Fixed 5.65000000 N N N N N N FISERV, INC. GI7UBEJLXYLGR2C7GV83 337738AS7 1175000.00000000 PA USD 1179468.37000000 0.140130455876 Long DBT CORP US N 2 2024-07-01 Fixed 2.75000000 N N N N N N CarMax, Inc. 529900F60CID3NCZM330 143130102 740.00000000 NS USD 39834.20000000 0.004732627637 Long EC US N 1 N N N BRAZIL MINAS SPE N/A G13201AA9 160000.00000000 PA USD 160481.60000000 0.019066522121 Long DBT NUSS KY N 2 2028-02-15 Fixed 5.33300000 N N N N N N LIONS GATE CAPITAL HOLDINGS LLC 549300MWJHNLR35C0837 53627NAA9 750000.00000000 PA USD 641250.00000000 0.076185726651 Long DBT CORP US Y 2 2024-11-01 Fixed 5.87500000 N N N N N N DIAMONDBACK ENERGY, INC. 549300R22LSX6OHWEN64 25278X109 700.00000000 NS USD 18340.00000000 0.002178941484 Long EC US N 1 N N N O'Reilly Automotive, Inc. 549300K2RLMQL149Q332 67103H107 322.00000000 NS USD 96938.10000000 0.011517036395 Long EC US N 1 N N N DXC TECHNOLOGY COMPANY 549300DOVZ3EDJB7O259 23355L106 1199.00000000 NS USD 15646.95000000 0.001858985193 Long EC US N 1 N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SAY2 920000.00000000 PA USD 579550.22000000 0.068855289889 Long DBT NUSS LK Y 2 2024-03-14 Fixed 6.85000000 N N N N N N AI AQUA MERGER SUB, INC. N/A 23301YAE3 595000.00000000 PA USD 505750.00000000 0.060087222228 Long LON XX N 2 2023-12-13 Floating 4.85337960 N N N N N N NOBLE ENERGY, INC. 02VFQXG2D1LR5ZH3K186 655044AQ8 450000.00000000 PA USD 262946.97000000 0.031240243244 Long DBT CORP US N 2 2029-10-15 Fixed 3.25000000 N N N N N N CSWF TRUST N/A 12653BAL4 1174472.73460000 PA USD 943690.02000000 0.112118066132 Long ABS-MBS US N 2 2035-08-15 Floating 3.45849840 N N N N N N MERCK & CO., INC. 4YV9Y5M8S0BRK1RP0397 58933Y105 10968.00000000 NS USD 843877.92000000 0.100259575111 Long EC US N 1 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJA8 700000.00000000 PA USD 801279.95000000 0.095198589071 Long DBT CORP US N 2 2051-03-20 Fixed 4.08300000 N N N N N N CONSTELLATION BRANDS, INC. 5493005GKEG8QCVY7037 21036PBB3 325000.00000000 PA USD 327805.67000000 0.038945985449 Long DBT CORP US N 2 2025-11-15 Fixed 4.40000000 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166104 3303.00000000 NS USD 55985.85000000 0.006651575305 Long EC US N 1 N N N JANE STREET GROUP, LLC N/A N/A 754271.36000000 PA USD 671301.51000000 0.079756090981 Long LON XX N 2 2025-01-31 Floating 4.61324880 N N N N N N THE HARTFORD FINANCIAL SERVICES GROUP, INC. IU7C3FTM7Y3BQM112U94 416515104 1603.00000000 NS USD 56489.72000000 0.006711439168 Long EC US N 1 N N N Petroleos de Venezuela, S.A. 549300YWR8TN1OFD4P06 P7807HAT2 3790000.00000000 PA USD 227400.00000000 0.027016973474 Long DBT NUSS XX N 2 2024-05-16 Fixed 6.00000000 Y N N N N N INTERNATIONAL PAPER COMPANY 824LMFJDH41EY779Q875 460146103 1792.00000000 NS USD 55784.96000000 0.006627707935 Long EC US N 1 N N N Joint Stock Company KazTransGas 635400YGLXBBSVHONW39 48668NAA9 1190000.00000000 PA USD 1066787.40000000 0.126743038209 Long DBT NUSS KZ Y 2 2027-09-26 Fixed 4.37500000 N N N N N N SIRIUS XM RADIO INC. WP5O65E6BMU84LNO4227 82967NBE7 120000.00000000 PA USD 121791.60000000 0.014469834769 Long DBT CORP US Y 2 2024-07-15 Fixed 4.62500000 N N N N N N Republica del Ecuador 5299003Y2U5XK0A35H71 N/A 400000.00000000 PA USD 108000.00000000 0.012831280278 Long DBT NUSS EC N 2 2027-06-02 Fixed 9.62500000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAB1 300000.00000000 PA USD 311643.48000000 0.037025785543 Long DBT CORP US Y 2 2024-01-25 Fixed 4.03000000 N N N N N N CSMC N/A 12597HAC0 1440000.00000000 PA USD 1331030.16000000 0.158137231867 Long ABS-MBS XX N 2 2021-12-15 Floating 8.74000080 N N N N N N Romania 259400VHILGGKLBNL383 77586RAF7 200000.00000000 PA USD 206000.00000000 0.024474479049 Long DBT NUSS RO Y 2 2048-06-15 Fixed 5.12500000 N N N N N N Government National Mortgage Association N/A 38381AQL3 1298375.49000000 PA USD 181200.89000000 0.021528142650 Long DBT USGA US N 2 2048-10-20 Floating 5.37711840 N N N N N N EBAY INC. OML71K8X303XQONU6T67 278642103 3387.00000000 NS USD 101813.22000000 0.012096240387 Long EC US N 1 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCQ3 380000.00000000 PA USD 281200.00000000 0.033408851983 Long DBT NUSS MX Y 2 2027-01-23 Fixed 6.49000000 N N N N N N United States of America N/A N/A 49.00000000 NC USD 10871875.00000000 1.291667363649 N/A DIR US N 1 J.P. MC GOWAN & COMPANY INC. N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Jun 2020 2020-06-22 10316393.59000000 USD 555481.41000000 N N N MOBILE MINI, INC. 529900IYC4GQUZJ42W95 60740FAM7 50000.00000000 PA USD 47875.00000000 0.005687940215 Long DBT CORP US N 2 2024-07-01 Fixed 5.87500000 N N N N N N Federal National Mortgage Association N/A 3136B8EJ4 577229.39400000 PA USD 77635.97000000 0.009223786025 Long DBT USGA US N 2 2050-01-25 Floating 4.37325120 N N N N N N SBA Communications Corporation 5299001HX8ZN8Y8QIT49 78410G104 475.00000000 NS USD 128235.75000000 0.015235452314 Long EC US N 1 N N N CDK GLOBAL, INC. 5493000L10CYRTHIJ385 12508EAJ0 480000.00000000 PA USD 489600.00000000 0.058168470594 Long DBT CORP US Y 2 2029-05-15 Fixed 5.25000000 N N N N N N CHARTER COMMUNICATIONS, INC. 0J0XRGZE3PBRFEZ7MV65 16119P108 679.00000000 NS USD 296254.49000000 0.035197448100 Long EC US N 1 N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 P3579ECF2 550000.00000000 PA USD 478500.00000000 0.056849700121 Long DBT NUSS DO N 2 2030-01-30 Fixed 4.50000000 N N N N N N METTLER-TOLEDO INTERNATIONAL INC. 5493000BD5GJNUDIUG10 592688105 101.00000000 NS USD 69741.51000000 0.008285859831 Long EC US N 1 N N N VARIAN MEDICAL SYSTEMS, INC. TK3LAKL7I0QNTCVWSY07 92220P105 372.00000000 NS USD 38189.52000000 0.004537226248 Long EC US N 1 N N N IHS MARKIT LTD. 549300HLPTRASHS0E726 44962LAF4 700000.00000000 PA USD 732592.00000000 0.087037900754 Long DBT NUSS BM N 2 2028-08-01 Fixed 4.75000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AP3 1196000.00000000 PA USD 1224718.02000000 0.145506483114 Long DBT NUSS CH Y 2 2031-04-01 Fixed 4.19400000 N N N N N N NEWELL BRANDS INC. 549300LWGYFM1TVO1Z12 651229AW6 704000.00000000 PA USD 691185.49000000 0.082118469873 Long DBT CORP US N 2 2026-04-01 Fixed 4.20000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BZ1 700000.00000000 PA USD 719973.94000000 0.085538772380 Long DBT NUSS GB N 2 2025-03-11 Fixed 3.80300000 N N N N N N CONTINENTAL RESOURCES, INC. XXRTID9RYWOZ0UPIVR53 212015AL5 650000.00000000 PA USD 360986.35000000 0.042888120679 Long DBT CORP US N 2 2023-04-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 38380YR23 1300000.33000000 PA USD 174286.88000000 0.020706701908 Long DBT USGA US N 2 2048-09-20 Floating 5.42711880 N N N N N N DCP MIDSTREAM OPERATING, LP 549300Y6CTBSE0QIPL28 23311RAA4 770000.00000000 PA USD 415800.00000000 0.049400429070 Long DBT CORP US Y 2 2037-09-15 Fixed 6.75000000 N N N N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 25714PDZ8 1300000.00000000 PA USD 1222013.00000000 0.145185104690 Long DBT NUSS DO Y 2 2028-07-19 Fixed 6.00000000 N N N N N N FLATIRON CLO LTD N/A 33882GAA6 500000.00000000 PA USD 487672.50000000 0.057939467883 Long ABS-CBDO CORP KY N 2 2030-05-15 Floating 2.94175080 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967KU4 1450000.00000000 PA USD 1483714.68000000 0.176277397332 Long DBT CORP US N 2 2028-07-25 Fixed 4.12500000 N N N N N N BRK: MORGAN STANLEY N/A N/A 202525000.00000000 NC -252.85000000 -0.00003004064 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2021-03-27 0.00000000 MXN -1072.27000000 MXN -202525000.00000000 MXN 819.42000000 N N N N/A N/A 02156TAB0 830000.00000000 PA USD 875650.00000000 0.104034357181 Long DBT NUSS LU N 2 2027-05-15 Fixed 10.50000000 N N N N N N N/A N/A CDS860222 3466000.00000000 NC USD 215925.05000000 0.025653655885 N/A DCR XX N 2 BRK: BNP PARIBAS N/A Y 2024-12-20 199179.47000000 USD 0.00000000 USD 3466000.00000000 USD 16745.58000000 N N N Federal National Mortgage Association N/A 3136ATA61 1134413.64000000 PA USD 206710.13000000 0.024558848281 Long DBT USGA US N 2 2046-10-25 Floating 5.15337120 N N N N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123CT5 560000.00000000 PA USD 533400.00000000 0.063372267596 Long DBT NUSS TR N 2 2029-04-26 Fixed 7.62500000 N N N N N N MORGAN STANLEY RE-REMIC TRUST N/A 61759HBA4 394260.03450000 PA USD 311085.24000000 0.036959462081 Long ABS-MBS US N 2 2036-06-26 Floating 3.55519080 N N N N N N THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY 2138005O9XJIJN4JPN90 780099CK1 750000.00000000 PA USD 700785.00000000 0.083258969904 Long DBT NUSS GB N 2 2168-09-30 Fixed 8.00000000 N N N Y Y THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY GBP XXXX N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 180000.00000000 PA 172816.75000000 0.020532038481 Long DBT NUSS ID N 2 2027-02-14 Fixed 0.90000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BEF9 900000.00000000 PA USD 962921.47000000 0.114402919142 Long DBT CORP US N 2 2027-01-20 Fixed 3.62500000 N N N N N N Azarbayjan Respublikasi 549300P74FF45UQVU281 N/A 160000.00000000 PA USD 134781.12000000 0.016013095619 Long DBT NUSS AZ Y 2 2032-09-01 Fixed 3.50000000 N N N N N N ENDEAVOR ENERGY RESOURCES, L.P. 549300WY5QI80P9WHD46 29260FAD2 630000.00000000 PA USD 434832.30000000 0.051661621437 Long DBT CORP US Y 2 2026-01-30 Fixed 5.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CF4 226000.00000000 PA USD 246791.62000000 0.029320855986 Long DBT CORP US N 2 2030-03-31 Fixed 4.95000000 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 N/A 490000.00000000 PA 510365.19000000 0.060635544417 Long DBT NUSS FR N 2 2168-06-23 Fixed 6.50000000 N N N N N N Freddie Mac N/A 35563PMX4 1720000.00000000 PA USD 1330056.39000000 0.158021540054 Long ABS-MBS US N 2 2059-02-25 Floating 4.50000000 N N N N N N A. O. SMITH CORPORATION 549300XG4US7UJNECY36 831865209 649.00000000 NS USD 24538.69000000 0.002915396380 Long EC US N 1 N N N PERRIGO COMPANY PUBLIC LIMITED COMPANY 549300IFOQS6R1QLY196 G97822103 599.00000000 NS USD 28805.91000000 0.003422376897 Long EC IE N 1 N N N USD PUT/GBP CALL 1.35 N/A USGBP0030 -4600000.00000000 NC USD -4711.07000000 -0.00055971351 N/A DFE US N 2 MORGAN STANLEY SMITH BARNEY LLC N/A Put Written N/A N/A -4600000.00000000 1.35000000 USD 2020-05-03 XXXX 16789.33000000 N N N QUICKEN LOANS INC. 549300FGXN1K3HLB1R50 74840LAA0 580000.00000000 PA USD 577100.00000000 0.068564183782 Long DBT CORP US Y 2 2025-05-01 Fixed 5.75000000 N N N N N N LIFEPOINT HEALTH, INC. 549300G8ZVHRTBBBSZ90 53219LAS8 440000.00000000 PA USD 414480.00000000 0.049243602311 Long DBT CORP US Y 2 2027-02-15 Fixed 4.37500000 N N N N N N PARALLEL LTD N/A 69915XAS5 750000.00000000 PA USD 677894.25000000 0.080539362228 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 3.71313000 N N N N N N ASURION LLC N/A 04649VAU4 380000.00000000 PA USD 346275.00000000 0.041140292391 Long LON XX N 2 2025-08-04 Floating 8.10338040 N N N N N N TEVA PHARMACEUTICAL FINANCE COMPANY, LLC 5493006PITD7MU7WW480 88163VAE9 1530000.00000000 PA USD 1416076.48000000 0.168241427872 Long DBT CORP US N 2 2026-02-01 Fixed 0.25000000 N N N N N N IRB HOLDING CORP. 549300HVW4WNWYBXN830 44988MAA3 435000.00000000 PA USD 342743.03000000 0.040720665567 Long DBT CORP US Y 2 2026-02-15 Fixed 6.75000000 N N N N N N OPEN TEXT HOLDINGS, INC. N/A 683720AA4 370000.00000000 PA USD 347892.50000000 0.041332464575 Long DBT NUSS US Y 2 2030-02-15 Fixed 4.12500000 N N N N N N NIPPON LIFE INSURANCE COMPANY 549300Y0HHMFW3EVWY08 654579AG6 365000.00000000 PA USD 350400.00000000 0.041630376013 Long DBT NUSS JP Y 2 2050-01-23 Fixed 3.40000000 N N N N N N WINK HOLDCO INC N/A 97417AAB6 0.04000000 PA USD 0.03000000 0.000000003564 Long LON XX N 2 2024-12-02 Floating 4.60338120 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAP8 1050000.00000000 PA USD 1134021.00000000 0.134730937891 Long DBT NUSS KY N 2 2026-08-10 Fixed 6.25000000 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140100 18755.00000000 NS USD 1015020.60000000 0.120592720432 Long EC US N 1 N N N VISHAY INTERTECHNOLOGY, INC. 5493009O8F3QQJTCQR75 928298AP3 630000.00000000 PA USD 559518.75000000 0.066475387982 Long DBT CORP US N 2 2025-06-15 Fixed 2.25000000 N N N N N N OUTFRONT MEDIA CAPITAL LLC 5493005WC7J0FDMW0610 69007TAB0 145000.00000000 PA USD 133400.00000000 0.015849007306 Long DBT CORP US Y 2 2027-08-15 Fixed 5.00000000 N N N N N N Ukraine 6354001WLTJXOMEXPY07 N/A 760000.00000000 PA USD 699017.60000000 0.083048988379 Long DBT NUSS UA N 2 2024-09-01 Fixed 7.75000000 N N N N N N EIG INVESTORS CORP. 549300AWVC7LBOKRMB96 26854XAB5 100000.00000000 PA USD 85000.00000000 0.010098692811 Long DBT CORP US N 2 2024-02-01 Fixed 10.87500000 N N N N N N Government National Mortgage Association N/A 38380Y2Z7 3323183.62000000 PA USD 532906.72000000 0.063313661911 Long DBT USGA US N 2 2048-09-20 Floating 5.42711880 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 225313AJ4 250000.00000000 PA USD 257500.00000000 0.030593098811 Long DBT NUSS FR Y 2 2169-03-23 Fixed 8.12500000 N N N N N N BRK: MORGAN STANLEY N/A N/A -1160000.00000000 NC USD -46956.01000000 -0.00557875671 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 0.00000000 USD -12573.61000000 USD -1160000.00000000 USD -34382.40000000 N N N CORNING INCORPORATED 549300X2937PB0CJ7I56 219350105 3460.00000000 NS USD 71068.40000000 0.008443505178 Long EC US N 1 N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAL9 210000.00000000 PA USD 211050.00000000 0.025074460210 Long DBT CORP US Y 2 2028-02-01 Fixed 7.25000000 N N N N N N LyondellBasell Industries N.V. BN6WCCZ8OVP3ITUUVN49 N53745100 1174.00000000 NS USD 58265.62000000 0.006922430562 Long EC NL N 1 N N N Mexico City Airport Trust N/A P6629MAD4 502000.00000000 PA USD 409074.78000000 0.048601418119 Long DBT NUSS MX N 2 2047-07-31 Fixed 5.50000000 N N N N N N Republika Srbija 254900W94OCY91V32O78 N/A 500000.00000000 PA 500619.95000000 0.059477730474 Long DBT NUSS RS Y 2 2029-06-26 Fixed 1.50000000 N N N N N N MILLICOM INTERNATIONAL CELLULAR S.A. 549300CTHC1CP86P2G96 600814AP2 440000.00000000 PA USD 417516.00000000 0.049604303857 Long DBT NUSS LU Y 2 2026-10-15 Fixed 6.62500000 N N N N N N NASDAQ, INC. 549300L8X1Q78ERXFD06 631103108 500.00000000 NS USD 47475.00000000 0.005640416955 Long EC US N 1 N N N AMEREN CORPORATION XRZQ5S7HYJFPHJ78L959 023608102 1093.00000000 NS USD 79603.19000000 0.009457507795 Long EC US N 1 N N N AMERILIFE HOLDIN TL 1L N/A N/A 141818.18000000 PA USD 114872.73000000 0.013647816619 Long LON XX N 2 2027-02-05 Floating 0.00000000 N N N N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 118996000000.00000000 PA 6946943.36000000 0.825353493783 Long DBT NUSS ID N 2 2027-05-15 Fixed 7.00000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505104 34871.00000000 NS USD 740311.33000000 0.087955020077 Long EC US N 1 N N N JAPANESE YEN N/A N/A 1.00000000 NC 8453.15000000 0.001004303119 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A 526764.90000000 USD 57720000.00000000 JPY 2020-04-17 8453.15000000 N N N Ukraine 6354001WLTJXOMEXPY07 N/A 250000.00000000 PA USD 228202.50000000 0.027112317015 Long DBT NUSS UA N 2 2027-09-01 Fixed 7.75000000 N N N N N N WHITEHORSE LTD N/A 96525YAJ8 250000.00000000 PA USD 174207.75000000 0.020697300619 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.65088040 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 EK7554927 750000.00000000 PA 798248.79000000 0.094838462557 Long DBT NUSS CH N 2 2169-02-19 Fixed 5.75000000 N N N N N N BAUSCH HEALTH AMERICAS, INC. KOO0397YRO83WY5MGD97 91911XAV6 800000.00000000 PA USD 845440.00000000 0.100445162947 Long DBT CORP US Y 2 2026-04-01 Fixed 9.25000000 N N N N N N CINTAS CORPORATION N/A 172908105 381.00000000 NS USD 65996.82000000 0.007840960137 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6677.44000000 0.000793334297 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 27408823.00000000 JPY 261360.00000000 USD 2020-06-05 6677.44000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 N/A 700000.00000000 PA 736541.51000000 0.087507134734 Long DBT NUSS GB N 2 2168-09-15 Fixed 7.12500000 N N N Y Y BARCLAYS PLC GBP XXXX N N N GETTY IMAGES N/A 37427UAJ9 565379.81000000 PA USD 446650.05000000 0.053065666461 Long LON XX N 2 2026-02-19 Floating 6.12500040 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 50964.65000000 0.006055015818 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 870000.00000000 CAD 662402.92000000 USD 2020-04-23 50964.65000000 N N N Huarong Finance 2017 Co., Ltd. 5493006V07LYI3HE6G83 G463PSAB0 200000.00000000 PA USD 192995.76000000 0.022929469343 Long DBT NUSS VG N 2 2168-07-24 Fixed 4.50000000 N N N N N N Provincia de Buenos Aires 549300L6AYROPOTQ4L07 744080AJ1 400000.00000000 PA USD 104000.00000000 0.012356047675 Long DBT NUSS AR Y 2 2027-06-15 Fixed 7.87500000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC 10298.07000000 0.001223494652 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 2266473.47000000 USD 178300000.00000000 RUB 2020-04-17 10298.07000000 N N N GS MORTGAGE SECURITIES CORP. N/A 36258BAA6 1830000.00000000 PA USD 1484146.47000000 0.176328697503 Long ABS-MBS US N 2 2036-12-15 Floating 2.75850000 N N N N N N FLIR SYSTEMS, INC. VOBD35NEPH6WISIRTJ85 302445101 564.00000000 NS USD 17985.96000000 0.002136878646 Long EC US N 1 N N N FOCUS FINANCIAL PARTNERS, LLC N/A 34416DAT5 825808.08000000 PA USD 737719.13000000 0.087647045588 Long LON XX N 2 2024-07-03 Floating 3.60338040 N N N N N N BRK: CITI N/A N/A 4300000.00000000 NC -20788.96000000 -0.00246989789 N/A DIR XX N 2 BRK: CITI N/A Y 2027-01-04 2073.69000000 BRL 0.00000000 BRL -4300000.00000000 BRL -22862.65000000 N N N USD CALL/AUD PUT N/A USAUC0036 -3720000.00000000 NC USD -322338.52000000 -0.03829644346 N/A DFE US N 2 JPM CHASE N/A Call Written N/A N/A -3720000.00000000 0.67200000 USD 2020-04-11 XXXX -301618.12000000 N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137L105 1653.00000000 NS USD 39060.39000000 0.004640692702 Long EC US N 1 N N N USD PUT/MXN CALL 18.6289 N/A USMXP0221 -2880000.00000000 NC USD -2346.49000000 -0.00027878213 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A Put Written N/A N/A -2880000.00000000 18.62890000 USD 2020-04-14 XXXX 11693.51000000 N N N APARTMENT INVESTMENT AND MANAGEMENT COMPANY 549300O8FT5GJ4RU1D57 03748R754 659.00000000 NS USD 23163.85000000 0.002752054182 Long EC US N 1 N N N TELEFLEX INCORPORATED UUL85LWXB4NGSWWXIQ25 879369106 200.00000000 NS USD 58572.00000000 0.006958831004 Long EC US N 1 N N N Republica Federativa do Brasil 254900ZFY40OYEADAP90 N/A 1400000.00000000 PA 306599.65000000 0.036426537429 Long DBT NUSS BR N 2 2029-01-01 Fixed 10.00000000 N N N N N N API GROUP DE, INC. N/A 00186XAB9 840000.00000000 PA USD 713647.20000000 0.084787104101 Long LON XX N 2 2026-10-01 Floating 4.10338080 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 29035.54000000 0.003449658812 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1202070003.00000000 KRW 1016300.44000000 USD 2020-04-17 29035.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 69723.49000000 0.008283718908 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 7804280000.00000000 IDR 544231.52000000 USD 2020-06-05 69723.49000000 N N N AMERICAN WATER WORKS COMPANY, INC. 549300DXHIJQMD5WFW18 030420103 755.00000000 NS USD 90267.80000000 0.010724550387 Long EC US N 1 N N N ANALOG DEVICES, INC. GYVOE5EZ4GDAVTU4CQ61 032654105 1594.00000000 NS USD 142902.10000000 0.016977934235 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A -2410000.00000000 NC USD -89667.99000000 -0.01065328807 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 10554.93000000 USD 0.00000000 USD -2410000.00000000 USD -100222.92000000 N N N EURO N/A N/A 1.00000000 NC 1889.06000000 0.000224435725 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 239642.48000000 USD 220000.00000000 EUR 2020-04-17 1889.06000000 N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -103883.85000000 -0.01234224810 N/A DFE BR N 2 GOLDMAN, SACHS & CO. N/A 542960.56000000 USD 2280000.00000000 BRL 2020-04-17 -103883.85000000 N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824100 7602.00000000 NS USD 599873.82000000 0.071269899221 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 27433.01000000 0.003259265186 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 527750.00000000 BRL 129065.79000000 USD 2020-04-17 27433.01000000 N N N AMERISOURCEBERGEN CORPORATION AI8GXW8LG5WK7E9UD086 03073E105 686.00000000 NS USD 60711.00000000 0.007212961638 Long EC US N 1 N N N CUMBERLAND PARK CLO LTD. N/A 23076RAQ4 500000.00000000 PA USD 406824.00000000 0.048334007110 Long ABS-CBDO CORP KY N 2 2028-07-20 Floating 4.51913040 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 87782.49000000 0.010429275302 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1147886.00000000 AUD 790319.51000000 USD 2020-04-14 87782.49000000 N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 N/A 260000.00000000 PA 262462.01000000 0.031182626043 Long DBT NUSS TR N 2 2026-02-16 Fixed 5.20000000 N N N N N N LINDE PUBLIC LIMITED COMPANY 8945002PAZHZLBGKGF02 G5494J103 2332.00000000 NS USD 403436.00000000 0.047931485095 Long EC IE N 1 N N N AMERICAN AXLE & MANUFACTURING INC. N/A 02406MAP2 437119.82000000 PA USD 361498.09000000 0.042948919563 Long LON XX N 2 2024-04-06 Floating 3.20000040 N N N N N N TELECOM ITALIA CAPITAL S.A. 549300777DJZOR5C4L39 87927VAM0 500000.00000000 PA USD 495000.00000000 0.058810034608 Long DBT NUSS LU N 2 2034-09-30 Fixed 6.00000000 N N N N N N Republica de Costa Rica 549300DYYS8QPMR8OP36 221597BV8 310000.00000000 PA USD 248000.00000000 0.029464421379 Long DBT NUSS CR Y 2 2045-03-12 Fixed 7.15800000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JW71 510000.00000000 PA USD 456250.08000000 0.054206228272 Long DBT NUSS EG Y 2 2029-03-01 Fixed 7.60030000 N N N N N N VFH PARENT LLC N/A 91820UAQ3 299240.51000000 PA USD 271560.76000000 0.032263631704 Long LON XX N 2 2026-03-01 Floating 4.00512960 N N N N N N MASCO CORPORATION 5GCSNMQXHEYA1JO8QN11 574599106 1287.00000000 NS USD 44491.59000000 0.005285963530 Long EC US N 1 N N N LEGGETT & PLATT, INCORPORATED DKOVQUCDW4ZLYCUD4T55 524660107 534.00000000 NS USD 14247.12000000 0.001692673980 Long EC US N 1 N N N PVH CORP. 123WALMHY1GZXG2YDL90 693656100 313.00000000 NS USD 11781.32000000 0.001399716842 Long EC US N 1 N N N Federal National Mortgage Association N/A 30711XNX8 1204522.79920000 PA USD 1064290.45000000 0.126446380197 Long DBT USGA US N 2 2030-01-25 Floating 3.82674960 N N N N N N EASTERN AND SOUTHERN AFRICAN TRADE AND DEVELOPMENT BANK N/A N/A 210000.00000000 PA USD 207933.60000000 0.024704206489 Long DBT NUSS XX N 2 2022-03-14 Fixed 5.37500000 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CY4 580000.00000000 PA USD 641329.59000000 0.076195182592 Long DBT CORP US N 2 2038-03-25 Fixed 4.78000000 N N N N N N SWAPTION PAYER 90.0 N/A SWP869227 3626000.00000000 NC USD 255.50000000 0.000030355482 N/A DIR US N 2 GOLDMAN, SACHS & CO. N/A Put Purchased N/A N/A 0.00000000 90.00000000 USD 2020-05-21 XXXX -121215.50000000 N N N Republica del Ecuador 5299003Y2U5XK0A35H71 N/A 300000.00000000 PA USD 78000.00000000 0.009267035756 Long DBT NUSS EC Y 2 2026-12-13 Fixed 9.65000000 N N N N N N United States of America N/A N/A -15.00000000 NC USD -2340468.75000000 -0.27806676401 N/A DIR US N 1 CITICORP SECURITY SERVICES INC. N/A Short U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2020 2020-06-22 -2352862.88000000 USD 12394.13000000 N N N UFC HOLDINGS LLC TL N/A 90266UAF0 796213.60000000 PA USD 692705.83000000 0.082299098657 Long LON XX N 2 2026-04-29 Floating 4.86000000 N N N N N N BRK: MORGAN STANLEY N/A N/A -525000.00000000 NC USD -67139.50000000 -0.00797671983 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 10611.59000000 USD 0.00000000 USD -525000.00000000 USD -77751.09000000 N N N RADNET MANAGEMENT INC. N/A 75049EAK0 889336.13000000 PA USD 767052.41000000 0.091132078340 Long LON XX N 2 2023-06-30 Floating 5.34999960 N N N N N N CSC HOLDINGS, LLC N/A 64072UAK8 447733.00000000 PA USD 426837.30000000 0.050711750272 Long LON XX N 2 2027-04-15 Floating 3.11163120 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 N/A 800000.00000000 PA 942366.83000000 0.111960860375 Long DBT NUSS GB N 2 2027-04-15 Fixed 5.00000000 N N N N N N PROLOGIS, INC. 529900DFH19P073LZ636 74340W103 3240.00000000 NS USD 260398.80000000 0.030937499878 Long EC US N 1 N N N Provincia de Buenos Aires 549300L6AYROPOTQ4L07 N/A 980000.00000000 PA USD 294000.00000000 0.034929596312 Long DBT NUSS AR N 2 2021-06-09 Fixed 9.95000000 N N N N N N TITAN ENERGY, LLC N/A 88829M105 12743.00000000 NS USD 389.94000000 0.000046328050 Long EC US N 1 N N N AVOLON TLB BORROWER 1 (US) LLC N/A 05400KAE0 0.01000000 PA USD 0.01000000 0.000000001188 Long LON XX N 2 2025-01-15 Floating 2.52288000 N N N N N N FLAGSHIP CLO CORP N/A 33842GAG2 1500000.00000000 PA USD 1449699.00000000 0.172236057295 Long ABS-CBDO CORP KY N 2 2026-01-20 Floating 4.16913120 N N N N N N United States of America N/A N/A -108.00000000 NC USD -14978250.00000000 -1.77953818357 N/A DIR US N 1 DEFAULT N/A Short U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Jun 2020 2020-06-22 -14320006.79000000 USD -658243.21000000 N N N ASSET BACKED SECURITIES CORPORATION N/A 04544RAC9 1916114.81610000 PA USD 1553799.54000000 0.184604049942 Long ABS-MBS US N 2 2036-12-25 Floating 1.76675040 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 P989MJBG5 910000.00000000 PA USD 613795.00000000 0.072923848873 Long DBT NUSS AR N 2 2021-03-23 Fixed 8.50000000 N N N N N N GFL ENVIRONMENTAL INC. 549300FYK4MBXWIVZU26 36168QAF1 300000.00000000 PA USD 292500.00000000 0.034751384086 Long DBT NUSS CA Y 2 2026-12-15 Fixed 5.12500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2L6 150000.00000000 PA USD 169792.48000000 0.020172730555 Long DBT CORP US N 2 2031-04-04 Fixed 4.47800000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC -68378.78000000 -0.00812395640 N/A DFE XX N 2 GOLDMAN, SACHS & CO. N/A 365731.28000000 USD 6992729.00000000 MXN 2020-04-17 -68378.78000000 N N N DELTA AIR LINES, INC. Q2CCMS6R0AS67HJMBN42 247361ZM3 340000.00000000 PA USD 309579.01000000 0.036780509680 Long DBT CORP US N 2 2021-04-19 Fixed 3.40000000 N N N N N N EVEREST RE GROUP, LTD. 549300N24XF2VV0B3570 G3223R108 166.00000000 NS USD 31941.72000000 0.003794936684 Long EC BM N 1 N N N CHEVRON CORPORATION N/A 166764100 8223.00000000 NS USD 595838.58000000 0.070790479819 Long EC US N 1 N N N DEERFIELD TL 03/06/2028 N/A N/A 840000.00000000 PA USD 828315.60000000 0.098410644651 Long LON XX N 2 2028-03-06 Floating 0.00000000 N N N N N N RALPH LAUREN CORPORATION HO1QNWM0IXBZ0QSMMO20 751212101 219.00000000 NS USD 14635.77000000 0.001738848768 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6.97000000 0.000000828092 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 780000.00000000 IDR 54.39000000 USD 2020-06-05 6.97000000 N N N PROSPEROUS RAY LIMITED N/A N/A 500000.00000000 PA USD 530409.42000000 0.063016962316 Long DBT NUSS VG N 2 2023-11-12 Fixed 4.62500000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC -129064.15000000 -0.01533387298 N/A DFE XX N 2 GOLDMAN, SACHS & CO. N/A 682289.65000000 USD 13010000.00000000 MXN 2020-04-17 -129064.15000000 N N N BERRY GLOBAL, INC. N/A 08579JBD3 806496.42000000 PA USD 767849.11000000 0.091226732793 Long LON XX N 2 2022-10-01 Floating 2.86263000 N N N N N N NOURYON FINANCE B.V. N/A N8232NAB3 1547447.00000000 PA USD 1377227.83000000 0.163625891607 Long LON XX N 2 2025-10-01 Floating 3.86263080 N N N N N N RANGE RESOURCES CORPORATION H3Y3WLYCX0BTO1TRW162 75281AAY5 220000.00000000 PA USD 164934.00000000 0.019595503531 Long DBT CORP US N 2 2022-08-15 Fixed 5.00000000 N N N N N N WEC ENERGY GROUP, INC. 549300IGLYTZUK3PVP70 92939U106 1395.00000000 NS USD 122941.35000000 0.014606434440 Long EC US N 1 N N N OLD DOMINION FREIGHT LINE, INC. 5299009TWK32WE417T96 679580100 450.00000000 NS USD 59067.00000000 0.007017641038 Long EC US N 1 N N N BANCO DO BRASIL S.A. N/A G07402DP5 1920000.00000000 PA USD 1504320.00000000 0.178725477296 Long DBT NUSS BR N 2 2168-10-15 Fixed 6.25000000 N N N N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -52186.78000000 -0.00620021482 N/A DFE BR N 2 GOLDMAN, SACHS & CO. N/A 2428535.52000000 USD 12327732.00000000 BRL 2020-04-03 -52186.78000000 N N N TKC HOLDINGS N/A 87256FAB0 692100.10000000 PA USD 551603.78000000 0.065535025034 Long LON XX N 2 2023-02-01 Floating 5.36000040 N N N N N N HUNTINGTON BANCSHARES INCORPORATED 549300XTVCVV9I7B5T19 446150104 4636.00000000 NS USD 38061.56000000 0.004522023557 Long EC US N 1 N N N THE PNC FINANCIAL SERVICES GROUP, INC. CFGNEKW0P8842LEUIA51 693475105 1863.00000000 NS USD 178326.36000000 0.021186625056 Long EC US N 1 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343V104 17827.00000000 NS USD 957844.71000000 0.113799758675 Long EC US N 1 N N N OPTION CARE HEALTH, INC. N/A 09071FAK7 940000.00000000 PA USD 770800.00000000 0.091577322577 Long LON XX N 2 2026-08-06 Floating 6.10337880 N N N N N N NVIDIA CORPORATION 549300S4KLFTLO7GSQ80 67066G104 2635.00000000 NS USD 694586.00000000 0.082522478178 Long EC US N 1 N N N BELARUS, REPUBLIC OF (GOVERNMENT) 635400CVCOWYLHF4ZB08 N/A 200000.00000000 PA USD 180908.80000000 0.021493439977 Long DBT NUSS BY N 2 2030-02-28 Fixed 6.20000000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -141109.73000000 -0.01676498607 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 791984.63000000 USD 50971735.00000000 RUB 2020-04-17 -141109.73000000 N N N USD CALL/AUD PUT N/A USAUC0039 -4010000.00000000 NC USD -211227.67000000 -0.02509556885 N/A DFE US N 2 BNP SECURITIES N/A Call Written N/A N/A -4010000.00000000 0.64400000 USD 2020-05-25 XXXX -187255.89000000 N N N DIGICERT HOLDINGS INC. N/A 24022KAB5 990000.00000000 PA USD 877803.30000000 0.104290186772 Long LON XX N 2 2026-10-16 Floating 5.60337840 N N N N N N United States of America N/A N/A 527.00000000 NC USD 116141742.19000000 13.79858561142 N/A DIR US N 1 BARCLAYS CAPITAL INC. N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Jun 2020 2020-07-03 114173638.17000000 USD 1968104.