NPORT-P false 0000804239 XXXXXXXX S000035780 C000109625 C000147404 SEI INSTITUTIONAL MANAGED TRUST 811-04878 0000804239 9FTE3UO0Y1HGMNV0D371 2 OLIVER STREET BOSTON 02109 8003455734 SIMT Multi-Asset Income Fund S000035780 0ZCM0U5P3NFTL2OJ8D74 2022-09-30 2021-12-31 N 938128283.92 19404266.72 918724017.20 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 13745379.29000000 USD N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109BF0 1000000.00000000 PA USD 1125066.90000000 0.122459724458 Long DBT CORP US N 2 2026-06-01 Fixed 4.87500000 N N N N N N PRECISION MEDICINE GROUP, LLC N/A 74028HAF2 87692.31000000 PA USD -465.65000000 -0.00005068442 Long LON US N 2 2027-11-18 Floating 3.75000120 N N N N N N AUTOKINITON US HOLDINGS, INC. N/A 05278HAB2 219450.00000000 PA USD 219632.14000000 0.023906215129 Long LON US N 2 2028-04-06 Floating 5.00000040 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564KJA8 250000.00000000 PA USD 251101.75000000 0.027331575674 Long DBT USGA US N 2 2034-01-25 Floating 3.09966840 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 31712.99000000 0.003451851634 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 7840000.00000000 NOK 920650.47000000 USD 2022-01-18 31712.99000000 N N N HOWARD MIDSTREAM ENERGY PARTNERS, LLC N/A 442722AA2 460000.00000000 PA USD 471364.30000000 0.051306408799 Long DBT CORP US N 2 2027-01-15 Fixed 6.75000000 N N N N N N CIT GROUP INC. N8O96ZZJQRFYQUJY7K79 125581GW2 185000.00000000 PA USD 203801.55000000 0.022183108984 Long DBT CORP US N 2 2025-03-07 Fixed 5.25000000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -1172.40000000 -0.00012761177 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 395434.35000000 USD 29590000.00000000 RUB 2022-01-18 -1172.40000000 N N N AIR CANADA N/A C0102MAP0 600000.00000000 PA USD 597534.00000000 0.065039553643 Long LON US N 2 2028-08-11 Floating 4.25000160 N N N N N N BANCO MERCANTIL DEL NORTE S.A. N/A 05971PAA6 420000.00000000 PA USD 434914.20000000 0.047338938773 Long DBT NUSS MX N 2 2170-09-27 Fixed 6.75000000 N N N N N N FORTRESS CREDIT BSL LIMITED N/A 34963GAE8 250000.00000000 PA USD 240080.25000000 0.026131922699 Long ABS-CBDO CORP KY Y 2 2034-10-15 Floating 7.26567120 N N N N N N BROWN & BROWN, INC. 549300PC8KTJ71XKFY89 115236101 485.00000000 NS USD 34085.80000000 0.003710123972 Long EC US N 1 N N N GYP HOLDINGS III CORP. 549300055I1KJWZH9690 36261NAA5 470000.00000000 PA USD 471175.00000000 0.051285804134 Long DBT CORP US N 2 2029-05-01 Fixed 4.62500000 N N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 40000.00000000 PA USD 3948.00000000 0.000429726438 Long DBT NUSS LB N 2 2033-05-17 Fixed 8.20000000 Y N N N N N CONAGRA BRANDS, INC. 54930035UDEIH090K650 205887102 1030.00000000 NS USD 35174.50000000 0.003828625282 Long EC US N 1 N N N SPIRIT AEROSYSTEMS, INC. ZD2NBKV6GCC3UMGBM518 85205TAK6 1680000.00000000 PA USD 1684200.00000000 0.183319470098 Long DBT CORP US N 2 2028-06-15 Fixed 4.60000000 N N N N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FBK6 1150000.00000000 PA USD 1205547.28000000 0.131219741449 Long DBT CORP US N 2 2033-04-15 Fixed 3.41900000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JW71 510000.00000000 PA USD 505366.14000000 0.055007394009 Long DBT NUSS EG N 2 2029-03-01 Fixed 7.60030000 N N N N N N BANCO DO BRASIL S.A. N/A G07402DP5 1920000.00000000 PA USD 1906579.20000000 0.207524693412 Long DBT NUSS BR N 2 2170-10-15 Fixed 6.25000000 N N N N N N CERNER CORPORATION 549300L4UJ40IEVVI304 156782104 632.00000000 NS USD 58693.84000000 0.006388625844 Long EC US N 1 N N N N/A N/A 88829M105 12743.00000000 NS USD 0.01000000 0.000000001088 Long EC US N 3 N N N T. ROWE PRICE GROUP, INC. 549300SIV6FPS9Y7IH33 74144T108 445.00000000 NS USD 87504.80000000 0.009524601334 Long EC US N 1 N N N RESMED INC. 529900T3QE5253CCXF22 761152107 287.00000000 NS USD 74757.76000000 0.008137129170 Long EC US N 1 N N N Romania 315700IASY927EDWBK92 N/A 900000.00000000 PA 931695.23000000 0.101411872614 Long DBT NUSS RO N 2 2033-04-14 Fixed 2.00000000 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 09659W2D5 1000000.00000000 PA USD 1049997.67000000 0.114288692832 Long DBT NUSS FR N 2 2025-01-09 Fixed 3.37500000 N N N N N N MASTERCARD INCORPORATED. AR5L2ODV9HN37376R084 57636Q104 1764.00000000 NS USD 633840.48000000 0.068991391117 Long EC US N 1 N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAH4 