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 39040.74000000 0.004638358122 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 2120000.00000000 EUR 2366526.53000000 USD 2020-04-17 39040.74000000 N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD N/A 14314LAC9 1060000.00000000 PA USD 988968.34000000 0.117497499599 Long ABS-CBDO CORP KY N 2 2031-05-15 Floating 2.74174920 N N N N N N Mexico City Airport Trust N/A P6629MAB8 200000.00000000 PA USD 162002.00000000 0.019247158033 Long DBT NUSS MX N 2 2046-10-31 Fixed 5.50000000 N N N N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369105 718.00000000 NS USD 151857.00000000 0.018041849344 Long EC US N 1 N N N CROWN FINANCE US INC. N/A 22834KAB7 1266484.02000000 PA USD 854876.71000000 0.101566321011 Long LON XX N 2 2025-02-28 Floating 3.85337880 N N N N N N MOHEGAN TRIBAL GAMING AUTHORITY N/A 608330AQ9 1208442.80000000 PA USD 851952.17000000 0.101218861822 Long LON XX N 2 2023-10-13 Floating 5.60337840 N N N N N N T. ROWE PRICE GROUP, INC. 549300SIV6FPS9Y7IH33 74144T108 1042.00000000 NS USD 101751.30000000 0.012088883786 Long EC US N 1 N N N GS MORTGAGE SECURITIES CORP. N/A 36253VAN9 1000000.00000000 PA USD 866066.60000000 0.102895771149 Long ABS-MBS US N 2 2032-07-15 Floating 2.85463080 N N N N N N HOLOGIC, INC. 549300DYP6F5ZJL0LB74 436440101 1116.00000000 NS USD 39171.60000000 0.004653905356 Long EC US N 1 N N N GLOBAL AIRCRAFT LEASING CO., LTD N/A 37960JAA6 1350000.00000000 PA USD 869400.00000000 0.103291806239 Long DBT NUSS KY Y 2 2024-09-15 Fixed 6.50000000 N N Y N N N BRK: MORGAN STANLEY N/A N/A -860000.00000000 NC USD -8103.84000000 -0.00096280224 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-12-20 18640.40000000 USD 0.00000000 USD -860000.00000000 USD -26744.24000000 N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST N/A 004421HQ9 679596.51270000 PA USD 625419.15000000 0.074304892638 Long ABS-MBS US N 2 2034-11-25 Floating 2.55674880 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -192538.54000000 -0.02287514788 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 13916934.97000000 EUR 15100834.71000000 USD 2020-05-14 -192538.54000000 N N N NORFOLK SOUTHERN CORPORATION 54930036C8MWP850MI84 655844108 1107.00000000 NS USD 161622.00000000 0.019202010936 Long EC US N 1 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231G102 18216.00000000 NS USD 691661.52000000 0.082175026117 Long EC US N 1 N N N SCIENTIFIC GAMES INTERNATIONAL INC N/A 80875AAP6 812716.68060000 PA USD 652879.69000000 0.077567428613 Long LON XX N 2 2024-08-14 Floating 4.36899960 N N N N N N MEDTRONIC PUBLIC LIMITED COMPANY 549300GX3ZBSQWUXY261 G5960L103 5828.00000000 NS USD 525569.04000000 0.062441885720 Long EC IE N 1 N N N EMERSON ELECTRIC CO. FGLT0EWZSUIRRITFOA30 291011104 2659.00000000 NS USD 126701.35000000 0.015053153087 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 103020.87000000 0.012239719050 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 34570000.00000000 RUB 544456.61000000 USD 2020-04-17 103020.87000000 N N N KELLOGG COMPANY LONOZNOJYIBXOHXWDB86 487836108 1027.00000000 NS USD 61609.73000000 0.007319738087 Long EC US N 1 N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 1400000.00000000 PA 1340289.89000000 0.159237363264 Long DBT NUSS NL N 2 2168-12-29 Fixed 4.62500000 N N N N N N WACHOVIA ASSET SECURITIZATION,INC. N/A 92976YAA0 390052.55450000 PA USD 328912.60000000 0.039077497755 Long ABS-MBS US N 2 2037-07-25 Floating 1.76675040 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -15372.88000000 -0.00182642344 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1550000.00000000 EUR 1686326.64000000 USD 2020-04-17 -15372.88000000 N N N SEAGATE TECHNOLOGY PUBLIC LIMITED COMPANY 396PBGKP6TE3O062MS44 G7945M107 935.00000000 NS USD 45628.00000000 0.005420978301 Long EC IE N 1 N N N THE PROCTER & GAMBLE COMPANY 2572IBTT8CCZW6AU4141 742718109 10756.00000000 NS USD 1183160.00000000 0.140569051610 Long EC US N 1 N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953101 2321.00000000 NS USD 27387.80000000 0.003253893870 Long EC US N 1 N N N GRIFOLS WORLDWIDE OPERATIONS USA N/A 39843PAG8 470000.00000000 PA USD 442975.00000000 0.052629040566 Long LON XX N 2 2027-11-15 Floating 2.68387920 N N N N N N TYSON FOODS, INC. WD6L6041MNRW1JE49D58 902494103 1304.00000000 NS USD 75462.48000000 0.008965557697 Long EC US N 1 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -87462.11000000 -0.01039121154 N/A DFE CA N 2 CITIGROUP GLOBAL MARKETS N/A 1026600.34000000 USD 1336392.39000000 CAD 2020-04-17 -87462.11000000 N N N THE SOUTHERN COMPANY 549300FC3G3YU2FBZD92 842587CV7 700000.00000000 PA USD 696928.05000000 0.082800732807 Long DBT CORP US N 2 2026-07-01 Fixed 3.25000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746101 16738.00000000 NS USD 480380.60000000 0.057073130729 Long EC US N 1 N N N EQUIFAX INC. 5493004MCF8JDC86VS77 294429105 533.00000000 NS USD 63666.85000000 0.007564140710 Long EC US N 1 N N N UNITED TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 913017109 3517.00000000 NS USD 331758.61000000 0.039415626940 Long EC US N 1 N N N NAVISTAR INC TLB 1L CL N/A 63937YAE1 539000.00000000 PA USD 463540.00000000 0.055072330186 Long LON XX N 2 2024-11-06 Floating 4.28000040 N N N N N N N/A N/A 90J99WTX0 -530.00000000 NC USD -13112200.00000000 -1.55783623391 N/A DE XX N 1 JPM CHASE N/A Call Written Call Option 2375 Apr 2020 on S&P 500 Index N/A N/A -53000.00000000 375.00000000 USD 2020-04-20 XXXX -7355408.90000000 N N N ACADEMY LTD. N/A 00400YAH4 661855.48000000 PA USD 353358.02000000 0.041981812899 Long LON XX N 2 2022-07-01 Floating 5.58113040 N N N N N N BANIJAY ENTERTAINMENT SAS 969500CE0IE2EZ5VBG13 060335AA4 650000.00000000 PA USD 594750.00000000 0.070661147642 Long DBT NUSS FR Y 2 2025-03-01 Fixed 5.37500000 N N N N N N OHA LOAN FUNDING LTD N/A 67109BCW2 250000.00000000 PA USD 190141.75000000 0.022590389692 Long ABS-CBDO CORP KY N 2 2032-11-15 Floating 5.69175120 N N N N N N USD PUT/EUR CALL N/A USEUP0175 -5750000.00000000 NC USD -15299.38000000 -0.00181769104 N/A DFE US N 2 JPM CHASE N/A Put Written N/A N/A -5750000.00000000 1.13300000 USD 2020-05-02 XXXX 4963.62000000 N N N MCCORMICK & COMPANY, INCORPORATED 549300JQQA6MQ4OJP259 579780206 548.00000000 NS USD 77383.08000000 0.009193740632 Long EC US N 1 N N N AMERICAN INTERNATIONAL GROUP, INC. ODVCVCQG2BP6VHV36M30 026874784 3775.00000000 NS USD 91543.75000000 0.010876143647 Long EC US N 1 N N N VERSCEND HOLDING CORP TL B 1L N/A N/A 219444.44000000 PA USD 206277.77000000 0.024507480389 Long LON XX N 2 2025-08-27 Floating 6.10337880 N N N N N N HILTON WORLDWIDE HOLDINGS INC. 549300HVGPK36ICB0B89 43300A203 1189.00000000 NS USD 81137.36000000 0.009639779696 Long EC US N 1 N N N DANAHER CORPORATION S4BKK9OTCEWQ3YHPFM11 235851102 2742.00000000 NS USD 379520.22000000 0.045090095500 Long EC US N 1 N N N PRUDENTIAL FINANCIAL, INC. 5PRBRS5FEH7NREC8OR45 744320102 1774.00000000 NS USD 92496.36000000 0.010989321480 Long EC US N 1 N N N SNAP-ON INCORPORATED HHWAT5TDOYZMM26KKQ73 833034101 234.00000000 NS USD 25463.88000000 0.003025316493 Long EC US N 1 N N N MCGRAW-HILL GLOBAL EDUCATION HOLDINGS, LLC N/A 58063VAH6 481344.82000000 PA USD 391492.18000000 0.046512461928 Long LON XX N 2 2022-05-04 Floating 5.60337840 N N N N N N MOLSON COORS BEVERAGE COMPANY 54930073LBBH6ZCBE225 60871R209 772.00000000 NS USD 30115.72000000 0.003577993000 Long EC US N 1 N N N Capmark Military Housing Trust N/A 14070AAA1 946977.33000000 PA USD 1312903.72000000 0.155983663051 Long ABS-MBS US N 2 2052-10-10 Fixed 6.06300000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -45127.07000000 -0.00536146373 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 504143.25000000 USD 750000.00000000 AUD 2020-04-17 -45127.07000000 N N N PARTY CITY HOLDINGS INC. N/A 70215EAN3 527304.34000000 PA USD 255204.75000000 0.030320404403 Long LON XX N 2 2022-08-19 Floating 4.10000040 N N N N N N ALERIS INTERNATIONAL, INC. 5493002SZ3VN4IY2H022 014477AT0 1100000.00000000 PA USD 1067000.00000000 0.126768296822 Long DBT CORP US Y 2 2023-07-15 Fixed 10.75000000 N N N N N N HILTON WORLDWIDE FINANCE LLC N/A 43289DAH6 430000.00000000 PA USD 406350.00000000 0.048277692046 Long LON XX N 2 2026-06-22 Floating 2.69663040 N N N N N N ABIOMED, INC. 5493001EZN4ZTB4Z5887 003654100 200.00000000 NS USD 29032.00000000 0.003449238231 Long EC US N 1 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AK4 200000.00000000 PA USD 181500.00000000 0.021563679356 Long DBT NUSS CH Y 2 2169-03-12 Fixed 7.25000000 N N N N N N BRK: MORGAN STANLEY N/A N/A 4965000.00000000 NC 12110.19000000 0.001438789278 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2023-01-02 1658.27000000 BRL 0.00000000 BRL -4965000.00000000 BRL 10451.92000000 N N N EURO N/A N/A 1.00000000 NC 45347.48000000 0.005387650238 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 2690923.08000000 USD 2490000.00000000 EUR 2020-05-14 45347.48000000 N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SBB1 910000.00000000 PA USD 500531.98000000 0.059467278921 Long DBT NUSS LK Y 2 2030-03-28 Fixed 7.55000000 N N N N N N VOYA CLO N/A 92914YAG2 750000.00000000 PA USD 486249.75000000 0.057770433587 Long ABS-CBDO CORP KY N 2 2027-07-23 Floating 7.33399920 N N N N N N AUTODESK, INC. FRKKVKAIQEF3FCSTPG55 052769106 969.00000000 NS USD 151260.90000000 0.017971027805 Long EC US N 1 N N N Government National Mortgage Association N/A 38380UM67 2253205.31000000 PA USD 317593.57000000 0.037732704733 Long DBT USGA US N 2 2048-01-20 Floating 4.92711840 N N N N N N LONE STAR PORTFOLIO TRUST N/A 54230NAQ1 816943.79000000 PA USD 715759.75000000 0.085038092259 Long ABS-MBS US N 2 2028-09-15 Floating 7.50849840 N N N N N N FIRST REPUBLIC BANK YWC0TIKBQM2JV8L4IV08 33616C100 700.00000000 NS USD 57596.00000000 0.006842874249 Long EC US N 1 N N N Federal National Mortgage Association N/A 01F050643 16000000.00000000 PA USD 17259375.04000000 2.050554431149 Long DBT US N 2 2045-04-15 Fixed 5.00000000 N N N N N N Republica Oriental del Uruguay 549300RDR012H2V82H43 760942BB7 600000.00000000 PA USD 647256.00000000 0.076899288404 Long DBT NUSS UY N 2 2027-10-27 Fixed 4.37500000 N N N N N N XPO LOGISTICS, INC. 54930096DB9LCLPN7H13 983793AG5 120000.00000000 PA USD 117336.00000000 0.013940473173 Long DBT CORP US Y 2 2024-08-15 Fixed 6.75000000 N N N N N N PULTEGROUP, INC. N/A 745867101 1166.00000000 NS USD 26025.12000000 0.003091996379 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -9552.64000000 -0.00113493149 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 14190000.00000000 MXN 593850.12000000 USD 2020-04-17 -9552.64000000 N N N BROADCOM CORPORATION KFFV4ZWM9DJH1ND3BD89 11134LAR0 53000.00000000 PA USD 49068.83000000 0.005829776950 Long DBT CORP US N 2 2028-01-15 Fixed 3.50000000 N N N N N N GENESEE & WYOMING INC. N/A 55316HAB1 660000.00000000 PA USD 629065.80000000 0.074738144381 Long LON XX N 2 2026-12-30 Floating 3.96050040 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAU7 200000.00000000 PA USD 127838.20000000 0.015188220133 Long DBT CORP US N 2 2045-06-15 Fixed 5.00000000 N N N N N N APPLE INC. HWUPKR0MPOU8FGXBT394 037833100 18048.00000000 NS USD 4589425.92000000 0.545261206438 Long EC US N 1 N N N Wynn Macau, Limited 254900NMDQ8ENTHU1I31 98313RAE6 470000.00000000 PA USD 394800.00000000 0.046905457905 Long DBT NUSS KY Y 2 2029-12-15 Fixed 5.12500000 N N N N N N OZLM FUNDING LTD N/A 67109XAA4 700000.00000000 PA USD 374581.20000000 0.044503299667 Long ABS-CBDO CORP KY N 2 2027-04-30 Floating 7.16950080 N N N N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -140491.56000000 -0.01669154243 N/A DFE ID N 2 MORGAN STANLEY & CO, INC N/A 1061357.14000000 USD 15145566429.00000000 IDR 2020-06-05 -140491.56000000 N N N CADENCE DESIGN SYSTEMS, INC. GCT7RXJOGLXPV0NXZY22 127387108 1180.00000000 NS USD 77927.20000000 0.009258386523 Long EC US N 1 N N N TARGET CORPORATION 8WDDFXB5T1Z6J0XC1L66 87612E106 2163.00000000 NS USD 201094.11000000 0.023891619330 Long EC US N 1 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -51385.98000000 -0.00610507325 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 277020.04000000 USD 17670000.00000000 RUB 2020-04-17 -51385.98000000 N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546104 1975.00000000 NS USD 105958.75000000 0.012588763140 Long EC US N 1 N N N SERVICENOW, INC. 549300HJTQM36M0E1G39 81762P102 815.00000000 NS USD 233562.70000000 0.027749152465 Long EC US N 1 N N N PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED PUSS41EMO3E6XXNV3U28 744573106 2234.00000000 NS USD 100328.94000000 0.011919895825 Long EC US N 1 N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 893647AZ0 390000.00000000 PA USD 366596.10000000 0.043554604703 Long DBT CORP US N 2 2025-05-15 Fixed 6.50000000 N N N N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209SBF9 300000.00000000 PA USD 346902.02000000 0.041214787478 Long DBT CORP US N 2 2049-02-14 Fixed 5.95000000 N N N N N N J.P. MORGAN MORTGAGE ACQUISITION CORPORATION N/A 46631KAE5 1400000.00000000 PA USD 1314397.56000000 0.156161143419 Long ABS-MBS US N 2 2037-06-25 Floating 1.88674920 N N N N N N MITCHELL INTERNATIONAL, INC. N/A 60662WAM4 989924.44000000 PA USD 818340.84000000 0.097225561862 Long LON XX N 2 2024-11-29 Floating 4.85337960 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160104 11356.00000000 NS USD 1489112.28000000 0.176918676206 Long EC US N 1 N N N CHESAPEAKE ENERGY CORPORATION X2MT1W32SPAZ9WSKLE78 165167CG0 370000.00000000 PA USD 51800.00000000 0.006154262207 Long DBT CORP US N 2 2021-02-15 Fixed 6.12500000 N N N N N N Bundesrepublik Deutschland N/A N/A -37.00000000 NC -7003598.97000000 -0.83208464203 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Short Germany Govt. Bond Futures Euro-Bund Future Jun 2020 2020-06-11 -7139817.42000000 EUR 136218.45000000 N N N APTIV PLC N/A G6095L109 1135.00000000 NS USD 55887.40000000 0.006639878642 Long EC JE N 1 N N N BRISTOL PARK CLO, LTD. N/A 11015DAE1 500000.00000000 PA USD 388518.50000000 0.046159164506 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 8.62673040 N N N N N N LAREDO PETROLEUM, INC 549300X0PTWU2QSLSL14 516806AF3 769000.00000000 PA USD 307600.00000000 0.036545387162 Long DBT CORP US N 2 2025-01-15 Fixed 9.50000000 N N N N N N PAYPAL HOLDINGS, INC. 5493005X2GO78EFZ3E94 70450Y103 5107.00000000 NS USD 488944.18000000 0.058090553832 Long EC US N 1 N N N SILVERSEA CRUISE FINANCE LTD N/A 82845LAA8 600000.00000000 PA USD 510000.00000000 0.060592156869 Long DBT NUSS BS Y 2 2025-02-01 Fixed 7.25000000 N N N N N N GOLDENTREE LOAN OPPORTUNITIES LIMITED N/A 38123GAG1 250000.00000000 PA USD 176182.75000000 0.020931946716 Long ABS-CBDO CORP KY N 2 2029-10-29 Floating 7.58813040 N N N N N N PHOENIX GUARANTOR INC. N/A 71913BAE2 716393.19000000 PA USD 646544.85000000 0.076814797988 Long LON XX N 2 2026-03-05 Floating 4.11260040 N N N N N N UNDER ARMOUR, INC. 549300D4549QKWETZ406 904311107 727.00000000 NS USD 6695.67000000 0.000795500170 Long EC US N 1 N N N Hasbro, Inc. 549300NUB6D2R1ITYR45 418056107 564.00000000 NS USD 40354.20000000 0.004794407875 Long EC US N 1 N N N HUB INTERNATIONAL LIMITED N/A 44332EAP1 498723.06000000 PA USD 463313.72000000 0.055045446278 Long LON XX N 2 2025-04-25 Floating 4.55087880 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179M103 1630.00000000 NS USD 11263.30000000 0.001338171844 Long EC US N 1 N N N BAUSCH HEALTH COMPANIES INC. (FORMERLY VALEANT) N/A C9413PAZ6 174105.30000000 PA USD 164747.14000000 0.019573303040 Long LON XX N 2 2025-06-02 Floating 3.61163160 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370860 17302.00000000 NS USD 83568.66000000 0.009928637953 Long EC US N 1 N N N EDWARDS LIFESCIENCES CORPORATION YA13X31F3V31L8TMPR58 28176E108 916.00000000 NS USD 172775.92000000 0.020527187544 Long EC US N 1 N N N EURO N/A N/A 1.00000000 NC -16530.93000000 -0.00196400922 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 1178749.54000000 USD 1058000.00000000 EUR 2020-05-04 -16530.93000000 N N N Mexico City Airport Trust N/A 59284MAD6 390000.00000000 PA USD 317807.10000000 0.037758073837 Long DBT NUSS MX Y 2 2047-07-31 Fixed 5.50000000 N N N N N N Eversource Energy SJ7XXD41SQU3ZNWUJ746 30040W108 1437.00000000 NS USD 112387.77000000 0.013352583117 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 31192.03000000 0.003705867401 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 10000000.00000000 MXN 456423.01000000 USD 2020-04-17 31192.03000000 N N N SEALED AIR CORPORATION Q0M0CZB4YN6JZ65WXI09 81211K100 652.00000000 NS USD 16110.92000000 0.001914108611 Long EC US N 1 N N N BECTON, DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 075887BW8 690000.00000000 PA USD 696512.40000000 0.082751350200 Long DBT CORP US N 2 2027-06-06 Fixed 3.70000000 N N N N N N PTC INC. 54930050SSMU8SKDJ030 69370CAB6 437000.00000000 PA USD 408595.00000000 0.048544416344 Long DBT CORP US Y 2 2025-02-15 Fixed 3.62500000 N N N N N N KKR CLO LTD/LLC N/A 48250MAK3 350000.00000000 PA USD 328328.35000000 0.039008084093 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 3.18088080 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 09659W2D5 1000000.00000000 PA USD 991220.50000000 0.117765074564 Long DBT NUSS FR Y 2 2025-01-09 Fixed 3.37500000 N N N N N N USD CALL/CAD PUT N/A USCAC0028 -4030000.00000000 NC USD -181623.25000000 -0.02157832246 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A Call Written N/A N/A -4030000.00000000 1.34550000 USD 2020-04-06 XXXX -171104.95000000 N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FAE1 3525000.00000000 PA USD 3465452.70000000 0.411724026707 Long DBT CORP US Y 2 2026-04-15 Fixed 4.25000000 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 950000.00000000 PA USD 1042701.00000000 0.123881377567 Long DBT CORP US N 2 2023-09-15 Fixed 7.87500000 N N N N N N LIVE NATION ENTERTAINMENT, INC. 5493007B9BM9ZXJINO78 538034AT6 400000.00000000 PA USD 318220.18000000 0.037807151108 Long DBT CORP US Y 2 2025-02-15 Fixed 2.00000000 N N N N N N AVERY POINT CLO, LIMITED N/A 05363LBA0 610000.00000000 PA USD 487465.03000000 0.057914818756 Long ABS-CBDO CORP KY N 2 2027-08-05 Floating 4.69100160 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468J1 475000.00000000 PA USD 475928.87000000 0.056544228920 Long DBT CORP US N 2 2025-07-22 Fixed 2.72000000 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599DC6 50000.00000000 PA USD 26445.33000000 0.003141920752 Long DBT CORP US N 2 2026-03-15 Fixed 5.55000000 N N N N N N REPUBLIC SERVICES, INC. NKNQHM6BLECKVOQP7O46 760759100 871.00000000 NS USD 65377.26000000 0.007767351359 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 507331.26000000 0.060275088804 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 12327732.00000000 BRL 2883680.00000000 USD 2020-04-03 507331.26000000 N N N BBVA Bancomer SA (Houston Branch) N/A 05533UAF5 210000.00000000 PA USD 173880.00000000 0.020658361247 Long DBT NUSS MX Y 2 2033-01-18 Fixed 5.12500000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 13275000.00000000 PA 788843.15000000 0.093720995862 Long DBT NUSS EG N 2 2020-10-06 Fixed 0.00000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625H100 13530.00000000 NS USD 1218105.90000000 0.144720909364 Long EC US N 1 N N N OCTAGON INVESTMENT PARTNERS, LTD. N/A 67590LAN8 178528.49600000 PA USD 177535.88000000 0.021092709589 Long ABS-CBDO CORP KY N 2 2026-04-15 Floating 2.93124960 N N N N N N PFIZER INC. 765LHXWGK1KXCLTFYQ30 717081103 23835.00000000 NS USD 777974.40000000 0.092429699774 Long EC US N 1 N N N REGENCY CENTERS CORPORATION 529900053A7X7FJ97S58 758849103 713.00000000 NS USD 27400.59000000 0.003255413426 Long EC US N 1 N N N MOHAWK INDUSTRIES, INC. 549300JI1115MG3Q6322 608190104 261.00000000 NS USD 19898.64000000 0.002364120620 Long EC US N 1 N N N INTUITIVE SURGICAL, INC. 54930052SRG011710797 46120E602 506.00000000 NS USD 250576.26000000 0.029770502065 Long EC US N 1 N N N UNITED PARCEL SERVICE, INC. D01LMJZU09ULLNCY6Z23 911312106 3057.00000000 NS USD 285584.94000000 0.033929818595 Long EC US N 1 N N N ELECTRONIC ARTS INC. 549300O7A67PUEYKDL45 285512109 1233.00000000 NS USD 123509.61000000 0.014673948360 Long EC US N 1 N N N TRANE TECHNOLOGIES PLC 549300BURLR9SLYY2705 G8994E103 1067.00000000 NS USD 88123.53000000 0.010469793634 Long EC IE N 1 N N N NEXSTAR BROADCASTING, INC. 5493006PK6I4I2OOT688 65341XAA6 1150000.00000000 PA USD 1082426.00000000 0.128601031355 Long DBT CORP US Y 2 2024-08-01 Fixed 5.62500000 N N N N N N Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III 254900G208H6Q0L5B953 71567RAF3 200000.00000000 PA USD 204482.00000000 0.024294128276 Long DBT NUSS ID N 2 2026-03-29 Fixed 4.55000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 256809.77000000 0.030511093861 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 97071956.00000000 RUB 1489799.99000000 USD 2020-05-27 256809.77000000 N N N FLOWSERVE CORPORATION 6Y0GK87T6V7NJKZJVM41 34354P105 514.00000000 NS USD 12279.46000000 0.001458899934 Long EC US N 1 N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161N101 4214.00000000 NS USD 155117.34000000 0.018429204310 Long EC US N 1 N N N NORTHERN TRUST CORPORATION 549300GLF98S992BC502 665859104 888.00000000 NS USD 67008.48000000 0.007961153591 Long EC US N 1 N N N PPG INDUSTRIES, INC. 549300BKPEP01R3V6C59 693506107 1044.00000000 NS USD 87278.40000000 0.010369385302 Long EC US N 1 N N N FORTUNE BRANDS HOME & SECURITY, INC. 54930032LHW54PQUJD44 34964C106 568.00000000 NS USD 24566.00000000 0.002918641030 Long EC US N 1 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -43241.55000000 -0.00513744858 N/A DFE CA N 2 CITIGROUP GLOBAL MARKETS N/A 485968.62000000 USD 630000.00000000 CAD 2020-04-17 -43241.55000000 N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829107 2134.00000000 NS USD 97374.42000000 0.011568874767 Long EC US N 1 N N N KANSAS CITY SOUTHERN 5493008C12PZMWP3WY03 485170302 406.00000000 NS USD 51635.08000000 0.006134668367 Long EC US N 1 N N N BRK: CITI N/A N/A 4628000.00000000 NC -23858.04000000 -0.00283452961 N/A DIR XX N 2 BRK: CITI N/A Y 2027-01-04 2601.92000000 BRL 0.00000000 BRL -4628000.00000000 BRL -26459.96000000 N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 699149AC4 440000.00000000 PA USD 444404.40000000 0.052798864937 Long DBT NUSS PY Y 2 2026-04-15 Fixed 5.00000000 N N N N N N MOTOROLA SOLUTIONS, INC. 6S552MUG6KGJVEBSEC55 620076307 733.00000000 NS USD 97430.36000000 0.011575520895 Long EC US N 1 N N N USD CALL/EUR PUT N/A USEUC9817 -7720000.00000000 NC USD -127643.86000000 -0.01516513095 N/A DFE US N 2 JPM CHASE N/A Call Written N/A N/A -7720000.00000000 1.10720000 USD 2020-06-08 XXXX -80350.37000000 N N N DUKE REALTY CORPORATION N/A 264411505 1699.00000000 NS USD 55013.62000000 0.006536066456 Long EC US N 1 N N N ADOBE INC. FU4LY2G4933NH2E1CP29 00724F101 2084.00000000 NS USD 663212.16000000 0.078795010267 Long EC US N 1 N N N STRYKER CORPORATION 5493002F0SC4JTBU5137 863667101 1412.00000000 NS USD 235083.88000000 0.027929881047 Long EC US N 1 N N N Northrop Grumman Corporation RIMU48P07456QXSO0R61 666807BN1 1950000.00000000 PA USD 2026282.15000000 0.240738835085 Long DBT CORP US N 2 2028-01-15 Fixed 3.25000000 N N N N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05971KAC3 400000.00000000 PA USD 392637.18000000 0.046648497261 Long DBT NUSS ES N 2 2029-06-27 Fixed 3.30600000 N N N N N N SVB FINANCIAL GROUP 549300D2KJ20JMXE7542 78486Q101 224.00000000 NS USD 33841.92000000 0.004020695932 Long EC US N 1 N N N Hornblower 3/18 Cov-Lite TL N/A N/A 400000.00000000 PA USD 220000.00000000 0.026137793159 Long LON XX N 2 2025-04-28 Floating 6.44463000 N N N N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 369604103 38230.00000000 NS USD 303546.20000000 0.036063762681 Long EC US N 1 N N N LOEWS CORPORATION R8V1FN4M5ITGZOG7BS19 540424108 1207.00000000 NS USD 42039.81000000 0.004994672082 Long EC US N 1 N N N N/A N/A BGH4R5A63 55.84000000 NS USD 57048.94000000 0.006777879062 Long EC US N 3 N N N BUILDERS FIRSTSOURCE, INC. 549300W0SKP6L3H7DP63 12008RAN7 319000.00000000 PA USD 287100.00000000 0.034109820072 Long DBT CORP US Y 2 2030-03-01 Fixed 5.00000000 N N N N N N DELL INTERNATIONAL L.L.C. N/A 25272KAK9 1600000.00000000 PA USD 1651330.82000000 0.196191560957 Long DBT CORP US Y 2 2026-06-15 Fixed 6.02000000 N N N N N N MHP Lux S.A. 222100RHC7R1WZ1J3M44 N/A 220000.00000000 PA USD 175964.36000000 0.020906000204 Long DBT NUSS LU N 2 2026-04-03 Fixed 6.95000000 N N N N N N PQ CORPORATION 2H1FRGMQKKSWC9PFJY28 693522AG9 900000.00000000 PA USD 904537.80000000 0.107466463277 Long DBT CORP US Y 2 2022-11-15 Fixed 6.75000000 N N N N N N CIT GROUP INC. N8O96ZZJQRFYQUJY7K79 125581GX0 195000.00000000 PA USD 183300.00000000 0.021777534027 Long DBT CORP US N 2 2028-03-09 Fixed 6.12500000 N N N N N N ANTERO RESOURCES CORPORATION APVBKPOULHUX7YZLKU17 03674XAC0 1050000.00000000 PA USD 546000.00000000 0.064869250295 Long DBT CORP US N 2 2022-12-01 Fixed 5.12500000 N N N N N N DISCOVER FINANCIAL SERVICES Z1YLO2USPORE63VVUL20 254709108 1272.00000000 NS USD 45372.24000000 0.005390591928 Long EC US N 1 N N N OCI N.V. 549300NCMRGIBJYUOE57 67091GAC7 325000.00000000 PA USD 279500.00000000 0.033206878127 Long DBT NUSS NL Y 2 2024-11-01 Fixed 5.25000000 N N N N N N HEALTHPEAK PROPERTIES, INC. PZ9HF5U52KPF0MH0QN75 42250P103 2116.00000000 NS USD 50466.60000000 0.005995843419 Long EC US N 1 N N N PARK-OHIO INDUSTRIES, INC. 5493006LQUO5SLMNYM18 700677AR8 900000.00000000 PA USD 711373.50000000 0.084516970008 Long DBT CORP US N 2 2027-04-15 Fixed 6.62500000 N N N N N N FORTINET, INC. 549300O0QJWDBAS0QX03 34959E109 600.00000000 NS USD 60702.00000000 0.007211892365 Long EC US N 1 N N N SELECT MEDICAL CORPORATION N/A 816196AT6 450000.00000000 PA USD 450000.00000000 0.053463667825 Long DBT CORP US Y 2 2026-08-15 Fixed 6.25000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RHS4 1225000.00000000 PA USD 1297884.83000000 0.154199296504 Long DBT CORP US N 2 2025-07-15 Fixed 3.60000000 N N N N N N NEWELL BRANDS INC. 549300LWGYFM1TVO1Z12 651229106 1757.00000000 NS USD 23332.96000000 0.002772145828 Long EC US N 1 N N N METLIFE, INC. C4BXATY60WC6XEOZDX54 59156R108 3321.00000000 NS USD 101522.97000000 0.012061756321 Long EC US N 1 N N N Government National Mortgage Association N/A 38381WQE1 616236.89000000 PA USD 48369.23000000 0.005746658768 Long DBT USGA US N 2 2049-06-20 Floating 1.62299880 N N N N N N AKAMAI TECHNOLOGIES, INC. OC1LZNN2LF5WTJ5RIL89 00971T101 668.00000000 NS USD 61115.32000000 0.007260998150 Long EC US N 1 N N N Federal National Mortgage Association N/A 3140JAD21 0.00600000 PA USD 0.01000000 0.000000001188 Long DBT USGA US N 2 2047-02-01 Fixed 3.50000000 N N N N N N Republica de Guatemala 529900QKDFFU9UWW5315 401494AQ2 280000.00000000 PA USD 268100.00000000 0.031852465209 Long DBT NUSS GT Y 2 2030-06-01 Fixed 4.90000000 N N N N N N OCP CLO LTD N/A 67097LAA4 1700000.00000000 PA USD 1610819.70000000 0.191378509706 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 3.09125160 N N N N N N Xcel Energy Inc. LGJNMI9GH8XIDG5RCM61 98389B100 2326.00000000 NS USD 140257.80000000 0.016663769842 Long EC US N 1 N N N KKR FINANCIAL CLO, LTD. N/A 48252KAA7 500000.00000000 PA USD 470076.50000000 0.055848919663 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 2.83124880 N N N N N N INGERSOLL RAND INC. 5299004C02FMZCUOIR50 45687V106 941.00000000 NS USD 23336.80000000 0.002772602051 Long EC US N 1 N N N W. R. BERKLEY CORPORATION SQOAGCLKBDWNVYV1OV80 084423102 600.00000000 NS USD 31302.00000000 0.003718932733 Long EC US N 1 N N N BALL CORPORATION 0BGI85ALH27ZJP15DY16 058498106 1471.00000000 NS USD 95114.86000000 0.011300420622 Long EC US N 1 N N N INCYTE CORPORATION 549300Z4WN6JVZ3T4680 45337C102 814.00000000 NS USD 59609.22000000 0.007082061194 Long EC US N 1 N N N JACK HENRY & ASSOCIATES, INC. 529900X1QS8C54W0JB21 426281101 335.00000000 NS USD 52005.40000000 0.006178665401 Long EC US N 1 N N N Government National Mortgage Association N/A 38379MNK6 3614004.49650000 PA USD 418134.90000000 0.049677834222 Long DBT USGA US N 2 2045-08-20 Fixed 4.00000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAR1 950000.00000000 PA USD 823897.06000000 0.097885686085 Long DBT CORP US N 2 2028-03-15 Fixed 4.00000000 N N N N N N MARRIOTT INTERNATIONAL, INC. 225YDZ14ZO8E1TXUSU86 571903202 1206.00000000 NS USD 90220.86000000 0.010718973533 Long EC US N 1 N N N Ressources Teck Limitee T8KI5SQ2JRWHL7XY0E11 878742AS4 200000.00000000 PA USD 171455.97000000 0.020370366726 Long DBT NUSS CA N 2 2040-08-15 Fixed 6.00000000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HL7 370000.00000000 PA USD 103603.70000000 0.012308964005 Long DBT NUSS AR N 2 2027-01-26 Fixed 6.87500000 N N N N N N HOST HOTELS & RESORTS, INC. N6EL63S0K3PB1YFTDI24 44107P104 2848.00000000 NS USD 31441.92000000 0.003735556370 Long EC US N 1 N N N CONSTELLATION BRANDS, INC. 5493005GKEG8QCVY7037 21036P108 739.00000000 NS USD 105943.04000000 0.012586896664 Long EC US N 1 N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625HJZ4 3400000.00000000 PA USD 3656413.28000000 0.434411700078 Long DBT CORP US N 2 2026-12-15 Fixed 4.12500000 N N N N N N ALIGN TECHNOLOGY, INC. 549300N5YSE0U3LCP840 016255101 311.00000000 NS USD 54098.45000000 0.006427336801 Long EC US N 1 N N N SKYWORKS SOLUTIONS, INC. 549300WZ3ORQ2BVKBD96 83088M102 770.00000000 NS USD 68822.60000000 0.008176685833 Long EC US N 1 N N N THE ALLSTATE CORPORATION OBT0W1ED8G0NWVOLOJ77 020002101 1365.00000000 NS USD 125211.45000000 0.014876140823 Long EC US N 1 N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 72650RBF8 175000.00000000 PA USD 144592.72000000 0.017178793671 Long DBT CORP US N 2 2024-11-01 Fixed 3.60000000 N N N N N N THERMO FISHER SCIENTIFIC INC. HCHV7422L5HDJZCRFL38 883556102 1744.00000000 NS USD 494598.40000000 0.058762321254 Long EC US N 1 N N N The Travelers Companies, Inc. 549300Y650407RU8B149 89417E109 1140.00000000 NS USD 113259.00000000 0.013456092342 Long EC US N 1 N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773100 3239.00000000 NS USD 48099.15000000 0.005714571062 Long EC US N 1 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JZN2 1100000.00000000 PA USD 1158453.95000000 0.137633771498 Long DBT CORP US N 2 2027-04-23 Fixed 3.95000000 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030N101 19549.00000000 NS USD 672094.62000000 0.079850318913 Long EC US N 1 N N N EQM Midstream Partners, LP 549300NELT611CL6XM83 26885BAD2 1474000.00000000 PA USD 1066733.80000000 0.126736670092 Long DBT CORP US N 2 2023-07-15 Fixed 4.75000000 N N N N N N USD PUT/RUB CALL N/A USRUP0057 3820000.00000000 NC USD 1511.55000000 0.000179584460 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A Put Purchased N/A N/A 3820000.00000000 63.96450000 USD 2020-05-29 XXXX -41348.85000000 N N N AT&T INC. 549300Z40J86GGSTL398 00206RCT7 325000.00000000 PA USD 344326.69000000 0.040908817283 Long DBT CORP US N 2 2026-02-17 Fixed 4.12500000 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429109 807.00000000 NS USD 37251.12000000 0.004425736679 Long EC US N 1 N N N RENEW CLEAN ENERGY PRIVATE LIMITED 3358008RR2HQOCUDCQ35 Y7275HAA6 200000.00000000 PA USD 150108.08000000 0.017834063393 Long DBT NUSS IN N 2 2024-03-12 Fixed 6.67000000 N N N N N N SUMMIT MIDSTREAM HOLDINGS, LLC N/A 86614WAC0 830000.00000000 PA USD 149400.00000000 0.017749937718 Long DBT CORP US N 2 2022-08-15 Fixed 5.50000000 N N N N N N INSTALLED BUILDING PRODUCTS, INC. 549300I95Y9P9YM5FI86 45780RAA9 450000.00000000 PA USD 428625.00000000 0.050924143603 Long DBT CORP US Y 2 2028-02-01 Fixed 5.75000000 N N N N N N REFINITIV US HOLDINGS INC. 549300NF240HXJO7N016 31740LAC7 750000.00000000 PA USD 791250.00000000 0.094006949260 Long DBT CORP US Y 2 2026-11-15 Fixed 8.25000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 N/A 780000.00000000 PA 782644.59000000 0.092984556411 Long DBT NUSS GB N 2 2028-02-07 Fixed 2.00000000 N N N N N N MCKESSON CORPORATION 549300WZWOM80UCFSF54 58155Q103 717.00000000 NS USD 96981.42000000 0.011522183164 Long EC US N 1 N N N FACEBOOK, INC. BQ4BKCS1HXDV9HN80Z93 30303M102 10388.00000000 NS USD 1732718.40000000 0.205861068828 Long EC US N 1 N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523AG5 2000000.00000000 PA USD 2139346.98000000 0.254171858450 Long DBT CORP US N 2 2025-11-15 Fixed 4.12500000 N N N N N N F5 NETWORKS, INC. N/A 315616102 278.00000000 NS USD 29643.14000000 0.003521846645 Long EC US N 1 N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523100 1596.00000000 NS USD 282779.28000000 0.033596483319 Long EC US N 1 N N N NORWEGIAN CRUISE LINE HOLDINGS LTD. N/A G66721104 900.00000000 NS USD 9864.00000000 0.001171923598 Long EC BM N 1 N N N CHURCH & DWIGHT CO., INC. POOXSI30AWAQGYJZC921 171340102 1095.00000000 NS USD 70277.10000000 0.008349492289 Long EC US N 1 N N N Federal National Mortgage Association N/A 3136AYTL7 2217011.01000000 PA USD 334619.24000000 0.039755493100 Long DBT USGA US N 2 2047-11-25 Floating 5.20337160 N N N N N N HALLIBURTON COMPANY ENYF8GB5SMQZ25S06U51 406216101 3947.00000000 NS USD 27036.95000000 0.003212210030 Long EC US N 1 N N N BAUSCH HEALTH AMERICAS, INC. KOO0397YRO83WY5MGD97 91911XAW4 1020000.00000000 PA USD 1065900.00000000 0.126637607856 Long DBT CORP US Y 2 2027-01-31 Fixed 8.50000000 N N N N N N Republic of Iraq N/A N/A 280000.00000000 PA USD 212856.00000000 0.025289027730 Long DBT NUSS IQ N 2 2028-01-15 Fixed 5.80000000 N N N N N N EXPEDITORS INTERNATIONAL OF WASHINGTON, INC 984500B055A804AB6E40 302130109 721.00000000 NS USD 48105.12000000 0.005715280347 Long EC US N 1 N N N AVIS BUDGET CAR RENTAL, LLC XN8R4HH1TVC1XOCL5P21 053773BB2 700000.00000000 PA USD 560000.00000000 0.066532564405 Long DBT CORP US Y 2 2024-04-01 Fixed 6.37500000 N N N N N N TOTAL CAPITAL INTERNATIONAL SA 549300U37G2I8G4RUG09 89153VAT6 1350000.00000000 PA USD 1365404.49000000 0.162221182446 Long DBT NUSS FR N 2 2030-01-10 Fixed 2.82900000 N N N N N N YUM! BRANDS, INC. 549300JE8XHZZ7OHN517 988498AM3 170000.00000000 PA USD 178500.00000000 0.021207254904 Long DBT CORP US Y 2 2025-04-01 Fixed 7.75000000 N N N N N N DOW INC. 5493003S21INSLK2IP73 260557103 3249.00000000 NS USD 95000.76000000 0.011286864612 Long EC US N 1 N N N NGL ENERGY PARTNERS LP 5299005YSRP46BE8Z459 62913TAJ1 1150000.00000000 PA USD 399625.00000000 0.047478707232 Long DBT CORP US N 2 2023-11-01 Fixed 7.50000000 N N N N N N MID-AMERICA APARTMENT COMMUNITIES, INC. 549300FQZKFR5YNSHZ21 59522J103 499.00000000 NS USD 51411.97000000 0.006108161080 Long EC US N 1 N N N BERKSHIRE HATHAWAY INC. 5493000C01ZX7D35SD85 084670702 8442.00000000 NS USD 1543450.86000000 0.183374542409 Long EC US N 1 N N N TWITTER, INC. 549300I8RX485XMK6836 90184L102 3280.00000000 NS USD 80556.80000000 0.009570804436 Long EC US N 1 N N N MEREDITH CORPORATION 549300YC8BC386CCTS24 589433AB7 1225000.00000000 PA USD 1074692.50000000 0.127682228521 Long DBT CORP US N 2 2026-02-01 Fixed 6.87500000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 251525AP6 950000.00000000 PA USD 801786.22000000 0.095258738073 Long DBT NUSS DE N 2 2025-04-01 Fixed 4.50000000 N N N N N N JACOBS ENGINEERING GROUP INC. 549300CZ8QS1GE53O776 469814107 623.00000000 NS USD 49385.21000000 0.005867365473 Long EC US N 1 N N N DCP MIDSTREAM OPERATING, LP 549300Y6CTBSE0QIPL28 26439XAH6 115000.00000000 PA USD 55165.50000000 0.006554111038 Long DBT CORP US Y 2 2036-11-03 Fixed 6.45000000 N N N N N N WHIRLPOOL CORPORATION WHENKOULSSK7WUM60H03 963320106 271.00000000 NS USD 23251.80000000 0.002762503358 Long EC US N 1 N N N JAMESTOWN CLO LTD N/A 47048HAC1 750000.00000000 PA USD 719235.00000000 0.085450980285 Long ABS-CBDO CORP KY N 2 2029-07-17 Floating 3.08612880 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 620000.00000000 PA 517193.89000000 0.061446849636 Long DBT NUSS EG Y 2 2030-04-16 Fixed 5.62500000 N N N N N N PINNACLE WEST CAPITAL CORPORATION TWSEY0NEDUDCKS27AH81 723484101 451.00000000 NS USD 34181.29000000 0.004061015854 Long EC US N 1 N N N Provincia de Buenos Aires 549300L6AYROPOTQ4L07 N/A 2240000.00000000 PA USD 582400.00000000 0.069193866981 Long DBT NUSS AR Y 2 2023-02-15 Fixed 6.50000000 N N N N N N ROYAL CARIBBEAN CRUISES LTD. K2NEH8QNVW44JIWK7Z55 V7780T103 735.00000000 NS USD 23644.95000000 0.002809212783 Long EC LR N 1 N N N Pepsico, Inc. FJSUNZKFNQ5YPJ5OT455 713448108 6005.00000000 NS USD 721200.50000000 0.085684497706 Long EC US N 1 N N N NOVELIS CORPORATION 549300G5F3W3B52WYL23 670001AE6 800000.00000000 PA USD 712000.00000000 0.084591403315 Long DBT CORP US Y 2 2030-01-30 Fixed 4.75000000 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599105 3950.00000000 NS USD 45741.00000000 0.005434403622 Long EC US N 1 N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AR2 802000.00000000 PA USD 840183.07000000 