1666000.00000000 PA USD 1641010.00000000 0.178618384768 Long DBT NUSS FR N 2 2029-10-15 Fixed 5.50000000 N N N N N N HGI CRE CLO LTD N/A 40441LAG1 330000.00000000 PA USD 327116.79000000 0.035605555517 Long ABS-MBS KY Y 2 2036-06-16 Floating 1.80749880 N N N N N N APPLOVIN CORPORATION N/A 03835EAC8 372130.10000000 PA USD 371024.87000000 0.040384801426 Long LON US N 2 2025-08-15 Floating 3.34037880 N N N N N N SVB FINANCIAL GROUP 549300D2KJ20JMXE7542 78486Q101 116.00000000 NS USD 78675.84000000 0.008563598918 Long EC US N 1 N N N GANNETT CO., INC. 549300JQ2PU0RI3ZBA32 36472TAA7 240000.00000000 PA USD 303898.47000000 0.033078319964 Long DBT CORP US N 2 2027-12-01 Fixed 6.00000000 N N N N N N ADVANCED MICRO DEVICES, INC. R2I72C950HOYXII45366 007903107 2448.00000000 NS USD 352267.20000000 0.038343092528 Long EC US N 1 N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161N101 1946.00000000 NS USD 112400.96000000 0.012234464093 Long EC US N 1 N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FAZ1 180000.00000000 PA USD 171450.90000000 0.018661850217 Long DBT CORP US N 2 2033-08-01 Fixed 5.62500000 N N N N N N TRITON WATER HOL TL 1L B N/A 89678QAB2 788025.00000000 PA USD 778710.54000000 0.084760006859 Long LON US N 2 2028-03-31 Floating 3.99999960 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 27345.05000000 0.002976416147 N/A DFE AU N 2 JP MORGAN N/A 736004.85000000 USD 1050000.00000000 AUD 2022-01-18 27345.05000000 N N N QUIKRETE HOLDING TL 1L B1 N/A N/A 670000.00000000 PA USD 668137.40000000 0.072724494787 Long LON US N 2 2028-02-21 Floating 0.00000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 9520000.00000000 PA 492086.08000000 0.053561904422 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N PILOT TRAVEL CENTERS LLC N/A 72165NBH1 950000.00000000 PA USD 943549.50000000 0.102702169784 Long LON US N 2 2028-08-04 Floating 2.09037960 N N N N N N EATON CORPORATION PUBLIC LIMITED COMPANY 549300VDIGTMXUNT7H71 G29183103 797.00000000 NS USD 137737.54000000 0.014992265078 Long EC US N 1 N N N CATERPILLAR INC. WRJR7GS4GTRECRRTVX92 149123101 1091.00000000 NS USD 225553.34000000 0.024550717710 Long EC US N 1 N N N ULTIMATE SOFTWARE GRP 4/19 COV-LITE N/A 90385KAB7 245000.00000000 PA USD 244081.25000000 0.026567418009 Long LON US N 2 2026-05-04 Floating 3.84037920 N N N N N N Government of Mongolia 254900PW61ADCBDCLP71 Y6142NAB4 200000.00000000 PA USD 205755.30000000 0.022395768059 Long DBT NUSS MN N 2 2023-05-01 Fixed 5.62500000 N N N N N N TRUGREEN LIMITED PARTNERSHIP N/A 89787RAK8 200000.00000000 PA USD 202000.00000000 0.021987016363 Long LON US N 2 2028-11-02 Floating 9.24999840 N N N N N N PROOFPOINT INC TL 1L B N/A 74345HAB7 610000.00000000 PA USD 606998.80000000 0.066069765091 Long LON US N 2 2028-08-31 Floating 3.75039000 N N N N N N DISH DBS Corporation N/A 25470XBE4 580000.00000000 PA USD 589155.30000000 0.064127560504 Long DBT CORP US N 2 2026-12-01 Fixed 5.25000000 N N N N N N UNITED AIRLINES HOLDINGS, INC. 98450079DA0B78DD6764 910047109 565.00000000 NS USD 24735.70000000 0.002692397231 Long EC US N 1 N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123CJ7 530000.00000000 PA USD 474297.00000000 0.051625623268 Long DBT NUSS TR N 2 2026-04-14 Fixed 4.25000000 N N N N N N INVESCO LTD. ECPGFXU8A2SHKVVGJI15 G491BT108 758.00000000 NS USD 17449.16000000 0.001899282012 Long EC US N 1 N N N TRIDENT TPI HLDNGS, INC. N/A 00216EAE9 678726.71000000 PA USD 677559.30000000 0.073750036715 Long LON US N 2 2028-07-29 Floating 4.50000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EH3 150000.00000000 PA USD 161437.50000000 0.017571925516 Long DBT CORP US N 2 2170-03-05 Fixed 6.25000000 N N N N N N UNDER ARMOUR, INC. 549300D4549QKWETZ406 904311206 448.00000000 NS USD 8081.92000000 0.000879689640 Long EC US N 1 N N N V.F. CORPORATION CWAJJ9DJ5Z7P057HV541 918204108 702.00000000 NS USD 51400.44000000 0.005594763937 Long EC US N 1 N N N Government National Mortgage Association N/A 38379VUJ1 426866.49450000 PA USD 31717.03000000 0.003452291374 Long DBT USGA US N 2 2045-06-20 Fixed 4.00000000 N N N N N N TARGA RESOURCES CORP. 5493003QENHHS261UR94 87612G606 1570.00000000 NS USD 1690459.86000000 0.184000834674 Long EP US N 2 N N N RACKSPACE TECHNOLOGY GLOBAL, INC. N/A 75009XAB6 965150.00000000 PA USD 957168.21000000 0.104184520278 Long LON US N 2 2028-02-15 Floating 3.49999920 N N N N N N LIBERTY