0.099820596816 Long DBT NUSS GG N 2 2026-04-17 Fixed 4.55000000 N N N N N N TARGA RESOURCES PARTNERS LP 6OQWTZ1SPC04IFT4T704 87612BBL5 400000.00000000 PA USD 341000.00000000 0.040513579396 Long DBT CORP US N 2 2027-07-15 Fixed 6.50000000 N N N N N N MADISON PARK FUNDING, LTD. N/A 55819YAA8 710000.00000000 PA USD 680725.28000000 0.080875711667 Long ABS-CBDO CORP KY N 2 2030-07-29 Floating 2.97450000 N N N N N N Government National Mortgage Association N/A 38381YXT6 1972772.21400000 PA USD 247668.73000000 0.029425063803 Long DBT USGA US N 2 2049-09-20 Floating 4.45299840 N N N N N N ASBURY AUTOMOTIVE GROUP, INC. 549300JH4DTA7U42GL91 043436AS3 174000.00000000 PA USD 147900.00000000 0.017571725492 Long DBT CORP US Y 2 2028-03-01 Fixed 4.50000000 N N N N N N PAYCOM SOFTWARE, INC. 254900LSB0HNJUDC6Q18 70432V102 200.00000000 NS USD 40402.00000000 0.004800086905 Long EC US N 1 N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAV5 1021000.00000000 PA USD 806905.17000000 0.095866911057 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N BRK: HSBC BANK PLC N/A N/A 7940000.00000000 NC -50036.03000000 -0.00594468819 N/A DIR XX N 2 BRK: HSBC BANK PLC N/A Y 2025-06-17 0.00000000 PLN -9838.11000000 PLN -7940000.00000000 PLN -40197.92000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225436AA2 200000.00000000 PA USD 184250.00000000 0.021890401770 Long DBT NUSS CH Y 2 2168-12-18 Fixed 6.25000000 N N N N N N THE KROGER CO. 6CPEOKI6OYJ13Q6O7870 501044101 3564.00000000 NS USD 107347.68000000 0.012753779345 Long EC US N 1 N N N Republica del Ecuador 5299003Y2U5XK0A35H71 N/A 1150000.00000000 PA USD 310500.00000000 0.036889930799 Long DBT NUSS EC Y 2 2027-06-02 Fixed 9.62500000 N N N N N N AKBANK TURK ANONIM SIRKETI 789000TUMN63Z28TJ497 N/A 200000.00000000 PA USD 156000.00000000 0.018534071512 Long DBT NUSS TR N 2 2028-04-27 Fixed 6.79700000 N N N N N N VIACOMCBS INC. 5KYC8KF17ROCY24M3H09 92556H206 2357.00000000 NS USD 33021.57000000 0.003923231665 Long EC US N 1 N N N ALLIANT ENERGY FINANCE, LLC 54930033ER6EOI5DL570 01882YAB2 125000.00000000 PA USD 125978.73000000 0.014967299941 Long DBT CORP US Y 2 2028-06-15 Fixed 4.25000000 N N N N N N TRANSOCEAN INC. DOL4HJ22ADYSIWES4H94 893830BF5 500000.00000000 PA USD 235000.00000000 0.027919915420 Long DBT NUSS KY Y 2 2026-01-15 Fixed 7.50000000 N N N N N N ANTERO MIDSTREAM PARTNERS LP 529900HFO1BDEIT4QU11 03690AAD8 950000.00000000 PA USD 608000.00000000 0.072235355640 Long DBT CORP US Y 2 2027-03-01 Fixed 5.75000000 N N N N N N N/A N/A BGH5LNP38 56.61000000 NS USD 0.01000000 0.000000001188 Long EC US N 3 N N N NORDSTROM, INC. 549300S3IZB5P35KNV16 655664100 454.00000000 NS USD 6964.36000000 0.000827422732 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A -1225000.00000000 NC USD -52022.85000000 -0.00618073860 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 0.00000000 USD -11250.12000000 USD -1225000.00000000 USD -40772.73000000 N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599DC6 725000.00000000 PA USD 383457.26000000 0.045557847942 Long DBT CORP US N 2 2026-03-15 Fixed 5.55000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206R102 31486.00000000 NS USD 917816.90000000 0.109044128591 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 34705000.00000000 NC 165395.45000000 0.019650327552 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2022-10-03 12212.26000000 BRL 0.00000000 BRL -34705000.00000000 BRL 153183.19000000 N N N Mexico City Airport Trust N/A 59284MAC8 1190000.00000000 PA USD 1000093.85000000 0.118819300868 Long DBT NUSS MX Y 2 2028-04-30 Fixed 3.87500000 N N N N N N CENTERPOINT ENERGY, INC. 21TPXMRRHFKOBHDC8J74 15189T107 2203.00000000 NS USD 34036.35000000 0.004043795800 Long EC US N 1 N N N THE REPUBLIC OF KENYA 549300VVURQQYU45PR87 491798AJ3 450000.00000000 PA USD 414000.00000000 0.049186574399 Long DBT NUSS KE Y 2 2027-05-22 Fixed 7.00000000 N N N N N N MASTERCARD INCORPORATED. AR5L2ODV9HN37376R084 57636QAQ7 100000.00000000 PA USD 122544.66000000 0.014559304435 Long DBT CORP US N 2 2050-03-26 Fixed 3.85000000 N N N N N N USD PUT/JPY CALL N/A USJPP0138 10890000.00000000 NC USD 131495.20000000 0.015622701541 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A Put Purchased N/A N/A 10890000.00000000 104.80000000 USD 2020-06-06 XXXX -90443.00000000 N N N OZLM FUNDING LTD N/A 67108WBL2 900000.00000000 PA USD 672752.70000000 0.079928504181 Long ABS-CBDO CORP KY N 2 2029-07-17 Floating 4.83612840 N N N N N N CDW CORPORATION N/A 12514G108 614.00000000 NS USD 57267.78000000 0.006803879037 Long EC US N 1 N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172109 6764.00000000 NS USD 493501.44000000 0.058631993465 Long EC US N 1 N N N BRK: CITIBANK, NA N/A N/A 660000.00000000 NC -2899.81000000 -0.00034452106 N/A DIR XX N 2 BRK: CITIBANK, NA N/A Y 2030-03-18 0.00000000 GBP -1852.01000000 GBP -660000.00000000 GBP -1047.80000000 N N N The Mattamy Corporation 5493008TNY7A82WCXU31 57701RAM4 789000.00000000 PA USD 678540.00000000 0.080616082592 Long DBT NUSS CA Y 2 2030-03-01 Fixed 4.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4479.40000000 -0.00053218923 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 510000.00000000 EUR 555434.63000000 USD 2020-04-17 -4479.40000000 N N N IHEARTCOMMUNICATIONS, INC. N/A 45174UAF5 556680.84000000 PA USD 466220.20000000 0.055390759792 Long LON XX N 2 2026-05-01 Floating 4.58112960 N N N N N N HLF FINANCING SARL, LLC 549300VKVJUV5OGV2R51 40390DAA3 1452000.00000000 PA USD 1234200.00000000 0.146633019623 Long DBT CORP US Y 2 2026-08-15 Fixed 7.25000000 N N N N N N IMMUCOR INC 1L TLB3 CL N/A 45252HAH5 708059.46000000 PA USD 605390.84000000 0.071925366165 Long LON XX N 2 2021-06-15 Floating 6.94463040 N N N N N N POPULAR ABS MORTGAGE PASS THROUGH TRUST N/A 73316PJE1 663054.72000000 PA USD 651524.07000000 0.077406369908 Long ABS-MBS US N 2 2036-01-25 Fixed 3.64591900 N N N N N N OTIS WORLDWIDE CORPORATION 549300ZLBKR8VSU25153 68902VAE7 225000.00000000 PA USD 215099.64000000 0.025555590449 Long DBT CORP US Y 2 2027-04-05 Fixed 2.29300000 N N N N N N THE COOPER COMPANIES, INC. QJKMVPIGLH7530PCUE20 216648402 204.00000000 NS USD 56236.68000000 0.006681375953 Long EC US N 1 N N N BLUE RACER MIDSTREAM, LLC N/A 095796AE8 290000.00000000 PA USD 168200.00000000 0.019983530951 Long DBT CORP US Y 2 2026-07-15 Fixed 6.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 115866.11000000 0.013765838260 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1810000.00000000 AUD 1223625.16000000 USD 2020-04-17 115866.11000000 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205AW4 890000.00000000 PA USD 780101.02000000 0.092682359563 Long DBT NUSS ZA N 2 2027-09-27 Fixed 4.85000000 N N N N N N MASTERCARD INCORPORATED. AR5L2ODV9HN37376R084 57636QAP9 150000.00000000 PA USD 166114.33000000 0.019735736356 Long DBT CORP US N 2 2030-03-26 Fixed 3.35000000 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES, INC. MGCJBT4MKTQBVLNUIS88 015271AP4 350000.00000000 PA USD 349668.49000000 0.041543466663 Long DBT CORP US N 2 2026-04-15 Fixed 3.80000000 N N N N N N INTERNATIONAL BUSINESS MACHINES CORPORATION VGRQXHF3J8VDLUA7XE92 459200101 3847.00000000 NS USD 426747.71000000 0.050701106250 Long EC US N 1 N N N ALEXANDRIA REAL ESTATE EQUITIES, INC. MGCJBT4MKTQBVLNUIS88 015271AR0 375000.00000000 PA USD 364865.76000000 0.043349026207 Long DBT CORP US N 2 2031-08-15 Fixed 3.37500000 N N N N N N FRONTIER COMMUNICATIONS CORPORATION 549300ZCZ76HYCS0H445 35906ABA5 800000.00000000 PA USD 734000.00000000 0.087205182631 Long DBT CORP US Y 2 2026-04-01 Fixed 8.50000000 N N N N N N INTUIT INC. VI90HBPH7XSFMB9E4M29 461202103 1140.00000000 NS USD 262200.00000000 0.031151497119 Long EC US N 1 N N N ELI LILLY AND COMPANY FRDRIPF3EKNDJ2CQJL29 532457108 3675.00000000 NS USD 509796.00000000 0.060567920006 Long EC US N 1 N N N YAPI VE KREDI BANKASI ANONIM SIRKETI B85ZYWEZ5IZCZ2WNIO12 984848AM3 500000.00000000 PA USD 474136.00000000 0.056331221351 Long DBT NUSS TR Y 2 2024-10-15 Fixed 8.25000000 N N N N N N AMERICAN AIRLINES GROUP INC. N/A 02376R102 1751.00000000 NS USD 21344.69000000 0.002535923146 Long EC US N 1 N N N TE Connectivity Ltd. 894500ZRIX9K13RHXR17 H84989104 1484.00000000 NS USD 93462.32000000 0.011104085401 Long EC CH N 1 N N N INDIA RUPEE N/A N/A 1.00000000 NC -50112.00000000 -0.00595371404 N/A DFE IN N 2 BARCLAYS CAPITAL INC. N/A 1225515.72000000 USD 89201000.00000000 INR 2020-04-17 -50112.00000000 N N N MICRON TECHNOLOGY, INC. B3DXGBC8GAIYWI2Z0172 595112103 4860.00000000 NS USD 204411.60000000 0.024285764182 Long EC US N 1 N N N AMERICAN INTERNATIONAL GROUP, INC. ODVCVCQG2BP6VHV36M30 026874DK0 275000.00000000 PA USD 283363.87000000 0.033665937376 Long DBT CORP US N 2 2028-04-01 Fixed 4.20000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCZ3 90000.00000000 PA USD 62416.80000000 0.007415624582 Long DBT NUSS MX Y 2 2031-01-28 Fixed 5.95000000 N N N N N N D.R. HORTON, INC. 529900ZIUEYVSB8QDD25 23331A109 1500.00000000 NS USD 51000.00000000 0.006059215686 Long EC US N 1 N N N Greenko Investment Company 21380023V4N5Y8KXN552 39530XAA2 410000.00000000 PA USD 331945.03000000 0.039437775156 Long DBT NUSS MU Y 2 2023-08-16 Fixed 4.87500000 N N N N N N EQUINIX, INC. 549300EVUN2BTLJ3GT74 29444U700 374.00000000 NS USD 233589.18000000 0.027752298504 Long EC US N 1 N N N Northrop Grumman Corporation RIMU48P07456QXSO0R61 666807102 668.00000000 NS USD 202103.40000000 0.024011531208 Long EC US N 1 N N N NOVELIS CORPORATION 549300G5F3W3B52WYL23 670001AC0 716000.00000000 PA USD 702657.34000000 0.083481419157 Long DBT CORP US Y 2 2026-09-30 Fixed 5.87500000 N N N N N N FEDERAL REALTY INVESTMENT TRUST 549300LI6XZ51GOCJ427 313747206 325.00000000 NS USD 24248.25000000 0.002880889740 Long EC US N 1 N N N UNIVISION COMMUNICATIONS INC. 549300YQDE2JSGTL8V47 914906AR3 1800000.00000000 PA USD 1593000.00000000 0.189261384102 Long DBT CORP US Y 2 2023-05-15 Fixed 5.12500000 N N N N N N LEVEL 3 FINANCING, INC. N/A 527298BC6 1150000.00000000 PA USD 1144250.00000000 0.135946226465 Long DBT CORP US N 2 2023-02-01 Fixed 5.62500000 N N N N N N NRG ENERGY, INC. 5E2UPK5SW04M13XY7I38 629377CE0 40000.00000000 PA USD 40800.00000000 0.004847372549 Long DBT CORP US N 2 2028-01-15 Fixed 5.75000000 N N N N N N AMCOR PLC 549300GSODGFCDQ3DI89 G0250X107 6732.00000000 NS USD 54663.84000000 0.006494509741 Long EC JE N 1 N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 110000.00000000 PA USD 19804.40000000 0.002352924140 Long DBT NUSS LB N 2 2035-11-02 Fixed 7.05000000 Y N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114GK0 1310000.00000000 PA USD 385140.00000000 0.045757771169 Long DBT NUSS AR N 2 2038-12-31 Fixed 3.75000000 N N N N N N Banco de Bogota S.A. 549300LYHE7LWSKDZT53 059514AC3 580000.00000000 PA USD 548340.70000000 0.065147344533 Long DBT NUSS CO Y 2 2026-05-12 Fixed 6.25000000 N N N N N N ITAU UNIBANCO HOLDING S.A. 5493002W2IVG62O3ZJ94 46556JAB5 210000.00000000 PA USD 195867.00000000 0.023270596057 Long DBT NUSS BR Y 2 2025-01-24 Fixed 3.25000000 N N N N N N THE SOUTHERN COMPANY 549300FC3G3YU2FBZD92 842587107 4535.00000000 NS USD 245524.90000000 0.029170359325 Long EC US N 1 N N N QUEST DIAGNOSTICS INCORPORATED 8MCWUBXQ0WE04KMXBX50 74834L100 623.00000000 NS USD 50026.90000000 0.005943603475 Long EC US N 1 N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 14448CAF1 2375000.00000000 PA USD 2307162.00000000 0.274109650639 Long DBT CORP US Y 2 2025-02-15 Fixed 2.24200000 N N N N N N ZIONS BANCORPORATION, NATIONAL ASSOCIATION 8WH0EE09O9V05QJZ3V89 989701107 626.00000000 NS USD 16751.76000000 0.001990245626 Long EC US N 1 N N N ADIENT US LLC 213800SOTRCDGZUHL712 00688JAA5 700000.00000000 PA USD 647500.00000000 0.076928277593 Long DBT CORP US Y 2 2026-05-15 Fixed 7.00000000 N N N N N N Willis Towers Watson Public Limited Company 549300WHC56FF48KL350 G96629103 574.00000000 NS USD 97493.90000000 0.011583069965 Long EC IE N 1 N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165B103 2590.00000000 NS USD 41673.10000000 0.004951103945 Long EC US N 1 N N N Mexico City Airport Trust N/A 59284MAB0 200000.00000000 PA USD 162002.00000000 0.019247158033 Long DBT NUSS MX Y 2 2046-10-31 Fixed 5.50000000 N N N N N N Ensign Drilling Inc. 549300MJ7RLJKQNMN618 29359NAA3 900000.00000000 PA USD 321804.00000000 0.038232938135 Long DBT NUSS CA Y 2 2024-04-15 Fixed 9.25000000 N N N N N N BPCE S.A. 9695005MSX1OYEMGDF46 05583JAF9 950000.00000000 PA USD 957609.50000000 0.113771813810 Long DBT NUSS FR Y 2 2023-09-12 Fixed 4.00000000 N N N N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209SBB8 775000.00000000 PA USD 785529.71000000 0.093327332183 Long DBT CORP US N 2 2024-02-14 Fixed 3.80000000 N N N N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -283150.93000000 -0.03364063836 N/A DFE BR N 2 GOLDMAN, SACHS & CO. N/A 1427061.31000000 USD 5940000.00000000 BRL 2020-04-17 -283150.93000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 41252.61000000 0.004901146306 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A 2828066.94000000 USD 309438600.00000000 JPY 2020-04-17 41252.61000000 N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324P102 4084.00000000 NS USD 1018467.92000000 0.121002290146 Long EC US N 1 N N N AMERICAN TOWER CORPORATION 5493006ORUSIL88JOE18 03027X100 1924.00000000 NS USD 418951.00000000 0.049774793553 Long EC US N 1 N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YAQ2 500000.00000000 PA USD 524704.30000000 0.062339147559 Long DBT CORP US N 2 2025-05-14 Fixed 3.60000000 N N N N N N Republica de Angola 549300QHR2R3J8JSGK83 035198AB6 1150000.00000000 PA USD 463229.20000000 0.055035404613 Long DBT NUSS AO Y 2 2028-05-09 Fixed 8.25000000 N N N N N N AMERICAN TOWER CORPORATION 5493006ORUSIL88JOE18 03027XAT7 925000.00000000 PA USD 926938.03000000 0.110127793179 Long DBT CORP US N 2 2024-05-15 Fixed 3.37500000 N N N N N N MPH ACQUISITION HOLDINGS LLC 5493002WXOPRPTXWTU06 553283AB8 670000.00000000 PA USD 582940.20000000 0.069258047144 Long DBT CORP US Y 2 2024-06-01 Fixed 7.12500000 N N N N N N SALESFORCE.COM, INC. RCGZFPDMRW58VJ54VR07 79466L302 3817.00000000 NS USD 549571.66000000 0.065293592614 Long EC US N 1 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397VU4 200000.00000000 PA USD 196000.00000000 0.023286397541 Long DBT CORP US N 2 2021-08-02 Fixed 5.87500000 N N N N N N ENDO PHARMACEUTICALS N/A N/A 280000.00000000 PA USD 249900.00000000 0.029690156865 Long LON XX N 2 2024-04-29 Floating 5.87499840 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00914AAB8 600000.00000000 PA USD 517729.34000000 0.061510465460 Long DBT CORP US N 2 2026-06-01 Fixed 3.75000000 N N N N N N DISH DBS Corporation N/A 25470XAY1 2070000.00000000 PA USD 2126925.00000000 0.252696025978 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N MOMENTIVE PERFORMANCE MATERIALS N/A 60877JAB8 656700.00000000 PA USD 527756.96000000 0.062701828449 Long LON XX N 2 2024-05-15 Floating 4.86000000 N N N N N N VEREIT OPERATING PARTNERSHIP, L.P. 5493005TQOUJE1LCS698 92340LAA7 1000000.00000000 PA USD 963152.29000000 0.114430342440 Long DBT CORP US N 2 2026-06-01 Fixed 4.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9.93000000 0.000001179764 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 793.25000000 CAD 567.29000000 USD 2020-04-06 9.93000000 N N N THE TJX COMPANIES, INC. V167QI9I69W364E2DY52 872540109 5300.00000000 NS USD 253393.00000000 0.030105153736 Long EC US N 1 N N N KOREAN WON N/A N/A 1.00000000 NC -14181.46000000 -0.00168487303 N/A DFE KR N 2 JP MORGAN N/A 502298.85000000 USD 594320000.00000000 KRW 2020-04-17 -14181.46000000 N N N AIR METHODS CORPORATION 54930081QGNZXVDOZF63 00215JAA7 640000.00000000 PA USD 376192.00000000 0.044694675837 Long DBT CORP US Y 2 2025-05-15 Fixed 8.00000000 N N N N N N BOSTON SCIENTIFIC CORPORATION Y6ZDD9FP4P8JSSJMW954 101137107 5927.00000000 NS USD 193398.01000000 0.022977259921 Long EC US N 1 N N N Metinvest B.V. 635400TMCKVEU87EJ582 591555AD9 375000.00000000 PA USD 266325.00000000 0.031641580741 Long DBT NUSS NL Y 2 2023-04-23 Fixed 7.75000000 N N N N N N REYNOLDS GROUP ISSUER LLC N/A 761735AV1 105000.00000000 PA USD 106706.25000000 0.012677572233 Long DBT CORP US Y 2 2024-07-15 Fixed 7.00000000 N N N N N N BROWN-FORMAN CORPORATION 549300873K3LXF7ARU34 115637209 747.00000000 NS USD 41465.97000000 0.004926495213 Long EC US N 1 N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023CP8 110000.00000000 PA USD 95128.46000000 0.011302036413 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N IMPAC CMB TRUST N/A 45254NPG6 1426854.94840000 PA USD 1254241.17000000 0.149014073969 Long ABS-MBS US N 2 2035-05-25 Floating 2.27175120 N N N N N N RUSSIA, FEDERATION OF (GOVERNMENT) 5493004EHVGF71PDBU58 N/A 3600000.00000000 PA USD 3819600.00000000 0.453799612504 Long DBT NUSS RU N 2 2026-05-27 Fixed 4.75000000 N N N N N N Dominion Energy, Inc. ILUL7B6Z54MRYCF6H308 25746UDB2 575000.00000000 PA USD 573222.66000000 0.068103524187 Long DBT CORP US N 2 2024-08-15 Fixed 3.07100000 N N N N N N AMETEK, INC. 549300WZDEF9KKE40E98 031100100 1012.00000000 NS USD 72884.24000000 0.008659241771 Long EC US N 1 N N N LKQ CORPORATION DS830JTTZQN6GK0I2E41 501889208 1349.00000000 NS USD 27667.99000000 0.003287182726 Long EC US N 1 N N N Islamic Republic of Pakistan 529900LOP29R5WKHOD86 N/A 200000.00000000 PA USD 165424.00000000 0.019653719525 Long DBT NUSS PK N 2 2027-12-05 Fixed 6.87500000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QDA7 207000.00000000 PA USD 138690.00000000 0.016477502423 Long DBT NUSS MX Y 2 2060-01-28 Fixed 6.95000000 N N N N N N United States of America N/A N/A 297.00000000 NC USD 41190187.50000000 4.893730004837 N/A DIR US N 1 CITICORP SECURITY SERVICES INC. N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Jun 2020 2020-06-22 40185911.44000000 USD 1004276.06000000 N N N Mohegan Gaming & Entertainment 549300UB083Z2NRDHC48 608328BF6 200000.00000000 PA USD 148000.00000000 0.017583606307 Long DBT CORP US Y 2 2024-10-15 Fixed 7.87500000 N N N N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 893647BJ5 960000.00000000 PA USD 861600.00000000 0.102365102663 Long DBT CORP US Y 2 2027-11-15 Fixed 5.50000000 N N N N N N Samarco Mineracao S.A. 529900U8HKV15GJC4O60 P84050AB2 200000.00000000 PA USD 77000.00000000 0.009148227605 Long DBT NUSS BR N 2 2023-10-24 Floating 5.74999920 Y N N N N N UBER TECHNOLOGIES, INC. 549300B2FTG34FILDR98 90353TAE0 1200000.00000000 PA USD 1184640.00000000 0.140744887673 Long DBT CORP US Y 2 2027-09-15 Fixed 7.50000000 N N N N N N PRUDENTIAL FINANCIAL, INC. 5PRBRS5FEH7NREC8OR45 744320AM4 600000.00000000 PA USD 563820.00000000 0.066986411541 Long DBT CORP US N 2 2043-06-15 Fixed 5.62500000 N N N N N N ETERNA CAPITAL PTE. LTD. N/A Y2R4BYAB1 43295.00000000 PA USD 21668.72000000 0.002574420551 Long DBT NUSS SG N 2 2022-12-11 Fixed 8.00000000 N N N N N N CALATLANTIC GROUP, INC. N/A 128195AN4 330000.00000000 PA USD 305662.50000000 0.036315196370 Long DBT CORP US N 2 2026-06-01 Fixed 5.25000000 N N N N N N SOUND POINT CLO N/A 83614BAA7 710000.00000000 PA USD 667924.69000000 0.079354897241 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 3.40088040 N N N N N N Ukraine 6354001WLTJXOMEXPY07 N/A 670000.00000000 PA USD 619187.20000000 0.073564486183 Long DBT NUSS UA N 2 2024-02-01 Fixed 8.99400000 N N N N N N MARTIN MARIETTA MATERIALS, INC. 5299005MZ4WZECVATV08 573284106 274.00000000 NS USD 51849.02000000 0.006160086183 Long EC US N 1 N N N CORE & MAIN HOLDINGS, LP N/A 21871MAA1 650000.00000000 PA USD 594750.00000000 0.070661147642 Long DBT CORP US Y 2 2024-09-15 Fixed 8.62500000 N N Y N N N HUNTINGTON INGALLS INDUSTRIES, INC. 5TZLZ6WJTBVJ0QWBG121 446413106 177.00000000 NS USD 32251.17000000 0.003831701866 Long EC US N 1 N N N KAISA GROUP HOLDINGS LTD. 254900N8L3L7NRJT0120 N/A 200000.00000000 PA USD 163513.45000000 0.019426730612 Long DBT NUSS KY N 2 2022-06-30 Fixed 8.50000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 680000.00000000 PA 639107.63000000 0.075931195633 Long DBT NUSS EG N 2 2026-04-16 Fixed 4.75000000 N N N N N N IRON MOUNTAIN INCORPORATED SQL3F6CKNNBM3SQGHX24 46284V101 1253.00000000 NS USD 29821.40000000 0.003543025385 Long EC US N 1 N N N The Government of Belize 529900096070LUHXVI62 P16394AG6 165000.00000000 PA USD 83737.50000000 0.009948697521 Long DBT NUSS XX N 2 2034-02-20 Floating 4.93750080 N Y N N N N Huarong Finance II Co., Ltd. 549300BHVD63HE2GHX17 N/A 610000.00000000 PA USD 619445.09000000 0.073595125617 Long DBT NUSS VG N 2 2026-06-03 Fixed 4.62500000 N N N N N N HALSEYPOINT CLO N/A 40638CAC3 290000.00000000 PA USD 155684.18000000 0.018496549522 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 10.32999840 N N N N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SBA3 380000.00000000 PA USD 228000.00000000 0.027088258365 Long DBT NUSS LK Y 2 2024-06-28 Fixed 6.35000000 N N N N N N Government National Mortgage Association N/A 38382BBF9 2976221.19000000 PA USD 365457.34000000 0.043419310733 Long DBT USGA US N 2 2049-12-20 Fixed 3.50000000 N N N N N N J. B. HUNT TRANSPORT SERVICES, INC. 549300XCD1MPI1C5GK90 445658107 373.00000000 NS USD 34401.79000000 0.004087213051 Long EC US N 1 N N N UNIVAR SOLUTIONS USA INC. 5493008FTB9VZW6CVA82 91337CAA4 300000.00000000 PA USD 273000.00000000 0.032434625147 Long DBT CORP US Y 2 2027-12-01 Fixed 5.12500000 N N N N N N Lowe`s Companies, Inc. WAFCR4OKGSC504WU3E95 548661DW4 341000.00000000 PA USD 411705.58000000 0.048913978602 Long DBT CORP US N 2 2050-04-15 Fixed 5.12500000 N N N N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SAR7 250000.00000000 PA USD 147500.00000000 0.017524202231 Long DBT NUSS LK Y 2 2026-07-18 Fixed 6.82500000 N N N N N N Republic of Zambia 2549001MFDXXJB4IQU56 N/A 760000.00000000 PA USD 315400.00000000 0.037472090738 Long DBT NUSS ZM N 2 2022-09-20 Fixed 5.37500000 N N N N N N Jazz Investments I Limited N/A 472145AD3 240000.00000000 PA USD 209813.62000000 0.024927568188 Long DBT CORP BM N 2 2024-08-15 Fixed 1.50000000 N N N N N N Republica de Mocambique N/A N/A 220000.00000000 PA USD 165044.00000000 0.019608572428 Long DBT NUSS MZ N 2 2031-09-15 Fixed 5.00000000 N N N N N N STANLEY BLACK & DECKER, INC. 549300DJ09SMTO561131 854502AH4 650000.00000000 PA USD 692886.49000000 0.082320562538 Long DBT CORP US N 2 2028-11-15 Fixed 4.25000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 N/A 200000.00000000 PA USD 242508.00000000 0.028811927015 Long DBT NUSS QA N 2 2048-04-23 Fixed 5.10300000 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CY9 300000.00000000 PA USD 129626.12000000 0.015400639602 Long DBT CORP US N 2 2049-08-15 Fixed 4.40000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967JZ5 700000.00000000 PA USD 616000.00000000 0.073185820845 Long DBT CORP US N 2 2169-02-15 Fixed 5.95000000 N N N N N N LEIDOS HOLDINGS, INC. 549300IUTGTP6EJP8124 525327102 600.00000000 NS USD 54990.00000000 0.006533260208 Long EC US N 1 N N N DISH NETWORK CORPORATION 529900U350CWHH15G169 25470MAB5 490000.00000000 PA USD 397807.24000000 0.047262742528 Long DBT CORP US N 2 2026-08-15 Fixed 3.37500000 N N N N N N Nouryon Finance B.V. 549300GD4NJGLPVYB245 85529VAA2 650000.00000000 PA USD 616947.50000000 0.073298391568 Long DBT NUSS NL Y 2 2026-10-01 Fixed 8.00000000 N N N N N N COMPAGNIE DE CHEMIN DE FER CANADIEN PACIFIQUE 54930036474DURYNB481 13648TAA5 200000.00000000 PA USD 185926.58000000 0.022089593140 Long DBT NUSS CA N 2 2030-03-05 Fixed 2.05000000 N N N N N N BLUEMOUNTAIN CLO LTD. N/A 09628CAG1 1000000.00000000 PA USD 588091.00000000 0.069870004167 Long ABS-CBDO CORP KY N 2 2027-07-18 Floating 7.01912880 N N N N N N Post Holdings, Inc. JM1I5YUAURL6DC8N1468 737446AQ7 429000.00000000 PA USD 410767.50000000 0.048802527052 Long DBT CORP US Y 2 2030-04-15 Fixed 4.62500000 N N N N N N DELTA AIR LINES, INC. Q2CCMS6R0AS67HJMBN42 247361702 2384.00000000 NS USD 68015.52000000 0.008080798151 Long EC US N 1 N N N L3HARRIS TECHNOLOGIES, INC. 549300UTE50ZMDBG8A20 502431109 950.00000000 NS USD 171114.00000000 0.020329737902 Long EC US N 1 N N N Republique du Senegal 549300NP14ZLQGWIUZ97 N/A 230000.00000000 PA 227433.93000000 0.027021004635 Long DBT NUSS SN N 2 2028-03-13 Fixed 4.75000000 N N N N N N AMERIGAS PARTNERS, L.P. H36E1IF6YS0OBMHM6168 030981AJ3 75000.00000000 PA USD 71835.00000000 0.008534583507 Long DBT CORP US N 2 2026-08-20 Fixed 5.87500000 N N N N N N BOMBARDIER INC. W7L3VLU8EHQY34Z36697 097751BM2 350000.00000000 PA USD 250075.00000000 0.029710948292 Long DBT NUSS CA Y 2 2025-03-15 Fixed 7.50000000 N N N N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023BX2 425000.00000000 PA USD 399846.09000000 0.047504974527 Long DBT CORP US N 2 2028-03-01 Fixed 3.25000000 N N N N N N ESH HOSPITALITY, INC. 54930042FMK7X7SQ2896 26907YAB0 420000.00000000 PA USD 327600.00000000 0.038921550177 Long DBT CORP US Y 2 2027-10-01 Fixed 4.62500000 N N N N N N Islamic Republic of Pakistan 529900LOP29R5WKHOD86 N/A 370000.00000000 PA USD 322455.00000000 0.038310282241 Long DBT NUSS PK N 2 2025-09-30 Fixed 8.25000000 N N N N N N TENET HEALTHCARE CORPORATION 0W9AIBT6U6ADJ2I8HK17 88033GCX6 200000.00000000 PA USD 195000.00000000 0.023167589391 Long DBT CORP US Y 2 2027-02-01 Fixed 6.25000000 N N N N N N ALLEN MEDIA, LLC N/A 01771YAA8 760000.00000000 PA USD 622174.00000000 0.073919342368 Long DBT CORP US Y 2 2028-02-15 Fixed 10.50000000 N N N N N N NETFLIX, INC. 549300Y7VHGU0I7CE873 64110L106 1887.00000000 NS USD 708568.50000000 0.084183713146 Long EC US N 1 N N N EURO N/A N/A 1.00000000 NC -30612.25000000 -0.00363698481 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 1607330.17000000 USD 1436160.00000000 EUR 2020-04-17 -30612.25000000 N N N BUCKEYE PARTNERS, L.P. 549300C1PQJLVEIUBK50 118230AR2 865000.00000000 PA USD 709040.50000000 0.084239790593 Long DBT CORP US N 2 2027-12-01 Fixed 4.12500000 N N N N N N Romania 259400VHILGGKLBNL383 N/A 150000.00000000 PA 174668.36000000 0.020752024841 Long DBT NUSS RO Y 2 2049-04-03 Fixed 4.62500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFH7 1050000.00000000 PA USD 1116795.30000000 0.132684384329 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N ARTHUR J. GALLAGHER & CO. 54930049QLLMPART6V29 363576109 815.00000000 NS USD 66430.65000000 0.007892502677 Long EC US N 1 N N N CGMS COMMERCIAL MORTGAGE TRUST N/A 125333AG9 1620000.00000000 PA USD 1559359.19000000 0.185264581677 Long ABS-MBS US N 2 2030-07-10 Floating 3.75239880 N N N N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123CJ7 530000.00000000 PA USD 441225.00000000 0.052421126303 Long DBT NUSS TR N 2 2026-04-14 Fixed 4.25000000 N N N N N N Adani Electricity Mumbai Ltd 335800AIC1B5EBFVUC38 00654GAA1 230000.00000000 PA USD 188569.07000000 0.022403542490 Long DBT NUSS IN Y 2 2030-02-12 Fixed 3.94900000 N N N N N N ILLUMINA, INC. SQ95QG8SR5Q56LSNF682 452327109 648.00000000 NS USD 176981.76000000 0.021026875617 Long EC US N 1 N N N ROCKWELL AUTOMATION, INC. VH3R4HHBHH12O0EXZJ88 773903109 486.00000000 NS USD 73342.26000000 0.008713658280 Long EC US N 1 N N N KINDER MORGAN, INC. 549300WR7IX8XE0TBO16 49456B101 8429.00000000 NS USD 117331.68000000 0.013939959922 Long EC US N 1 N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 30000.00000000 PA USD 5400.00000000 0.000641564013 Long DBT NUSS LB N 2 2026-11-27 Fixed 6.60000000 Y N N N N N STARBUCKS CORPORATION OQSJ1DU9TAOC51A47K68 855244109 5122.00000000 NS USD 336720.28000000 0.040005113777 Long EC US N 1 N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599DL6 180000.00000000 PA USD 84004.44000000 0.009980412168 Long DBT CORP US N 2 2046-03-15 Fixed 6.60000000 N N N N N N AEGIS ASSET BACKED SECURITIES TRUST N/A 00764MHE0 990000.00000000 PA USD 826727.12000000 0.098221920280 Long ABS-MBS US N 2 2035-12-25 Floating 2.05674840 N N N N N N GLOBAL PAYMENTS INC. 549300NOMHGVQBX6S778 37940X102 1321.00000000 NS USD 190527.83000000 0.022636259143 Long EC US N 1 N N N Mylan N.V. 549300A0CD4KNFGIIS89 N59465109 2195.00000000 NS USD 32727.45000000 0.003888287812 Long EC NL N 1 N N N ArcelorMittal S.A. 2EULGUTUI56JI9SAL165 03938LAZ7 370000.00000000 PA USD 366265.77000000 0.043515358807 Long DBT NUSS LU N 2 2025-06-01 Fixed 6.12500000 N N N N N N CHARLES RIVER LABORATORIES INTERNATIONAL, INC. 549300BSQ0R4UZ5KX287 159864AE7 300000.00000000 PA USD 289170.00000000 0.034355752944 Long DBT CORP US Y 2 2028-05-01 Fixed 4.25000000 N N N N N N Allergan plc 635400FWJZQC1IPYUH69 G0177J108 1403.00000000 NS USD 248471.30000000 0.029520415660 Long EC IE N 1 N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CW8 1700000.00000000 PA USD 1798315.05000000 0.213654485509 Long DBT CORP US N 2 2025-03-25 Fixed 4.10000000 N N N N N N Cboe Global Markets, Inc. 529900RLNSGA90UPEH54 12503M108 463.00000000 NS USD 41322.75000000 0.004909479510 Long EC US N 1 N N N CENTURYLINK, INC. 8M3THTGWLTYZVE6BBY25 156700AS5 1200000.00000000 PA USD 1215012.00000000 0.144353328827 Long DBT CORP US N 2 2022-03-15 Fixed 5.80000000 N N N N N N N/A N/A N/A 108.00000000 NC USD 328860.00000000 0.039071248446 N/A DIR XX N 1 JPM CHASE N/A Put Purchased N/A Put Option 2200 May 2020 on S&P 500 Future (e-Mini) Jun 2020 5400.00000000 200.00000000 USD 2020-05-18 XXXX -384082.32000000 N N N THE MOSAIC COMPANY 2YD5STGSJNMUB7H76907 61945C103 1663.00000000 NS USD 17993.66000000 0.002137793469 Long EC US N 1 N N N Capri Holdings Limited 549300LPG8W0H1OX3A26 G1890L107 608.00000000 NS USD 6560.32000000 0.000779419487 Long EC VG N 1 N N N FAIR ISAAC CORPORATION RI6HET5SJUEY30V1PS26 303250AF1 110000.00000000 PA USD 104225.00000000 0.012382779509 Long DBT CORP US Y 2 2028-06-15 Fixed 4.00000000 N N N N N N AIB GROUP PUBLIC LIMITED COMPANY 635400AKJBGNS5WNQL34 00135TAA2 550000.00000000 PA USD 548993.07000000 0.065224851406 Long DBT NUSS IE Y 2 2023-10-12 Fixed 4.75000000 N N N N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -107448.17000000 -0.01276571837 N/A DFE BR N 2 GOLDMAN, SACHS & CO. N/A 572715.42000000 USD 2416000.00000000 BRL 2020-04-17 -107448.17000000 N N N FREEPORT-MCMORAN INC. 549300IRDTHJQ1PVET45 35671DAU9 33000.00000000 PA USD 31886.25000000 0.003788346396 Long DBT CORP US N 2 2022-03-01 Fixed 3.55000000 N N N N N N BORGWARNER INC. 549300DSFX2IE88NSX47 099724106 797.00000000 NS USD 19422.89000000 0.002307597642 Long EC US N 1 N N N ICICI Bank Ltd (Hong Kong Branch) N/A Y3860XAC7 420000.00000000 PA USD 426104.28000000 0.050624661522 Long DBT NUSS IN N 2 2020-11-16 Fixed 5.75000000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HR4 230000.00000000 PA USD 60952.30000000 0.007241630045 Long DBT NUSS AR N 2 2048-01-11 Fixed 6.87500000 N N N N N N CERNER CORPORATION 549300L4UJ40IEVVI304 156782104 1329.00000000 NS USD 83713.71000000 0.009945871075 Long EC US N 1 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VER1 675000.00000000 PA USD 767691.18000000 0.091207969422 Long DBT CORP US N 2 2028-09-21 Fixed 4.32900000 N N N N N N NVIDIA CORPORATION 549300S4KLFTLO7GSQ80 67066GAH7 490000.00000000 PA USD 532792.35000000 0.063300073823 Long DBT CORP US N 2 2050-04-01 Fixed 3.50000000 N N N N N N GENERAL DYNAMICS CORPORATION 9C1X8XOOTYY2FNYTVH06 369550108 1031.00000000 NS USD 136411.61000000 0.016206811121 Long EC US N 1 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 455780CQ7 900000.00000000 PA USD 872970.34000000 0.103715991732 Long DBT NUSS ID N 2 2030-02-14 Fixed 2.85000000 N N N N N N THE HOME DEPOT, INC. QEKMOTMBBKA8I816DO57 437076102 4701.00000000 NS USD 877723.71000000 0.104280730831 Long EC US N 1 N N N MEG Energy Corp. 5493002WXPTG5ZC1T326 552704AE8 570000.00000000 PA USD 281648.40000000 0.033462125558 Long DBT NUSS CA Y 2 2027-02-01 Fixed 7.12500000 N N N N N N Republica de Guatemala 529900QKDFFU9UWW5315 P5015VAE6 790000.00000000 PA USD 766300.00000000 0.091042685899 Long DBT NUSS GT N 2 2028-02-13 Fixed 4.87500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JVL0 2675000.00000000 PA USD 2805019.93000000 0.333259230626 Long DBT CORP US N 2 2024-10-23 Fixed 3.70000000 N N N N N N THE DUN & BRADSTREET CORPORATION RI37BMPWE56BCJ747E14 26483EAJ9 1150000.00000000 PA USD 1196000.00000000 0.142094548265 Long DBT CORP US Y 2 2026-08-15 Fixed 6.87500000 N N N N N N THE REPUBLIC OF KENYA 549300VVURQQYU45PR87 491798AK0 910000.00000000 PA USD 834446.34000000 0.099139026533 Long DBT NUSS KE Y 2 2032-05-22 Fixed 8.00000000 N N N N N N HORMEL FOODS CORPORATION MSD54751OJP1FS2ND863 440452100 1192.00000000 NS USD 55594.88000000 0.006605124882 Long EC US N 1 N N N MARKETAXESS HOLDINGS INC. 5493002U1CA1XJOVID83 57060D108 158.00000000 NS USD 52546.06000000 0.006242900216 Long EC US N 1 N N N Republica de Guatemala 529900QKDFFU9UWW5315 401494AP4 790000.00000000 PA USD 758400.00000000 0.090104101508 Long DBT NUSS GT Y 2 2027-06-05 Fixed 4.37500000 N N N N N N CBRE GROUP, INC. 52990016II9MJ2OSWA10 12504L109 1365.00000000 NS USD 51474.15000000 0.006115548571 Long EC US N 1 N N N NORTONLIFELOCK INC. YF6ZV0M6AU4FY94MK914 668771108 2488.00000000 NS USD 46550.48000000 0.005530576444 Long EC US N 1 N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAE4 1530000.00000000 PA USD 1422900.00000000 0.169052117664 Long DBT CORP US Y 2 2023-11-15 Fixed 5.75000000 N N N N N N N/A N/A N/A 357.00000000 NC USD 45869145.00000000 5.449628292727 N/A DE US N 1 CREDIT SUISSE FIRST BOSTON LLC. N/A Long S&P 500 Future Jun 2020 N/A N/A 2020-06-22 46673625.41000000 USD -804480.41000000 N N N Republica Federativa do Brasil 254900ZFY40OYEADAP90 N/A 11500000.00000000 PA 2515884.46000000 0.298907580127 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N LABORATORY CORPORATION OF AMERICA HOLDINGS OZ7UA8IXAIFILY2VZH07 50540R409 438.00000000 NS USD 55358.82000000 0.006577079030 Long EC US N 1 N N N PRIME SECURITY SERVICES BORROWER, LLC 549300O6QPZVWXV2DC15 74166MAC0 310000.00000000 PA USD 303800.00000000 0.036093916189 Long DBT CORP US Y 2 2026-04-15 Fixed 5.75000000 N N N N N N BERRY PETROLEUM COMPANY, LLC DQ2XTZKV7SILNNV77403 08580BAA4 1000000.00000000 PA USD 400000.00000000 0.047523260289 Long DBT CORP US Y 2 2026-02-15 Fixed 7.00000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 91087BAG5 450000.00000000 PA USD 444829.50000000 0.052849370282 Long DBT NUSS MX N 2 2050-01-31 Fixed 4.50000000 N N N N N N EURO N/A N/A 1.00000000 NC -28540.56000000 -0.00339085115 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 2923587.60000000 USD 2636000.00000000 EUR 2020-04-28 -28540.