INTERACTIVE LLC 549300SZUIU7Z32Q0664 530715AD3 330000.00000000 PA USD 359700.00000000 0.039152127653 Long DBT CORP US N 2 2029-07-15 Fixed 8.50000000 N N N N N N ANTHEM, INC. 8MYN82XMYQH89CTMTH67 036752103 489.00000000 NS USD 226671.06000000 0.024672377749 Long EC US N 1 N N N GLOBAL MEDICAL RESPONSE, INC. N/A 00169QAF6 1183015.22000000 PA USD 1176804.39000000 0.128091175148 Long LON US N 2 2025-10-02 Floating 5.24999880 N N N N N N DRYDEN CLO LTD N/A 26252KAJ4 770000.00000000 PA USD 763069.23000000 0.083057503201 Long ABS-CBDO CORP KY Y 2 2034-04-15 Floating 6.72612840 N N N N N N CORNERSTONE BUILDING BRANDS, INC. 549300IW41QEWQ6T0H29 21925DAA7 567000.00000000 PA USD 606037.95000000 0.065965179820 Long DBT CORP US N 2 2029-01-15 Fixed 6.12500000 N N N N N N REGIONALCARE HOSPITAL PARTNERS HOLDINGS, INC. N/A 75915TAD4 190135.99000000 PA USD 189780.44000000 0.020656958612 Long LON US N 2 2025-11-16 Floating 3.85188120 N N N N N N N/A N/A N/A -119.00000000 NC USD -1997653.00000000 -0.21743776831 N/A DE US N 1 JPM CHASE N/A Call Written Call Option 4625 Jan 2022 on S&P 500 Index N/A N/A -11900.00000000 625.00000000 USD 2022-01-24 XXXX -713744.15000000 N N N WP CPP HOLDINGS, LLC N/A 92937JAM5 511206.00000000 PA USD 488626.03000000 0.053185289690 Long LON US N 2 2025-04-30 Floating 4.74999840 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FWBW9 1491104.60560000 PA USD 173979.85000000 0.018937117865 Long DBT USGA US N 2 2050-09-25 Fixed 2.00000000 N N N N N N THE REPUBLIC OF KENYA 549300VVURQQYU45PR87 491798AK0 910000.00000000 PA USD 992446.00000000 0.108024388327 Long DBT NUSS KE N 2 2032-05-22 Fixed 8.00000000 N N N N N N TRAVELPORT FINANCE (LUXEMBOURG) S.A.R.L. N/A N/A 486335.48000000 PA USD 499213.64000000 0.054337715206 Long LON US N 2 2025-02-28 Floating 2.49999840 N N N N N N BRAZILIAN REAL N/A N/A 1.00000000 NC 2479.61000000 0.000269897156 N/A DFE BR N 2 MORGAN STANLEY & CO, INC N/A 67232.11000000 USD 390000.00000000 BRL 2022-01-18 2479.61000000 N N N GNL Quintero S.A. 549300JJJIQXE6E1QY27 P4909LAA8 376480.00000000 PA USD 399543.16000000 0.043488920777 Long DBT NUSS CL N 2 2029-07-31 Fixed 4.63400000 N N N N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958254AJ3 530000.00000000 PA USD 638652.65000000 0.069515179536 Long DBT CORP US N 2 2048-03-01 Fixed 5.30000000 N N N N N N QUALCOMM INCORPORATED H1J8DDZKZP6H7RWC0H53 747525103 2272.00000000 NS USD 415480.64000000 0.045223661537 Long EC US N 1 N N N DARDEN RESTAURANTS, INC. CY1NFSCCB5GUXC7WZC70 237194105 246.00000000 NS USD 37057.44000000 0.004033576929 Long EC US N 1 N N N ALPHABET INC. 5493006MHB84DD0ZWV18 02079K305 608.00000000 NS USD 1761400.32000000 0.191722463658 Long EC US N 1 N N N T-MOBILE US, INC. 549300QHIJYOHPACPG31 872590104 1175.00000000 NS USD 136276.50000000 0.014833235819 Long EC US N 1 N N N US FOODS, INC. N/A 90351HAD0 671085.80000000 PA USD 663032.77000000 0.072168873087 Long LON US N 2 2026-09-13 Floating 2.09037960 N N N N N N NGL ENERGY OPERATING LLC 5493008CQD36WWZJ3O79 62922LAA6 1025000.00000000 PA USD 1057082.50000000 0.115059852600 Long DBT CORP US N 2 2026-02-01 Fixed 7.50000000 N N N N N N BLACKROCK, INC. 549300LRIF3NWCU26A80 09247X101 289.00000000 NS USD 264596.84000000 0.028800470548 Long EC US N 1 N N N BRAZIL MINAS SPE N/A G13201AA9 140000.00000000 PA USD 145601.40000000 0.015848219625 Long DBT NUSS BR N 2 2028-02-15 Fixed 5.33300000 N N N N N N DP World Limited 549300M3U2DNF4QVSS04 23330JAA9 100000.00000000 PA USD 131492.60000000 0.014312524494 Long DBT NUSS AE N 2 2037-07-02 Fixed 6.85000000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773100 1291.00000000 NS USD 56223.05000000 0.006119688714 Long EC US N 1 N N N CIFC FUNDING LTD N/A 12547DAG1 490000.00000000 PA USD 489261.08000000 0.053254412733 Long ABS-CBDO CORP KY Y 2 2033-07-15 Floating 2.99377080 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ANRY5 432737.68500000 PA USD 68177.26000000 0.007420864016 Long DBT USGA US N 2 2045-05-25 Floating 5.49812160 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 91087BAM2 760000.00000000 PA USD 741007.60000000 0.080656169440 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 8516.41000000 0.000926982406 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 387354.94000000 USD 500000.00000000 CAD 2022-01-18 8516.41000000 N N N ZOETIS INC. 549300HD9Q1LOC9KLJ48 98978VAS2 1100000.00000000 PA USD 1084330.24000000 