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 30269.23000000 0.003596231240 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1248710000.00000000 KRW 1055839.75000000 USD 2020-04-17 30269.23000000 N N N United States of America N/A N/A 174.00000000 NC USD 38346609.38000000 4.555889746961 N/A DIR US N 1 CITICORP SECURITY SERVICES INC. N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Jun 2020 2020-07-03 38080186.16000000 USD 266423.22000000 N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 526057104 1262.00000000 NS USD 48208.40000000 0.005727550853 Long EC US N 1 N N N CHESAPEAKE ENERGY CORPORATION X2MT1W32SPAZ9WSKLE78 165167DA2 50000.00000000 PA USD 3750.00000000 0.000445530565 Long DBT CORP US N 2 2024-10-01 Fixed 7.00000000 N N N N N N CORECIVIC, INC. 529900JFA3K6PTLT8B15 22025YAP5 1000000.00000000 PA USD 910000.00000000 0.108115417158 Long DBT CORP US N 2 2023-05-01 Fixed 4.62500000 N N N N N N FIRST QUANTUM MINERALS LTD. 549300I7UVBGWRYMYZ18 335934AK1 310000.00000000 PA USD 260981.25000000 0.031006699686 Long DBT NUSS CA Y 2 2023-04-01 Fixed 7.25000000 N N N N N N DUPONT DE NEMOURS, INC. 5493004JF0SDFLM8GD76 26078JAB6 250000.00000000 PA USD 263240.09000000 0.031275068289 Long DBT CORP US N 2 2023-11-15 Fixed 4.20500000 N N N N N N Government National Mortgage Association N/A 38381AQC3 981089.27000000 PA USD 139669.14000000 0.016593832236 Long DBT USGA US N 2 2048-10-20 Floating 4.50299880 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 251525AX9 400000.00000000 PA USD 267800.00000000 0.031816822763 Long DBT NUSS DE N 2 2168-04-30 Fixed 6.00000000 N N N N N N CBOM FINANCE PUBLIC LIMITED COMPANY 635400Y22HQLUDCVZX38 N/A 470000.00000000 PA USD 343278.60000000 0.040784295649 Long DBT NUSS IE N 2 2027-10-05 Fixed 7.50000000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBR9 730000.00000000 PA USD 750884.61000000 0.089211211920 Long DBT CORP US Y 2 2039-11-21 Fixed 4.05000000 N N N N N N BANFF MERGER SUB INC. 549300DSDR5SWIGOZV63 05988LAA6 200000.00000000 PA USD 176000.00000000 0.020910234527 Long DBT CORP US Y 2 2026-09-01 Fixed 9.75000000 N N N N N N TELECOM ITALIA SPA 549300W384M3RI3VXU42 87927YAA0 1950000.00000000 PA USD 1959867.00000000 0.232848173934 Long DBT NUSS IT Y 2 2024-05-30 Fixed 5.30300000 N N N N N N Republique de Cote d'Ivoire 254900ICW11T82O6H590 AR7769417 100000.00000000 PA 92662.69000000 0.011009082839 Long DBT NUSS CI Y 2 2048-03-22 Fixed 6.62500000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCK6 300000.00000000 PA USD 209253.00000000 0.024860961963 Long DBT NUSS MX N 2 2028-02-12 Fixed 5.35000000 N N N N N N DEERFIELD DAKOTA HOLDING LLC N/A N/A 250000.00000000 PA USD 210000.00000000 0.024949711651 Long LON XX N 2 2027-03-05 Floating 0.00000000 N N N N N N MARATHON PETROLEUM CORPORATION 3BNYRYQHD39K4LCKQF12 56585AAG7 350000.00000000 PA USD 310303.16000000 0.036866544603 Long DBT CORP US N 2 2024-09-15 Fixed 3.62500000 N N N N N N MCGRAW HILL N/A N/A 300000.00000000 PA USD 250562.43000000 0.029768858949 Long LON XX N 3 2022-04-20 Floating 11.00000160 N N N N N N RAYMOND JAMES FINANCIAL, INC. RGUZHJ05YTITL6D76949 754730AG4 400000.00000000 PA USD 416100.22000000 0.049436097653 Long DBT CORP US N 2 2030-04-01 Fixed 4.65000000 N N N N N N WALMART INC. Y87794H0US1R65VBXU25 931142103 6109.00000000 NS USD 694104.58000000 0.082465281558 Long EC US N 1 N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123BJ8 1980000.00000000 PA USD 1548470.88000000 0.183970961702 Long DBT NUSS TR N 2 2041-01-14 Fixed 6.00000000 N N N N N N TALEN ENERGY SUPPLY, LLC K5K33XN0PQAU1XF7NN66 87422VAF5 1450000.00000000 PA USD 1310365.00000000 0.155682042423 Long DBT CORP US Y 2 2027-05-15 Fixed 7.25000000 N N N N N N Petroleos de Venezuela, S.A. 549300YWR8TN1OFD4P06 N/A 8860000.00000000 PA USD 399497.40000000 0.047463547312 Long DBT NUSS XX N 2 2022-10-28 Fixed 6.00000000 Y N N N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 N/A 1050000.00000000 PA USD 898682.40000000 0.106770794031 Long DBT NUSS IT N 2 2168-06-03 Fixed 8.00000000 N N N N N N Federal National Mortgage Association N/A 3136B0LQ7 1987351.04000000 PA USD 280004.45000000 0.033266810898 Long DBT USGA US N 2 2048-01-25 Floating 5.20337160 N N N N N N EMC CORPORATION KDMDXRWU7UTJ30FC8R59 268648AN2 1650000.00000000 PA USD 1624755.00000000 0.193034136929 Long DBT CORP US N 2 2023-06-01 Fixed 3.37500000 N N N N N N ENERGY TRANSFER OPERATING, L.P. 5493008K8W3OKZE54J59 29278NAC7 3225000.00000000 PA USD 2817117.87000000 0.334696564505 Long DBT CORP US N 2 2023-09-15 Fixed 4.20000000 N N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 400000.00000000 PA USD 72048.00000000 0.008559889643 Long DBT NUSS LB N 2 2027-11-29 Fixed 6.75000000 Y N N N N N Republic of Armenia 5299000H77JSW90G7935 042207AC4 290000.00000000 PA USD 255437.80000000 0.030348092642 Long DBT NUSS AM Y 2 2029-09-26 Fixed 3.95000000 N N N N N N QORVO, INC. 254900YAUJV2EUEVBR11 74736K101 515.00000000 NS USD 41524.45000000 0.004933443114 Long EC US N 1 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAH4 1250000.00000000 PA USD 968842.88000000 0.115106430914 Long DBT NUSS KY Y 2 2025-02-15 Fixed 2.87500000 N N N N N N SUBURBAN PROPANE PARTNERS, L.P. JJAX4X60DE65EYFOTY73 864486AH8 250000.00000000 PA USD 235000.00000000 0.027919915420 Long DBT CORP US N 2 2024-06-01 Fixed 5.50000000 N N N N N N CATSKILL PARK CLO LTD N/A 149421AA7 900000.00000000 PA USD 520012.80000000 0.061781759120 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 7.81913160 N N N N N N ArcelorMittal S.A. 2EULGUTUI56JI9SAL165 03938LBB9 20000.00000000 PA USD 18229.56000000 0.002165820312 Long DBT NUSS LU N 2 2024-07-16 Fixed 3.60000000 N N N N N N BAUSCH HEALTH COMPANIES INC. B3BS7ACMDUWISF18KY76 071734AH0 325000.00000000 PA USD 307677.50000000 0.036554594794 Long DBT NUSS CA Y 2 2028-01-30 Fixed 5.00000000 N N N N N N PACCAR INC KDTEY8BWE486IKZ3CC07 693718108 1512.00000000 NS USD 92428.56000000 0.010981266287 Long EC US N 1 N N N LINCOLN NATIONAL CORPORATION EFQMQROEDSNBRIP7LE47 534187109 899.00000000 NS USD 23661.68000000 0.002811200443 Long EC US N 1 N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 Y8137FAE8 570000.00000000 PA USD 336289.61000000 0.039953946671 Long DBT NUSS LK N 2 2025-11-03 Fixed 6.85000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AT5 400000.00000000 PA USD 367706.66000000 0.043686548283 Long DBT CORP US Y 2 2024-03-12 Fixed 4.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -11667.24000000 -0.00138616320 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 790000.00000000 EUR 855650.58000000 USD 2020-04-17 -11667.24000000 N N N BERRY GLOBAL, INC. 549300AP2Q7ERHX6RI89 085770AB1 550000.00000000 PA USD 568216.00000000 0.067508692171 Long DBT CORP US Y 2 2027-07-15 Fixed 5.62500000 N N N N N N CSMC MORTGAGE TRUST N/A 12656DAA1 950000.00000000 PA USD 861598.89000000 0.102364970786 Long ABS-MBS US N 2 2041-12-15 Fixed 3.15950000 N N N N N N VOC ESCROW LTD N/A 91832VAA2 694000.00000000 PA USD 507418.10000000 0.060285406104 Long DBT NUSS BM Y 2 2028-02-15 Fixed 5.00000000 N N N N N N Freddie Mac N/A 35563PES4 1720000.00000000 PA USD 1330937.03000000 0.158126167263 Long ABS-MBS US N 2 2057-05-25 Floating 4.74999840 N N N N N N THE THIRD PAKISTAN INTERNATIONAL SUKUK COMPANY LIMITED 529900OMZDJ2H3CXKF72 N/A 630000.00000000 PA USD 588503.16000000 0.069918972134 Long DBT NUSS PK N 2 2022-12-05 Fixed 5.62500000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XA6 200000.00000000 PA USD 186500.00000000 0.022157720109 Long DBT CORP US N 2 2022-01-09 Fixed 3.21900000 N N N N N N CRESTWOOD MIDSTREAM PARTNERS LP 549300VJQPPSEJPBNA66 226373AQ1 596000.00000000 PA USD 327627.16000000 0.038924777006 Long DBT CORP US Y 2 2027-05-01 Fixed 5.62500000 N N N N N N RADNOR RE/ESSENT N/A 750493AC2 1830000.00000000 PA USD 1328776.73000000 0.157869506015 Long ABS-MBS US N 2 2030-02-25 Floating 3.37674960 N N N N N N Carnival Corporation F1OF2ZSX47CR0BCWA982 143658300 1747.00000000 NS USD 23007.99000000 0.002733536743 Long EC PA N 1 N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 25714PEB0 660000.00000000 PA USD 580800.00000000 0.069003773940 Long DBT NUSS DO Y 2 2049-06-05 Fixed 6.40000000 N N N N N N PPM CLO LTD N/A 69355EAA3 350000.00000000 PA USD 331106.65000000 0.039338168778 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 3.23613000 N N N N N N VOC ESCROW LTD N/A 91832VAA2 790000.00000000 PA USD 577608.50000000 0.068624597727 Long DBT NUSS BM Y 2 2028-02-15 Fixed 5.00000000 N N N N N N PETSMART INC. N/A 71677HAG0 672510.37000000 PA USD 643175.47000000 0.076414488181 Long LON XX N 2 2022-03-11 Floating 5.00000040 N N N N N N Teva Pharmaceutical Finance Netherlands III B.V. 5493004T21MOAFINJP35 88167AAM3 260000.00000000 PA USD 257400.00000000 0.030581217996 Long DBT NUSS NL Y 2 2025-01-31 Fixed 7.12500000 N N N N N N Government National Mortgage Association N/A 38380ABR7 2043089.96300000 PA USD 200311.90000000 0.023798686406 Long DBT USGA US N 2 2045-10-20 Fixed 4.00000000 N N N N N N THE SHERWIN-WILLIAMS COMPANY Z15BMIOX8DDH0X2OBP21 824348AR7 875000.00000000 PA USD 903672.51000000 0.107363659772 Long DBT CORP US N 2 2025-08-01 Fixed 3.45000000 N N N N N N QUALCOMM INCORPORATED H1J8DDZKZP6H7RWC0H53 747525103 4894.00000000 NS USD 331079.10000000 0.039334895614 Long EC US N 1 N N N Dominion Energy, Inc. ILUL7B6Z54MRYCF6H308 25746U109 3516.00000000 NS USD 253820.04000000 0.030155889569 Long EC US N 1 N N N LOCKHEED MARTIN CORPORATION DPRBOZP0K5RM2YE8UU08 539830109 1077.00000000 NS USD 365049.15000000 0.043370814434 Long EC US N 1 N N N BLACKROCK, INC. 549300LRIF3NWCU26A80 09247X101 517.00000000 NS USD 227464.49000000 0.027024635412 Long EC US N 1 N N N KEYCORP RKPI3RZGV1V1FJTH5T61 493267108 4537.00000000 NS USD 47048.69000000 0.005589767852 Long EC US N 1 N N N Federal National Mortgage Association N/A 3136A9BU1 636131.28000000 PA USD 112612.79000000 0.013379317327 Long DBT USGA US N 2 2042-10-25 Floating 5.15337120 N N N N N N THE CLOROX COMPANY 54930044KVSC06Z79I06 189054109 535.00000000 NS USD 92688.75000000 0.011012178980 Long EC US N 1 N N N HARLEY-DAVIDSON, INC. ZDNAWZWXIKMWI51R2A08 412822108 659.00000000 NS USD 12474.87000000 0.001482116235 Long EC US N 1 N N N PIONEER NATURAL RESOURCES COMPANY FY8JBF7CCL2VE4F1B628 723787107 752.00000000 NS USD 52752.80000000 0.006267462613 Long EC US N 1 N N N KEURIG DR PEPPER INC. DYTQ8KRTKO7Y2BVU5K74 49271VAF7 1000000.00000000 PA USD 1093853.12000000 0.129958666350 Long DBT CORP US N 2 2028-05-25 Fixed 4.59700000 N N N N N N MCDONALD'S CORPORATION UE2136O97NLB5BYP9H04 580135101 3276.00000000 NS USD 541686.60000000 0.064356783217 Long EC US N 1 N N N AMERICAN INTERNATIONAL GROUP, INC. ODVCVCQG2BP6VHV36M30 026874DH7 325000.00000000 PA USD 334726.15000000 0.039768194880 Long DBT CORP US N 2 2026-04-01 Fixed 3.90000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967MP3 800000.00000000 PA USD 878942.29000000 0.104425508067 Long DBT CORP US N 2 2031-03-31 Fixed 4.41200000 N N N N N N RUSSIA, FEDERATION OF (GOVERNMENT) 5493004EHVGF71PDBU58 N/A 800000.00000000 PA USD 854412.80000000 0.101511204722 Long DBT NUSS RU Y 2 2029-03-21 Fixed 4.37500000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967HQ7 1250000.00000000 PA USD 1181562.50000000 0.140379255589 Long DBT CORP US N 2 2168-11-15 Fixed 6.30000000 N N N N N N ROBERT HALF INTERNATIONAL INC. 529900VPCUY9H3HLIC08 770323103 536.00000000 NS USD 20234.00000000 0.002403964121 Long EC US N 1 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967424 9481.00000000 NS USD 399339.72000000 0.047444813643 Long EC US N 1 N N N WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORPORATION 06BTX5UWZD0GQ5N5Y745 929740108 773.00000000 NS USD 37204.49000000 0.004420196655 Long EC US N 1 N N N BUCKEYE PARTNERS, L.P. 549300C1PQJLVEIUBK50 118230AN1 245000.00000000 PA USD 203350.00000000 0.024159637449 Long DBT CORP US N 2 2024-10-15 Fixed 4.35000000 N N N N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SAT3 380000.00000000 PA USD 220412.48000000 0.026186799145 Long DBT NUSS LK Y 2 2027-05-11 Fixed 6.20000000 N N N N N N Arch Capital Finance LLC 549300XG4URFY0200M65 03939CAA1 1025000.00000000 PA USD 1035428.69000000 0.123017367865 Long DBT CORP US N 2 2026-12-15 Fixed 4.01100000 N N N N N N USD PUT/CAD CALL N/A USCAP0040 -5355000.00000000 NC USD -12267.08000000 -0.00145742908 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A Put Written N/A N/A -5355000.00000000 1.33350000 USD 2020-06-12 XXXX 43082.20000000 N N N PRIME SECURITY SERVICES BORROWER, LLC 549300O6QPZVWXV2DC15 74166MAE6 330000.00000000 PA USD 284625.00000000 0.033815769899 Long DBT CORP US Y 2 2028-01-15 Fixed 6.25000000 N N N N N N CIT GROUP INC. N8O96ZZJQRFYQUJY7K79 125581GW2 185000.00000000 PA USD 180375.00000000 0.021430020186 Long DBT CORP US N 2 2025-03-07 Fixed 5.25000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AF5 600000.00000000 PA USD 606789.19000000 0.072091501543 Long DBT NUSS CH Y 2 2029-01-12 Fixed 3.86900000 N N N N N N CENT CLO LIMITED N/A 15137KAL3 520000.00000000 PA USD 413109.84000000 0.049080816136 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 4.98125160 N N N N N N OVINTIV EXPLORATION INC. T8W3X1PFLPW2YE0UIP44 651290AQ1 650000.00000000 PA USD 348817.32000000 0.041442340729 Long DBT CORP US N 2 2024-07-01 Fixed 5.62500000 N N N N N N Syngenta Finance N.V. 54930042S3BYCEGOCN86 N/A 200000.00000000 PA 200980.95000000 0.023878175000 Long DBT NUSS NL N 2 2027-09-10 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5469.21000000 0.000649786726 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 265620.44000000 EUR 297086.10000000 USD 2020-04-17 5469.21000000 N N N BBCMS TRUST N/A 05492JAW2 870000.00000000 PA USD 892035.19000000 0.105981051304 Long ABS-MBS US N 2 2052-11-15 Fixed 3.06300000 N N N N N N Freddie Mac N/A 3137G0MD8 1570000.00000000 PA USD 1381597.80000000 0.164145079661 Long DBT USGA US N 2 2029-07-25 Floating 4.87675080 N N N N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SAS5 200000.00000000 PA USD 132000.00000000 0.015682675895 Long DBT NUSS LK Y 2 2022-01-18 Fixed 5.75000000 N N N N N N PRINCIPAL FINANCIAL GROUP, INC. CUMYEZJOAF02RYZ1JJ85 74251V102 1022.00000000 NS USD 32029.48000000 0.003805363287 Long EC US N 1 N N N USD PUT/JPY CALL N/A USJPP0139 -10890000.00000000 NC USD -67110.99000000 -0.00797333261 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A Put Written N/A N/A -10890000.00000000 100.50000000 USD 2020-06-06 XXXX 38467.56000000 N N N FIDELITY NATIONAL INFORMATION SERVICES, INC. 6WQI0GK1PRFVBA061U48 31620M106 2686.00000000 NS USD 326725.04000000 0.038817597797 Long EC US N 1 N N N Sunny Express Enterprises Corp. 254900RHBSC69QS5NZ68 N/A 200000.00000000 PA USD 197371.16000000 0.023449302525 Long DBT NUSS VG N 2 2168-04-23 Fixed 3.35000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JW89 520000.00000000 PA USD 429904.80000000 0.051076194275 Long DBT NUSS EG Y 2 2049-03-01 Fixed 8.70020000 N N N N N N QUANTA SERVICES, INC. SHVRXXEACT60MMH07S24 74762E102 570.00000000 NS USD 18086.10000000 0.002148776094 Long EC US N 1 N N N ANHEUSER-BUSCH INBEV WORLDWIDE INC. 549300CRGMZK3K53BF92 03523TBV9 640000.00000000 PA USD 752252.80000000 0.089373764044 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N Republica del Ecuador 5299003Y2U5XK0A35H71 N/A 1220000.00000000 PA USD 359900.00000000 0.042759053445 Long DBT NUSS EC Y 2 2030-03-27 Fixed 9.50000000 N N N N N N PAYPAL HOLDINGS, INC. 5493005X2GO78EFZ3E94 70450YAD5 1250000.00000000 PA USD 1223693.34000000 0.145384742778 Long DBT CORP US N 2 2026-10-01 Fixed 2.65000000 N N N N N N STERIS plc N/A G8473T100 377.00000000 NS USD 52768.69000000 0.006269350475 Long EC IE N 1 N N N FISERV, INC. GI7UBEJLXYLGR2C7GV83 337738AT5 775000.00000000 PA USD 800472.51000000 0.095102658618 Long DBT CORP US N 2 2026-07-01 Fixed 3.20000000 N N N N N N FEDERAL REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 65412JAH6 690000.00000000 PA USD 463815.24000000 0.055105030941 Long DBT NUSS NG Y 2 2038-02-23 Fixed 7.69600000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 P78625DW0 50000.00000000 PA USD 37000.00000000 0.004395901576 Long DBT NUSS MX N 2 2027-01-23 Fixed 6.49000000 N N N N N N SoftBank Group Corp. 5493003BZYYYCDIO0R13 N/A 200000.00000000 PA USD 150000.00000000 0.017821222608 Long DBT NUSS JP N 2 2169-01-19 Fixed 6.00000000 N N N N N N Jamaica 529900Y93KNSXZI8KK56 470160CB6 740000.00000000 PA USD 791807.40000000 0.094073172923 Long DBT NUSS JM N 2 2045-07-28 Fixed 7.87500000 N N N N N N HEWLETT PACKARD ENTERPRISE COMPANY 549300BX44RGX6ANDV88 42824C109 5281.00000000 NS USD 51278.51000000 0.006092304944 Long EC US N 1 N N N ENVISION HEALTHCARE CORPORATION N/A 29373UAC5 850000.00000000 PA USD 429250.00000000 0.050998398698 Long LON XX N 2 2025-10-10 Floating 5.35338000 N N N N N N ALPHABET INC. 5493006MHB84DD0ZWV18 02079K107 1290.00000000 NS USD 1500024.90000000 0.178215184408 Long EC US N 1 N N N State of Qatar 52990074F6OJOAXK4P65 74727PAY7 620000.00000000 PA USD 751774.80000000 0.089316973748 Long DBT NUSS QA Y 2 2048-04-23 Fixed 5.10300000 N N N N N N ILLINOIS ST N/A 452151LF8 1895000.00000000 PA USD 1881033.85000000 0.223482153167 Long DBT MUN US N 2 2033-06-01 Fixed 5.10000000 N N N N N N FORTIVE CORPORATION 549300MU9YQJYHDQEF63 34959J108 1310.00000000 NS USD 72298.90000000 0.008589698608 Long EC US N 1 N N N CLEAR CHANNEL WORLDWIDE HOLDINGS, INC. N/A 18451QAN8 426000.00000000 PA USD 365295.00000000 0.043400023418 Long DBT CORP US Y 2 2024-02-15 Fixed 9.25000000 N N N N N N FRANKLIN RESOURCES, INC. RIFQSET379FOGTEFKS80 354613101 1278.00000000 NS USD 21329.82000000 0.002534156469 Long EC US N 1 N N N Truist Financial Corporation 549300DRQQI75D2JP341 89832Q109 5850.00000000 NS USD 180414.00000000 0.021434653704 Long EC US N 1 N N N GANNETT HOLDINGS LLC N/A 03967YAB6 836913.86000000 PA USD 795068.17000000 0.094460578976 Long LON XX N 2 2024-11-19 Floating 0.00000000 N N N N N N AMERIPRISE FINANCIAL, INC. 6ZLKQF7QB6JAEKQS5388 03076C106 527.00000000 NS USD 54006.96000000 0.006416467043 Long EC US N 1 N N N MARATHON PETROLEUM CORPORATION 3BNYRYQHD39K4LCKQF12 56585A102 2907.00000000 NS USD 68663.34000000 0.008157764447 Long EC US N 1 N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 170000.00000000 PA USD 30620.40000000 0.003637953098 Long DBT NUSS LB N 2 2024-04-22 Fixed 6.65000000 Y N N N N N SIRIUS XM RADIO INC. WP5O65E6BMU84LNO4227 82967NAU2 400000.00000000 PA USD 403996.00000000 0.047998017659 Long DBT CORP US Y 2 2025-04-15 Fixed 5.37500000 N N N N N N Sasol Financing USA LLC 549300XRB1PFMESFEL85 80386WAA3 1080000.00000000 PA USD 453394.80000000 0.053866997735 Long DBT CORP US N 2 2024-03-27 Fixed 5.87500000 N N N N N N IDEX CORPORATION 549300U5Y5EL6PHYLF13 45167R104 305.00000000 NS USD 42123.55000000 0.005004621077 Long EC US N 1 N N N State of Kuwait 549300FSC1YD0D9XX589 501499AB3 1160000.00000000 PA USD 1203764.48000000 0.143017031775 Long DBT NUSS KW Y 2 2027-03-20 Fixed 3.50000000 N N N N N N MASTERCARD INCORPORATED. AR5L2ODV9HN37376R084 57636Q104 3827.00000000 NS USD 924450.12000000 0.109832209193 Long EC US N 1 N N N THE HOME DEPOT, INC. QEKMOTMBBKA8I816DO57 437076CD2 512000.00000000 PA USD 534939.14000000 0.063555129973 Long DBT CORP US N 2 2050-04-15 Fixed 3.35000000 N N N N N N ROPER TECHNOLOGIES, INC. 54930003T4SXCIWVXY35 776696106 461.00000000 NS USD 143744.41000000 0.017078007528 Long EC US N 1 N N N Freddie Mac N/A 35563PPH6 2230000.00000000 PA USD 2350297.35000000 0.279234481804 Long ABS-MBS US N 2 2059-08-25 Floating 4.25000160 N N N N N N W. W. GRAINGER, INC. 549300TWZSP6O1IH2V34 384802104 201.00000000 NS USD 49948.50000000 0.005934288916 Long EC US N 1 N N N FISERV, INC. GI7UBEJLXYLGR2C7GV83 337738108 2507.00000000 NS USD 238139.93000000 0.028292964696 Long EC US N 1 N N N PISCES MIDCO INC N/A 72431HAB6 989949.75000000 PA USD 836507.54000000 0.099383913893 Long LON XX N 2 2025-04-12 Floating 4.56138000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 37443GAB7 1010000.00000000 PA USD 711686.40000000 0.084554145079 Long DBT NUSS GH Y 2 2032-03-26 Fixed 8.12500000 N N N N N N NIKE, INC. 787RXPR0UX0O0XUXPZ81 654106103 5412.00000000 NS USD 447788.88000000 0.053200968747 Long EC US N 1 N N N MACY'S, INC. 529900NZQ81TIOW3CW52 55616P104 1471.00000000 NS USD 7222.61000000 0.000858104937 Long EC US N 1 N N N THE WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687106 7765.00000000 NS USD 750099.00000000 0.089117875049 Long EC US N 1 N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 25714PDW5 1270000.00000000 PA USD 1117600.00000000 0.132779989248 Long DBT NUSS DO Y 2 2048-02-15 Fixed 6.50000000 N N N N N N BASS PRO GROUP LLC N/A 07014QAK7 558571.43000000 PA USD 466407.14000000 0.055412969787 Long LON XX N 2 2024-09-25 Floating 6.60337920 N N N N N N NUCOR CORPORATION 549300GGJCRSI2TIEJ46 670346105 1223.00000000 NS USD 44052.46000000 0.005233791307 Long EC US N 1 N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958254AB0 290000.00000000 PA USD 187001.14000000 0.022217259626 Long DBT CORP US N 2 2022-07-01 Fixed 4.00000000 N N N N N N HELMERICH & PAYNE, INC. 254900NAOGHJ88RZ4C73 423452101 451.00000000 NS USD 7058.15000000 0.000838565749 Long EC US N 1 N N N NATIONAL OILWELL VARCO, INC. 549300EHF3IW1AR6U008 637071101 1759.00000000 NS USD 17290.97000000 0.002054308169 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2507.95000000 -0.00029796490 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 4740000.00000000 SAR 1259968.10000000 USD 2020-09-24 -2507.95000000 N N N CHENIERE ENERGY, INC. MIHC87W9WTYSYZWV1J40 16411RAG4 670000.00000000 PA USD 328402.10000000 0.039016846194 Long DBT CORP US N 2 2045-03-15 Fixed 4.25000000 N N N N N N CLEVELAND-CLIFFS INC. 549300TM2WLI2BJMDD86 18683KAM3 550000.00000000 PA USD 424875.00000000 0.050478613038 Long DBT CORP US N 2 2025-03-01 Fixed 5.75000000 N N N N N N Mondelez International, Inc. 549300DV9GIB88LZ5P30 609207105 6166.00000000 NS USD 308793.28000000 0.036687158552 Long EC US N 1 N N N CCO HOLDINGS, LLC N/A 1248EPCJ0 410000.00000000 PA USD 399832.00000000 0.047503300520 Long DBT CORP US Y 2 2032-05-01 Fixed 4.50000000 N N N N N N Samarco Mineracao S.A. 529900U8HKV15GJC4O60 P84050AA4 200000.00000000 PA USD 77000.00000000 0.009148227605 Long DBT NUSS BR N 2 2022-11-01 Floating 4.12499880 Y N N N N N POLARIS INTERMEDIATE CORP. N/A 73107GAA1 300000.00000000 PA USD 232500.00000000 0.027622895043 Long DBT CORP US Y 2 2022-12-01 Fixed 8.50000000 N N Y N N N BARRICK NORTH AMERICA FINANCE LLC N/A 06849RAK8 250000.00000000 PA USD 320192.13000000 0.038041434841 Long DBT CORP US N 2 2043-05-01 Fixed 5.75000000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HG8 590000.00000000 PA USD 154290.90000000 0.018331016502 Long DBT NUSS AR N 2 2036-07-06 Fixed 7.12500000 N N N N N N BPCE S.A. 9695005MSX1OYEMGDF46 05583JAE2 500000.00000000 PA USD 535668.91000000 0.063641832597 Long DBT NUSS FR Y 2 2028-09-12 Fixed 4.62500000 N N N N N N SPRINT COMMUNICATIONS, INC 549300JKU50UT08ZWD77 852061AM2 650000.00000000 PA USD 716625.00000000 0.085140891012 Long DBT CORP US N 2 2021-11-15 Fixed 11.50000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AL2 750000.00000000 PA USD 726729.57000000 0.086341396287 Long DBT CORP US Y 2 2025-04-16 Fixed 4.00000000 N N N N N N Federal National Mortgage Association N/A 3136AN2A4 1242512.70300000 PA USD 214780.37000000 0.025517658571 Long DBT USGA US N 2 2045-06-25 Floating 4.47324840 N N N N N N NISOURCE INC. 549300D8GOWWH0SJB189 65473QBE2 1325000.00000000 PA USD 1339490.16000000 0.159142348822 Long DBT CORP US N 2 2027-05-15 Fixed 3.49000000 N N N N N N Banco de Sabadell, S.A. SI5RG2M0WQQLZCXKRM20 N/A 800000.00000000 PA 637457.89000000 0.075735193075 Long DBT NUSS ES N 2 2168-08-18 Fixed 6.50000000 N N N Y Y Banco de Sabadell, S.A. EUR XXXX N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020107 1586.00000000 NS USD 86896.94000000 0.010324064744 Long EC US N 1 N N N CENGAGE LEARNING HOLDINGS II, INC. 5493003VGPEJMW28UG24 15136X102 5114.00000000 NS USD 35798.00000000 0.004253094179 Long EC US N 2 N N N TRACTOR SUPPLY COMPANY 549300OJ9VZHZRO6I137 892356106 511.00000000 NS USD 43205.05000000 0.005133112092 Long EC US N 1 N N N Alcoa Nederland Holding B.V. 5493000UL1QLQLT1VQ42 013822AA9 200000.00000000 PA USD 193940.00000000 0.023041652751 Long DBT NUSS NL Y 2 2024-09-30 Fixed 6.75000000 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CT0 210000.00000000 PA USD 166425.00000000 0.019772646484 Long DBT CORP US N 2 2021-02-08 Floating 2.68413120 N N N N N N COGENT COMMUNICATIONS GROUP, INC. 549300KFWFYF8Q1U0Y26 19240CAA1 530000.00000000 PA USD 532650.00000000 0.063283161482 Long DBT CORP US Y 2 2022-03-01 Fixed 5.37500000 N N N N N N Republica de Guatemala 529900QKDFFU9UWW5315 401494AN9 770000.00000000 PA USD 746900.00000000 0.088737807775 Long DBT NUSS GT Y 2 2026-05-03 Fixed 4.50000000 N N N N N N RANGE RESOURCES CORPORATION H3Y3WLYCX0BTO1TRW162 75281AAU3 196000.00000000 PA USD 141120.00000000 0.016766206230 Long DBT CORP US N 2 2022-07-01 Fixed 5.87500000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 100000.00000000 PA 95460.68000000 0.011341506857 Long DBT NUSS EG N 2 2025-04-11 Fixed 4.75000000 N N N N N N N/A N/A 52473VAA8 651422.94080000 PA USD 587619.52000000 0.069813988500 Long ABS-MBS US N 2 2059-01-25 Fixed 4.00000000 N N N N N N BOFA FINANCE LLC 549300CGZYSEY3ZSIW16 09709THH7 150000.00000000 PA USD 147900.75000000 0.017571814598 Long DBT CORP US N 2 2022-09-01 Fixed 0.12500000 N N N N N N FIRSTENERGY CORP. 549300SVYJS666PQJH88 337932107 2292.00000000 NS USD 91840.44000000 0.010911392838 Long EC US N 1 N N N EXPEDIA GROUP, INC. N/A 30212P303 593.00000000 NS USD 33368.11000000 0.003964403442 Long EC US N 1 N N N THE GAP, INC. T2ZG1WRWZ4BUCMQL9224 364760108 932.00000000 NS USD 6561.28000000 0.000779533543 Long EC US N 1 N N N MELCO RESORTS FINANCE LIMITED N/A 58547DAD1 920000.00000000 PA USD 790705.83000000 0.093942297428 Long DBT NUSS KY Y 2 2029-12-04 Fixed 5.37500000 N N N N N N BHP BILLITON FINANCE (USA) LIMITED 5493003NUVITP3TMY274 055451AX6 230000.00000000 PA USD 243859.80000000 0.028972531873 Long DBT NUSS AU Y 2 2075-10-19 Fixed 6.75000000 N N N N N N BIOGEN INC. W8J5WZB5IY3K0NDQT671 09062X103 780.00000000 NS USD 246776.40000000 0.029319047726 Long EC US N 1 N N N MEG Energy Corp. 5493002WXPTG5ZC1T326 552704AE8 620000.00000000 PA USD 306354.40000000 0.036397399730 Long DBT NUSS CA Y 2 2027-02-01 Fixed 7.12500000 N N N N N N Transportadora de Gas del Sur S.A. 5299002TRC7IFQYSW596 893870AX3 1250000.00000000 PA USD 898450.00000000 0.106743183017 Long DBT NUSS AR Y 2 2025-05-02 Fixed 6.75000000 N N N N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 72650RAZ5 1700000.00000000 PA USD 1553763.16000000 0.184599727702 Long DBT CORP US N 2 2022-06-01 Fixed 3.65000000 N N N N N N TECHNIPFMC PLC 549300D5I93QWCJTCK36 G87110105 1998.00000000 NS USD 13466.52000000 0.001599932337 Long EC GB N 1 N N N NEWELL BRANDS INC. 549300LWGYFM1TVO1Z12 651229AW6 220000.00000000 PA USD 215995.47000000 0.025662022355 Long DBT CORP US N 2 2026-04-01 Fixed 4.20000000 N N N N N N LUKOIL International Finance B.V. 724500LG1GUKJ5TOIW61 N/A 220000.00000000 PA USD 222437.60000000 0.026427399907 Long DBT NUSS NL N 2 2023-04-24 Fixed 4.56300000 N N N N N N ESKOM HOLDINGS SOC LIMITED 3789001900ED06F65111 S25221AV4 500000.00000000 PA USD 425000.00000000 0.050493464057 Long DBT NUSS ZA N 2 2028-08-10 Fixed 6.35000000 N N N N N N BRK: MORGAN STANLEY N/A N/A 4724000.00000000 NC USD -1052682.98000000 -0.12506731815 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2044-11-15 9269.21000000 USD 0.00000000 USD -4724000.00000000 USD -1061952.19000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 1570000.00000000 PA USD 1122550.00000000 0.133368089594 Long DBT NUSS GH N 2 2029-05-16 Fixed 7.62500000 N N N N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 455780CD6 1180000.00000000 PA USD 1160279.73000000 0.137850689043 Long DBT NUSS ID N 2 2028-01-11 Fixed 3.50000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PBB6 690000.00000000 PA USD 812693.04000000 0.096554557188 Long DBT NUSS QA Y 2 2049-03-14 Fixed 4.81700000 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46651JAC7 2367552.41700000 PA USD 61409.57000000 0.007295957448 Long DBT USGA US N 2 2034-07-15 Floating 2.05155720 N N N N N N Gaz Capital S.A. 213800568PRHV2JR9650 368266AV4 500000.00000000 PA USD 518880.00000000 0.061647173247 Long DBT NUSS LU Y 2 2027-03-23 Fixed 4.95000000 N N N N N N CABOT OIL & GAS CORPORATION FCNMH6O7VWU7LHXMK351 127097103 1880.00000000 NS USD 32317.20000000 0.003839546768 Long EC US N 1 N N N THE HERSHEY COMPANY 21X2CX66SU2BR6QTAD08 427866108 627.00000000 NS USD 83077.50000000 0.009870284141 Long EC US N 1 N N N Federal National Mortgage Association N/A 3140JA4J4 349727.48000000 PA USD 387978.09000000 0.046094959394 Long DBT USGA US N 2 2035-01-01 Floating 2.79000000 N N N N N N Freddie Mac N/A 35563PGR4 1125000.00000000 PA USD 805728.60000000 0.095727124951 Long ABS-MBS US N 2 2057-08-25 Floating 4.74999840 N N N N N N CME GROUP INC. LCZ7XYGSLJUHFXXNXD88 12572Q105 1569.00000000 NS USD 271295.79000000 0.032232151109 Long EC US N 1 N N N HARBORVIEW MORTGAGE LOAN TRUST N/A 41162CAD3 2642249.81510000 PA USD 1825375.03000000 0.216869431691 Long ABS-MBS US N 2 2036-11-19 Floating 1.88674920 N N N N N N SPECTRUM BRANDS, INC. 549300VU3EH2E73C1Q04 84762LAV7 75000.00000000 PA USD 63750.00000000 0.007574019608 Long DBT CORP US Y 2 2029-10-01 Fixed 5.00000000 N N N N N N UNITED TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 913017CY3 1050000.00000000 PA USD 1152640.35000000 0.136943068433 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N NABORS INDUSTRIES, INC. 549300VFQWRKICUFNU92 62957HAF2 1180000.00000000 PA USD 259600.00000000 0.030842595927 Long DBT CORP US N 2 2025-02-01 Fixed 5.75000000 N N N N N N EASTMAN CHEMICAL COMPANY FDPVHDGJ1IQZFK9KH630 277432100 653.00000000 NS USD 30416.74000000 0.003613756630 Long EC US N 1 N N N ENDEAVOR ENERGY RESOURCES, L.P. 549300WY5QI80P9WHD46 29260FAE0 320000.00000000 PA USD 217600.00000000 0.025852653597 Long DBT CORP US Y 2 2028-01-30 Fixed 5.75000000 N N N N N N N/A N/A 63874DAA0 870000.00000000 PA USD 834254.31000000 0.099116211804 Long ABS-MBS US N 2 2024-04-18 Floating 3.66874920 N N N N N N Petroleos de Venezuela, S.A. 549300YWR8TN1OFD4P06 N/A 130000.00000000 PA USD 7800.00000000 0.000926703575 Long DBT NUSS VE N 2 2037-04-12 Fixed 5.50000000 Y N N N N N DISCOVERY, INC. 5493006ZCRFWKF6B1K26 25470F302 1539.00000000 NS USD 26994.06000000 0.003207114349 Long EC US N 1 N N N TARGA RESOURCES PARTNERS LP 6OQWTZ1SPC04IFT4T704 87612BAM4 1000000.00000000 PA USD 860000.00000000 0.102175009622 Long DBT CORP US N 2 2023-05-01 Fixed 5.25000000 N N N N N N FIRSTENERGY CORP. 549300SVYJS666PQJH88 337932AL1 800000.00000000 PA USD 745762.80000000 0.088602699146 Long DBT CORP US N 2 2030-03-01 Fixed 2.65000000 N N N N N N Ukraine 6354001WLTJXOMEXPY07 N/A 1010000.00000000 PA USD 944350.00000000 0.112196477135 Long DBT NUSS UA N 2 2023-09-01 Fixed 7.75000000 N N N N N N OVERSEA-CHINESE BANKING CORPORATION LIMITED 5493007O3QFXCPOGWK22 69033DAC1 800000.00000000 PA USD 821890.97000000 0.097647346242 Long DBT NUSS SG N 2 2024-06-19 Fixed 4.25000000 N N N N N N HESS CORPORATION UASVRYNXNK17ULIGK870 42809H107 1133.00000000 NS USD 37728.90000000 0.004482500837 Long EC US N 1 N N N Emirate of Abu Dhabi 213800FER4348CINTA77 29135LAD2 1020000.00000000 PA USD 1005720.00000000 0.119487733345 Long DBT NUSS AE Y 2 2024-09-30 Fixed 2.12500000 N N N N N N BANCO DO BRASIL S.A. N/A P3772WAF9 200000.00000000 PA USD 190000.00000000 0.022573548637 Long DBT NUSS BR N 2 2168-12-18 Fixed 9.00000000 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CU7 820000.00000000 PA USD 644761.26000000 0.076602892958 Long DBT CORP US N 2 2021-08-13 Fixed 2.60000000 N N N N N N UNITED RENTALS (NORTH AMERICA), INC. NGIZXNT70J2LYT3FBI09 911365BL7 330000.00000000 PA USD 329901.00000000 0.039194927731 Long DBT CORP XX N 2 2030-01-15 Fixed 5.25000000 N N N N N N COPPER RIVER CLO LTD. N/A 217563AC9 3000000.00000000 PA USD 3663.55000000 0.000435259600 Long ABS-CBDO CORP KY N 2 2021-01-20 Variable 0.00000000 N N N N N N BRK: BNP PARIBAS (PAS) N/A N/A 411000.00000000 NC USD 3911.69000000 0.000464740655 N/A DIR XX N 2 BRK: BNP PARIBAS (PAS) N/A Y 2050-09-18 0.00000000 USD 0.00000000 USD -411000.00000000 USD 3911.69000000 N N N SHELF DRILLING HOLDINGS, LTD. 54930078ZJ3XP4MRYB68 822538AE4 460000.00000000 PA USD 219880.00000000 0.026123536181 Long DBT NUSS KY Y 2 2025-02-15 Fixed 8.25000000 N N N N N N UDR, INC. P3CH2EG5X6Z1XWU1OO74 902653104 1209.00000000 NS USD 44176.86000000 0.005248571041 Long EC US N 1 N N N CSMC TRUST N/A 12649AAQ2 320000.00000000 PA USD 233858.21000000 0.027784261461 Long ABS-MBS US N 2 2037-09-15 Fixed 4.37330000 N N N N N N FRONERI INTERNATIONAL LIMITED N/A N/A 480000.00000000 PA USD 454800.00000000 0.054033946949 Long LON XX N 2 2027-01-29 Floating 3.85337880 N N N N N N RANGE RESOURCES CORPORATION H3Y3WLYCX0BTO1TRW162 75281ABA6 910000.00000000 PA USD 664300.00000000 0.078924254525 Long DBT CORP US N 2 2023-03-15 Fixed 5.00000000 N N N N N N ADVANCE AUTO PARTS, INC. 529900UCNQ5H9FSL0Y70 00751Y106 313.00000000 NS USD 29209.16000000 0.003470286283 Long EC US N 1 N N N Huarong Finance 2019 Co., Ltd. 549300M6T6OW4AGYHK10 N/A 250000.00000000 PA USD 247522.40000000 0.029407678606 Long DBT NUSS VG N 2 2024-05-29 Fixed 3.75000000 N N N N N N ALLISON TRANSMISSION, INC. MWKQ3I0U1GXP2YDSZW75 019736AD9 100000.00000000 PA USD 97000.00000000 0.011524390620 Long DBT CORP US Y 2 2024-10-01 Fixed 5.00000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 91087BAA8 1200000.00000000 PA USD 1216728.00000000 0.144557203613 Long DBT NUSS MX N 2 2025-01-30 Fixed 3.60000000 N N N N N N CF INDUSTRIES HOLDINGS, INC. 529900CG8YAQFZ2JMV97 125269100 935.00000000 NS USD 25432.00000000 0.003021528889 Long EC US N 1 N N N MOTEL 6 TRUST N/A 61975FAQ2 1203671.79000000 PA USD 610456.95000000 0.072527261325 Long ABS-MBS US N 2 2034-08-15 Floating 5.90850000 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264AAV7 570000.00000000 PA USD 593826.00000000 0.070551368911 Long DBT CORP US N 2 2028-02-01 Fixed 4.75000000 N N N N N N SCIENTIFIC GAMES INTERNATIONAL, INC. RLTHESQ0RNFQJWPBJN60 80874YBA7 700000.00000000 PA USD 448077.00000000 0.053235199751 Long DBT CORP US Y 2 2026-03-15 Fixed 8.25000000 N N N N N N UNITED RENTALS (NORTH AMERICA), INC. NGIZXNT70J2LYT3FBI09 911365BH6 410000.00000000 PA USD 393600.00000000 0.046762888124 Long DBT CORP US N 2 2025-10-15 Fixed 4.62500000 N N N N N N FMC CORPORATION CKDHZ2X64EEBQCSP7013 302491303 544.00000000 NS USD 44439.36000000 0.005279758180 Long EC US N 1 N N N ALLIED UNIVERSAL HOLDCO LLC N/A 019576AA5 580000.00000000 PA USD 569850.00000000 0.067702824689 Long DBT CORP US Y 2 2026-07-15 Fixed 6.62500000 N N N N N N Republica de Angola 549300QHR2R3J8JSGK83 N/A 430000.00000000 PA USD 168193.64000000 0.019982775331 Long DBT NUSS AO N 2 2049-11-26 Fixed 9.12500000 N N N N N N COTY INC. 549300BO9IWPF3S48F93 222070203 1002.00000000 NS USD 5170.32000000 0.000614276157 Long EC US N 1 N N N UNITED RENTALS (NORTH AMERICA), INC. NGIZXNT70J2LYT3FBI09 911365BM5 260000.00000000 PA USD 245700.00000000 0.029191162632 Long DBT CORP US N 2 2027-11-15 Fixed 3.87500000 N N N N N N N/A N/A 02744LAQ3 1420000.00000000 PA USD 1498100.00000000 0.177986490599 Long DBT CORP XX N 2 2026-12-31 Fixed 10.50000000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 37443GAB7 1150000.00000000 PA USD 810336.00000000 0.096274521624 Long DBT NUSS GH Y 2 2032-03-26 Fixed 8.12500000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XQ1 280000.00000000 PA USD 270550.00000000 0.032143545178 Long DBT CORP US N 2 2021-01-15 Fixed 3.20000000 N N N N N N SHOPS AT CRYSTALS TRUST N/A 82510WAL4 885000.00000000 PA USD 701028.50000000 0.083287899689 Long ABS-MBS US N 2 2036-07-05 Floating 3.73110120 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00772BAR2 150000.00000000 PA USD 135849.67000000 0.016140048069 Long DBT NUSS IE N 2 2022-02-01 Fixed 3.95000000 N N N N N N N/A N/A N/A -17300000.00000000 NC USD -742301.30000000 -0.08819144473 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2023-06-20 853179.01000000 USD 0.00000000 USD -17300000.00000000 USD -1595480.31000000 N N N RESIDENTIAL ACCREDIT LOANS INCORPORATED N/A 761118VZ8 1506161.59000000 PA USD 369037.30000000 0.043844639161 Long ABS-MBS US N 2 2046-02-25 Floating 2.16675000 N N N N N N FIRST FRANKLIN MORTGAGE LOAN TRUST N/A 32028GAE5 1686623.95140000 PA USD 1546906.05000000 0.183785047143 Long ABS-MBS US N 2 2036-11-25 Floating 1.78674840 N N N N N N Azarbayjan Respublikasi 549300P74FF45UQVU281 N/A 1200000.00000000 PA USD 1010858.40000000 0.120098217147 Long DBT NUSS AZ N 2 2032-09-01 Fixed 3.50000000 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAD7 160000.00000000 PA USD 136140.04000000 0.016174546391 Long DBT NUSS IE N 2 2023-01-23 Fixed 3.30000000 N N N N N N OCTAGON INVESTMENT PARTNERS, LTD. N/A 67591ABJ9 450000.00000000 PA USD 304007.40000000 0.036118557000 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 7.58125080 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 195325DR3 200000.00000000 PA USD 182500.00000000 0.021682487507 Long DBT NUSS CO N 2 2030-01-30 Fixed 3.00000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 N/A 1050000.00000000 PA USD 1011675.00000000 0.120195235883 Long DBT NUSS CH N 2 2169-02-19 Fixed 7.00000000 N N N N N N Banque Centrale de Tunisie 254900B5LFB16S9T2T11 N/A 440000.00000000 PA 435909.81000000 0.051789638408 Long DBT NUSS TN Y 2 2023-10-31 Fixed 6.75000000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 210000.00000000 PA USD 216789.30000000 0.025756335829 Long DBT NUSS GH N 2 2030-10-14 Fixed 10.75000000 N N N N N N B. RILEY FINANCIAL, INC. N/A 05580M603 6625.00000000 NS USD 134355.00000000 0.015962469090 Long EP US N 2 N N N RUSSIA, FEDERATION OF (GOVERNMENT) 5493004EHVGF71PDBU58 N/A 200000.00000000 PA USD 242000.00000000 0.028751572475 Long DBT NUSS RU N 2 2047-06-23 Fixed 5.25000000 N N N N N N MPT OPERATING PARTNERSHIP, L.P. WUQXXXF7PXTUPGROE843 55342UAH7 673000.00000000 PA USD 652810.00000000 0.077559148873 Long DBT CORP US N 2 2027-10-15 Fixed 5.00000000 N N N N N N Republica del Ecuador 5299003Y2U5XK0A35H71 N/A 210000.00000000 PA USD 58800.00000000 0.006985919262 Long DBT NUSS EC N 2 2024-06-20 Fixed 7.95000000 N N N N N N NORTHERN OIL AND GAS, INC. OKFF0PIZDDMNH4UCYE51 665531AE9 261971.00000000 PA USD 178140.28000000 0.021164517236 Long DBT CORP US Y 2 2023-05-15 Fixed 8.50000000 N N Y N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 9520000.00000000 PA 437978.64000000 0.052035432274 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N AECOM 0EEB8GF0W0NPCIHZX097 00774CAB3 950000.00000000 PA USD 855000.00000000 0.101580968868 Long DBT CORP US N 2 2027-03-15 Fixed 5.12500000 N N N N N N ALLIED UNIVERSAL HOLDCO LLC N/A 01957TAC1 1297022.33000000 PA USD 1193260.54000000 0.141769078088 Long LON XX N 2 2026-07-10 Floating 5.85338040 N N N N N N COMSTOCK RESOURCES, INC. I03QQGEA4SS774AURI46 22304LAA8 1420000.00000000 PA USD 923000.00000000 0.109659923117 Long DBT CORP US Y 2 2025-05-15 Fixed 7.50000000 N N N N N N N/A N/A N/A -5.00000000 NC USD -30000.00000000 -0.00356424452 N/A DIR XX N 1 JPM CHASE N/A Put Written N/A Put Option 2600 Apr 2020 on S&P 500 Future (e-Mini) Jun 2020 -250.00000000 600.00000000 USD 2020-04-20 XXXX -12510.50000000 N N N VISA INC. 549300JZ4OKEHW3DPJ59 92826C839 7384.00000000 NS USD 1189710.08000000 0.141347254502 Long EC US N 1 N N N Performance Food Group, Inc. 549300OMUOGBYK0FFO76 69346VAA7 450000.00000000 PA USD 417375.00000000 0.049587551908 Long DBT CORP US Y 2 2027-10-15 Fixed 5.50000000 N N N N N N HUB INTERNATIONAL LIMITED 549300JQT6ATTUNS5E06 44332PAD3 435000.00000000 PA USD 430650.00000000 0.051164730109 Long DBT CORP US Y 2 2026-05-01 Fixed 7.00000000 N N N N N N PETSMART, INC. N/A 04021LAA8 880000.00000000 PA USD 819500.00000000 0.097363279518 Long DBT CORP US Y 2 2023-03-15 Fixed 7.12500000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCL4 242000.00000000 PA USD 151250.00000000 0.017969732796 Long DBT NUSS MX N 2 2048-02-12 Fixed 6.35000000 N N N N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123AY6 60000.00000000 PA USD 52921.56000000 0.006287512677 Long DBT NUSS TR N 2 2036-03-17 Fixed 6.87500000 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAQ4 150000.00000000 PA USD 147000.00000000 0.017464798156 Long DBT CORP US Y 2 2027-12-15 Fixed 4.25000000 N N N N N N Republica de Guatemala 529900QKDFFU9UWW5315 401494AR0 530000.00000000 PA USD 526030.30000000 0.062496687167 Long DBT NUSS GT Y 2 2050-06-01 Fixed 6.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -41433.18000000 -0.00492259949 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 193760000.00000000 JPY 1755237.81000000 USD 2020-04-17 -41433.18000000 N N N Republique du Senegal 549300NP14ZLQGWIUZ97 N/A 510000.00000000 PA 504310.02000000 0.059916140867 Long DBT NUSS SN Y 2 2028-03-13 Fixed 4.75000000 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62912XAC8 1300000.00000000 PA USD 1294167.54000000 0.153757652154 Long DBT CORP US Y 2 2037-12-15 Fixed 7.76800000 N N N N N N HANESBRANDS INC. GX5LWVWZLL5S4W1L2F20 410345102 1495.00000000 NS USD 11765.65000000 0.001397855118 Long EC US N 1 N N N USD PUT/BRL CALL N/A USBRP0103 5380000.00000000 NC USD 0.01000000 0.000000001188 N/A DFE US N 2 MORGAN STANLEY SMITH BARNEY LLC N/A Put Purchased N/A N/A 5380000.00000000 4.27500000 USD 2020-04-04 XXXX -91083.39000000 N N N CHIPOTLE MEXICAN GRILL, INC. N/A 169656105 110.00000000 NS USD 71984.00000000 0.008552285921 Long EC US N 1 N N N HUNTSMAN INTERNATIONAL LLC 3YTEJFW18LGIUQ2N5J61 44701QBE1 375000.00000000 PA USD 319700.59000000 0.037983035883 Long DBT CORP US N 2 2029-05-01 Fixed 4.50000000 N N N N N N SEALED AIR CORPORATION Q0M0CZB4YN6JZ65WXI09 81211KAK6 411000.00000000 PA USD 411811.73000000 0.048926590087 Long DBT CORP US Y 2 2033-07-15 Fixed 6.87500000 N N N N N N SPIRIT REALTY, L.P. 549300GTBVIBJRX5BW73 84861TAE8 600000.00000000 PA USD 545156.57000000 0.064769043936 Long DBT CORP US N 2 2027-01-15 Fixed 3.20000000 N N N N N N NETFLIX, INC. 549300Y7VHGU0I7CE873 64110LAX4 680000.00000000 PA USD 740996.00000000 0.088036364453 Long DBT CORP US N 2 2029-05-15 Fixed 6.37500000 N N N N N N COPART, INC. 549300KVYX3JWMYEHU61 217204106 900.00000000 NS USD 61668.00000000 0.007326661038 Long EC US N 1 N N N MASTERCARD INCORPORATED. AR5L2ODV9HN37376R084 57636QAQ7 140000.00000000 PA USD 171562.52000000 0.020383025734 Long DBT CORP US N 2 2050-03-26 Fixed 3.85000000 N N N N N N L BRANDS, INC. GR3KVMWVCR54YWQNXU90 501797AN4 1440000.00000000 PA USD 1100016.00000000 0.130690866726 Long DBT CORP US N 2 2028-02-01 Fixed 5.25000000 N N N N N N NOBLE HOLDING INTERNATIONAL LIMITED 549300GNEZBJHMST9U32 65504LAG2 900000.00000000 PA USD 45000.00000000 0.005346366782 Long DBT CORP KY N 2 2041-03-01 Fixed 6.05000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7642.99000000 0.000908049507 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 550000.00000000 EUR 611471.85000000 USD 2020-04-17 7642.99000000 N N N N/A N/A N/A 34.00000000 NC USD 65025.00000000 0.007725500000 N/A DIR XX N 1 CITIGROUP GLOBAL MARKETS N/A Put Purchased N/A Put Option 2300 Apr 2020 on S&P 500 Future (e-Mini) Jun 2020 1700.00000000 300.00000000 USD 2020-04-20 XXXX -174882.70000000 N N N VENTURE CLO LIMITED N/A 92331VAA6 680000.00000000 PA USD 634161.88000000 0.075343600222 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 2.84913000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PAY7 1070000.00000000 PA USD 1297417.80000000 0.154143809534 Long DBT NUSS QA Y 2 2048-04-23 Fixed 5.10300000 N N N N N N CITRIX SYSTEMS, INC. HCTKJGUQOPZ5NBK7NP58 177376100 482.00000000 NS USD 68227.10000000 0.008105935580 Long EC US N 1 N N N Provincia de Buenos Aires 549300L6AYROPOTQ4L07 N/A 63333.33270000 PA USD 19316.67000000 0.002294977840 Long DBT NUSS AR N 2 2021-01-26 Fixed 10.87500000 N N N N N N N/A N/A 69349MAA4 1097639.12100000 PA USD 1051768.34000000 0.124958651465 Long ABS-MBS US N 2 2022-10-27 Floating 3.65913000 N N N N N N GMACM MORTGAGE LOAN TRUST N/A 36185MDB5 1393227.19120000 PA USD 1262757.04000000 0.150025828735 Long ABS-MBS US N 2 2035-12-25 Fixed 6.00000000 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546AR5 525000.00000000 PA USD 518890.53000000 0.061648424297 Long DBT CORP US N 2 2028-03-15 Fixed 3.90000000 N N N N N N Gaz Capital S.A. 213800568PRHV2JR9650 N/A 300000.00000000 PA USD 382782.00000000 0.045477621550 Long DBT NUSS LU N 2 2037-08-16 Fixed 7.28800000 N N N N N N CONAGRA BRANDS, INC. 54930035UDEIH090K650 205887102 2134.00000000 NS USD 62611.56000000 0.007438763657 Long EC US N 1 N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BG3 1075000.00000000 PA USD 1077176.56000000 0.127977355096 Long DBT CORP US N 2 2028-02-01 Fixed 3.40000000 N N N N N N United Kingdom of Great Britain and Northern Ireland N/A N/A -7.00000000 NC -1182087.62000000 -0.14044164412 N/A DIR GB N 1 UBS FINANCIAL SERVICES INC N/A Short U.K. Gilt Futures U.K. Long Gilt Future Jun 2020 2020-06-29 -1217139.89000000 GBP 35052.27000000 N N N Covetrus Inc 5493009S30DUFCF75V87 22304C100 1.00000000 NS USD 8.14000000 0.000000967098 Long EC US N 1 N N N AMGEN INC. 62QBXGPJ34PQ72Z12S66 031162100 2585.00000000 NS USD 524057.05000000 0.062262248984 Long EC US N 1 N N N Suzano Austria GmbH 254900287ZNSGVP1R341 86964WAF9 1130000.00000000 PA USD 1055137.50000000 0.125358935134 Long DBT NUSS AT N 2 2029-01-15 Fixed 6.00000000 N N N N N N DOLLAR TREE, INC. 549300PMSTQITB1WHR43 256746108 1047.00000000 NS USD 76923.09000000 0.009139090070 Long EC US N 1 N N N ESSEX PORTFOLIO, L.P. 5493003GN3O58H286O74 29717PAU1 400000.00000000 PA USD 378734.71000000 0.044996770509 Long DBT CORP US N 2 2030-01-15 Fixed 3.00000000 N N N N N N IHEARTCOMMUNICATIONS, INC. 54930076J6KDZL504O62 45174HBG1 420000.00000000 PA USD 378000.00000000 0.044909480973 Long DBT CORP US Y 2 2028-01-15 Fixed 4.75000000 N N N N N N XPO CNW, INC. N/A 12612WAB0 1300000.00000000 PA USD 1105000.00000000 0.131283006549 Long DBT CORP US N 2 2034-05-01 Fixed 6.70000000 N N N N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 1910000.00000000 NC -39469.17000000 -0.00468925909 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2027-03-18 0.00000000 EUR -44768.82000000 EUR -1910000.00000000 EUR 5299.65000000 N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 P75744AF2 280000.00000000 PA USD 282802.80000000 0.033599277687 Long DBT NUSS PY N 2 2048-03-13 Fixed 5.60000000 N N N N N N DISH NETWORK CORPORATION 529900U350CWHH15G169 25470M109 1018.00000000 NS USD 20349.82000000 0.002417724481 Long EC US N 1 N N N Prosus N.V. 635400Z5LQ5F9OLVT688 62856RAD7 1140000.00000000 PA USD 1088574.60000000 0.129331535150 Long DBT NUSS NL Y 2 2027-07-06 Fixed 4.85000000 N N N N N N Post Holdings, Inc. JM1I5YUAURL6DC8N1468 737446AM6 600000.00000000 PA USD 614826.00000000 0.073046340076 Long DBT CORP US Y 2 2027-03-01 Fixed 5.75000000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 45866F104 2370.00000000 NS USD 191377.50000000 0.022737206865 Long EC US N 1 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 400000.00000000 PA USD 510720.76000000 0.060677789031 Long DBT CORP US N 2 2051-04-04 Fixed 5.01300000 N N N N N N MSCI INC. 549300HTIN2PD78UB763 55354G100 375.00000000 NS USD 108360.00000000 0.012874051212 Long EC US N 1 N N N Nationwide Building Society 549300XFX12G42QIKN82 63861VAE7 450000.00000000 PA USD 454518.14000000 0.054000459683 Long DBT NUSS GB Y 2 2030-07-18 Fixed 3.96000000 N N N N N N BRK: BARCLAYS BANK PLC N/A N/A 19950000.00000000 NC 5108.55000000 0.000606937378 N/A DIR XX N 2 BRK: BARCLAYS BANK PLC N/A Y 2022-06-15 250.76000000 MXN 0.00000000 MXN -19950000.00000000 MXN 4857.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 319703.34000000 0.037983362605 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 111715014.25000000 RUB 1746229.22000000 USD 2020-04-17 319703.34000000 N N N OMNICOM GROUP INC. HKUPACFHSSASQK8HLS17 681919106 997.00000000 NS USD 54735.30000000 0.006502999772 Long EC US N 1 N N N WESTROCK COMPANY N/A 96145D105 1156.00000000 NS USD 32668.56000000 0.003881291200 Long EC US N 1 N N N Government National Mortgage Association N/A 38382BDB6 5572759.02000000 PA USD 524608.95000000 0.062327819202 Long DBT USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N IPG PHOTONICS CORPORATION 5493002KZ51CADQ94G15 44980X109 143.00000000 NS USD 15770.04000000 0.001873609289 Long EC US N 1 N N N MPT OPERATING PARTNERSHIP, L.P. WUQXXXF7PXTUPGROE843 N/A 544000.00000000 PA 636383.13000000 0.075607502827 Long DBT CORP US N 2 2028-06-05 Fixed 3.69200000 N N N N N N Republica de Guatemala 529900QKDFFU9UWW5315 401494AP4 300000.00000000 PA USD 288000.00000000 0.034216747408 Long DBT NUSS GT Y 2 2027-06-05 Fixed 4.37500000 N N N N N N CENTURYLINK, INC. 8M3THTGWLTYZVE6BBY25 156700106 4030.00000000 NS USD 38123.80000000 0.004529418176 Long EC US N 1 N N N BAUSCH HEALTH COMPANIES INC. B3BS7ACMDUWISF18KY76 91831AAB7 18000.00000000 PA USD 17910.00000000 0.002127853979 Long DBT NUSS CA Y 2 2023-05-15 Fixed 5.87500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGF0 1525000.00000000 PA USD 1580435.50000000 0.187768619093 Long DBT CORP US N 2 2028-01-20 Fixed 3.82400000 N N N N N N IDEXX LABORATORIES, INC. OGMTXK0LUU1HKV2P0J84 45168D104 382.00000000 NS USD 92535.68000000 0.010993993016 Long EC US N 1 N N N BRK: CITIGROUP GLOBAL MARKETS (PAS) N/A N/A 2923000.00000000 NC USD 21021.59000000 0.002497536233 N/A DIR XX N 2 BRK: CITIGROUP GLOBAL MARKETS (PAS) N/A Y 2025-09-18 0.00000000 USD 0.00000000 USD -2923000.00000000 USD 21021.59000000 N N N COLGATE-PALMOLIVE COMPANY YMEGZFW4SBUSS5BQXF88 194162103 3660.00000000 NS USD 242877.60000000 0.028855838508 Long EC US N 1 N N N N/A N/A 006ESCAK3 300000.00000000 PA USD 0.01000000 0.000000001188 Long DBT CORP XX N 3 2025-03-01 Fixed 0.00000000 N N N N N N THE INTERPUBLIC GROUP OF COMPANIES, INC. 5493008IUOJ5VWTRC333 460690100 1552.00000000 NS USD 25126.88000000 0.002985278146 Long EC US N 1 N N N NOMURA ASSET SECURITIES CORPORATION N/A 65535VBC1 807438.32640000 PA USD 650884.35000000 0.077330365958 Long ABS-MBS US N 2 2033-05-25 Floating 6.50183040 N N N N N N LEVEL 3 FINANCING, INC. N/A 52729KAP1 357567.51000000 PA USD 332537.78000000 0.039508198687 Long LON XX N 2 2027-03-01 Floating 3.35337840 N N N N N N AMERICAN TOWER CORPORATION 5493006ORUSIL88JOE18 03027XAU4 900000.00000000 PA USD 935496.93000000 0.111144660260 Long DBT CORP US N 2 2029-03-15 Fixed 3.95000000 N N N N N N VICI PROPERTIES L.P. N/A 92564RAB1 1360000.00000000 PA USD 1240836.80000000 0.147421525557 Long DBT CORP US Y 2 2029-12-01 Fixed 4.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1350.17000000 -0.00016041120 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 9650000.00000000 SAR 2568880.61000000 USD 2020-09-24 -1350.17000000 N N N SPRINGLEAF FINANCE CORPORATION 5493008I795YYBFWFU90 85172FAQ2 900000.00000000 PA USD 850500.00000000 0.101046332190 Long DBT CORP US N 2 2028-01-15 Fixed 6.62500000 N N N N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958254AJ3 470000.00000000 PA USD 187869.47000000 0.022320424308 Long DBT CORP US N 2 2048-03-01 Fixed 5.30000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QBW1 40000.00000000 PA USD 29138.00000000 0.003461831895 Long DBT NUSS MX N 2 2026-01-23 Fixed 4.50000000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -36389.23000000 -0.00432333712 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 195112.00000000 USD 12430000.00000000 RUB 2020-04-17 -36389.23000000 N N N BRK: BANK OF AMERICA, N.A. N/A N/A 91400000.00000000 NC 116042.91000000 0.013786843541 N/A DIR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2022-06-17 10264.37000000 ZAR 0.00000000 ZAR -91400000.00000000 ZAR 105778.54000000 N N N NEWMONT CORPORATION 549300VSP3RIX7FGDZ51 651639106 3486.00000000 NS USD 157846.08000000 0.018753400863 Long EC US N 1 N N N CARDINAL HEALTH, INC. CCU46N3GJMF4OK4N7U60 14149Y108 1321.00000000 NS USD 63328.74000000 0.007523970487 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 70388.46000000 0.008362722764 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1000000.00000000 GBP 1310615.00000000 USD 2020-04-17 70388.46000000 N N N TAKE-TWO INTERACTIVE SOFTWARE, INC. BOMSTHHJK882EWYX3334 874054109 492.00000000 NS USD 58356.12000000 0.006933182700 Long EC US N 1 N N N BAXTER INTERNATIONAL INC. J5OIVXX3P24RJRW5CK77 071813109 2199.00000000 NS USD 178536.81000000 0.021211628232 Long EC US N 1 N N N PRIME SECURITY SERVICES BORROWER, LLC N/A 03765VAJ9 1414361.39000000 PA USD 1263024.72000000 0.150057631301 Long LON XX N 2 2026-09-23 Floating 4.60575000 N N N N N N PARK AEROSPACE HOLDINGS LIMITED 635400CPI3EOIFF6OC33 70014LAC4 170000.00000000 PA USD 147465.71000000 0.017520128300 Long DBT NUSS KY Y 2 2023-03-15 Fixed 4.50000000 N N N N N N RAYMOND JAMES FINANCIAL, INC. RGUZHJ05YTITL6D76949 754730AG4 130000.00000000 PA USD 135232.57000000 0.016066731559 Long DBT CORP US N 2 2030-04-01 Fixed 4.65000000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137L204 713.00000000 NS USD 16313.44000000 0.001938169638 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12609.71000000 0.001498136326 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 590337.68000000 EUR 661334.05000000 USD 2020-05-14 12609.71000000 N N N Charter Communications Operating, LLC N/A 16117LBX6 638400.00000000 PA USD 610201.87000000 0.072496955742 Long LON XX N 2 2027-02-01 Floating 3.35999880 N N N N N N MARATHON PETROLEUM CORPORATION 3BNYRYQHD39K4LCKQF12 56585ABD3 325000.00000000 PA USD 285873.94000000 0.033964154151 Long DBT CORP US N 2 2028-04-01 Fixed 3.80000000 N N N N N N BRK: CITI N/A N/A 3600000.00000000 NC -17409.41000000 -0.00206837980 N/A DIR XX N 2 BRK: CITI N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL -3600000.00000000 BRL -17409.41000000 N N N EYECARE PARTNERS 2/20 2nd Lien Cov Lite N/A N/A 550000.00000000 PA USD 467500.00000000 0.055542810463 Long LON XX N 2 2028-02-04 Floating 0.00000000 N N N N N N VERTAFORE, INC. N/A 92531SAZ6 940500.00000000 PA USD 823793.36000000 0.097873365680 Long LON XX N 2 2025-07-02 Floating 4.85337960 N N N N N N SPRINT COMMUNICATIONS, INC N/A 85208EAD2 942857.15000000 PA USD 935785.72000000 0.111178970866 Long LON XX N 2 2024-02-02 Floating 4.62499920 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3225.74000000 0.000383244204 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 400000.00000000 EUR 442374.00000000 USD 2020-04-17 3225.74000000 N N N E*TRADE FINANCIAL CORPORATION 549300LYE2HSVYJFJD24 269246401 1080.00000000 NS USD 37065.60000000 0.004403695391 Long EC US N 1 N N N SPRINT CAPITAL CORPORATION 549300L17W0GQBR1PO80 852060AT9 510000.00000000 PA USD 674475.00000000 0.080133127459 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -99364.03000000 -0.01180525665 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 538373.60000000 USD 34380000.00000000 RUB 2020-04-17 -99364.03000000 N N N FRONERI INTERNATIONAL PLC N/A N/A 330000.00000000 PA 341572.47000000 0.040581593498 Long LON XX N 2 2027-01-29 Floating 2.62500120 N N N N N N N/A N/A N/A 21.00000000 NC 1935811.84000000 0.229990224859 N/A DIR AU N 1 CITIGROUP GLOBAL MARKETS N/A Long Australia Govt. Bond Futures AUST 10Y BOND (consolidated) Jun 2020 2020-06-15 1943520.67000000 AUD -7708.83000000 N N N ATLAS SENIOR LOAN FUND, LTD N/A 04941GAL2 989905.53000000 PA USD 956442.76000000 0.113633195588 Long ABS-CBDO CORP KY N 2 2027-11-17 Floating 2.52174960 N N N N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SAV8 1240000.00000000 PA USD 843117.73000000 0.100169258343 Long DBT NUSS LK Y 2 2023-04-18 Fixed 5.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 421283.29000000 0.050051888615 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 43110360000.00000000 IDR 3063991.47000000 USD 2020-04-17 421283.29000000 N N N MARATHON CLO LTD. N/A 56578HAJ5 330000.00000000 PA USD 281822.97000000 0.033482865897 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 5.20250040 N N N N N N TAYLOR MORRISON COMMUNITIES, INC. 549300O1Z08HI2MRK572 87724RAE2 470000.00000000 PA USD 437100.00000000 0.051931042681 Long DBT CORP US Y 2 2025-01-31 Fixed 5.87500000 N N N N N N FRONTIER COMMUNICATIONS CORPORATION 549300ZCZ76HYCS0H445 35906AAW8 595000.00000000 PA USD 154700.00000000 0.018379620916 Long DBT CORP US N 2 2022-09-15 Fixed 10.50000000 N N N N N N SS&C TECHNOLOGIES HOLDINGS INC N/A 78466DBE3 266784.48000000 PA USD 248776.53000000 0.029556679472 Long LON XX N 2 2025-04-16 Floating 3.35337840 N N N N N N ECOLAB INC. 82DYEISM090VG8LTLS26 278865100 1101.00000000 NS USD 171568.83000000 0.020383775414 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A -740000.00000000 NC USD 8155.70000000 0.000968963634 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2023-12-20 1625.57000000 USD 0.00000000 USD -740000.00000000 USD 6530.13000000 N N N CUMMINS INC. ZUNI8PYC725B6H8JU438 231021106 640.00000000 NS USD 86604.80000000 0.010289356131 Long EC US N 1 N N N GARTNER, INC. PP55B5R38BFB8O8HH686 366651107 416.00000000 NS USD 41421.12000000 0.004921166668 Long EC US N 1 N N N LINEAGE LOGISTICS LLC TL N/A 53566NAD6 393000.00000000 PA USD 364998.75000000 0.043364826503 Long LON XX N 2 2025-02-27 Floating 4.60338120 N N N N N N MARSH & MCLENNAN COMPANIES, INC. 549300XMP3KDCKJXIU47 571748102 2174.00000000 NS USD 187964.04000000 0.022331659994 Long EC US N 1 N N N N/A N/A 006ESCAK3 600000.00000000 PA USD 0.01000000 0.000000001188 Long DBT CORP XX N 3 2026-01-15 Fixed 0.00000000 N N N N N N PENTAIR PUBLIC LIMITED COMPANY 549300EVR9D56WPSRP15 G7S00T104 658.00000000 NS USD 19582.08000000 0.002326510712 Long EC IE N 1 N N N MISYS LIMITED N/A 02034DAC1 800207.83000000 PA USD 680176.66000000 0.080810531140 Long LON XX N 2 2024-06-13 Floating 5.27712840 N N N N N N CEOC LLC N/A 12768PAB7 867334.01000000 PA USD 701092.10000000 0.083295455887 Long LON XX N 2 2024-10-07 Floating 3.60338040 N N N N N N EURO N/A N/A 1.00000000 NC 1816.49000000 0.000215813817 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 1172905.11000000 USD 1070000.00000000 EUR 2020-04-17 1816.49000000 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 550000.00000000 PA 599703.19000000 0.071249626987 Long DBT NUSS DK N 2 2168-10-06 Fixed 5.75000000 N N N N N N CISCO SYSTEMS, INC. 8E6NF1YAL0WT6CWXXV93 17275R102 18270.00000000 NS USD 718193.70000000 0.085327265358 Long EC US N 1 N N N 522 FUNDING CLO LTD N/A 33830NAA4 250000.00000000 PA USD 169227.50000000 0.020105606326 Long ABS-CBDO CORP XX N 2 2033-01-15 Floating 0.00000000 N N N N N N MAGNOLIA FINANCE X DESIGNATED ACTIVITY COMPANY 213800P1BCRS8AAU4W28 55960WAB7 1000000.00000000 PA USD 998731.88000000 0.118657487731 Long ABS-MBS XX N 2 2024-08-09 Floating 4.66949880 N N N N N N Provincia de Cordoba 5299006CLM2Z97AATT29 74408DAD6 520000.00000000 PA USD 247005.20000000 0.029346231031 Long DBT NUSS AR Y 2 2024-09-01 Fixed 7.45000000 N N N N N N REPUBLIC SERVICES, INC. NKNQHM6BLECKVOQP7O46 760759AU4 750000.00000000 PA USD 755971.71000000 0.089815600864 Long DBT CORP US N 2 2024-08-15 Fixed 2.50000000 N N N N N N TERRIER MEDIA BUYER, INC. N/A 88146LAA1 850000.00000000 PA USD 718250.00000000 0.085333954257 Long DBT CORP US Y 2 2027-12-15 Fixed 8.87500000 N N N N N N Federal National Mortgage Association N/A 01F022642 11000000.00000000 PA USD 11395312.50000000 1.353856005043 Long DBT USGA XX N 2 2043-04-01 Fixed 2.50000000 N N N N N N REYNOLDS CONSUMER PRODUCTS LLC N/A 76171JAB7 233394.30000000 PA USD 218690.46000000 0.025982209133 Long LON XX N 2 2027-02-04 Floating 3.50112960 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122BQ0 100000.00000000 PA USD 111139.33000000 0.013204258269 Long DBT CORP US Y 2 2028-02-20 Fixed 3.90000000 N N N N N N LCM XXII LLC N/A 50189HAC4 350000.00000000 PA USD 237459.95000000 0.028212177530 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 7.31913120 N N N N N N ANGLO AMERICAN CAPITAL PLC TINT358G1SSHR3L3PW36 034863AT7 250000.00000000 PA USD 236068.42000000 0.028046852424 Long DBT NUSS GB Y 2 2027-09-11 Fixed 4.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 220012.29000000 0.026139253311 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 65295940.00000000 RUB 1053797.70000000 USD 2020-04-17 220012.29000000 N N N BRK: BNP PARIBAS (PAS) N/A N/A 2268000.00000000 NC USD 17913.67000000 0.002128290005 N/A DIR XX N 2 BRK: BNP PARIBAS (PAS) N/A Y 2025-09-18 0.00000000 USD 0.00000000 USD -2268000.00000000 USD 17913.67000000 N N N CSC HOLDINGS, LLC 3HG2WD2W22M120IUNG49 126307BA4 1525000.00000000 PA USD 1537901.50000000 0.182715233210 Long DBT CORP US Y 2 2030-01-15 Fixed 5.75000000 N N N N N N COMERICA INCORPORATED I9Q57JVPWHHZ3ZGBW498 200340107 700.00000000 NS USD 20538.00000000 0.002440081799 Long EC US N 1 N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46591JAN6 1730000.00000000 PA USD 1642433.97000000 0.195134542661 Long ABS-MBS US N 2 2029-09-15 Floating 4.25850120 N N N N N N SEDGWICK CLAIMS MANAGEMENT SERVICES, INC. N/A 81527CAL1 867808.56000000 PA USD 762951.25000000 0.090644827104 Long LON XX N 2 2025-12-31 Floating 4.85337960 N N N N N N SOUND POINT CLO N/A 83611LAA8 2100000.00000000 PA USD 2001096.30000000 0.237746550823 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 2.78124840 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 1225000.00000000 PA USD 1238798.53000000 0.147179362468 Long DBT NUSS GB N 2 2023-02-15 Fixed 4.61000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 420581.28000000 0.049968484105 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 133296825.60000000 RUB 2120400.00000000 USD 2020-04-27 420581.28000000 N N N RADIOLOGY PARTNERS, INC. 549300SFTAG2177WUZ08 75041VAA2 660000.00000000 PA USD 571394.55000000 0.067886329819 Long DBT CORP US Y 2 2028-02-01 Fixed 9.25000000 N N N N N N BRK: MORGAN STANLEY N/A N/A -10780000.00000000 NC USD -313862.90000000 -0.03728947072 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 54209.05000000 USD 0.00000000 USD -10780000.00000000 USD -368071.95000000 N N N HERTZ VEHICLE FINANCING LLC 5493004IHDYOZ9K9WF47 42806DAW9 3000000.00000000 PA USD 2994466.50000000 0.355767027269 Long ABS-MBS US N 2 2022-03-25 Fixed 4.99000000 N N N N N N XYLEM INC. 549300DF5MV96DRYLQ48 98419M100 733.00000000 NS USD 47740.29000000 0.005671935569 Long EC US N 1 N N N OPEN TEXT HOLDINGS, INC. N/A 683720AA4 1263000.00000000 PA USD 1187535.75000000 0.141088926375 Long DBT NUSS US Y 2 2030-02-15 Fixed 4.12500000 N N N N N N VOYA CLO N/A 92917KAA2 750000.00000000 PA USD 709755.00000000 0.084324679016 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 3.15087840 N N N N N N TRANSOCEAN INC. DOL4HJ22ADYSIWES4H94 893830BL2 732000.00000000 PA USD 347700.00000000 0.041309594006 Long DBT NUSS KY Y 2 2027-02-01 Fixed 8.00000000 N N N N N N WESTERN DIGITAL CORPORATION 549300QQXOOYEF89IC56 958102105 1217.00000000 NS USD 50651.54000000 0.006017815798 Long EC US N 1 N N N ASURION LLC N/A 04649VAT7 586087.39000000 PA USD 552873.82000000 0.065685916137 Long LON XX N 2 2022-08-04 Floating 4.60338120 N N N N N N NXP B.V. 724500RKKW4NOJ9YQF60 62947QAT5 1000000.00000000 PA USD 1034615.11000000 0.122920707929 Long DBT NUSS NL Y 2 2022-06-15 Fixed 4.62500000 N N N N N N Ressources Teck Limitee T8KI5SQ2JRWHL7XY0E11 878742AZ8 480000.00000000 PA USD 380274.78000000 0.045179743378 Long DBT NUSS CA N 2 2043-02-01 Fixed 5.40000000 N N N N N N AIR MEDICAL GROUP HOLDINGS INC. N/A 00169QAD1 940404.04000000 PA USD 836959.60000000 0.099437622306 Long LON XX N 2 2025-03-14 Floating 5.86325160 N N N N N N Huarong Finance 2017 Co., Ltd. 5493006V07LYI3HE6G83 N/A 310000.00000000 PA USD 294483.41000000 0.034987029360 Long DBT NUSS VG N 2 2168-05-07 Fixed 4.00000000 N N N N N N BRK: CITI N/A N/A 15030000.00000000 NC -109607.65000000 -0.01302228220 N/A DIR XX N 2 BRK: CITI N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL -15030000.00000000 BRL -109607.65000000 N N N Federal National Mortgage Association N/A 30711XJ54 2470000.00000000 PA USD 1605924.84000000 0.190796960441 Long DBT USGA US N 2 2030-10-25 Floating 3.77674920 N N N N N N SABINE PASS LIQUEFACTION, LLC 549300KJYBG7C6WJYZ11 785592AM8 800000.00000000 PA USD 734313.58000000 0.087242438491 Long DBT CORP US N 2 2025-03-01 Fixed 5.62500000 N N N N N N BRK: DEUTSCHE BANK AG N/A N/A 6750000.00000000 NC -36643.59000000 -0.00435355716 N/A DIR XX N 2 BRK: DEUTSCHE BANK AG N/A Y 2024-01-02 0.00000000 BRL -1367.77000000 BRL -6750000.00000000 BRL -35275.82000000 N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 500000.00000000 PA USD 519332.09000000 0.061700885224 Long DBT CORP US Y 2 2025-12-15 Fixed 4.25000000 N N N N N N FEDERAL REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 65412JAK9 240000.00000000 PA USD 172295.04000000 0.020470055081 Long DBT NUSS NG Y 2 2031-01-21 Fixed 8.74700000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -100222.67000000 -0.01190727008 N/A DFE CA N 2 CITIGROUP GLOBAL MARKETS N/A 1519760.26000000 USD 2020000.00000000 CAD 2020-04-17 -100222.