0.118025676884 Long DBT CORP US N 2 2030-05-15 Fixed 2.00000000 N N N N N N BRK: CITIBANK, N.A. N/A N/A 2665000.00000000 NC -548.41000000 -0.00005969257 N/A DIR XX N 2 BRK: CITIBANK, N.A. N/A Y 2024-03-16 396.47000000 ZAR 0.00000000 ZAR -2665000.00000000 ZAR -944.88000000 N N N GLOBE LIFE INC. 5493001JFHKQOPP6XA71 37959E102 222.00000000 NS USD 20805.84000000 0.002264645270 Long EC US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FMW24 559110.84970000 PA USD 94924.22000000 0.010332180091 Long DBT USGA US N 2 2049-08-25 Floating 5.99811840 N N N N N N 522 FUNDING CLO LTD N/A 33830NAA4 250000.00000000 PA USD 247965.00000000 0.026990151052 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 7.46375040 N N N N N N American Airlines 2017-1 Pass Through Trusts N/A 02378WAA7 351480.00000000 PA USD 350144.13000000 0.038112003544 Long DBT CORP US N 2 2025-02-15 Fixed 4.95000000 N N N N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 14448CAN4 1000000.00000000 PA USD 1023980.71000000 0.111456834787 Long DBT CORP US N 2 2025-02-15 Fixed 2.24200000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 500000.00000000 PA USD 540794.20000000 0.058863618439 Long DBT CORP DE N 2 2025-12-15 Fixed 4.25000000 N N N N N N AMERISOURCEBERGEN CORPORATION AI8GXW8LG5WK7E9UD086 03073E105 284.00000000 NS USD 37740.76000000 0.004107953998 Long EC US N 1 N N N ILLUMINA, INC. SQ95QG8SR5Q56LSNF682 452327109 312.00000000 NS USD 118697.28000000 0.012919797216 Long EC US N 1 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 62547NAB5 530000.00000000 PA USD 523347.55000000 0.056964609632 Long ABS-MBS US N 2 2049-10-15 Floating 3.35188080 N N N N N N CARGO AIRCRAFT MANAGEMENT, INC 549300GH5J7LOMV44F11 14180LAA4 320000.00000000 PA USD 325670.40000000 0.035448120861 Long DBT CORP US N 2 2028-02-01 Fixed 4.75000000 N N N N N N JOHNSON CONTROLS INTERNATIONAL PLC 549300XQ6S1GYKGBL205 G51502105 1411.00000000 NS USD 114728.41000000 0.012487799148 Long EC US N 1 N N N PERATON CORP N/A 71360HAG2 600000.00000000 PA USD 606750.00000000 0.066042684053 Long LON US N 2 2029-02-01 Floating 8.49999960 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6698.87000000 0.000729149328 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 340000.00000000 CAD 275891.39000000 USD 2022-01-18 6698.87000000 N N N BRK: MORGAN STANLEY N/A N/A -5490000.00000000 NC USD 96876.91000000 0.010544723789 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 27477.35000000 USD 0.00000000 USD -5490000.00000000 USD 69399.56000000 N N N Republica de Mocambique N/A N/A 220000.00000000 PA USD 185790.00000000 0.020222612723 Long DBT NUSS MZ N 2 2031-09-15 Fixed 5.00000000 N N N N N N IRON MOUNTAIN INCORPORATED SQL3F6CKNNBM3SQGHX24 46284V101 599.00000000 NS USD 31345.67000000 0.003411870095 Long EC US N 1 N N N EOG RESOURCES, INC. XWTZDRYZPBUHIQBKDB46 26875P101 1163.00000000 NS USD 103309.29000000 0.011244866582 Long EC US N 1 N N N MSCI INC. 549300HTIN2PD78UB763 55354G100 164.00000000 NS USD 100481.16000000 0.010937034203 Long EC US N 1 N N N HP INC. WHKXQACZ14C5XRO8LW03 40434L105 2226.00000000 NS USD 83853.42000000 0.009127160978 Long EC US N 1 N N N BRK: BANCO SANTANDER CENTRAL HISPANO N/A N/A 8800000.00000000 NC 37020.43000000 0.004029548515 N/A DIR XX N 2 BRK: BANCO SANTANDER CENTRAL HISPANO N/A Y 2024-01-02 3504.26000000 BRL 0.00000000 BRL -8800000.00000000 BRL 33516.17000000 N N N THE SHERWIN-WILLIAMS COMPANY Z15BMIOX8DDH0X2OBP21 824348106 484.00000000 NS USD 170445.44000000 0.018552409299 Long EC US N 1 N N N ENGINEERED MACHINERY HOLDINGS, INC. N/A 26658NAP4 723449.61000000 PA USD 720620.92000000 0.078437148317 Long LON US N 2 2028-05-19 Floating 4.50000000 N N N N N N AGREE LIMITED PARTNERSHIP 549300DXY3G299V1BO77 008513AA1 175000.00000000 PA USD 177785.36000000 0.019351334750 Long DBT CORP US N 2 2030-10-01 Fixed 2.90000000 N N N N N N MOHAWK INDUSTRIES, INC. 549300JI1115MG3Q6322 608190104 127.00000000 NS USD 23136.86000000 0.002518368908 Long EC US N 1 N N N ITAU UNIBANCO HOLDING S.A. N/A 465562AA4 1120000.00000000 PA USD 1049451.20000000 0.114229211422 Long DBT NUSS BR N 2 2170-08-27 Fixed 4.62500000 N N N N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC 405.81000000 0.000044171045 N/A DFE ID N 2 CITIGROUP GLOBAL MARKETS N/A 186560.66000000 USD 2663340000.00000000 IDR 2022-01-18 405.81000000 N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109BL7 