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 65766.27000000 0.007813568918 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1780000.00000000 EUR 2019976.04000000 USD 2020-04-17 65766.27000000 N N N GS MORTGAGE SECURITIES CORPORATION TRUST N/A 36255TAL6 1970000.00000000 PA USD 1844844.13000000 0.219182519458 Long ABS-MBS XX N 2 2031-09-15 Fixed 5.73100000 N N N N N N Commscope Finance LLC 549300NGP3QQM94T9A69 20338QAA1 300000.00000000 PA USD 289170.00000000 0.034355752944 Long DBT CORP US Y 2 2027-03-01 Fixed 8.25000000 N N N N N N SUNRUN ATLAS ISSUER LLC N/A 86772FAA9 427326.32000000 PA USD 375133.97000000 0.044568973249 Long ABS-MBS US N 2 2055-02-01 Fixed 3.61000000 N N N N N N LIONS GATE CAPITAL HOLDINGS LLC N/A 53627MAB9 154934.63000000 PA USD 138666.49000000 0.016474709244 Long LON XX N 2 2025-03-24 Floating 3.85337880 N N N N N N NUSTAR LOGISTICS, L.P. N62BF2PKP51FIIOIUN20 67059TAF2 915000.00000000 PA USD 677100.00000000 0.080444998855 Long DBT CORP US N 2 2026-06-01 Fixed 6.00000000 N N N N N N GENERAL MILLS, INC. 2TGYMUGI08PO8X8L6150 370334104 2678.00000000 NS USD 141318.06000000 0.016789737372 Long EC US N 1 N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46651JAJ2 1696942.51430000 PA USD 1461051.04000000 0.173584772175 Long ABS-MBS US N 2 2034-07-15 Floating 5.45850000 N N N N N N Kraft Heinz Foods Company 5493003STKEZ2S0RNU91 50077LAL0 1546000.00000000 PA USD 1537045.97000000 0.182613589273 Long DBT CORP US N 2 2035-07-15 Fixed 5.00000000 N N N N N N LONE STAR PORTFOLIO TRUST N/A 54230NAS7 853222.64000000 PA USD 736720.72000000 0.087528426343 Long ABS-MBS US N 2 2028-09-15 Floating 8.80850160 N N N N N N AVIS BUDGET RENTAL CAR FUNDING N/A 05377RDS0 820000.00000000 PA USD 750539.93000000 0.089170261127 Long ABS-MBS US N 2 2026-03-20 Fixed 3.15000000 N N N N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958667AB3 575000.00000000 PA USD 293102.85000000 0.034823007580 Long DBT CORP US N 2 2025-02-01 Fixed 3.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 79979.80000000 0.009502252133 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 4307900.00000000 EUR 4809496.80000000 USD 2020-04-17 79979.80000000 N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199105 1385.00000000 NS USD 191351.60000000 0.022734129734 Long EC US N 1 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205AU8 200000.00000000 PA USD 163802.40000000 0.019461060228 Long DBT NUSS ZA N 2 2028-10-12 Fixed 4.30000000 N N N N N N MARATHON CLO LTD. N/A 56576QAN8 1184846.30000000 PA USD 1144134.98000000 0.135932561152 Long ABS-CBDO CORP KY N 2 2027-11-21 Floating 2.56600080 N N N N N N Ukraine 6354001WLTJXOMEXPY07 N/A 550000.00000000 PA USD 519684.00000000 0.061742695000 Long DBT NUSS UA N 2 2022-09-01 Fixed 7.75000000 N N N N N N SABINE PASS LIQUEFACTION, LLC 549300KJYBG7C6WJYZ11 785592AH9 700000.00000000 PA USD 679071.66000000 0.080679248133 Long DBT CORP US N 2 2022-03-15 Fixed 6.25000000 N N N N N N UGI ENERGY SERVICES, LLC N/A 90276DAB5 348250.00000000 PA USD 294271.25000000 0.034961823023 Long LON XX N 2 2026-08-13 Floating 5.35338000 N N N N N N REGIONS FINANCIAL CORPORATION CW05CS5KW59QTC0DG824 7591EP100 4531.00000000 NS USD 40643.07000000 0.004828727986 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A -4600000.00000000 NC USD -133271.35000000 -0.01583372263 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2023-12-20 0.00000000 USD -37535.94000000 USD -4600000.00000000 USD -95735.41000000 N N N COGNIZANT TECHNOLOGY SOLUTIONS CORPORATION 5493006IEVQEFQO40L83 192446102 2338.00000000 NS USD 108646.86000000 0.012908132518 Long EC US N 1 N N N ANSYS, INC. 549300VJV8H15Z5FJ571 03662Q105 354.00000000 NS USD 82294.38000000 0.009777243102 Long EC US N 1 N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DJ6 2065000.00000000 PA USD 2126237.91000000 0.252614394085 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAU5 150000.00000000 PA USD 139500.00000000 0.016573737025 Long DBT CORP US Y 2 2030-02-15 Fixed 3.37500000 N N N N N N MTN (MAURITIUS) INVESTMENTS LIMITED 2549009PQD415OQIR074 N/A 400000.00000000 PA USD 352000.00000000 0.041820469054 Long DBT NUSS MU N 2 2024-11-11 Fixed 4.75500000 N N N N N N RESIDENTIAL ACCREDIT LOANS INCORPORATED N/A 75116AAA8 1070260.15150000 PA USD 473106.36000000 0.056208891727 Long ABS-MBS US N 2 2047-02-25 Floating 1.77675120 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -179935.23000000 -0.02137777192 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A 4604107.72000000 USD 477120000.00000000 JPY 2020-04-17 -179935.23000000 N N N CYRUSONE LP 549300TDXOX1X4TWIB58 23283PAS3 380000.00000000 PA 363674.56000000 0.043207501938 Long DBT CORP US N 2 2027-01-22 Fixed 1.45000000 N N N N N N Huarong Finance II Co., Ltd. 549300BHVD63HE2GHX17 N/A 210000.00000000 PA USD 217446.93000000 0.025834467633 Long DBT NUSS VG N 2 2025-11-19 Fixed 5.00000000 N N N N N N CSX Corporation 549300JVQR4N1MMP3Q88 126408103 3353.00000000 NS USD 192126.90000000 0.022826241693 Long EC US N 1 N N N AMERILIFE HOLDIN 1L DD N/A N/A 18181.82000000 PA USD 14727.27000000 0.001749719713 Long LON XX N 2 2027-02-05 Floating 0.00000000 N N N N N N ZIMMER BIOMET HOLDINGS, INC. 2P2YLDVPES3BXQ1FRB91 98956PAT9 800000.00000000 PA USD 796993.82000000 0.094689361892 Long DBT CORP US N 2 2030-03-20 Fixed 3.55000000 N N N N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SAW6 660000.00000000 PA USD 382866.94000000 0.045487713114 Long DBT NUSS LK Y 2 2028-04-18 Fixed 6.75000000 N N N N N N BOSTON PROPERTIES, INC. 549300OF70FSEUQBT254 101121101 610.00000000 NS USD 56260.30000000 0.006684182202 Long EC US N 1 N N N CUMBERLAND PARK CLO LTD. N/A 23076TAG2 600000.00000000 PA USD 402764.40000000 0.047851693541 Long ABS-CBDO CORP KY N 2 2028-07-20 Floating 7.46912880 N N N N N N BENEFIT STREET PARTNERS CLO LTD N/A 08180FBC4 370000.00000000 PA USD 288144.90000000 0.034233962709 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 5.76587880 N N N N N N Ukraine 6354001WLTJXOMEXPY07 903724BM3 200000.00000000 PA USD 181000.00000000 0.021504275280 Long DBT NUSS UA Y 2 2032-09-25 Fixed 7.37500000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BS8 610000.00000000 PA USD 625119.46000000 0.074269287023 Long DBT NUSS GB Y 2 2031-04-01 Fixed 4.64400000 N N N N N N CSMC TRUST N/A 22945AAD1 1190000.00000000 PA USD 773738.00000000 0.091926380924 Long ABS-MBS US N 2 2057-07-25 Floating 3.07592280 N N N N N N UNITED RENTALS (NORTH AMERICA), INC. NGIZXNT70J2LYT3FBI09 911365BG8 1100000.00000000 PA USD 1067000.00000000 0.126768296822 Long DBT CORP US N 2 2028-01-15 Fixed 4.87500000 N N N N N N AMAZON.COM, INC. ZXTILKJKG63JELOEG630 023135106 1799.00000000 NS USD 3507546.28000000 0.416725087104 Long EC US N 1 N N N AON PLC VVT2B79I2Z4U3R6BY589 G0408V102 995.00000000 NS USD 164214.80000000 0.019510056709 Long EC GB N 1 N N N TRALEE CLO LTD N/A 89300ABC0 2300000.00000000 PA USD 2149462.70000000 0.255373688436 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 3.26913120 N N N N N N VIKING CRUISES LTD 549300IJP90T4MV2GL84 92676XAD9 800000.00000000 PA USD 468088.00000000 0.055612669655 Long DBT NUSS BM Y 2 2027-09-15 Fixed 5.87500000 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAS0 330000.00000000 PA USD 331650.00000000 0.039402723187 Long DBT CORP US Y 2 2029-12-15 Fixed 4.62500000 N N N N N N RESMED INC. 529900T3QE5253CCXF22 761152107 633.00000000 NS USD 93234.57000000 0.011077026845 Long EC US N 1 N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650100 5574.00000000 NS USD 330705.42000000 0.039290499384 Long EC US N 1 N N N MASTERCARD INCORPORATED. AR5L2ODV9HN37376R084 57636QAR5 225000.00000000 PA USD 245142.44000000 0.029124919960 Long DBT CORP US N 2 2027-03-26 Fixed 3.30000000 N N N N N N REALOGY GROUP LLC LF6PBYTYG3BDVEF4FI12 75606DAG6 1410000.00000000 PA USD 1188333.90000000 0.141183753101 Long DBT CORP US Y 2 2027-04-01 Fixed 9.37500000 N N N N N N AUTOZONE, INC. GA3JGKJ41LJKXDN23E90 053332102 100.00000000 NS USD 84600.00000000 0.010051169551 Long EC US N 1 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -9.99000000 -0.00000118689 N/A DFE CA N 2 CITIGROUP GLOBAL MARKETS N/A 567.44000000 USD 793.25000000 CAD 2020-04-17 -9.99000000 N N N NATIONAL CINEMEDIA, LLC 7LJEQIVQVLNGS4X6T547 63530QAH2 500000.00000000 PA USD 335000.00000000 0.039800730492 Long DBT CORP US N 2 2026-08-15 Fixed 5.75000000 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122108 10197.00000000 NS USD 568380.78000000 0.067528269378 Long EC US N 1 N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 80000.00000000 PA USD 14688.00000000 0.001745054117 Long DBT NUSS LB N 2 2027-03-23 Fixed 6.85000000 Y N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 68394.91000000 0.008125872776 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 820000.00000000 AUD 570252.60000000 USD 2020-04-17 68394.91000000 N N N N/A N/A BGH4QPU68 3600.00000000 NS USD 0.01000000 0.000000001188 Long EC US N 3 N N N DIGICERT HOLDINGS INC. N/A 24022KAB5 850000.00000000 PA USD 753669.50000000 0.089542079551 Long LON XX N 2 2026-10-16 Floating 5.60337840 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -202408.32000000 -0.02404775819 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 1131504.77000000 USD 72760000.00000000 RUB 2020-04-17 -202408.32000000 N N N ULTIMATE SOFTWARE GRP 4/19 COV-LITE N/A 90385KAB7 249375.00000000 PA USD 231502.29000000 0.027504358963 Long LON XX N 2 2026-05-04 Floating 5.35338000 N N N N N N BENCHMARK MORTGAGE TRUST N/A 08162BBG6 10933818.09000000 PA USD 773378.47000000 0.091883665830 Long DBT USGA US N 2 2052-05-15 Floating 1.04899680 N N N N N N MICHAELS STORES, INC. BV4WJ23XIGNG4UDYEK73 594087AU2 480000.00000000 PA USD 355200.00000000 0.042200655137 Long DBT CORP US Y 2 2027-07-15 Fixed 8.00000000 N N N N N N BRK: MORGAN STANLEY N/A N/A -410000.00000000 NC USD -911.17000000 -0.00010825442 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 10785.28000000 USD 0.00000000 USD -410000.00000000 USD -11696.45000000 N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209S103 8180.00000000 NS USD 316320.60000000 0.037581465521 Long EC US N 1 N N N ASURION LLC N/A 04649VAW0 734408.06000000 PA USD 694015.62000000 0.082454712385 Long LON XX N 2 2024-11-03 Floating 4.60339920 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 169469.91000000 0.020134406610 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 2100000.00000000 GBP 2773945.65000000 USD 2020-04-17 169469.91000000 N N N THE WESTERN UNION COMPANY 28ID94QU1140NC23S047 959802109 1834.00000000 NS USD 33250.42000000 0.003950420910 Long EC US N 1 N N N THE AES CORPORATION 2NUNNB7D43COUIRE5295 00130H105 2901.00000000 NS USD 39453.60000000 0.004687409255 Long EC US N 1 N N N BRK: CITIGROUP GLOBAL MARKETS (PAS) N/A N/A 532000.00000000 NC USD 7660.24000000 0.000910098948 N/A DIR XX N 2 BRK: CITIGROUP GLOBAL MARKETS (PAS) N/A Y 2050-09-18 0.00000000 USD 0.00000000 USD -532000.00000000 USD 7660.24000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RN3 525000.00000000 PA USD 532875.00000000 0.063309893316 Long DBT CORP US N 2 2168-06-15 Fixed 5.87500000 N N N N N N KLA Corporation 549300H0BF5JCG96TJ81 482480100 662.00000000 NS USD 95155.88000000 0.011305294133 Long EC US N 1 N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CQ6 725000.00000000 PA USD 485863.48000000 0.057724541562 Long DBT CORP US N 2 2022-08-15 Floating 3.14174880 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 870000.00000000 PA 751920.87000000 0.089334328055 Long DBT NUSS EG N 2 2031-04-11 Fixed 6.37500000 N N N N N N CITIZENS FINANCIAL GROUP, INC. 2138004JDDA4ZQUPFW65 174610105 2010.00000000 NS USD 37808.10000000 0.004491910443 Long EC US N 1 N N N THE COCA-COLA COMPANY UWJKFUJFZ02DKWI3RY53 191216100 16602.00000000 NS USD 734638.50000000 0.087281041635 Long EC US N 1 N N N NEXTERA ENERGY, INC. N/A 65339F770 5950.00000000 NS USD 262335.50000000 0.031167595624 Long EP US N 2 N N N STANLEY BLACK & DECKER, INC. 549300DJ09SMTO561131 854502101 674.00000000 NS USD 67400.00000000 0.008007669358 Long EC US N 1 N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109104 1409.00000000 NS USD 70252.74000000 0.008346598122 Long EC US N 1 N N N KOREAN WON N/A N/A 1.00000000 NC -13304.23000000 -0.00158065096 N/A DFE KR N 2 JP MORGAN N/A 501421.62000000 USD 594320000.00000000 KRW 2020-04-17 -13304.23000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 720000.00000000 PA USD 667728.00000000 0.079331528866 Long DBT NUSS GB N 2 2168-09-15 Fixed 8.00000000 N N N Y Y BARCLAYS PLC GBP XXXX N N N CHARTER NEX US INC TL CL N/A 16125TAC6 929367.88000000 PA USD 785315.86000000 0.093301925060 Long LON XX N 2 2024-05-16 Floating 4.60338120 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC -220644.49000000 -0.02621436382 N/A DFE XX N 2 GOLDMAN, SACHS & CO. N/A 1141338.11000000 USD 21651612.00000000 MXN 2020-04-17 -220644.49000000 N N N AMERICAN RENAL ASSOCIATES TL N/A 02922XAK4 926250.00000000 PA USD 784996.88000000 0.093264027636 Long LON XX N 2 2024-06-21 Floating 6.60337920 N N N N N N EURO N/A N/A 1.00000000 NC -9059.21000000 -0.00107630798 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 5362694.82000000 USD 4876381.00000000 EUR 2020-04-17 -9059.21000000 N N N AMPHENOL CORPORATION 549300D3L3G0R4U4VT04 032095101 1315.00000000 NS USD 95837.20000000 0.011386240502 Long EC US N 1 N N N Republica de Honduras 5493002DW1JNBNG17615 N/A 660000.00000000 PA USD 640206.60000000 0.076061762227 Long DBT NUSS HN N 2 2024-03-15 Fixed 7.50000000 N N N N N N Sociedad Quimica y Minera de Chile S.A. TJ88LXZZW5PWIN93ZC81 P8718AAH9 220000.00000000 PA USD 212300.00000000 0.025222970398 Long DBT NUSS CL N 2 2025-01-28 Fixed 4.37500000 N N N N N N Freddie Mac N/A 35565HBD6 370000.00000000 PA USD 140165.55000000 0.016652809790 Long DBT USGA US N 2 2050-01-25 Floating 3.92675040 N N N N N N CLEAVER-BROOKS, INC. 549300TRZDD68CZBS255 185401AG1 540000.00000000 PA USD 448200.00000000 0.053249813154 Long DBT CORP US Y 2 2023-03-01 Fixed 7.87500000 N N N N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 P3579EAY3 600000.00000000 PA USD 582000.00000000 0.069146343721 Long DBT NUSS DO N 2 2044-04-30 Fixed 7.45000000 N N N N N N ARD Finance S.A. 6354006P6QPGGPVJW880 00191AAD8 210000.00000000 PA USD 180369.00000000 0.021429307337 Long DBT NUSS LU Y 2 2027-06-30 Fixed 6.50000000 N N Y N N N ANTHEM, INC. 8MYN82XMYQH89CTMTH67 036752103 1082.00000000 NS USD 245657.28000000 0.029186087148 Long EC US N 1 N N N YUM! BRANDS, INC. 549300JE8XHZZ7OHN517 988498AL5 454000.00000000 PA USD 426760.00000000 0.050702566402 Long DBT CORP US Y 2 2030-01-15 Fixed 4.75000000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205AX2 950000.00000000 PA USD 700625.00000000 0.083239960600 Long DBT NUSS ZA N 2 2047-09-27 Fixed 5.65000000 N N N N N N Romania 259400VHILGGKLBNL383 N/A 250000.00000000 PA 250995.75000000 0.029820340897 Long DBT NUSS RO Y 2 2031-07-16 Fixed 2.12400000 N N N N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -317436.45000000 -0.03771403759 N/A DFE BR N 2 GOLDMAN, SACHS & CO. N/A 1794505.91000000 USD 7670000.00000000 BRL 2020-04-17 -317436.45000000 N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579Y101 2496.00000000 NS USD 340728.96000000 0.040481377635 Long EC US N 1 N N N USD CALL/EUR PUT N/A N/A 5570000.00000000 NC USD 25263.04000000 0.003001455064 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A Call Purchased N/A N/A 5570000.00000000 1.08460000 USD 2020-04-27 XXXX -19464.06000000 N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045VAG5 250000.00000000 PA USD 210836.36000000 0.025049078036 Long DBT CORP US N 2 2025-04-01 Fixed 4.00000000 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GQ0 450000.00000000 PA USD 477923.70000000 0.056781230984 Long DBT CORP US N 2 2029-03-01 Fixed 4.20000000 N N N N N N N/A N/A N/A 206.00000000 NC USD 51229625.00000000 6.086497008518 N/A DIR US N 1 RJ O'BRIEN N/A Long Interest Rate Futures 3M -- 90 Day EuroDollar Future (Consolidated) Jun 2020 2020-06-15 50836637.20000000 USD 392987.80000000 N N N Independent State of Papua New Guinea 254900NKI6OC90ZW9W36 69888UAB1 290000.00000000 PA USD 258100.00000000 0.030664383701 Long DBT NUSS PG Y 2 2028-10-04 Fixed 8.37500000 N N N N N N STARBUCKS CORPORATION OQSJ1DU9TAOC51A47K68 855244AQ2 875000.00000000 PA USD 927890.51000000 0.110240955567 Long DBT CORP US N 2 2025-08-15 Fixed 3.80000000 N N N N N N EURO N/A N/A 1.00000000 NC -13322.09000000 -0.00158277287 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 696840.28000000 USD 622000.00000000 EUR 2020-05-14 -13322.09000000 N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 860000.00000000 PA USD 155797.60000000 0.018510024743 Long DBT NUSS LB N 2 2025-02-26 Fixed 6.20000000 Y N N N N N EQUITY RESIDENTIAL 5493008RACSH5EP3PI59 29476L107 1530.00000000 NS USD 94416.30000000 0.011217426001 Long EC US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 650000.00000000 PA USD 530909.60000000 0.063076387777 Long DBT NUSS EG N 2 2047-01-31 Fixed 8.50000000 N N N N N N HCA INC. L3CJ6J7LJ2DX62FTXD46 404119BV0 890000.00000000 PA USD 967125.33000000 0.114902371975 Long DBT CORP US N 2 2047-06-15 Fixed 5.50000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -65058.66000000 -0.00772949908 N/A DFE GB N 2 MORGAN STANLEY & CO, INC N/A 1057968.72000000 USD 800400.00000000 GBP 2020-05-04 -65058.66000000 N N N THE KRAFT HEINZ COMPANY N/A 500754106 2793.00000000 NS USD 69098.82000000 0.008209503021 Long EC US N 1 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -83454.53000000 -0.00991507837 N/A DFE CA N 2 CITIGROUP GLOBAL MARKETS N/A 950000.00000000 USD 1233290.00000000 CAD 2020-04-06 -83454.53000000 N N N NAVIOS MARITIME ACQUISITION CORPORATION 549300BLM92Q6S7VH965 63938MAD8 390000.00000000 PA USD 202800.00000000 0.024094292966 Long DBT NUSS MH Y 2 2021-11-15 Fixed 8.12500000 N N N N N N TWITTER, INC. 549300I8RX485XMK6836 90184LAG7 870000.00000000 PA USD 836831.25000000 0.099422373280 Long DBT CORP US Y 2 2027-12-15 Fixed 3.87500000 N N N N N N CARLYLE US CLO LTD N/A 14314BAJ6 650000.00000000 PA USD 611086.45000000 0.072602051056 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 3.19587840 N N N N N N STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 857477103 1514.00000000 NS USD 80650.78000000 0.009581970026 Long EC US N 1 N N N UNITED AIRLINES HOLDINGS, INC. N/A 910047109 980.00000000 NS USD 30919.00000000 0.003673429212 Long EC US N 1 N N N CARRIAGE SERVICES, INC. N/A 143905AN7 250000.00000000 PA USD 245625.00000000 0.029182252021 Long DBT CORP US Y 2 2026-06-01 Fixed 6.62500000 N N N N N N AMERICAN AXLE & MANUFACTURING, INC. RY5TAKFOBLDUGX31MS24 02406PAU4 420000.00000000 PA USD 317037.00000000 0.037666579680 Long DBT CORP US N 2 2027-04-01 Fixed 6.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 165356.08000000 0.019645650075 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 4844490.00000000 CAD 3572012.38000000 USD 2020-06-10 165356.08000000 N N N Cascades Inc. FPD41G4F3GH7OJ38TS94 14739LAB8 360000.00000000 PA USD 343800.00000000 0.040846242218 Long DBT NUSS CA Y 2 2028-01-15 Fixed 5.37500000 N N N N N N IHEARTCOMMUNICATIONS, INC. 54930076J6KDZL504O62 45174HBC0 400000.00000000 PA USD 378502.40000000 0.044969170188 Long DBT CORP US N 2 2026-05-01 Fixed 6.37500000 N N N N N N HP INC. WHKXQACZ14C5XRO8LW03 40434L105 6298.00000000 NS USD 109333.28000000 0.012989684809 Long EC US N 1 N N N Sophos Group 1/20 (USD) TL N/A N/A 470000.00000000 PA USD 415950.00000000 0.049418250293 Long LON XX N 2 2027-01-15 Floating 4.81425120 N N N N N N N/A N/A N/A 114.00000000 NC USD 67830.00000000 0.008058756863 N/A DIR XX N 1 CITIGROUP GLOBAL MARKETS N/A Put Purchased N/A Put Option 2000 Apr 2020 on S&P 500 Future (e-Mini) Jun 2020 5700.00000000 0.00000000 USD 2020-04-20 XXXX -574846.90000000 N N N DELTA AIR LINES, INC. Q2CCMS6R0AS67HJMBN42 247361ZU5 1300000.00000000 PA USD 1040336.45000000 0.123600449754 Long DBT CORP US N 2 2024-10-28 Fixed 2.90000000 N N N N N N SPRINT CAPITAL CORPORATION 549300L17W0GQBR1PO80 852060AT9 650000.00000000 PA USD 859625.00000000 0.102130456565 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N N BX TRUST N/A 05608BAN0 1970000.00000000 PA USD 1677489.48000000 0.199299422977 Long ABS-MBS US N 2 2034-04-15 Floating 3.80850120 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 140019.39000000 0.016635444791 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 2503129.50000000 GBP 3244944.44000000 USD 2020-04-29 140019.39000000 N N N ONEOK, INC. 2T3D6M0JSY48PSZI1Q41 682680103 1826.00000000 NS USD 39825.06000000 0.004731541731 Long EC US N 1 N N N Government National Mortgage Association N/A 38379GXD4 357237.94070000 PA USD 68264.13000000 0.008110335046 Long DBT USGA US N 2 2044-10-16 Floating 4.89537000 N N N N N N SWISSPORT FINANCING N/A N/A 1500000.00000000 PA 933440.86000000 0.110900382386 Long LON XX N 2 2024-08-14 Floating 4.74999840 N N N N N N INNOVATE CAPITAL PTE. LTD. 5493008BPW7MCO0YPS29 N/A 62398.17000000 PA USD 20517.14000000 0.002437603461 Long DBT CORP SG N 2 2024-12-11 Fixed 6.00000000 N N N Y N INNOVATE CAPITAL PTE. LTD. IDR XXXX N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 347127.97000000 0.041241632180 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 102700000.00000000 RUB 1658538.16000000 USD 2020-04-17 347127.97000000 N N N PRIME SECURITY SERVICES BORROWER, LLC 549300O6QPZVWXV2DC15 74166MAB2 140000.00000000 PA USD 138290.60000000 0.016430050448 Long DBT CORP US Y 2 2024-04-15 Fixed 5.25000000 N N N N N N KIMBERLY-CLARK CORPORATION MP3J6QPYPGN75NVW2S34 494368103 1496.00000000 NS USD 191293.52000000 0.022727229356 Long EC US N 1 N N N L BRANDS, INC. GR3KVMWVCR54YWQNXU90 501797AQ7 260000.00000000 PA USD 187720.00000000 0.022302666053 Long DBT CORP US N 2 2027-01-15 Fixed 6.69400000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAW7 1880000.00000000 PA USD 1831258.44000000 0.217568428753 Long DBT NUSS IT Y 2 2026-01-15 Fixed 5.71000000 N N N N N N L BRANDS, INC. GR3KVMWVCR54YWQNXU90 501797104 995.00000000 NS USD 11502.20000000 0.001366555111 Long EC US N 1 N N N Joint Stock Company National Company KazMunayGas 2138001H1M69RFJCSH88 48667QAN5 1100000.00000000 PA USD 1050975.20000000 0.124864419968 Long DBT NUSS KZ Y 2 2027-04-19 Fixed 4.75000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PBB6 440000.00000000 PA USD 518239.04000000 0.061571021975 Long DBT NUSS QA Y 2 2049-03-14 Fixed 4.81700000 N N N N N N RUSSIA, FEDERATION OF (GOVERNMENT) 5493004EHVGF71PDBU58 N/A 511430000.00000000 PA 6714446.63000000 0.797730987243 Long DBT NUSS RU N 2 2028-01-19 Fixed 7.05000000 N N N N N N ALEXION PHARMACEUTICALS, INC. M1YXUUZR0EIMU8T0EM75 015351109 993.00000000 NS USD 89161.47000000 0.010593109366 Long EC US N 1 N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389X105 9416.00000000 NS USD 455075.28000000 0.054066652456 Long EC US N 1 N N N ENTERCOM MEDIA CORP N/A 12506KAE9 393903.92000000 PA USD 354513.53000000 0.042119096905 Long LON XX N 2 2024-11-18 Floating 4.10338080 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAD7 210000.00000000 PA USD 243355.00000000 0.028912557519 Long DBT CORP US Y 2 2039-01-25 Fixed 5.47600000 N N N N N N UNIVERSAL HEALTH SERVICES, INC. 549300YGMGQDO0NMJD09 913903100 355.00000000 NS USD 35173.40000000 0.004178886608 Long EC US N 1 N N N OWL ROCK CAPITAL CORPORATION 2549000BD79OOCPF2L94 69121KAB0 900000.00000000 PA USD 693960.80000000 0.082448199322 Long DBT CORP US N 2 2025-03-30 Fixed 4.00000000 N N N N N N BRK: MORGAN STANLEY & CO INTERNATIONAL PLC N/A N/A 4950000.00000000 NC -24397.21000000 -0.00289858740 N/A DIR XX N 2 BRK: MORGAN STANLEY & CO INTERNATIONAL PLC N/A Y 2023-01-02 0.00000000 BRL 0.00000000 BRL -4950000.00000000 BRL -24397.21000000 N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 904678AQ2 660000.00000000 PA USD 626311.98000000 0.074410968119 Long DBT NUSS IT Y 2 2034-04-02 Fixed 7.29600000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287Y109 6430.00000000 NS USD 489901.70000000 0.058204315013 Long EC US N 1 N N N YUM! BRANDS, INC. 549300JE8XHZZ7OHN517 988498101 1345.00000000 NS USD 92172.85000000 0.010950885855 Long EC US N 1 N N N DOVER CORPORATION 549300FMC2ALGA7N9E80 260003108 613.00000000 NS USD 51455.22000000 0.006113299533 Long EC US N 1 N N N SHEA HOMES LIMITED PARTNERSHIP, A CALIFORNIA LIMITED PARTNERSHIP N/A 82088KAE8 500000.00000000 PA USD 426875.00000000 0.050716229340 Long DBT CORP US Y 2 2028-02-15 Fixed 4.75000000 N N N N N N BWAY HOLDING COMPANY N/A 05604XAP1 937944.16000000 PA USD 760325.67000000 0.090332886800 Long LON XX N 2 2024-04-03 Floating 5.08399920 N N N N N N WENDY'S INTERNATIONAL, LLC 549300PQTT267ME8D359 950590AG4 790000.00000000 PA USD 786050.00000000 0.093389146876 Long DBT CORP US N 2 2025-12-15 Fixed 7.00000000 N N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 130000.00000000 PA USD 23405.20000000 0.002780728529 Long DBT NUSS LB N 2 2028-11-03 Fixed 6.65000000 Y N N N N N Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III 254900G208H6Q0L5B953 71567PAF7 330000.00000000 PA USD 337395.30000000 0.040085311655 Long DBT NUSS ID Y 2 2026-03-29 Fixed 4.55000000 N N N N N N DIVIDEND SOLAR LOANS LLC N/A 255388AA8 613463.34470000 PA USD 576306.30000000 0.068469885753 Long ABS-MBS US N 2 2039-08-22 Fixed 3.67000000 N N N N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958254AB0 200000.00000000 PA USD 128966.30000000 0.015322247608 Long DBT CORP US N 2 2022-07-01 Fixed 4.00000000 N N N N N N BRK: JP MORGAN N/A N/A 3000000.00000000 NC -14730.90000000 -0.00175015098 N/A DIR XX N 2 BRK: JP MORGAN N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL -3000000.00000000 BRL -14730.90000000 N N N AIR MEDICAL GROUP HOLDINGS INC. N/A 00169QAE9 785964.91000000 PA USD 725052.63000000 0.086142162147 Long LON XX N 2 2022-04-28 Floating 4.93162920 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 933635AA2 18842.94000000 PA USD 16477.92000000 0.001957711202 Long ABS-MBS US N 2 2047-03-25 Floating 2.84526000 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAA3 150000.00000000 PA USD 132791.46000000 0.015776707794 Long DBT NUSS IE N 2 2022-05-26 Fixed 3.50000000 N N N N N N NEWS CORPORATION 549300ITS31QK8VRBQ14 65249B109 1532.00000000 NS USD 13749.70000000 0.001633576430 Long EC US N 1 N N N TERRIER MEDIA BUYER, INC. N/A 88145LAB0 950000.00000000 PA USD 838375.00000000 0.099605783362 Long LON XX N 2 2026-12-17 Floating 6.14772000 N N N N N N ALBEMARLE CORPORATION HDBLS2Q6GV1LSKQPBS54 012653101 448.00000000 NS USD 25253.76000000 0.003000352524 Long EC US N 1 N N N APIDOS CLO N/A 03766AAE5 680000.00000000 PA USD 440627.08000000 0.052350088533 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 0.00000000 N N N N N N VERISIGN, INC. LMPL4N8ZOJRMF0KOF759 92343E102 430.00000000 NS USD 77438.70000000 0.009200348741 Long EC US N 1 N N N R. R. DONNELLEY & SONS COMPANY SU4X0P4WWRGOQDTSV032 257867BA8 590000.00000000 PA USD 590000.00000000 0.070096808926 Long DBT CORP US N 2 2023-11-15 Fixed 6.50000000 N N N N N N Chesapeake Energy Corp TL N/A N/A 1260000.00000000 PA USD 485100.00000000 0.057633833916 Long LON XX N 2 2024-06-24 Floating 9.00000000 N N N N N N BRK: MORGAN STANLEY & CO INC (PAS) N/A CDS860813 1290000.00000000 NC USD 39954.82000000 0.004746958276 N/A DCR XX N 2 BRK: MORGAN STANLEY & CO INC (PAS) N/A Y 2024-12-20 0.00000000 USD -26461.72000000 USD 1290000.00000000 USD 66416.54000000 N N N United States of America N/A N/A -265.00000000 NC USD -33220234.38000000 -3.94683461329 N/A DIR US N 1 DEFAULT N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Jun 2020 2020-07-03 -32209346.38000000 USD -1010888.00000000 N N N United States of America N/A N/A -62.00000000 NC USD -11101875.00000000 -1.31899323831 N/A DIR US N 1 UBS SECURITIES N/A Short U.S. Treasury Futures US Long Bond (CBT) Jun 2020 2020-06-22 -10363953.30000000 USD -737921.70000000 N N N T-MOBILE US, INC. 549300QHIJYOHPACPG31 872590104 1400.00000000 NS USD 117460.00000000 0.013955205384 Long EC US N 1 N N N CORPORACION LINDLEY S.A. 549300XI785GPWS6HA82 P31442AC3 190000.00000000 PA USD 181261.90000000 0.021535391135 Long DBT NUSS PE N 2 2023-04-12 Fixed 4.62500000 N N N N N N EYECARE PARTNERS, LLC N/A 30233PAC4 51081.08000000 PA USD 40864.86000000 0.004855078446 Long LON XX N 2 2027-02-05 Floating 0.00000000 N N N N N N Chubb Limited E0JAN6VLUDI1HITHT809 H1467J104 1932.00000000 NS USD 215785.08000000 0.025637026308 Long EC CH N 1 N N N ULTIMATE SOFTWARE GRP 4/19 COV-LITE N/A 90385KAB7 428925.00000000 PA USD 398183.95000000 0.047307498747 Long LON XX N 2 2026-05-04 Floating 5.35338000 N N N N N N EQUINOX FITNESS CLUBS N/A 29446CAP9 389005.10000000 PA USD 282273.77000000 0.033536424611 Long LON XX N 2 2024-03-08 Floating 4.60338120 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RDQ2 900000.00000000 PA USD 955951.79000000 0.113574864350 Long DBT CORP US N 2 2027-03-01 Fixed 4.25000000 N N N N N N TEXTRON INC. 3PPKBHUG1HD6BO7RNR87 883203101 1087.00000000 NS USD 28990.29000000 0.003444282743 Long EC US N 1 N N N HILL-ROM HOLDINGS, INC. JLZ01A0E2071OH26RE45 431475AB8 220000.00000000 PA USD 222200.00000000 0.026399171090 Long DBT CORP US Y 2 2025-02-15 Fixed 5.00000000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HG8 750000.00000000 PA USD 196132.50000000 0.023302139621 Long DBT NUSS AR N 2 2036-07-06 Fixed 7.12500000 N N N N N N Garmin Ltd. 2549001E0HIPIJQ0W046 H2906T109 664.00000000 NS USD 49773.44000000 0.005913490361 Long EC CH N 1 N N N Rockwood Service/Acuren 1/20 Cov-Lite tlb N/A N/A 70000.00000000 PA USD 58800.00000000 0.006985919262 Long LON XX N 2 2027-01-23 Floating 5.85338040 N N N N N N EDELMAN FINANCIAL CENTER, LLC N/A 27943UAJ5 238195.49000000 PA USD 200679.70000000 0.023842384044 Long LON XX N 2 2025-07-21 Floating 4.17849840 N N N N N N ITAU UNIBANCO HOLDING S.A. 5493002W2IVG62O3ZJ94 465562AA4 1120000.00000000 PA USD 923664.00000000 0.109738811730 Long DBT NUSS BR Y 2 2168-08-27 Fixed 4.62500000 N N N N N N BANCO MERCANTIL DEL NORTE S.A. N/A 05971PAA6 420000.00000000 PA USD 320334.00000000 0.038058290153 Long DBT NUSS MX Y 2 2168-09-27 Fixed 6.75000000 N N N N N N SOTERA HEALTH HOLDINGS, LLC N/A 83600VAD3 870000.00000000 PA USD 753367.80000000 0.089506235132 Long LON XX N 2 2026-12-11 Floating 6.10337880 N N N N N N ARES CLO LTD N/A 00191EAC2 750000.00000000 PA USD 1261.50000000 0.000149876482 Long ABS-CBDO CORP US N 3 2024-01-17 Variable 0.00000000 N N N N N N EURO N/A N/A 1.00000000 NC -81782.99000000 -0.00971648580 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 2463924.33000000 USD 2170000.00000000 EUR 2020-04-14 -81782.99000000 N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HQ6 528000.00000000 PA USD 144413.28000000 0.017157474736 Long DBT NUSS AR N 2 2028-01-11 Fixed 5.87500000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141G104 1376.00000000 NS USD 212715.84000000 0.025272375580 Long EC US N 1 N N N UNIVISION COMMUNICATIONS INC. N/A 914908AX6 1093759.92000000 PA USD 921492.73000000 0.109480847156 Long LON XX N 2 2024-03-15 Floating 4.35337920 N N N N N N REGENERON PHARMACEUTICALS, INC. 549300RCBFWIRX3HYQ56 75886F107 348.00000000 NS USD 169924.92000000 0.020188465507 Long EC US N 1 N N N MEG Energy Corp. 5493002WXPTG5ZC1T326 552704AC2 660000.00000000 PA USD 304425.00000000 0.036168171284 Long DBT NUSS CA Y 2 2024-03-31 Fixed 7.00000000 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES, INC. MGCJBT4MKTQBVLNUIS88 015271109 504.00000000 NS USD 69078.24000000 0.008207057949 Long EC US N 1 N N N HOYA MIDCO, LLC N/A 44325HAB4 939381.07000000 PA USD 666960.56000000 0.079240350739 Long LON XX N 2 2024-06-30 Floating 5.10338160 N N N N N N ALLIANT ENERGY FINANCE, LLC 54930033ER6EOI5DL570 01882YAA4 325000.00000000 PA USD 335978.11000000 0.039916937932 Long DBT CORP US Y 2 2023-06-15 Fixed 3.75000000 N N N N N N WPX ENERGY, INC. ZXZE9GCS2BB547GJW219 98212BAJ2 940000.00000000 PA USD 517000.00000000 0.061423813924 Long DBT CORP US N 2 2027-10-15 Fixed 5.25000000 N N N N N N PARKER-HANNIFIN CORPORATION 5493002CONDB4N2HKI23 701094104 572.00000000 NS USD 74205.56000000 0.008816225357 Long EC US N 1 N N N QUICKEN LOANS INC. 549300FGXN1K3HLB1R50 74840LAB8 10000.00000000 PA USD 9778.00000000 0.001161706097 Long DBT CORP US Y 2 2028-01-15 Fixed 5.25000000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114GW4 900000.00000000 PA USD 266850.00000000 0.031703955020 Long DBT NUSS AR N 2 2021-04-22 Fixed 6.87500000 N N N N N N BECTON, DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 075887BT5 675000.00000000 PA USD 673740.48000000 0.080045860496 Long DBT CORP US N 2 2022-06-06 Fixed 2.89400000 N N N N N N WYNN RESORTS, LIMITED 254900CEKKWIHTEAB172 983134107 423.00000000 NS USD 25460.37000000 0.003024899476 Long EC US N 1 N N N AIR PRODUCTS AND CHEMICALS, INC. 7QEON6Y1RL5XR3R1W237 009158106 950.00000000 NS USD 189629.50000000 0.022529530217 Long EC US N 1 N N N N/A N/A N/A -6550000.00000000 NC USD -408052.25000000 -0.04847993322 N/A DCR XX N 2 BRK: BNP PARIBAS N/A Y 2025-06-25 0.00000000 USD -264270.63000000 USD -6550000.00000000 USD -143781.62000000 N N N UNION PACIFIC CORPORATION 549300LMMRSZZCZ8CL11 907818108 3014.00000000 NS USD 425094.56000000 0.050504698556 Long EC US N 1 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFM6 800000.00000000 PA USD 841912.93000000 0.100026118283 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N PARK-OHIO INDUSTRIES, INC. 5493006LQUO5SLMNYM18 700677AR8 630000.00000000 PA USD 497961.45000000 0.059161879006 Long DBT CORP US N 2 2027-04-15 Fixed 6.62500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 62604.37000000 0.007437909426 N/A DFE GB N 2 STATE STREET GLOBAL MARKETS, LLC N/A 1139898.34000000 USD 969434.03000000 GBP 2020-04-29 62604.37000000 N N N INVESCO LTD. ECPGFXU8A2SHKVVGJI15 G491BT108 1887.00000000 NS USD 17133.96000000 0.002035654102 Long EC BM N 1 N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958254AD6 1420000.00000000 PA USD 550588.83000000 0.065414440701 Long DBT CORP US N 2 2044-04-01 Fixed 5.45000000 N N N N N N MICROSOFT CORPORATION INR2EJN1ERAN0W5ZP974 594918104 32967.00000000 NS USD 5199225.57000000 0.617710375167 Long EC US N 1 N N N BRK: MORGAN STANLEY & CO INC (PAS) N/A CDS860797 -1290000.00000000 NC USD -62197.48000000 -0.00738956757 N/A DCR XX N 2 BRK: MORGAN STANLEY & CO INC (PAS) N/A Y 2024-12-20 13862.40000000 USD 0.00000000 USD -1290000.00000000 USD -76059.88000000 N N N Cision US/Castle US 1/20 (USD) TLB N/A N/A 370000.00000000 PA USD 293458.10000000 0.034865214175 Long LON XX N 2 2027-01-29 Floating 5.35338000 N N N N N N ACADIA HEALTHCARE COMPANY, INC. 5493005CW985Y9D0NC11 00404AAJ8 1200000.00000000 PA USD 1130868.00000000 0.134356335792 Long DBT CORP US N 2 2023-02-15 Fixed 5.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -55488.11000000 -0.00659243973 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1850000.00000000 AUD 1076751.80000000 USD 2020-04-17 -55488.11000000 N N N V.F. CORPORATION CWAJJ9DJ5Z7P057HV541 918204108 1444.00000000 NS USD 78091.52000000 0.009277909078 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 45214.56000000 0.005371858259 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 855400.00000000 CAD 646339.54000000 USD 2020-04-17 45214.56000000 N N N Lowe`s Companies, Inc. WAFCR4OKGSC504WU3E95 548661107 3278.00000000 NS USD 282071.90000000 0.033512440810 Long EC US N 1 N N N REYNOLDS GROUP HOLDINGS N/A 76173FAU1 797505.01580000 PA USD 751648.48000000 0.089301965903 Long LON XX N 2 2023-02-05 Floating 4.35337920 N N N N N N ANHEUSER-BUSCH INBEV WORLDWIDE INC. 549300CRGMZK3K53BF92 035240AQ3 2675000.00000000 PA USD 2952798.24000000 0.350816498354 Long DBT CORP US N 2 2029-01-23 Fixed 4.75000000 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAK1 400000.00000000 PA USD 343907.47000000 0.040859010530 Long DBT NUSS IE N 2 2024-01-16 Fixed 4.87500000 N N N N N N Apex Tool Group, LLC 8/19 COV-LITE N/A 03759DAF5 1240000.00000000 PA USD 948079.20000000 0.112639536491 Long LON XX N 2 2024-08-01 Floating 0.00000000 N N N N N N Provincia de Buenos Aires 549300L6AYROPOTQ4L07 11943AAD6 2120000.00000000 PA USD 636000.00000000 0.075561983860 Long DBT NUSS AR Y 2 2021-06-09 Fixed 9.95000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -35581.87000000 -0.00422741617 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 111635809.00000000 JPY 999579.25000000 USD 2020-04-17 -35581.87000000 N N N SWIRE PACIFIC MTN FINANCING LIMITED 549300B8O4ENACYK5559 N/A 950000.00000000 PA USD 1038530.50000000 0.123385888175 Long DBT NUSS KY N 2 2023-10-09 Fixed 4.50000000 N N N N N N ACIS CLO LTD N/A 00100VAC4 239610.18500000 PA USD 237001.07000000 0.028157658846 Long ABS-CBDO CORP KY N 2 2026-05-01 Floating 3.32912880 N N N N N N TAIWAN DOLLAR N/A N/A 1.00000000 NC -289.49000000 -0.00003439377 N/A DFE TW N 2 JP MORGAN N/A 25242.49000000 USD 752100.00000000 TWD 2020-04-17 -289.49000000 N N N Science Applications International Corporation N/A N/A 360000.00000000 PA USD 336600.00000000 0.039990823533 Long LON XX N 2 2027-03-05 Floating 0.00000000 N N N N N N BUCKEYE PARTNERS, L.P. 549300C1PQJLVEIUBK50 118230AQ4 860000.00000000 PA USD 704942.00000000 0.083752855387 Long DBT CORP US N 2 2026-12-01 Fixed 3.95000000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -218914.71000000 -0.02600885186 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 1094635.36000000 USD 68580000.00000000 RUB 2020-04-17 -218914.71000000 N N N BRK: BANK OF AMERICA N/A N/A 4200000.00000000 NC USD -1890605.97000000 -0.22461939904 N/A DIR XX N 2 BRK: BANK OF AMERICA N/A Y 2044-05-15 19475.70000000 USD 0.00000000 USD -4200000.00000000 USD -1910081.67000000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 270000.00000000 PA USD 330475.05000000 0.039263129550 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N BROOKFIELD WEC HOLDINGS INC. N/A 11284EAL7 1136926.95000000 PA USD 1068711.33000000 0.126971616774 Long LON XX N 2 2025-08-01 Floating 4.60338120 N N N N N N IAA, INC. 549300PZCOPC5178W747 449253AB9 250000.00000000 PA USD 241875.00000000 0.028736721456 Long DBT CORP US Y 2 2027-06-15 Fixed 5.50000000 N N N N N N ACCENTURE PUBLIC LIMITED COMPANY N/A G1151C101 2761.00000000 NS USD 450760.86000000 0.053554064195 Long EC IE N 1 N N N WP CITYMD BIDCO TL 1L N/A 92940KAG0 850000.00000000 PA USD 753669.50000000 0.089542079551 Long LON XX N 2 2026-08-13 Floating 6.44463000 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 595017104 1069.00000000 NS USD 72478.20000000 0.008611000909 Long EC US N 1 N N N XEROX HOLDINGS CORPORATION N/A 98421M106 827.00000000 NS USD 15663.38000000 0.001860937211 Long EC US N 1 N N N OASIS PETROLEUM INC. 529900FA4V2YNIKZ0M71 674215AG3 1110000.00000000 PA USD 219225.00000000 0.026045716842 Long DBT CORP US N 2 2022-03-15 Fixed 6.87500000 N N N N N N AIA Group Limited ZP5ILWVSYE4LJGMMVD57 00131LAB1 425000.00000000 PA USD 435299.87000000 0.051717172564 Long DBT NUSS HK Y 2 2025-03-11 Fixed 3.20000000 N N N N N N USD CALL/CAD PUT N/A USCAC0029 -4010000.00000000 NC USD -173586.92000000 -0.02062354095 N/A DFE US N 2 BNP SECURITIES N/A Call Written N/A N/A -4010000.00000000 1.35100000 USD 2020-05-25 XXXX -158882.25000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -20199.72000000 -0.00239989137 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1460062.48000000 EUR 1584268.54000000 USD 2020-05-14 -20199.72000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -145511.25000000 -0.01728792252 N/A DFE CA N 2 CITIGROUP GLOBAL MARKETS N/A 1635322.98000000 USD 2120000.00000000 CAD 2020-04-17 -145511.25000000 N N N AMKOR TECHNOLOGY, INC. 529900VHLRTKPWZJBM84 031652BK5 400000.00000000 PA USD 376000.00000000 0.044671864672 Long DBT CORP US Y 2 2027-09-15 Fixed 6.62500000 N N N N N N CORTEVA, INC. 549300WZN9I2QKLS0O94 22052L104 3303.00000000 NS USD 77620.50000000 0.009221948063 Long EC US N 1 N N N ACTIVISION BLIZZARD, INC. 549300TPQQDBP9GNOF40 00507V109 3270.00000000 NS USD 194499.60000000 0.023108137792 Long EC US N 1 N N N JOHNSON CONTROLS INTERNATIONAL PUBLIC LIMITED COMPANY 549300XQ6S1GYKGBL205 G51502105 3225.00000000 NS USD 86946.00000000 0.010329893472 Long EC IE N 1 N N N Republica de Angola 549300QHR2R3J8JSGK83 035198AE0 740000.00000000 PA USD 289449.52000000 0.034388962199 Long DBT NUSS AO Y 2 2049-11-26 Fixed 9.12500000 N N N N N N AMERICAN ELECTRIC POWER COMPANY, INC. 1B4S6S7G0TW5EE83BO58 025537AN1 300000.00000000 PA USD 279737.41000000 0.033235084370 Long DBT CORP US N 2 2030-03-01 Fixed 2.30000000 N N N N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023105 2290.00000000 NS USD 341530.60000000 0.040576619001 Long EC US N 1 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 650000.00000000 PA USD 602810.00000000 0.071618741337 Long DBT NUSS GB N 2 2168-09-15 Fixed 8.00000000 N N N Y Y BARCLAYS PLC GBP XXXX N N N ALTERRA MOUNTAIN COMPANY N/A 46124CAB3 560696.42000000 PA USD 504626.78000000 0.059953774537 Long LON XX N 2 2024-07-31 Floating 4.35337920 N N N N N N Freddie Mac N/A 3137B8QW0 487798.96200000 PA USD 92750.83000000 0.011019554590 Long DBT USGA US N 2 2039-07-15 Floating 5.39537040 N N N N N N FASTENAL COMPANY 529900PP0C7H2HHPSJ32 311900104 2390.00000000 NS USD 74687.50000000 0.008873483757 Long EC US N 1 N N N AEROPUERTOS DOMINICANOS SIGLO XXI S A 254900KJA5MXNPYB4W32 007866AC0 350000.00000000 PA USD 246750.00000000 0.029315911191 Long DBT NUSS DO Y 2 2029-03-30 Fixed 6.75000000 N N N N N N GLOBAL TEL*LINK TL 1L N/A 37959JAB7 586237.20000000 PA USD 492439.25000000 0.058505796636 Long LON XX N 2 2025-11-29 Floating 5.85338040 N N N N N N KEYSIGHT TECHNOLOGIES, INC. 549300GLKVIO8YRCYN02 49338L103 800.00000000 NS USD 66944.00000000 0.007953492842 Long EC US N 1 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 EJ0234298 5740000.00000000 PA 245154.28000000 0.029126326648 Long DBT NUSS MX N 2 2022-06-09 Fixed 6.50000000 N N N N N N ENVISION HEALTHCARE CORPORATION 549300OL60X0LPKY8N60 29373TAA2 500000.00000000 PA USD 122500.00000000 0.014553998463 Long DBT CORP US Y 2 2026-10-15 Fixed 8.75000000 N N N N N N EURO N/A N/A 1.00000000 NC -31274.37000000 -0.00371565006 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 1321387.48000000 USD 1174000.00000000 EUR 2020-05-14 -31274.37000000 N N N DCP MIDSTREAM OPERATING, LP 549300Y6CTBSE0QIPL28 23311VAG2 1000000.00000000 PA USD 682800.00000000 0.081122205314 Long DBT CORP US N 2 2025-07-15 Fixed 5.37500000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 300000.00000000 PA USD 320365.79000000 0.038062067065 Long DBT CORP US Y 2 2028-12-15 Fixed 4.37500000 N N N N N N Government National Mortgage Association N/A 38381YEC4 1553616.52800000 PA USD 240247.07000000 0.028543310103 Long DBT USGA US N 2 2049-08-20 Floating 4.40300160 N N N N N N Federal National Mortgage Association N/A 01F030645 8000000.00000000 PA USD 8386562.48000000 0.996391979177 Long DBT USGA XX N 2 2045-04-15 Fixed 3.00000000 N N N N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 14448CAH7 1100000.00000000 PA USD 1049277.46000000 0.124662714618 Long DBT CORP US Y 2 2027-02-15 Fixed 2.49300000 N N N N N N JUNIPER NETWORKS, INC. AUHIXNGG7U2U7JEHM527 48203R104 1505.00000000 NS USD 28805.70000000 0.003422351947 Long EC US N 1 N N N PETSMART, INC. N/A 716768AD8 340000.00000000 PA USD 307700.00000000 0.036557267977 Long DBT CORP US Y 2 2025-06-01 Fixed 8.87500000 N N N N N N N/A N/A N/A -35250000.00000000 NC USD -126571.19000000 -0.01503768901 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-12-20 858113.64000000 USD 0.00000000 USD -35250000.00000000 USD -984684.83000000 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCB6 120000.00000000 PA USD 91500.00000000 0.010870945791 Long DBT NUSS MX N 2 2026-08-04 Fixed 6.87500000 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAU5 1000000.00000000 PA USD 930000.00000000 0.110491580173 Long DBT CORP US Y 2 2030-02-15 Fixed 3.37500000 N N N N N N DH Europe Finance II S.a r.l. 222100KDGL314CKTZ511 23291KAH8 175000.00000000 PA USD 169955.71000000 0.020192123610 Long DBT NUSS LU N 2 2029-11-15 Fixed 2.60000000 N N N N N N BANCO MERCANTIL DEL NORTE S.A. N/A 05971PAB4 250000.00000000 PA USD 190002.50000000 0.022573845657 Long DBT NUSS MX Y 2 2168-09-27 Fixed 7.50000000 N N N N N N Digicel Group Two Ltd N/A 25382FAB7 263000.00000000 PA USD 40765.00000000 0.004843214264 Long DBT NUSS BM Y 2 2022-09-30 Fixed 8.25000000 N N N N N N FEDERAL REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 N/A 1480000.00000000 PA USD 1062486.08000000 0.126232006334 Long DBT NUSS NG N 2 2031-01-21 Fixed 8.74700000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -285.33000000 -0.00003389952 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A 771283.94000000 USD 83147494.00000000 JPY 2020-04-17 -285.33000000 N N N DIGICEL GROUP ONE LIMITED N/A 25382DAA4 61000.00000000 PA USD 28975.00000000 0.003442466167 Long DBT NUSS BM Y 2 2022-12-30 Fixed 8.25000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 10153.97000000 0.001206374398 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A 1063249.38000000 USD 115760000.00000000 JPY 2020-04-17 10153.97000000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHD4 2115000.00000000 PA USD 2181702.98000000 0.259204096482 Long DBT CORP US N 2 2028-12-20 Fixed 3.41900000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967GF2 675000.00000000 PA USD 651375.00000000 0.077388659177 Long DBT CORP US N 2 2168-08-15 Fixed 5.90000000 N N N N N N PETCO ANIMAL SUPPLIES INC N/A 71579UAF2 736572.90000000 PA USD 507498.73000000 0.060294985605 Long LON XX N 2 2023-01-26 Floating 5.02713000 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XBA1 850000.00000000 PA USD 666170.14000000 0.079146442400 Long DBT CORP US N 2 2025-03-01 Fixed 3.25000000 N N N N N N Braskem Netherlands Finance B.V. N/A 10554TAB1 1200000.00000000 PA USD 959112.00000000 0.113950323056 Long DBT NUSS NL Y 2 2028-01-10 Fixed 4.50000000 N N N N N N RUSSIA, FEDERATION OF (GOVERNMENT) 5493004EHVGF71PDBU58 AX8009109 200000.00000000 PA USD 231000.00000000 0.027444682817 Long DBT NUSS RU Y 2 2035-03-28 Fixed 5.10000000 N N N N N N Prosus N.V. 635400Z5LQ5F9OLVT688 74365PAA6 250000.00000000 PA USD 226009.36000000 0.026851754107 Long DBT NUSS NL Y 2 2030-01-21 Fixed 3.68000000 N N N N N N ESKOM HOLDINGS SOC LIMITED 3789001900ED06F65111 N/A 230000.00000000 PA USD 170890.00000000 0.020303124877 Long DBT NUSS ZA N 2 2023-08-06 Fixed 6.75000000 N N N N N N Romania 259400VHILGGKLBNL383 N/A 590000.00000000 PA 642926.31000000 0.076384885942 Long DBT NUSS RO Y 2 2026-12-08 Fixed 2.00000000 N N N N N N THE REPUBLIC OF KENYA 549300VVURQQYU45PR87 491798AH7 260000.00000000 PA USD 238232.80000000 0.028303998409 Long DBT NUSS KE Y 2 2048-02-28 Fixed 8.25000000 N N N N N N GRUBHUB HOLDINGS INC. N/A 40010PAA6 300000.00000000 PA USD 265500.00000000 0.031543564017 Long DBT CORP US Y 2 2027-07-01 Fixed 5.50000000 N N N N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FAD3 800000.00000000 PA USD 787242.67000000 0.093530845793 Long DBT CORP US Y 2 2024-10-15 Fixed 3.62500000 N N N N N N BLUE RACER MIDSTREAM, LLC N/A 095796AA6 930000.00000000 PA USD 697500.00000000 0.082868685129 Long DBT CORP US Y 2 2022-11-15 Fixed 6.12500000 N N N N N N FISERV, INC. GI7UBEJLXYLGR2C7GV83 337738AQ1 300000.00000000 PA USD 309861.66000000 0.036814090804 Long DBT CORP US N 2 2023-10-01 Fixed 3.80000000 N N N N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 14448CAD6 250000.00000000 PA USD 246121.51000000 0.029241241456 Long DBT CORP US Y 2 2023-02-15 Fixed 1.92300000 N N N N N N NIELSEN HOLDINGS PLC 549300ZVCBHQE0XHG367 G6518L108 1634.00000000 NS USD 20490.36000000 0.002434421779 Long EC GB N 1 N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529Y106 910.00000000 NS USD 13659.10000000 0.001622812411 Long EC US N 1 N N N XILINX, INC. 6EY4K7ZMF9UX1CU6KC79 983919101 1119.00000000 NS USD 87214.86000000 0.010361836232 Long EC US N 1 N N N MATCH GROUP, INC. 549300BIJKT86CPCKK96 57665RAG1 630000.00000000 PA USD 601650.00000000 0.071480923882 Long DBT CORP US Y 2 2027-12-15 Fixed 5.00000000 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NDG3 300000.00000000 PA USD 325169.85000000 0.038632828549 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N DELPHI TECHNOLOGIES PLC 549300SEU65CJHRH6V04 24718PAA5 560000.00000000 PA USD 446600.00000000 0.053059720113 Long DBT NUSS JE Y 2 2025-10-01 Fixed 5.00000000 N N N N N N ANHEUSER-BUSCH COMPANIES, LLC 5493002J2SVENP0PVK27 03522AAG5 2975000.00000000 PA USD 3119234.31000000 0.370590460045 Long DBT CORP US N 2 2026-02-01 Fixed 3.65000000 N N N N N N Mohegan Gaming & Entertainment 549300UB083Z2NRDHC48 608328BF6 1140000.00000000 PA USD 843600.00000000 0.100226555950 Long DBT CORP US Y 2 2024-10-15 Fixed 7.87500000 N N N N N N TALEN ENERGY SUPPLY, LLC K5K33XN0PQAU1XF7NN66 87422VAE8 540000.00000000 PA USD 388800.00000000 0.046192609001 Long DBT CORP US Y 2 2026-01-15 Fixed 10.50000000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC -399124.70000000 -0.04741926751 N/A DFE XX N 2 GOLDMAN, SACHS & CO. N/A 2120268.08000000 USD 40475493.53000000 MXN 2020-04-17 -399124.70000000 N N N Sands China Ltd. 549300EVO6UZDGY05787 80007RAF2 700000.00000000 PA USD 671097.00000000 0.079731793526 Long DBT NUSS KY N 2 2025-08-08 Fixed 5.12500000 N N N N N N Gobierno de la Republica de Panama 549300SHS4T08CL0LP14 698299BM5 300000.00000000 PA USD 324750.00000000 0.038582946947 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N OASIS PETROLEUM INC. 529900FA4V2YNIKZ0M71 674215AE8 390000.00000000 PA USD 79950.00000000 0.009498711650 Long DBT CORP US N 2 2023-01-15 Fixed 6.87500000 N N N N N N USD CALL/EUR PUT N/A USEUC9816 3860000.00000000 NC USD 102046.55000000 0.012123961893 N/A DFE US N 2 JPM CHASE N/A Call Purchased N/A N/A 3860000.00000000 1.12560000 USD 2020-06-08 XXXX 52315.85000000 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 940000.00000000 PA 784132.68000000 0.093161353632 Long DBT NUSS EG N 2 2030-04-16 Fixed 5.62500000 N N N N N N IHS MARKIT LTD. 549300HLPTRASHS0E726 G47567105 1787.00000000 NS USD 107220.00000000 0.012738609920 Long EC BM N 1 N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 67054KAA7 2200000.00000000 PA USD 2183830.00000000 0.259456803794 Long DBT NUSS FR Y 2 2026-05-01 Fixed 7.37500000 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29364G103 828.00000000 NS USD 77807.16000000 0.009244124792 Long EC US N 1 N N N JAPANESE YEN N/A N/A 1.00000000 NC 8361.33000000 0.000993394154 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A 527042.17000000 USD 57740000.00000000 JPY 2020-04-17 8361.33000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -13792.12000000 -0.00163861627 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1040000.00000000 EUR 1127993.36000000 USD 2020-04-17 -13792.12000000 N N N HAZINE MUSTESARLIGI VARLIK KIRALAMA ANONIM SIRKETI 6354003QFJP7RDXEOZ20 421790AE6 860000.00000000 PA USD 801950.00000000 0.095278196472 Long DBT NUSS TR Y 2 2023-04-06 Fixed 5.00400000 N N N N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 P3579EBE6 660000.00000000 PA USD 605550.00000000 0.071944275670 Long DBT NUSS DO N 2 2045-01-27 Fixed 6.85000000 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122CD8 330000.00000000 PA USD 413343.49000000 0.049108575660 Long DBT CORP US Y 2 2049-10-26 Fixed 4.25000000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205AQ7 1170000.00000000 PA USD 1096875.00000000 0.130317690325 Long DBT NUSS ZA N 2 2024-01-17 Fixed 4.66500000 N N N N N N HCA INC. L3CJ6J7LJ2DX62FTXD46 404121AJ4 1530000.00000000 PA USD 1601451.00000000 0.190265431784 Long DBT CORP US N 2 2028-09-01 Fixed 5.62500000 N N N N N N CHINA EVERGRANDE GROUP 549300CUF7B1LAB15T90 N/A 200000.00000000 PA USD 161005.27000000 0.019128738385 Long DBT NUSS KY N 2 2022-03-23 Fixed 8.25000000 N N N N N N SPRINT CAPITAL CORPORATION 549300L17W0GQBR1PO80 852060AD4 1620000.00000000 PA USD 1850364.00000000 0.219838325005 Long DBT CORP US N 2 2028-11-15 Fixed 6.87500000 N N N N N N ATHENAHEALTH, INC. N/A 04685YAK5 933498.62000000 PA USD 868153.72000000 0.103143738017 Long LON XX N 2 2026-02-11 Floating 5.31137880 N N N N N N VULCAN MATERIALS COMPANY 549300Q8LSNHAVWBNI21 929160109 596.00000000 NS USD 64409.72000000 0.007652399721 Long EC US N 1 N N N THE WILLIAMS COMPANIES, INC. D71FAKCBLFS2O0RBPG08 969457100 5368.00000000 NS USD 75957.20000000 0.009024334466 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 33172.34000000 0.003941144370 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 2170000.00000000 EUR 2415551.67000000 USD 2020-04-17 33172.34000000 N N N SS&C TECHNOLOGIES HOLDINGS INC N/A 78466DBD5 373873.51000000 PA USD 348637.05000000 0.041420923184 Long LON XX N 2 2025-04-16 Floating 3.35337840 N N N N N N Ukraine 6354001WLTJXOMEXPY07 N/A 1212000.00000000 PA USD 881851.20000000 0.104771110285 Long DBT NUSS UA N 2 2040-05-31 Floating 0.00001080 N N N N N N KOREAN WON N/A N/A 1.00000000 NC -9217.33000000 -0.00109509393 N/A DFE KR N 2 JP MORGAN N/A 505851.65000000 USD 604690000.00000000 KRW 2020-04-17 -9217.33000000 N N N FIVE POINT OPERATING COMPANY, LP N/A 33834YAA6 770000.00000000 PA USD 662200.00000000 0.078674757409 Long DBT CORP US Y 2 2025-11-15 Fixed 7.87500000 N N N N N N N/A N/A N/A 94594.59000000 PA USD -18918.92000000 -0.00224772189 Long LON XX N 2 2027-02-05 Floating 0.00000000 N N N N N N SENSATA TECHNOLOGIES, INC. N/A 81728UAA2 230000.00000000 PA USD 207000.00000000 0.024593287199 Long DBT CORP US Y 2 2030-02-15 Fixed 4.37500000 N N N N N N MPH ACQUISITION HOLDINGS LLC N/A 55328HAE1 821678.08000000 PA USD 723758.70000000 0.085988432717 Long LON XX N 2 2023-06-07 Floating 4.69463040 N N N N N N APPLOVIN CORPORATION N/A 03835EAC8 506165.41000000 PA USD 450487.21000000 0.053521552344 Long LON XX N 2 2025-08-15 Floating 5.10338160 N N N N N N USI INC (FKA COMPASS INVESTORS INC.) N/A 90351NAE5 940379.75000000 PA USD 855745.57000000 0.101669548661 Long LON XX N 2 2024-05-16 Floating 4.94462880 N N N N N N COMMSCOPE, INC. N/A 20337EAQ4 523687.50000000 PA USD 492266.25000000 0.058485242826 Long LON XX N 2 2026-04-06 Floating 4.85337960 N N N N N N 1011778 B.C. UNLIMITED LIABILITY COMPANY N/A C6901LAH0 864442.36000000 PA USD 795286.97000000 0.094486574200 Long LON XX N 2 2026-11-19 Floating 3.35337840 N N N N N N DAVITA INC. M2XHYMU3TZNEZURC6H66 23918KAQ1 1000000.00000000 PA USD 997000.00000000 0.118451726271 Long DBT CORP US N 2 2024-07-15 Fixed 5.12500000 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816BL2 370000.00000000 PA USD 312650.00000000 0.037145368323 Long DBT CORP US N 2 2168-09-15 Fixed 4.90000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 62387.47000000 0.007412139939 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 7340506429.00000000 IDR 508697.60000000 USD 2020-06-05 62387.47000000 N N N ELANCO ANIMAL HEALTH INC. N/A N/A 410000.00000000 PA USD 387450.00000000 0.046032217997 Long LON XX N 2 2027-02-04 Floating 0.00000000 N N N N N N BECTON, DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 075887109 1184.00000000 NS USD 272047.68000000 0.032321481769 Long EC US N 1 N N N EYECARE PARTNERS, LLC N/A 30233PAB6 624324.33000000 PA USD 499459.46000000 0.059339854804 Long LON XX N 2 2027-02-05 Floating 5.41824840 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS, LLC 549300I7CIEWU1BBLQ53 16412XAD7 250000.00000000 PA USD 219391.45000000 0.026065492459 Long DBT CORP US N 2 2024-06-30 Fixed 7.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -163343.70000000 -0.01940656292 N/A DFE CA N 2 CITIGROUP GLOBAL MARKETS N/A 3570000.00000000 USD 4844490.00000000 CAD 2020-06-10 -163343.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 52483.96000000 0.006235522230 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 12327732.00000000 BRL 2426527.83000000 USD 2020-04-17 52483.96000000 N N N STRUCTURED ASSET SECURITIES CORPORATION N/A 86361NAD3 2490000.00000000 PA USD 2267386.28000000 0.269383970903 Long ABS-MBS US N 2 2036-10-25 Floating 2.19674880 N N N N N N SIMON PROPERTY GROUP, INC. 529900GQL5X8H7AO3T64 828806109 1344.00000000 NS USD 73731.84000000 0.008759943559 Long EC US N 1 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -93264.93000000 -0.01108063386 N/A DFE GB N 2 MORGAN STANLEY & CO, INC N/A 1681861.83000000 USD 1280892.52000000 GBP 2020-04-17 -93264.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7825.77000000 0.000929765261 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 350000.00000000 EUR 392080.50000000 USD 2020-04-17 7825.77000000 N N N ILLINOIS ST N/A 452152GS4 225000.00000000 PA USD 252454.50000000 0.029993652286 Long DBT MUN US N 2 2035-07-01 Fixed 7.35000000 N N N N N N H & R BLOCK, INC. 549300CE3KUCWLZBG404 093671105 821.00000000 NS USD 11559.68000000 0.001373384203 Long EC US N 1 N N N BOYD GAMING CORPORATION N/A 10330JAU2 318218.21000000 PA USD 273766.31000000 0.032525669021 Long LON XX N 2 2023-09-15 Floating 2.93388120 N N N N N N DEALER TIRE, LLC 549300XTS06OMOCRSE50 24229JAA1 657000.00000000 PA USD 525600.00000000 0.062445564020 Long DBT CORP US Y 2 2028-02-01 Fixed 8.00000000 N N N N N N CONTINENTAL RESOURCES, INC. XXRTID9RYWOZ0UPIVR53 212015AS0 100000.00000000 PA USD 46223.77000000 0.005491760633 Long DBT CORP US N 2 2028-01-15 Fixed 4.37500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -58247.83000000 -0.00692031696 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 1086444.07000000 USD 1680000.00000000 AUD 2020-04-17 -58247.83000000 N N N ZIMMER BIOMET HOLDINGS, INC. 2P2YLDVPES3BXQ1FRB91 98956P102 908.00000000 NS USD 91780.64000000 0.010904288110 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 173891.13000000 0.020659683582 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 21843780000.00000000 IDR 1512936.69000000 USD 2020-04-17 173891.13000000 N N N MICHAELS STORES N/A 594088AQ9 1358524.13000000 PA USD 1127575.03000000 0.133965104116 Long LON XX N 2 2023-01-30 Floating 3.56762880 N N N N N N ARCONIC INC. 549300HO5WFZUT5N2T22 03965L100 1864.00000000 NS USD 29935.84000000 0.003556621790 Long EC US N 1 N N N APACHE CORPORATION 72ZZ1XRHOOU9P9X16K08 037411105 1761.00000000 NS USD 7360.98000000 0.000874544421 Long EC US N 1 N N N CHANGE HEALTHCARE HOLDINGS INC. N/A 15911AAC7 831562.04000000 PA USD 781668.32000000 0.092868567578 Long LON XX N 2 2024-03-01 Floating 4.10338080 N N N N N N ZOETIS INC. 549300HD9Q1LOC9KLJ48 98978V103 2032.00000000 NS USD 239146.08000000 0.028412503517 Long EC US N 1 N N N AMERICAN ELECTRIC POWER COMPANY, INC. 1B4S6S7G0TW5EE83BO58 025537101 2140.00000000 NS USD 171157.20000000 0.020334870415 Long EC US N 1 N N N Republica de El Salvador 529900AKDMUSFSDOM949 283875BZ4 270000.00000000 PA USD 207900.00000000 0.024700214535 Long DBT NUSS SV Y 2 2050-01-20 Fixed 7.12460000 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816109 2868.00000000 NS USD 245529.48000000 0.029170903466 Long EC US N 1 N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05964HAB1 400000.00000000 PA USD 389390.56000000 0.046262772342 Long DBT NUSS ES N 2 2027-04-11 Fixed 4.25000000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 28228PAA9 928000.00000000 PA USD 760960.00000000 0.090408250374 Long DBT NUSS GB Y 2 2025-02-07 Fixed 6.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 103535.84000000 0.012300901684 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 34570000.00000000 RUB 544971.58000000 USD 2020-04-17 103535.84000000 N N N ARCHER-DANIELS-MIDLAND COMPANY 549300LO13MQ9HYSTR83 039483102 2467.00000000 NS USD 86789.06000000 0.010311247721 Long EC US N 1 N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 872000.00000000 PA USD 156994.88000000 0.018652271365 Long DBT NUSS LB N 2 2030-02-26 Fixed 6.65000000 Y N N N N N GOLDEN NUGGET INC. N/A 51508PAG9 857729.87000000 PA USD 664740.65000000 0.078976607337 Long LON XX N 2 2023-10-04 Floating 4.10338080 N N N N N N MCAFEE, LLC N/A 57906PAG4 857148.61000000 PA USD 800002.51000000 0.095046818787 Long LON XX N 2 2024-09-30 Floating 5.35338000 N N N N N N TEXAS INSTRUMENTS INCORPORATED WDJNR2L6D8RWOEB8T652 882508104 4062.00000000 NS USD 405915.66000000 0.048226088914 Long EC US N 1 N N N NOMURA RESECURITIZATION TRUST N/A 65540WCC1 564310.45800000 PA USD 535050.96000000 0.063568415100 Long ABS-MBS US N 2 2036-03-26 Floating 0.39127320 N N N N N N ALPHABET INC. 5493006MHB84DD0ZWV18 02079K305 1293.00000000 NS USD 1502401.35000000 0.178497526038 Long EC US N 1 N N N J2 CLOUD SERVICES, LLC 549300U8CM5SW5WEYW88 466253AA9 740000.00000000 PA USD 734442.60000000 0.087257767118 Long DBT CORP US Y 2 2025-07-15 Fixed 6.00000000 N N N N N N ZEBRA TECHNOLOGIES CORPORATION PO0I32GKZ3HZMMDPZZ08 989207105 240.00000000 NS USD 44064.00000000 0.005235162353 Long EC US N 1 N N N COSTCO WHOLESALE CORPORATION 29DX7H14B9S6O3FD6V18 22160K105 1900.00000000 NS USD 541747.00000000 0.064363959230 Long EC US N 1 N N N DIAMOND SPORTS GROUP, LLC N/A 25277LAC0 500000.00000000 PA USD 334375.00000000 0.039726475398 Long DBT CORP US Y 2 2027-08-15 Fixed 6.62500000 N N N N N N ARISTA NETWORKS, INC. 635400H1WKBLOQERUU95 040413106 232.00000000 NS USD 46991.60000000 0.005582985095 Long EC US N 1 N N N BEST BUY CO., INC. HL5XPTVRV0O8TUN5LL90 086516101 937.00000000 NS USD 53409.00000000 0.006345424522 Long EC US N 1 N N N ILLINOIS TOOL WORKS INC. 76NA4I14SZCFAYMNSV04 452308109 1244.00000000 NS USD 176797.28000000 0.021004957889 Long EC US N 1 N N N TAPESTRY, INC 549300LJNVY5SW3VTN33 876030107 1201.00000000 NS USD 15552.95000000 0.001847817227 Long EC US N 1 N N N ULTA BEAUTY, INC. 529900CIV6HN8M28YM82 90384S303 241.00000000 NS USD 42343.70000000 0.005030776691 Long EC US N 1 N N N AT&T INC. 549300Z40J86GGSTL398 00206RHJ4 700000.00000000 PA USD 755226.51000000 0.089727065030 Long DBT CORP US N 2 2029-03-01 Fixed 4.35000000 N N N N N N UNDER ARMOUR, INC. 549300D4549QKWETZ406 904311206 920.00000000 NS USD 7415.20000000 0.000880986199 Long EC US N 1 N N N BROADCOM CORPORATION KFFV4ZWM9DJH1ND3BD89 11134LAP4 50000.00000000 PA USD 47926.54000000 0.005694063587 Long DBT CORP US N 2 2025-01-15 Fixed 3.12500000 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135B101 2546.00000000 NS USD 151257.86000000 0.017970666629 Long EC US N 1 N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00772BAP6 2300000.00000000 PA USD 1919110.87000000 0.228006013498 Long DBT NUSS IE N 2 2022-07-01 Fixed 4.62500000 N N N N N N GLOBE LIFE INC. 5493001JFHKQOPP6XA71 37959E102 429.00000000 NS USD 30875.13000000 0.003668217098 Long EC US N 1 N N N Kingdom of Saudi Arabia 635400FMICXSM3SI3H65 80413TAR0 220000.00000000 PA USD 202523.20000000 0.024061406870 Long DBT NUSS SA Y 2 2055-01-21 Fixed 3.75000000 N N N N N N AUTOMATIC DATA PROCESSING, INC. HGBOLILQXWER4SAL2I23 053015103 1848.00000000 NS USD 252584.64000000 0.030009113979 Long EC US N 1 N N N ATMOS ENERGY CORPORATION QVLWEGTD2S8GJMO8D383 049560105 500.00000000 NS USD 49615.00000000 0.005894666398 Long EC US N 1 N N N USD CALL/EUR PUT N/A USEUC9818 10320000.00000000 NC USD 151687.76000000 0.018021742253 N/A DFE US N 2 BNP SECURITIES N/A Call Purchased N/A N/A 10320000.00000000 1.11550000 USD 2020-04-11 XXXX 111130.16000000 N N N PANTHER BF AGGREGATOR 2 L.P. N/A C8000CAB9 867825.00000000 PA USD 789720.75000000 0.093825261895 Long LON XX N 2 2026-04-30 Floating 4.44088080 N N N N N N UNITED RENTALS, INC. 5323X5O7RN0NKFCDRY08 911363109 344.00000000 NS USD 35397.60000000 0.004205523396 Long EC US N 1 N N N GLOBAL AIRCRAFT LEASING CO., LTD N/A 37960JAA6 1516000.00000000 PA USD 976304.00000000 0.115992872784 Long DBT NUSS KY Y 2 2024-09-15 Fixed 6.50000000 N N Y N N N EXTERRAN ENERGY SOLUTIONS, L.P. 549300SUVC37AAD0DT62 30227KAE9 700000.00000000 PA USD 462000.00000000 0.054889365634 Long DBT CORP US N 2 2025-05-01 Fixed 8.12500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -38821.58000000 -0.00461232012 N/A DFE GB N 2 MORGAN STANLEY & CO, INC N/A 807762.04000000 USD 620000.00000000 GBP 2020-04-17 -38821.58000000 N N N Romania 259400VHILGGKLBNL383 N/A 110000.00000000 PA 108122.19000000 0.012845797446 Long DBT NUSS RO Y 2 2032-01-28 Fixed 2.00000000 N N N N N N GRIFFON CORPORATION 5493000C2SGNC7ZN3242 398433AN2 311000.00000000 PA USD 292340.00000000 0.034732374782 Long DBT CORP US Y 2 2028-03-01 Fixed 5.75000000 N N N N N N KOHL'S CORPORATION 549300JF6LPRTRJ0FH50 500255104 759.00000000 NS USD 11073.81000000 0.001315658887 Long EC US N 1 N N N GFL ENVIRONMENTAL INC. 549300FYK4MBXWIVZU26 36168QAF1 175000.00000000 PA USD 170625.00000000 0.020271640717 Long DBT NUSS CA Y 2 2026-12-15 Fixed 5.12500000 N N N N N N WPX ENERGY, INC. ZXZE9GCS2BB547GJW219 98212BAG8 300000.00000000 PA USD 220500.00000000 0.026197197234 Long DBT CORP US N 2 2023-08-01 Fixed 8.25000000 N N N N N N Freddie Mac N/A 3137FQHS5 394281.71600000 PA USD 51063.78000000 0.006066793270 Long DBT USGA US N 2 2049-12-25 Floating 5.29536960 N N N N N N AVALONBAY COMMUNITIES, INC. K9G90K85RBWD2LAGQX17 053484101 606.00000000 NS USD 89185.02000000 0.010595907298 Long EC US N 1 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCG5 640000.00000000 PA USD 472121.60000000 0.056091894212 Long DBT NUSS MX N 2 2027-03-13 Fixed 6.50000000 N N N N N N RAYMOND JAMES FINANCIAL, INC. RGUZHJ05YTITL6D76949 754730109 535.00000000 NS USD 33812.00000000 0.004017141192 Long EC US N 1 N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 36962G6S8 275000.00000000 PA USD 277010.27000000 0.032911077910 Long DBT CORP US N 2 2023-01-09 Fixed 3.10000000 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VBE2 500000.00000000 PA USD 497211.26000000 0.059072750319 Long DBT CORP US N 2 2025-02-15 Fixed 3.75000000 N N N N N N CENTURYLINK, INC. 8M3THTGWLTYZVE6BBY25 156700BB1 1250000.00000000 PA USD 1250000.00000000 0.148510188404 Long DBT CORP US Y 2 2026-12-15 Fixed 5.12500000 N N N N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460D109 665.00000000 NS USD 132075.65000000 0.015691663732 Long EC US N 1 N N N Government National Mortgage Association N/A 38380YRQ0 545804.18900000 PA USD 77012.32000000 0.009149691322 Long DBT USGA US N 2 2048-08-20 Floating 4.55299920 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397VU4 350000.00000000 PA USD 343000.00000000 0.040751195698 Long DBT CORP US N 2 2021-08-02 Fixed 5.87500000 N N N N N N GENESIS ENERGY, L.P. 549300VJ5D6MDK138782 37185LAL6 1860000.00000000 PA USD 1294932.00000000 0.153848476232 Long DBT CORP US N 2 2028-02-01 Fixed 7.75000000 N N N N N N INTELSAT JACKSON HOLDINGS S.A. 8XJ8KF85PBKK1TLMFN29 45824TAY1 650000.00000000 PA USD 429000.00000000 0.050968696660 Long DBT NUSS LU Y 2 2025-07-15 Fixed 9.75000000 N N N N N N Government National Mortgage Association N/A 38380W4A4 3045452.00000000 PA USD 416609.31000000 0.049496581695 Long DBT USGA US N 2 2048-05-20 Floating 5.42711880 N N N N N N Government National Mortgage Association N/A 38382AES0 1446991.92870000 PA USD 164801.96000000 0.019579816103 Long DBT USGA US N 2 2049-10-20 Fixed 4.00000000 N N N N N N GETTY IMAGES, INC. 5493005NV20IG4VEKZ40 374276AJ2 100000.00000000 PA USD 75000.00000000 0.008910611304 Long DBT CORP US Y 2 2027-03-01 Fixed 9.75000000 N N N N N N Government National Mortgage Association N/A 38381BG65 565873.08610000 PA USD 77268.78000000 0.009180160860 Long DBT USGA US N 2 2049-01-20 Floating 4.40300160 N N N N N N Republica de Angola 549300QHR2R3J8JSGK83 035198AD2 650000.00000000 PA USD 263250.00000000 0.031276245678 Long DBT NUSS AO Y 2 2029-11-26 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 38381BZG2 760179.61350000 PA USD 104055.29000000 0.012362616577 Long DBT USGA US N 2 2049-01-20 Floating 4.40300160 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 37443GAA9 260000.00000000 PA USD 191841.00000000 0.022792274442 Long DBT NUSS GH Y 2 2027-03-26 Fixed 7.