375000.00000000 PA USD 389136.28000000 0.042356167109 Long DBT CORP US N 2 2032-12-15 Fixed 2.85000000 N N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 40000.00000000 PA USD 4008.00000000 0.000436257235 Long DBT NUSS LB N 2 2031-11-20 Fixed 7.15000000 Y N N N N N Republica de Angola 549300QHR2R3J8JSGK83 N/A 430000.00000000 PA USD 411812.72000000 0.044824420858 Long DBT NUSS AO N 2 2049-11-26 Fixed 9.12500000 N N N N N N Schlumberger N.V. 213800ZUA17OK3QLGM62 806857108 2768.00000000 NS USD 82901.60000000 0.009023558592 Long EC US N 1 N N N RAYONIER A.M. PRODUCTS INC. 549300ZGRDDK1QM6MM16 75508EAB4 125000.00000000 PA USD 132500.00000000 0.014422176575 Long DBT CORP US N 2 2026-01-15 Fixed 7.62500000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -4511.89000000 -0.00049110395 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 329126.40000000 USD 410000.00000000 CAD 2022-01-18 -4511.89000000 N N N CARLYLE US CLO LTD N/A 14316FAG1 850000.00000000 PA USD 850000.00000000 0.092519623313 Long ABS-CBDO CORP KY Y 2 2032-07-15 Floating 6.59923920 N N N N N N BELLIS ACQUISITION COMPANY PLC 259400CYE2267UB4A481 N/A 200000.00000000 PA 260425.57000000 0.028346441926 Long DBT NUSS GB N 2 2026-02-16 Fixed 3.25000000 N N N N N N IDERA, INC N/A 45168RAS2 175000.00000000 PA USD 175000.00000000 0.019048157740 Long LON US N 2 2029-03-02 Floating 7.49999880 N N N N N N KNIGHT HEALTH HOLDINGS N/A N/A 650000.00000000 PA USD 607750.00000000 0.066151530668 Long LON US N 2 2028-12-15 Floating 0.00000000 N N N N N N APOLLO COMMERCIAL REAL ESTATE FINANCE, INC. N/A 03768DAC1 1074600.00000000 PA USD 1066540.50000000 0.116089323891 Long LON US N 3 2028-03-11 Floating 3.99999960 N N N N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172109 3149.00000000 NS USD 299155.00000000 0.032562009308 Long EC US N 1 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -36761.58000000 -0.00400137356 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 1350390.71000000 USD 98590000.00000000 RUB 2022-01-18 -36761.58000000 N N N TWITTER, INC. 549300I8RX485XMK6836 90184L102 1568.00000000 NS USD 67768.96000000 0.007376421942 Long EC US N 1 N N N UFC HOLDINGS, LLC N/A 90266UAJ2 350000.00000000 PA USD 348061.00000000 0.037885261894 Long LON US N 2 2026-04-29 Floating 3.49999920 N N N N N N USD PUT MXN CALL N/A USMXP0317 260000.00000000 NC USD 9031.02000000 0.000982995962 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A Put Purchased N/A N/A 260000.00000000 21.23920000 USD 2022-02-25 XXXX 5302.62000000 N N N MERCADOLIBRE, INC. 549300DKPDN9M5S8GB14 58733RAF9 840000.00000000 PA USD 793808.40000000 0.086403357824 Long DBT CORP AR N 2 2031-01-14 Fixed 3.12500000 N N N N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SAW6 660000.00000000 PA USD 331293.60000000 0.036060187150 Long DBT NUSS LK N 2 2028-04-18 Fixed 6.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7308.57000000 -0.00079551310 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 630000.00000000 AUD 450701.37000000 USD 2022-01-18 -7308.57000000 N N N BENEFIT STREET PARTNERS CLO LTD N/A 08180FBN0 340000.00000000 PA USD 340247.52000000 0.037034791039 Long ABS-CBDO CORP KY Y 2 2032-01-20 Floating 3.73150080 N N N N N N BANCO MERCANTIL DEL NORTE S.A. N/A 05973KAA5 1340000.00000000 PA USD 1334975.00000000 0.145307510743 Long DBT NUSS MX N 2 2170-01-24 Fixed 5.87500000 N N N N N N AMC ENTERTAINMENT HOLDINGS, INC. 549300ZO77UNR6NRBR11 00165CAP9 110000.00000000 PA USD 108686.05000000 0.011830108712 Long DBT CORP US N 2 2026-06-15 Fixed 12.00000000 N N Y N N N META PLATFORMS, INC. BQ4BKCS1HXDV9HN80Z93 30303M102 4781.00000000 NS USD 1608089.35000000 0.175035083430 Long EC US N 1 N N N RAYMOND JAMES FINANCIAL, INC. RGUZHJ05YTITL6D76949 754730AG4 400000.00000000 PA USD 463824.74000000 0.050485753209 Long DBT CORP US N 2 2030-04-01 Fixed 4.65000000 N N N N N N FEDEX CORPORATION 549300E707U7WNPZN687 31428X106 488.00000000 NS USD 126216.32000000 0.013738219273 Long EC US N 1 N N N WP CITYMD BIDCO LLC N/A 92940KAH8 755788.74000000 PA USD 754723.08000000 0.082149053020 Long LON US N 2 2026-08-13 Floating 4.