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -21722.80000000 -0.00258084569 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 142341756.00000000 JPY 1298164.19000000 USD 2020-04-17 -21722.80000000 N N N AVERY DENNISON CORPORATION 549300PW7VPFCYKLIV37 053611109 356.00000000 NS USD 36265.72000000 0.004308663127 Long EC US N 1 N N N MEXICAN PESO N/A N/A 1.00000000 NC -4758.21000000 -0.00056531413 N/A DFE XX N 2 GOLDMAN, SACHS & CO. N/A 1659646.62000000 USD 38917400.00000000 MXN 2020-04-17 -4758.21000000 N N N POLARIS INTERMEDIATE CORP. N/A 73107GAA1 450000.00000000 PA USD 348750.00000000 0.041434342564 Long DBT CORP US Y 2 2022-12-01 Fixed 8.50000000 N N Y N N N USD CALL/AUD PUT N/A USAUC0037 -4000000.00000000 NC USD -287439.75000000 -0.03415018514 N/A DFE US N 2 BNP SECURITIES N/A Call Written N/A N/A -4000000.00000000 0.66050000 USD 2020-05-01 XXXX -266075.75000000 N N N INEOS ENTERPRISES HOLDINGS II LIMITED N/A N/A 696763.89000000 PA USD 610832.00000000 0.072571820322 Long LON XX N 2 2026-08-28 Floating 5.11324920 N N N N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123CX6 410000.00000000 PA USD 350222.00000000 0.041609228162 Long DBT NUSS TR N 2 2025-03-13 Fixed 4.25000000 N N N N N N MILLICOM INTERNATIONAL CELLULAR S.A. 549300CTHC1CP86P2G96 600814AN7 280000.00000000 PA USD 243600.00000000 0.028941665516 Long DBT NUSS LU Y 2 2028-01-15 Fixed 5.12500000 N N N N N N VIRGIN MEDIA BRISTOL LLC N/A G9368PBC7 935000.00000000 PA USD 860200.00000000 0.102198771252 Long LON XX N 2 2028-01-31 Floating 3.20463000 N N N N N N USD PUT/MXN CALL N/A USMXP0225 3820000.00000000 NC USD 1821.53000000 0.000216412610 N/A DFE US N 2 MORGAN STANLEY SMITH BARNEY LLC N/A Put Purchased N/A N/A 3820000.00000000 18.94800000 USD 2020-05-25 XXXX -33532.57000000 N N N SOUTHWEST AIRLINES CO. UDTZ87G0STFETI6HGH41 844741108 1973.00000000 NS USD 70258.53000000 0.008347286021 Long EC US N 1 N N N DIAMOND SPORTS GROUP, LLC N/A 25277LAA4 330000.00000000 PA USD 268131.60000000 0.031856219546 Long DBT CORP US Y 2 2026-08-15 Fixed 5.37500000 N N N N N N IQVIA HOLDINGS INC 549300W3R20NM4KQPH86 46266C105 773.00000000 NS USD 83375.78000000 0.009905722236 Long EC US N 1 N N N ENTERCOM MEDIA CORP. 549300S5JUSXRHNCHD80 29365DAA7 1050000.00000000 PA USD 910875.00000000 0.108219374290 Long DBT CORP US Y 2 2027-05-01 Fixed 6.50000000 N N N N N N DAVITA INC. M2XHYMU3TZNEZURC6H66 23918K108 355.00000000 NS USD 27001.30000000 0.003207974520 Long EC US N 1 N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAK4 1100000.00000000 PA USD 945670.00000000 0.112353303894 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N U.S. RENAL CARE, INC. N/A 90290PAN4 698250.00000000 PA USD 603490.49000000 0.071699589096 Long LON XX N 2 2026-06-26 Floating 6.62500080 N N N N N N ASSURANT, INC. H3F39CAXWQRVWURFXL38 04621X108 273.00000000 NS USD 28416.57000000 0.003376120131 Long EC US N 1 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967KN0 1675000.00000000 PA USD 1745145.21000000 0.207337475144 Long DBT CORP US N 2 2026-05-01 Fixed 3.40000000 N N N N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 699149AF7 280000.00000000 PA USD 282802.80000000 0.033599277687 Long DBT NUSS PY Y 2 2048-03-13 Fixed 5.60000000 N N N N N N WASTE MANAGEMENT, INC. 549300YX8JIID70NFS41 94106L109 1692.00000000 NS USD 156611.52000000 0.018606725073 Long EC US N 1 N N N AMC NETWORKS INC. 549300VGG9K75226LR46 00164VAD5 400000.00000000 PA USD 384000.00000000 0.045622329877 Long DBT CORP US N 2 2024-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38379FW96 1484670.36200000 PA USD 115411.00000000 0.013711767483 Long DBT USGA US N 2 2045-11-20 Fixed 4.00000000 N N N N N N HUNTINGTON BANCSHARES INCORPORATED 549300XTVCVV9I7B5T19 446150AQ7 1350000.00000000 PA USD 1396892.55000000 0.165962220625 Long DBT CORP US N 2 2024-08-06 Fixed 2.62500000 N N N N N N Government National Mortgage Association N/A 38380YR64 801033.42000000 PA USD 142445.29000000 0.016923661484 Long DBT USGA US N 2 2048-09-20 Floating 5.42711880 N N N N N N Government National Mortgage Association N/A 38381BTA2 1357601.07680000 PA USD 197807.91000000 0.023501191985 Long DBT USGA US N 2 2049-01-20 Floating 4.40300160 N N N N N N VONAGE HOLDINGS CORP. 529900W7N0N4WLN1JY21 92886TAH5 190000.00000000 PA USD 153290.57000000 0.018212169145 Long DBT CORP US Y 2 2024-06-01 Fixed 1.75000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCW0 466000.00000000 PA USD 321540.00000000 0.038201572783 Long DBT NUSS MX Y 2 2050-01-23 Fixed 7.69000000 N N N N N N Government National Mortgage Association N/A 38375AN91 2446431.20770000 PA USD 506681.35000000 0.060197874199 Long DBT USGA US N 2 2040-01-16 Floating 4.94150040 N N N N N N LAM RESEARCH CORPORATION 549300I4GMO6D34U1T02 512807108 615.00000000 NS USD 147600.00000000 0.017536083046 Long EC US N 1 N N N EURO N/A N/A 1.00000000 NC 9391.92000000 0.001115836646 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 879830.61000000 USD 809952.00000000 EUR 2020-04-17 9391.92000000 N N N DUPONT DE NEMOURS, INC. 5493004JF0SDFLM8GD76 26078JAC4 450000.00000000 PA USD 484621.56000000 0.057576991344 Long DBT CORP US N 2 2025-11-15 Fixed 4.49300000 N N N N N N HUMANA INC. 529900YLDW34GJAO4J06 444859102 569.00000000 NS USD 178677.38000000 0.021228329093 Long EC US N 1 N N N Federal National Mortgage Association N/A 3136ANRY5 829280.85750000 PA USD 141339.81000000 0.016792321449 Long DBT USGA US N 2 2045-05-25 Floating 4.65337080 N N N N N N BELARUS, REPUBLIC OF (GOVERNMENT) 635400CVCOWYLHF4ZB08 N/A 260000.00000000 PA USD 253510.40000000 0.030119101813 Long DBT NUSS BY N 2 2023-02-28 Fixed 6.87500000 N N N N N N GLOBAL PAYMENTS INC. 549300NOMHGVQBX6S778 37940XAA0 400000.00000000 PA USD 392724.39000000 0.046658858519 Long DBT CORP US N 2 2025-02-15 Fixed 2.65000000 N N N N N N PRESTIGE BRANDS, INC. 549300JBVP4J6D42I235 74112BAL9 250000.00000000 PA USD 247575.00000000 0.029413927915 Long DBT CORP US Y 2 2028-01-15 Fixed 5.12500000 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VAN3 395000.00000000 PA USD 217250.00000000 0.025811070744 Long DBT CORP US N 2 2067-06-01 Floating 4.35787920 N N N N N N Northrop Grumman Corporation RIMU48P07456QXSO0R61 666807BM3 600000.00000000 PA USD 609034.84000000 0.072358303066 Long DBT CORP US N 2 2025-01-15 Fixed 2.93000000 N N N N N N ALLIANT ENERGY CORPORATION 5493009ML300G373MZ12 018802108 1029.00000000 NS USD 49690.41000000 0.005903625720 Long EC US N 1 N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 369604BD4 100000.00000000 PA USD 97139.08000000 0.011540914457 Long DBT CORP US N 2 2022-10-09 Fixed 2.70000000 N N N N N N Government National Mortgage Association N/A 38380WG86 930971.19700000 PA USD 102954.71000000 0.012231858703 Long DBT USGA US N 2 2046-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38379MTQ7 420914.76400000 PA USD 63911.66000000 0.007593226134 Long DBT USGA US N 2 2045-08-20 Floating 4.06299960 N N N N N N MAXIM INTEGRATED PRODUCTS, INC. SO0H5YEO14Y4PVKQH532 57772K101 1200.00000000 NS USD 58332.00000000 0.006930317048 Long EC US N 1 N N N EXTRA SPACE STORAGE INC. N/A 30225T102 559.00000000 NS USD 53529.84000000 0.006359781298 Long EC US N 1 N N N RECETTE CLO, LTD N/A 75620TAS7 1000000.00000000 PA USD 925905.00000000 0.110005060795 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 3.11913000 N N N N N N Government National Mortgage Association N/A 38381WVB1 503101.68000000 PA USD 70559.66000000 0.008383062720 Long DBT USGA US N 2 2049-06-20 Floating 4.45299840 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VBH5 300000.00000000 PA USD 299480.48000000 0.035580722006 Long DBT CORP US N 2 2026-02-15 Fixed 3.70000000 N N N N N N BBVA Bancomer SA (Houston Branch) N/A P16259AM8 200000.00000000 PA USD 165600.00000000 0.019674629759 Long DBT NUSS MX N 2 2033-01-18 Fixed 5.12500000 N N N N N N CCO HOLDINGS, LLC N/A 1248EPBX0 1640000.00000000 PA USD 1644100.00000000 0.195332480604 Long DBT CORP US Y 2 2028-02-01 Fixed 5.00000000 N N N N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209SBD4 180000.00000000 PA USD 187336.48000000 0.022257100751 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N Romania 259400VHILGGKLBNL383 N/A 650000.00000000 PA 739615.08000000 0.087872299902 Long DBT NUSS RO N 2 2028-05-26 Fixed 2.87500000 N N N N N N H-FOOD HOLDINGS, LLC 549300JY2LK0EQ95YT44 577088AA5 500000.00000000 PA USD 395000.00000000 0.046929219535 Long DBT CORP US Y 2 2026-06-01 Fixed 8.50000000 N N N N N N BLUEMOUNTAIN CLO LTD. N/A 09628QAN5 700000.00000000 PA USD 611302.30000000 0.072627695796 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 3.66913080 N N N N N N DENTSPLY SIRONA INC. 9NHEHR1SOZCYXDO8HO28 24906P109 969.00000000 NS USD 37626.27000000 0.004470307557 Long EC US N 1 N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135F101 1721.00000000 NS USD 408049.10000000 0.048479558975 Long EC US N 1 N N N MV24 CAPITAL BV N/A 55388RAA4 197212.00000000 PA USD 155284.73000000 0.018449091606 Long DBT NUSS NL Y 2 2034-06-01 Fixed 6.74800000 N N N N N N DOMINION DIAMOND MINES ULC 549300514YCQANUHXW83 66727WAA0 960000.00000000 PA USD 470400.00000000 0.055887354100 Long DBT NUSS CA Y 2 2022-11-01 Fixed 7.12500000 N N N N N N THE PROGRESSIVE CORPORATION 529900TACNVLY9DCR586 743315103 2536.00000000 NS USD 187258.24000000 0.022247805202 Long EC US N 1 N N N JAPANESE YEN N/A N/A 1.00000000 NC 8521.31000000 0.001012401082 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A 527809.46000000 USD 57840000.00000000 JPY 2020-04-17 8521.31000000 N N N Federal National Mortgage Association N/A 3140HXMR8 360000.00000000 PA USD 389497.56000000 0.046275484814 Long DBT USGA US N 2 2035-02-01 Fixed 2.68000000 N N N N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 Y20721BB4 2300000.00000000 PA USD 2619916.89000000 0.311267480750 Long DBT NUSS ID N 2 2042-01-17 Fixed 5.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 277282.25000000 0.032943391351 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 28494526.00000000 MXN 1482160.00000000 USD 2020-05-26 277282.25000000 N N N VERTEX PHARMACEUTICALS INCORPORATED 54930015RAQRRZ5ZGJ91 92532F100 1112.00000000 NS USD 264600.40000000 0.031436684204 Long EC US N 1 N N N AMERICAN TOWER TRUST #1 N/A 03027WAJ1 1660000.00000000 PA USD 1631212.45000000 0.193801334621 Long ABS-MBS US N 2 2048-03-15 Fixed 3.07000000 N N N N N N SCRIPPS ESCROW, INC. N/A 81104PAA7 450000.00000000 PA USD 396000.00000000 0.047048027686 Long DBT CORP US Y 2 2027-07-15 Fixed 5.87500000 N N N N N N CONCHO RESOURCES INC. SYHS7HRDXLL4I0IQ8776 20605P101 903.00000000 NS USD 38693.55000000 0.004597109120 Long EC US N 1 N N N M&T BANK CORPORATION 549300WYXDDBYRASEG81 55261F104 542.00000000 NS USD 56059.06000000 0.006660273249 Long EC US N 1 N N N CATERPILLAR INC. WRJR7GS4GTRECRRTVX92 149123101 2391.00000000 NS USD 277451.64000000 0.032963516263 Long EC US N 1 N N N Republica de Angola 549300QHR2R3J8JSGK83 N/A 200000.00000000 PA USD 78000.00000000 0.009267035756 Long DBT NUSS AO N 2 2048-05-08 Fixed 9.37500000 N N N N N N MILLICOM INTERNATIONAL CELLULAR S.A. 549300CTHC1CP86P2G96 600814AQ0 530000.00000000 PA USD 474350.00000000 0.056356646295 Long DBT NUSS LU Y 2 2029-03-25 Fixed 6.25000000 N N N N N N COMMSCOPE TECHNOLOGIES LLC M4TWC4QDOKW45N7T6Y12 20338HAB9 170000.00000000 PA USD 147475.00000000 0.017521232027 Long DBT CORP US Y 2 2027-03-15 Fixed 5.00000000 N N N N N N RAYTHEON COMPANY YR6K3WJN0KKLUPZSNL57 755111507 1224.00000000 NS USD 160527.60000000 0.019071987296 Long EC US N 1 N N N USD PUT/RUB CALL 62.864 N/A USRUP0053 3720000.00000000 NC USD 325.97000000 0.000038727892 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A Put Purchased N/A N/A 3720000.00000000 62.86400000 USD 2020-04-27 XXXX -59826.43000000 N N N THE WILLIAMS COMPANIES, INC. D71FAKCBLFS2O0RBPG08 969457BM1 200000.00000000 PA USD 217316.81000000 0.025819008317 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N N CONSOLIDATED EDISON, INC. 54930033SBW53OO8T749 209115104 1421.00000000 NS USD 110838.00000000 0.013168457809 Long EC US N 1 N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122BN7 170000.00000000 PA USD 194726.37000000 0.023135079916 Long DBT CORP US Y 2 2025-08-15 Fixed 3.87500000 N N N N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 P75744AB1 700000.00000000 PA USD 735007.00000000 0.087324822438 Long DBT NUSS PY N 2 2044-08-11 Fixed 6.10000000 N N N N N N Government of Mongolia 254900PW61ADCBDCLP71 Y6142NAB4 200000.00000000 PA USD 177993.50000000 0.021147078575 Long DBT NUSS MN N 2 2023-05-01 Fixed 5.62500000 N N N N N N GFL ENVIRONMENTAL INC. 549300FYK4MBXWIVZU26 36168QAE4 327000.00000000 PA USD 328536.90000000 0.039032861533 Long DBT NUSS CA Y 2 2027-05-01 Fixed 8.50000000 N N N N N N SPEEDWAY MOTORSPORTS, LLC N/A 84779MAA2 350000.00000000 PA USD 315000.00000000 0.037424567477 Long DBT CORP US Y 2 2027-11-01 Fixed 4.87500000 N N N N N N ROSS STORES, INC. 549300ENZFLPGRDFZQ60 778296103 1608.00000000 NS USD 139847.76000000 0.016615053748 Long EC US N 1 N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 36962G4B7 1270000.00000000 PA USD 1571103.98000000 0.186659958458 Long DBT CORP US N 2 2039-01-10 Fixed 6.87500000 N N N N N N CHENIERE ENERGY PARTNERS, L.P. 5493005UEC8AZ34LDV29 16411QAE1 460000.00000000 PA USD 400200.00000000 0.047547021919 Long DBT CORP US Y 2 2029-10-01 Fixed 4.50000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 706451BG5 30000.00000000 PA USD 20562.00000000 0.002442933195 Long DBT NUSS MX N 2 2035-06-15 Fixed 6.62500000 N N N N N N N/A N/A N/A 23.00000000 NC USD 279795.00000000 0.033241926531 N/A DIR XX N 1 JPM CHASE N/A Put Purchased N/A Put Option 2800 Apr 2020 on S&P 500 Future (e-Mini) Jun 2020 1150.00000000 800.00000000 USD 2020-04-20 XXXX 139446.70000000 N N N SYMPHONY CLO, LTD. N/A 87166DAA6 250000.00000000 PA USD 163544.00000000 0.019430360201 Long ABS-CBDO CORP KY N 2 2031-04-16 Floating 7.20087840 N N N N N N PACTIV LLC 549300O4WTC6DL4JIE57 880394AE1 350000.00000000 PA USD 364000.00000000 0.043246166863 Long DBT CORP US N 2 2027-04-15 Fixed 8.37500000 N N N N N N Petroleos de Venezuela, S.A. 549300YWR8TN1OFD4P06 N/A 2570000.00000000 PA USD 154200.00000000 0.018320216841 Long DBT NUSS VE N 2 2027-04-12 Fixed 5.37500000 Y N N N N N GNL Quintero S.A. 549300JJJIQXE6E1QY27 P4909LAA8 400000.00000000 PA USD 380000.00000000 0.045147097275 Long DBT NUSS CL N 2 2029-07-31 Fixed 4.63400000 N N N N N N ROYAUME DU MAROC 529900F3MBW9XY5K1X07 N/A 290000.00000000 PA 280017.99000000 0.033268419561 Long DBT NUSS MA Y 2 2031-11-27 Fixed 1.50000000 N N N N N N THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY 2138005O9XJIJN4JPN90 780097AU5 1000000.00000000 PA USD 826050.00000000 0.098141472905 Long DBT NUSS GB N 2 2168-03-31 Floating 3.77012880 N N N N N N Government National Mortgage Association N/A 38379LKS4 2971717.53800000 PA USD 430708.26000000 0.051171651872 Long DBT USGA US N 2 2045-04-20 Floating 3.95300160 N N N N N N EURO N/A N/A 1.00000000 NC -7663.25000000 -0.00091045656 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A 611492.11000000 USD 550000.00000000 EUR 2020-04-17 -7663.25000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 1070000.00000000 PA USD 744720.00000000 0.088478806006 Long DBT NUSS GH N 2 2049-06-16 Fixed 8.62700000 N N N N N N DP World PLC 549300M3U2DNF4QVSS04 23330JAB7 1150000.00000000 PA USD 960332.80000000 0.114095364047 Long DBT NUSS AE Y 2 2048-09-25 Fixed 5.62500000 N N N N N N LABL ESCROW ISSUER, LLC N/A 50168AAB6 950000.00000000 PA USD 874000.00000000 0.103838323732 Long DBT CORP US Y 2 2026-07-15 Fixed 6.75000000 N N N N N N BRK: BANK OF AMERICA N/A N/A 365382600.00000000 NC 624253.66000000 0.074166422927 N/A DIR XX N 2 BRK: BANK OF AMERICA N/A Y 2024-07-17 0.00000000 MXN 0.00000000 MXN -365382600.00000000 MXN 624253.66000000 N N N CHANGE HEALTHCARE HOLDINGS INC. N/A 15911AAC7 737018.08000000 PA USD 692797.01000000 0.082309931585 Long LON XX N 2 2024-03-01 Floating 4.10338080 N N N N N N WW International, Inc. SGT8R1MU6ESIC7UJC518 948626AA4 620000.00000000 PA USD 531650.00000000 0.063164353332 Long DBT CORP US Y 2 2025-12-01 Fixed 8.62500000 N N N N N N CWABS ASSET-BACKED CERTIFICATES TRUST N/A 12667AAA4 1448985.09360000 PA USD 1091613.50000000 0.129692581240 Long ABS-MBS US N 2 2036-12-25 Floating 1.88674920 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 N/A 760000.00000000 PA 193466.98000000 0.022985454119 Long DBT NUSS AR N 2 2028-01-15 Fixed 5.25000000 N N N N N N Republic of Uzbekistan 213800L6VDKUM3TCM927 91822Q2B2 340000.00000000 PA USD 332503.68000000 0.039504147329 Long DBT NUSS UZ Y 2 2024-02-20 Fixed 4.75000000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 N/A 790000.00000000 PA 216706.72000000 0.025746524652 Long DBT NUSS AR N 2 2023-01-15 Fixed 3.37500000 N N N N N N TENET HEALTHCARE CORPORATION 0W9AIBT6U6ADJ2I8HK17 88033GCE8 1200000.00000000 PA USD 1143000.00000000 0.135797716277 Long DBT CORP US N 2 2022-04-01 Fixed 8.12500000 N N N N N N GARDA WORLD SECURITY CORPORATION N/A C4000KAC8 1188623.09000000 PA USD 1117305.70000000 0.132745024010 Long LON XX N 2 2026-10-30 Floating 6.39000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4176.64000000 -0.00049621887 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 204890000.00000000 JPY 1895699.08000000 USD 2020-04-17 -4176.64000000 N N N USD PUT/CAD CALL N/A USCAP0039 -3900000.00000000 NC USD -12.60000000 -0.00000149698 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A Put Written N/A N/A -3900000.00000000 1.27800000 USD 2020-04-06 XXXX 13637.40000000 N N N BRK: MORGAN STANLEY N/A N/A -1030000.00000000 NC USD 580.92000000 0.000069018030 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2020-06-20 1307.87000000 USD 0.00000000 USD -1030000.00000000 USD -726.95000000 N N N United States of America N/A N/A 48.00000000 NC USD 8595000.00000000 1.021156055470 N/A DIR US N 1 MORGAN STANLEY & CO, INC N/A Long U.S. Treasury Futures US Long Bond (CBT) Jun 2020 2020-06-22 8598784.20000000 USD -3784.20000000 N N N UNIVISION COMMUNICATIONS INC. 549300YQDE2JSGTL8V47 914906AR3 1100000.00000000 PA USD 973500.00000000 0.115659734729 Long DBT CORP US Y 2 2023-05-15 Fixed 5.12500000 N N N N N N TRAVELPORT FINANCE N/A N/A 922687.50000000 PA USD 590981.34000000 0.070213400117 Long LON XX N 2 2026-05-29 Floating 6.94463040 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 056057AN2 2000000.00000000 PA USD 1599569.40000000 0.190041882368 Long ABS-MBS US N 2 2037-03-15 Floating 3.60955080 N N N N N N Project Alpha (Qlik) 3/19 Incremental Cov-Lite TLB N/A N/A 239398.50000000 PA USD 214261.66000000 0.025456031595 Long LON XX N 2 2024-04-26 Floating 6.13000080 N N N N N N FREEPORT-MCMORAN INC. 549300IRDTHJQ1PVET45 35671DBC8 2010000.00000000 PA USD 1798950.00000000 0.213729922744 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N STARS GROUP HOLDINGS B.V. N/A N8233BAC6 527461.44000000 PA USD 501526.16000000 0.059585395609 Long LON XX N 2 2025-07-10 Floating 5.44462920 N N N N N N RANGE RESOURCES CORPORATION H3Y3WLYCX0BTO1TRW162 75281ABC2 410000.00000000 PA USD 246000.00000000 0.029226805078 Long DBT CORP US Y 2 2026-02-01 Fixed 9.25000000 N N N N N N Alcoa Nederland Holding B.V. 5493000UL1QLQLT1VQ42 013822AC5 1000000.00000000 PA USD 910000.00000000 0.108115417158 Long DBT NUSS NL Y 2 2028-05-15 Fixed 6.12500000 N N N N N N BRK: BANK OF AMERICA, N.A. N/A N/A 37630000.00000000 NC 67363.36000000 0.008003316228 N/A DIR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2025-06-17 6013.13000000 CNY 0.00000000 CNY -37630000.00000000 CNY 61350.23000000 N N N BRK: MORGAN STANLEY N/A N/A -2040000.00000000 NC USD 3131.94000000 0.000372099999 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 31372.82000000 USD 0.00000000 USD -2040000.00000000 USD -28240.88000000 N N N USD PUT/IDR CALL N/A N/A -3810000.00000000 NC USD -3788.64000000 -0.00045012131 N/A DFE US N 2 MORGAN STANLEY SMITH BARNEY LLC N/A Put Written N/A N/A -3810000.00000000 816.00000000 USD 2020-06-06 XXXX 20599.17000000 N N N PETROBRAS GLOBAL FINANCE B.V. 549300FNENFFSMO3GT38 71647NAV1 2390000.00000000 PA USD 2276475.00000000 0.270463784918 Long DBT NUSS NL N 2 2025-01-27 Fixed 5.29900000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828Z52 139000.00000000 PA USD 145618.79000000 0.017300699150 Long DBT UST US N 2 2025-01-31 Fixed 1.37500000 N N N N N N WMG ACQUISITION CORP N/A 92929LAT5 950000.00000000 PA USD 921500.00000000 0.109481710891 Long LON XX N 2 2023-11-01 Floating 3.72837960 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AM2 270000.00000000 PA USD 182115.00000000 0.021636746369 Long DBT NUSS AR Y 2 2021-03-23 Fixed 8.50000000 N N N N N N REGIONALCARE HOSPITAL PARTNERS HOLDINGS, INC. N/A 75915TAD4 1190368.69000000 PA USD 1098865.05000000 0.130554124485 Long LON XX N 2 2025-11-16 Floating 5.35338000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6808.95000000 -0.00080895875 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 221810000.00000000 JPY 2049960.21000000 USD 2020-04-17 -6808.95000000 N N N FOUR SEASONS HOLDINGS INC. N/A 35100DAR7 0.02000000 PA USD 0.02000000 0.000000002376 Long LON XX N 2 2023-11-30 Floating 3.60338040 N N N N N N AFLAC INCORPORATED 549300N0B7DOGLXWPP39 001055102 3250.00000000 NS USD 111280.00000000 0.013220971012 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -5951.32000000 -0.00070706532 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 14025690.25000000 EGP 885134.46000000 USD 2020-04-01 -5951.32000000 N N N IHS MARKIT LTD. 549300HLPTRASHS0E726 44962LAH0 425000.00000000 PA USD 422301.25000000 0.050172830560 Long DBT NUSS BM N 2 2024-05-01 Fixed 3.62500000 N N N N N N United States of America N/A N/A 100.00000000 NC USD 22187500.00000000 2.636055844182 N/A DIR US N 1 MORGAN STANLEY & CO, INC N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Jun 2020 2020-06-22 19665412.94000000 USD 2522087.06000000 N N N Banco Bilbao Vizcaya Argentaria, S.A. K8MS7FD7N5Z2WQ51AZ71 N/A 800000.00000000 PA 741740.46000000 0.088124812369 Long DBT NUSS ES N 2 2168-12-24 Fixed 5.87500000 N N N Y Y Banco Bilbao Vizcaya Argentaria, S.A. EUR XXXX N N N COMCEL TRUST 549300W3HHHYJSCDBJ77 G2300TAA0 200000.00000000 PA USD 194002.00000000 0.023049018856 Long DBT NUSS KY N 2 2024-02-06 Fixed 6.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4318.50000000 -0.00051307299 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 510000.00000000 EUR 555595.53000000 USD 2020-04-17 -4318.50000000 N N N GFL ENVIRONMENTAL N/A C7052BAF1 619380.20000000 PA USD 597701.89000000 0.071011856234 Long LON XX N 2 2025-05-30 Floating 6.24999960 N N N N N N OZLM FUNDING LTD N/A 67109UAW2 600000.00000000 PA USD 520675.20000000 0.061860457639 Long ABS-CBDO CORP KY N 2 2030-10-30 Floating 4.06950120 N N N N N N VORNADO REALTY TRUST N/A 929042109 717.00000000 NS USD 25962.57000000 0.003084564929 Long EC US N 1 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 N/A 700000.00000000 PA 677825.69000000 0.080531216741 Long DBT NUSS GB N 2 2169-03-16 Fixed 5.25000000 N N N Y Y HSBC HOLDINGS PLC GBP XXXX N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19345.98000000 0.002298460107 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 24500000.00000000 MXN 1061161.88000000 USD 2020-04-17 19345.98000000 N N N J. B. POINDEXTER & CO., INC. 549300W6P81HOZZGPQ16 730481AJ7 310000.00000000 PA USD 286878.65000000 0.034083521888 Long DBT CORP US Y 2 2026-04-15 Fixed 7.12500000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 91086QBB3 440000.00000000 PA USD 442864.40000000 0.052615900385 Long DBT NUSS MX N 2 2044-03-08 Fixed 4.75000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EH3 150000.00000000 PA USD 152250.00000000 0.018088540947 Long DBT CORP US N 2 2169-03-05 Fixed 6.25000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AN8 400000.00000000 PA USD 309000.00000000 0.036711718573 Long DBT NUSS CH Y 2 2168-07-24 Fixed 5.10000000 N N N N N N AI AQUA MERGER SUB, INC. N/A 23301YAF0 950000.00000000 PA USD 807500.00000000 0.095937581709 Long LON XX N 2 2023-12-13 Floating 4.85337960 N N N N N N N/A N/A N/A -93.00000000 NC USD -9445.31000000 -0.00112217981 N/A DIR XX N 1 RJ O'BRIEN N/A Put Written N/A Put Option 124 Apr 2020 on US 5Y NOTE e-CBOT Jun 2020 -93000.00000000 124.00000000 USD 2020-04-27 XXXX 60440.68000000 N N N COMMSCOPE, INC. N/A 20337EAQ4 957600.00000000 PA USD 900144.00000000 0.106944444025 Long LON XX N 2 2026-04-06 Floating 4.85337960 N N N N N N Playtika 12/19 Cov-Lite N/A N/A 1200000.00000000 PA USD 1113996.00000000 0.132351804673 Long LON XX N 2 2024-12-10 Floating 7.60338000 N N N N N N UPC Holding B.V. 213800G1DU7LKI6ZCD69 90320LAG2 330000.00000000 PA USD 310200.00000000 0.036854288354 Long DBT NUSS NL Y 2 2028-01-15 Fixed 5.50000000 N N N N N N JAGUAR HOLDING CO I N/A 47009YAK3 932904.88000000 PA USD 887929.54000000 0.105493266620 Long LON XX N 2 2022-08-18 Floating 4.10338080 N N N N N N Republica del Ecuador 5299003Y2U5XK0A35H71 N/A 290000.00000000 PA USD 75400.00000000 0.008958134564 Long DBT NUSS EC N 2 2026-12-13 Fixed 9.65000000 N N N N N N TARGA RESOURCES PARTNERS LP 6OQWTZ1SPC04IFT4T704 87612BBE1 1870000.00000000 PA USD 1539010.00000000 0.182846932045 Long DBT CORP US N 2 2027-02-01 Fixed 5.37500000 N N N N N N ACRISURE LLC N/A N/A 370000.00000000 PA USD 325600.00000000 0.038683933875 Long LON XX N 2 2027-02-15 Floating 5.20724880 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 90352JAF0 910000.00000000 PA USD 855400.00000000 0.101628492129 Long DBT NUSS CH Y 2 2168-07-31 Fixed 7.00000000 N N N N N N DIGICEL LIMITED N/A G27649AE5 600000.00000000 PA USD 323256.00000000 0.038405447570 Long DBT NUSS BM N 2 2021-04-15 Fixed 6.00000000 N N N N N N BLUEMOUNTAIN CLO LTD. N/A 09626RAW5 340000.00000000 PA USD 327118.42000000 0.038864334547 Long ABS-CBDO CORP KY N 2 2028-11-20 Floating 2.74462920 N N N N N N YUM! BRANDS, INC. 549300JE8XHZZ7OHN517 988498AM3 27000.00000000 PA USD 28350.00000000 0.003368211073 Long DBT CORP US Y 2 2025-04-01 Fixed 7.75000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -86072.14000000 -0.01022607178 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 788609.16000000 USD 1147886.00000000 AUD 2020-04-14 -86072.14000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 500000.00000000 PA USD 390750.00000000 0.046424284895 Long DBT NUSS GH N 2 2026-01-18 Fixed 8.12500000 N N N N N N KOREAN WON N/A N/A 1.00000000 NC -14525.63000000 -0.00172576323 N/A DFE KR N 2 JP MORGAN N/A 554491.94000000 USD 657450000.00000000 KRW 2020-04-17 -14525.63000000 N N N Freddie Mac N/A 3137FQJA2 406329.79790000 PA USD 47119.38000000 0.005598166401 Long DBT USGA US N 2 2049-12-25 Floating 5.29536960 N N N N N N CHARTER COMMUNICATIONS OPERATING, LLC 549300TPZNMN50BJ3745 161175BM5 250000.00000000 PA USD 269562.93000000 0.032026273216 Long DBT CORP US N 2 2038-04-01 Fixed 5.37500000 N N N N N N SPRINT COMMUNICATION INC N/A 85208EAB6 89769.23000000 PA USD 89095.96000000 0.010585326244 Long LON XX N 2 2024-02-02 Floating 4.12499880 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 7802.93000000 0.000927051683 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A 503769.83000000 USD 55170000.00000000 JPY 2020-04-17 7802.93000000 N N N BX TRUST N/A 12433RAA0 1100000.00000000 PA USD 830200.80000000 0.098634621777 Long ABS-MBS US N 2 2037-05-15 Floating 7.14636720 N N N N N N BRK: MORGAN STANLEY N/A N/A -1080000.00000000 NC USD -5587.88000000 -0.00066388568 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 20414.58000000 USD 0.00000000 USD -1080000.00000000 USD -26002.46000000 N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123AW0 30000.00000000 PA USD 29438.70000000 0.003497557506 Long DBT NUSS TR N 2 2025-02-05 Fixed 7.37500000 N N N N N N THE SHERWIN-WILLIAMS COMPANY Z15BMIOX8DDH0X2OBP21 824348106 362.00000000 NS USD 166346.24000000 0.019763289154 Long EC US N 1 N N N Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III 254900G208H6Q0L5B953 71567PAM2 330000.00000000 PA USD 335138.10000000 0.039817137898 Long DBT NUSS ID Y 2 2029-02-20 Fixed 4.45000000 N N N N N N IMMUCOR, INC. 549300CSHW546WORC082 452526AB2 650000.00000000 PA USD 585000.00000000 0.069502768173 Long DBT CORP US Y 2 2022-02-15 Fixed 11.12500000 N N N N N N Republique de Cote d'Ivoire 254900ICW11T82O6H590 N/A 390000.00000000 PA 365877.74000000 0.043469257680 Long DBT NUSS CI N 2 2030-03-22 Fixed 5.25000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 N/A 1040000.00000000 PA 970424.75000000 0.115294369964 Long DBT NUSS MX N 2 2023-03-15 Fixed 5.12500000 N N N N N N W.P. CAREY INC. 54930042CRNE713E3Q67 92936UAE9 700000.00000000 PA USD 719903.44000000 0.085530396406 Long DBT CORP US N 2 2026-10-01 Fixed 4.25000000 N N N N N N USD PUT/RUB CALL N/A USRUP0052 -3980000.00000000 NC USD -24.17000000 -0.00000287159 N/A DFE US N 2 JPM CHASE N/A Put Written N/A N/A -3980000.00000000 60.20000000 USD 2020-04-11 XXXX 23318.53000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 410000.00000000 PA USD 377856.00000000 0.044892372599 Long DBT NUSS CH Y 2 2169-01-17 Fixed 7.50000000 N N N N N N DTE ENERGY COMPANY 549300IX8SD6XXD71I78 233331107 814.00000000 NS USD 77305.58000000 0.009184533000 Long EC US N 1 N N N CAESARS RESORT COLLECTION LLC N/A 12769LAB5 1113684.21000000 PA USD 895402.10000000 0.106381067655 Long LON XX N 2 2024-12-23 Floating 4.35337920 N N N N N N VISTRA OPERATIONS COMPANY LLC 549300ZH5GKBTJZ7NM23 92840VAD4 1200000.00000000 PA USD 1127804.53000000 0.133992370587 Long DBT CORP US Y 2 2024-07-15 Fixed 3.55000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -51345.65000000 -0.00610028172 N/A DFE CA N 2 CITIGROUP GLOBAL MARKETS N/A 662783.92000000 USD 870000.00000000 CAD 2020-04-23 -51345.65000000 N N N AMC ENTERTAINMENT HOLDINGS, INC. 549300ZO77UNR6NRBR11 00165AAH1 1000000.00000000 PA USD 420000.00000000 0.049899423303 Long DBT CORP US N 2 2025-06-15 Fixed 5.75000000 N N N N N N Hudbay Minerals Inc. 549300WI524AL577IX21 443628AG7 760000.00000000 PA USD 661200.00000000 0.078555949258 Long DBT NUSS CA Y 2 2025-01-15 Fixed 7.62500000 N N N N N N MTN (MAURITIUS) INVESTMENTS LIMITED 2549009PQD415OQIR074 55377XAB2 320000.00000000 PA USD 305356.16000000 0.036278800681 Long DBT NUSS MU Y 2 2026-10-13 Fixed 6.50000000 N N N N N N The Bank of New York Mellon Corporation N/A 064058100 3538.00000000 NS USD 119159.84000000 0.014157160230 Long EC US N 1 N N N THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY 2138005O9XJIJN4JPN90 780097BM2 225000.00000000 PA USD 208064.43000000 0.024719750159 Long DBT NUSS GB N 2 2029-11-01 Fixed 3.75400000 N N N N N N ALLIANCE DATA SYSTEMS CORPORATION 549300G8S4PO686J7H97 018581108 193.00000000 NS USD 6494.45000000 0.000771593594 Long EC US N 1 N N N CINCINNATI FINANCIAL CORPORATION 254900Q4WEDMZBOZ0002 172062101 667.00000000 NS USD 50325.15000000 0.005979038006 Long EC US N 1 N N N GFL ENVIRONMENTAL INC. 549300FYK4MBXWIVZU26 36168QAE4 522000.00000000 PA USD 524453.40000000 0.062309338594 Long DBT NUSS CA Y 2 2027-05-01 Fixed 8.50000000 N N N N N N CHARTER COMMUNICATIONS OPERATING, LLC 549300TPZNMN50BJ3745 161175BS2 300000.00000000 PA USD 314276.68000000 0.037338631166 Long DBT CORP US N 2 2049-07-01 Fixed 5.12500000 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851109 1213.00000000 NS USD 137056.87000000 0.016283473268 Long EC US N 1 N N N United States of America N/A N/A -12.00000000 NC USD -1872375.00000000 -0.22245341121 N/A DIR US N 1 NOMURA SECURITIES N/A Short U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2020 2020-06-22 -1744362.06000000 USD -128012.94000000 N N N SL GREEN REALTY CORP. 549300VQZPJU97H3GT17 78440X101 353.00000000 NS USD 15214.30000000 0.001807582847 Long EC US N 1 N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040H105 1959.00000000 NS USD 98772.78000000 0.011735011333 Long EC US N 1 N N N NETFLIX, INC. 549300Y7VHGU0I7CE873 64110LAV8 150000.00000000 PA USD 152272.50000000 0.018091214131 Long DBT CORP US Y 2 2030-06-15 Fixed 4.87500000 N N N N N N BOOKING HOLDINGS INC. FXM8FAOHMYDIPD38UZ17 09857L108 181.00000000 NS USD 243502.92000000 0.028930131621 Long EC US N 1 N N N STATION CASINOS LLC 5493004E7Q60TX54WL62 857691AG4 837000.00000000 PA USD 677970.00000000 0.080548361946 Long DBT CORP US Y 2 2028-02-15 Fixed 4.50000000 N N N N N N APIDOS CLO N/A 03766AAG0 370000.00000000 PA USD 207456.04000000 0.024647468468 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 0.00000000 N N N N N N FIRST QUANTUM MINERALS LTD. 549300I7UVBGWRYMYZ18 335934AL9 1400000.00000000 PA USD 1165066.00000000 0.138419336931 Long DBT NUSS CA Y 2 2025-04-01 Fixed 7.50000000 N N N N N N USD CALL/CAD PUT 1.383 N/A USCAC0030 5355000.00000000 NC USD 144481.93000000 0.017165630916 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A Call Purchased N/A N/A 5355000.00000000 1.38300000 USD 2020-06-12 XXXX 72317.95000000 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAS0 200000.00000000 PA USD 205367.45000000 0.024399326953 Long DBT NUSS DK Y 2 2022-01-12 Fixed 5.00000000 N N N N N N BRK: CITIBANK, NA N/A N/A 5260000.00000000 NC -3204.70000000 -0.00038074448 N/A DIR XX N 2 BRK: CITIBANK, NA N/A Y 2023-03-18 0.00000000 EUR -6244.22000000 EUR -5260000.00000000 EUR 3039.52000000 N N N OAKTREE CLO LTD N/A 67401XAJ0 250000.00000000 PA USD 174637.00000000 0.020748299017 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 5.75325000 N N N N N N 2020-03-31 SEI INSTITUTIONAL MANAGED TRUST James Hoffmayer James Hoffmayer CFO