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1837.85000000 -0.00020004375 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 302700.08000000 USD 380000.00000000 CAD 2022-01-18 -1837.85000000 N N N THE HERTZ CORPORATION N/A 42804VBC4 198220.06000000 PA USD 198220.06000000 0.021575582687 Long LON US N 2 2028-06-30 Floating 3.75039000 N N N N N N Romania 315700IASY927EDWBK92 N/A 90000.00000000 PA 96207.43000000 0.010471853157 Long DBT NUSS RO N 2 2050-01-28 Fixed 3.37500000 N N N N N N RESIDENTIAL ACCREDIT LOANS INCORPORATED N/A 761118VZ8 1320385.63800000 PA USD 366493.63000000 0.039891591287 Long ABS-MBS US N 2 2046-02-25 Floating 0.64188000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCG5 430000.00000000 PA USD 458741.20000000 0.049932427084 Long DBT NUSS MX N 2 2027-03-13 Fixed 6.50000000 N N N N N N N/A N/A 63874DAA0 870000.00000000 PA USD 860818.89000000 0.093697222874 Long ABS-MBS US N 2 2024-04-18 Floating 3.51050040 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD N/A 14314LAC9 1044773.70420000 PA USD 1043607.74000000 0.113593170578 Long ABS-CBDO CORP KY N 2 2031-05-15 Floating 1.20600000 N N N N N N Pike Corporation 549300P4EKEP6HK0NC58 721283AA7 668000.00000000 PA USD 669523.04000000 0.072875317012 Long DBT CORP US N 2 2028-09-01 Fixed 5.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2386.04000000 -0.00025971237 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 12490000.00000000 MXN 606200.33000000 USD 2022-01-18 -2386.04000000 N N N MARRIOTT INTERNATIONAL, INC. 225YDZ14ZO8E1TXUSU86 571903202 541.00000000 NS USD 89394.84000000 0.009730325791 Long EC US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JW55 360000.00000000 PA USD 301363.20000000 0.032802364405 Long DBT NUSS EG N 2 2048-02-21 Fixed 7.90300000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -4821.62000000 -0.00052481701 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 416527.82000000 USD 520000.00000000 CAD 2022-01-18 -4821.62000000 N N N Mexico City Airport Trust N/A 59284MAC8 1190000.00000000 PA USD 1232840.00000000 0.134190461653 Long DBT NUSS MX N 2 2028-04-30 Fixed 3.87500000 N N N N N N VALERO ENERGY CORPORATION 549300XTO5VR8SKV1V74 91913Y100 773.00000000 NS USD 58060.03000000 0.006319637770 Long EC US N 1 N N N FREEPORT-MCMORAN INC. 549300IRDTHJQ1PVET45 35671DBC8 750000.00000000 PA USD 942817.50000000 0.102622494062 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 81761LAB8 600000.00000000 PA USD 615767.89000000 0.067024250860 Long DBT CORP US N 2 2027-12-15 Fixed 5.50000000 N N N N N N WENDY'S INTERNATIONAL, LLC 549300PQTT267ME8D359 950590AG4 570000.00000000 PA USD 640537.50000000 0.069720339079 Long DBT CORP US N 2 2025-12-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association N/A 38381BG65 239556.23200000 PA USD 36445.63000000 0.003966983481 Long DBT USGA US N 2 2049-01-20 Floating 5.94612000 N N N N N N EXTRA SPACE STORAGE INC. N/A 30225T102 290.00000000 NS USD 65751.70000000 0.007156850019 Long EC US N 1 N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958254AD6 1100000.00000000 PA USD 1314500.00000000 0.143078876288 Long DBT CORP US N 2 2044-04-01 Fixed 5.45000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -5521.02000000 -0.00060094434 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 496401.49000000 USD 620000.00000000 CAD 2022-01-18 -5521.02000000 N N N FEDERAL REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 N/A 1480000.00000000 PA USD 1550226.00000000 0.168736853611 Long DBT NUSS NG N 2 2031-01-21 Fixed 8.74700000 N N N N N N MOZART DEBT MERGER SUB INC. N/A 62482BAB8 500000.00000000 PA USD 506820.00000000 0.055165641750 Long DBT CORP US N 2 2029-10-01 Fixed 5.25000000 N N N N N N SEALED AIR CORPORATION Q0M0CZB4YN6JZ65WXI09 81211K100 334.00000000 NS USD 22534.98000000 0.002452856307 Long EC US N 1 N N N RAYMOND JAMES FINANCIAL, INC. RGUZHJ05YTITL6D76949 754730109 403.00000000 NS USD 40461.20000000 0.004404064685 Long EC US N 1 N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140100 8252.00000000 NS USD 424978.00000000 0.046257417030 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6619.95000000 -0.00072055915 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 5300000.00000000 MXN 251627.27000000 USD 2022-01-18 -6619.95000000 N N N U.S. BANCORP N1GZ7BBF3NP8GI976H15 902973304 2705.00000000 NS USD 151939.85000000 0.016538138456 Long EC US N 1 N N N CHARTER COMMUNICATIONS, INC. 0J0XRGZE3PBRFEZ7MV65 16119P108 248.00000000 NS USD 161688.56000000 0.017599252547 Long EC US N 1 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -16911.18000000 -0.00184072470 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 3057203.14000000 USD 3840000.00000000 CAD 2022-01-18 -16911.18000000 N N N CLARIVATE SCIENCE HOLDINGS CORPORATION N/A 18064PAC3 1037000.00000000 PA USD 1042185.00000000 0.113438310144 Long DBT CORP US N 2 2028-07-01 Fixed 3.87500000 N N N N N N PENN VIRGINIA ESCROW LLC N/A 70789PAA2 570000.00000000 PA USD 591374.99000000 0.064369166248 Long DBT CORP US N 2 2026-08-15 Fixed 9.25000000 N N N N N N CALATLANTIC GROUP, INC. N/A 128195AN4 330000.00000000 PA USD 355774.65000000 0.038724866590 Long DBT CORP US N 2 2026-06-01 Fixed 5.25000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHD4 2115000.00000000 PA USD 2258110.95000000 0.245787734697 Long DBT CORP US N 2 2028-12-20 Fixed 3.41900000 N N N N N N KOC HOLDING ANONIM SIRKETI 7890005U0H950VH19H45 N/A 2170000.00000000 PA USD 2190832.00000000 0.238464648684 Long DBT NUSS TR N 2 2025-03-11 Fixed 6.50000000 N N N N N N ASSURANT, INC. H3F39CAXWQRVWURFXL38 04621X108 133.00000000 NS USD 20729.38000000 0.002256322857 Long EC US N 1 N N N VULCAN MATERIALS COMPANY 549300Q8LSNHAVWBNI21 929160109 282.00000000 NS USD 58537.56000000 0.006371615295 Long EC US N 1 N N N METIS MERGER SUB, LLC N/A 59155LAA0 287000.00000000 PA USD 281888.53000000 0.030682612484 Long DBT CORP US N 2 2029-05-15 Fixed 6.50000000 N N N N N N DEERFIELD DAKOTA HOLDING LLC N/A 24440EAB3 246875.00000000 PA USD 246991.03000000 0.026884137714 Long LON US N 2 2027-04-09 Floating 4.74999840 N N N N N N Republic of Uzbekistan 213800L6VDKUM3TCM927 91822Q2B2 340000.00000000 PA USD 353427.28000000 0.038469363310 Long DBT NUSS UZ N 2 2024-02-20 Fixed 4.75000000 N N N N N N GANNETT HOLDINGS LLC N/A 36474GAA3 490000.00000000 PA USD 500412.50000000 0.054468207060 Long DBT CORP US N 2 2026-11-01 Fixed 6.00000000 N N N N N N CHARTER COMMUNICATIONS OPERATING, LLC 549300TPZNMN50BJ3745 161175AY0 3200000.00000000 PA USD 3523546.40000000 0.383526100769 Long DBT CORP US N 2 2025-07-23 Fixed 4.90800000 N N N N N N APOLLO COMMERCIAL REAL ESTATE FINANCE, INC. N/A 03768DAB3 19847.72000000 PA USD 19550.00000000 0.002127951336 Long LON US N 2 2026-05-15 Floating 2.84037840 N N N N N N MODERNA, INC. 549300EI6OKH5K5Q2G38 60770K107 709.00000000 NS USD 180071.82000000 0.019600208183 Long EC US N 1 N N N SKYWORKS SOLUTIONS, INC. 549300WZ3ORQ2BVKBD96 83088M102 363.00000000 NS USD 56315.82000000 0.006129786415 Long EC US N 1 N N N BOYNE USA, INC. N/A 103557AC8 520000.00000000 PA USD 535600.00000000 0.058298247348 Long DBT CORP US N 2 2029-05-15 Fixed 4.75000000 N N N N N N United States of America N/A N/A 69.00000000 NC USD 13601625.00000000 1.480490848759 N/A DIR US N 1 CITICORP SECURITY SERVICES INC. N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Mar 2022 2022-03-25 13447063.83000000 USD 154561.17000000 N N N AIR PRODUCTS AND CHEMICALS, INC. 7QEON6Y1RL5XR3R1W237 009158106 443.00000000 NS USD 134787.18000000 0.014671128377 Long EC US N 1 N N N ADAPTHEALTH, LLC N/A 00653VAC5 295000.00000000 PA USD 295000.01000000 0.032109752708 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -15190.95000000 -0.00165348349 N/A DFE AU N 2 JP MORGAN N/A 4302233.53000000 USD 5896895.64000000 AUD 2022-01-18 -15190.95000000 N N N AFC GAMMA, INC. 5493005G0MGS3E0E7218 00109KAA3 370000.00000000 PA USD 365571.70000000 0.039791242326 Long DBT CORP US N 2 2027-05-01 Fixed 5.75000000 N N N N N N ICON PUBLIC LIMITED COMPANY N/A L5000DAC1 664586.33000000 PA USD 664307.20000000 0.072307590480 Long LON US N 2 2028-07-03 Floating 2.75000040 N N N N N N CSC HOLDINGS, LLC 3HG2WD2W22M120IUNG49 126307BA4 643000.00000000 PA USD 640588.75000000 0.069725917468 Long DBT CORP US N 2 2030-01-15 Fixed 5.75000000 N N N N N N TELEDYNE TECHNOLOGIES INCORPORATED 549300VSMO9KYQWDND94 879360105 102.00000000 NS USD 44562.78000000 0.004850507787 Long EC US N 1 N N N CROSBY US ACQUISITION CORP. N/A 22739PAH9 1001937.50000000 PA USD 998180.23000000 0.108648539856 Long LON US N 2 2026-06-26 Floating 4.85349840 N N N N N N Pretium Packaging 9/21 N/A N/A 425000.00000000 PA USD 423780.25000000 0.046127045997 Long LON US N 2 2028-09-22 Floating 4.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAM2 220000.00000000 PA USD 223300.00000000 0.024305449277 Long DBT CORP US N 2 2170-05-15 Fixed 7.12500000 N N N N N N N/A N/A 00ZRVKG79 -20.00000000 NC USD -24250.00000000 -0.00263953042 N/A DIR US N 1 JP MORGAN N/A Put Written N/A Put Option 4000 Mar 2022 on S&P 500 Future (e-Mini) Mar 2022 -1000.00000000 0.00000000 USD 2022-03-21 XXXX 16208.00000000 N N N CITRIX SYSTEMS, INC. HCTKJGUQOPZ5NBK7NP58 177376100 251.00000000 NS USD 23742.09000000 0.002584246145 Long EC US N 1 N N N UNITED AIRLINES PASS THROUGH TRUST 2020-1 N/A 90932VAA3 71840.00000000 PA USD 74792.73000000 0.008140935536 Long DBT CORP US N 2 2026-01-15 Fixed 4.87500000 N N N N N N VMED O2 UK FINANCING I PLC 213800MRR46ECNGZ7L69 92858RAB6 490000.00000000 PA USD 496125.00000000 0.054001527195 Long DBT NUSS GB N 2 2031-07-15 Fixed 4.75000000 N N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 410000.00000000 PA USD 43050.00000000 0.004685846804 Long DBT NUSS LB N 2 2027-11-29 Fixed 6.75000000 Y N N N N N GENUINE PARTS COMPANY 549300D46DQVEU651W04 372460105 270.00000000 NS USD 37854.00000000 0.004120279789 Long EC US N 1 N N N THE HILLMAN GROUP INC N/A 43162TAR1 47468.35000000 PA USD 47231.01000000 0.005140935592 Long LON US N 2 2028-07-14 Floating 3.25000080 N N N N N N NOBLE CORPORATION N/A G6610J209 2884.00000000 NS USD 71552.04000000 0.007788197397 Long EC US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 620000.00000000 PA 636050.13000000 0.069231904042 Long DBT NUSS EG N 2 2030-04-16 Fixed 5.62500000 N N N N N N USD CALL BRL PUT N/A USBRC0070 -1080000.00000000 NC USD -630.22000000 -0.00006859731 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A Call Written N/A N/A -1080000.00000000 6.22600000 USD 2022-01-27 XXXX 15160.46000000 N N N THE COOPER COMPANIES, INC. QJKMVPIGLH7530PCUE20 216648402 104.00000000 NS USD 43569.76000000 0.004742420921 Long EC US N 1 N N N HEWLETT PACKARD ENTERPRISE COMPANY 549300BX44RGX6ANDV88 42824CAW9 1865000.00000000 PA USD 2068941.14000000 0.225197241093 Long DBT CORP US N 2 2025-10-15 Fixed 4.90000000 N N N N N N FIRST FRANKLIN MORTGAGE LOAN TRUST N/A 32028GAE5 858713.98060000 PA USD 850276.43000000 0.092549711783 Long ABS-MBS US N 2 2036-11-25 Floating 0.26187840 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579Y101 1161.00000000 NS USD 206228.43000000 0.022447266658 Long EC US N 1 N N N TABOOLA, INC. N/A 87336JAB6 1425000.00000000 PA USD 1410750.00000000 0.153555363045 Long LON US N 2 2028-09-01 Floating 4.50000000 N N N N N N WASTE MANAGEMENT, INC. 549300YX8JIID70NFS41 94106L109 768.00000000 NS USD 128179.20000000 0.013951872118 Long EC US N 1 N N N PERATON CORP N/A 71360HAB3 1385250.00000000 PA USD 1384751.31000000 0.150725493627 Long LON US N 2 2028-02-01 Floating 4.50056160 N N N N N N HUNTINGTON INGALLS INDUSTRIES, INC. 5TZLZ6WJTBVJ0QWBG121 446413106 79.00000000 NS USD 14752.46000000 0.001605755343 Long EC US N 1 N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523100 664.00000000 NS USD 152474.32000000 0.016596313707 Long EC US N 1 N N N TURKIYE VAKIFLAR BANKASI TURK ANONIM ORTAKLIGI 789000KAIHOLSQKQ9858 N/A 760000.00000000 PA USD 761520.00000000 0.082888874759 Long DBT NUSS TR N 2 2024-03-28 Fixed 8.12500000 N N N N N N Banco de Bogota S.A. 549300LYHE7LWSKDZT53 P09252AK6 400000.00000000 PA USD 432000.00000000 0.047021737966 Long DBT NUSS CO N 2 2026-05-12 Fixed 6.25000000 N N N N N N Performance Food Group, Inc. 549300OMUOGBYK0FFO76 69346VAA7 450000.00000000 PA USD 469687.50000000 0.051123894793 Long DBT CORP US N 2 2027-10-15 Fixed 5.50000000 N N N N N N QUEST DIAGNOSTICS INCORPORATED 8MCWUBXQ0WE04KMXBX50 74834L100 224.00000000 NS USD 38754.24000000 0.004218267866 Long EC US N 1 N N N Republique de Cote d'Ivoire 254900ICW11T82O6H590 BM7280605 1410000.00000000 PA 1540345.03000000 0.167661343467 Long DBT NUSS CI N 2 2032-01-30 Fixed 4.87500000 N N N N N N APIDOS CLO N/A 03766AAE5 1380000.00000000 PA USD 1363311.66000000 0.148391860284 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.88150080 N N N N N N ATHENAHEALTH INC N/A 04685YAM1 465872.62000000 PA USD 465406.75000000 0.050657949643 Long LON US N 2 2026-02-11 Floating 4.39949880 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC 4412.42000000 0.000480276983 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 455404.41000000 USD 34510000.00000000 RUB 2022-01-18 4412.42000000 N N N Government National Mortgage Association N/A 38381BZG2 303371.48250000 PA USD 40704.11000000 0.004430504617 Long DBT USGA US N 2 2049-01-20 Floating 5.94612000 N N N N N N N/A N/A 011BVX7J3 63.00000000 NC USD 74025.00000000 0.008057370724 N/A DIR US N 1 JP MORGAN N/A Put Purchased N/A Put Option 4300 Feb 2022 on S&P 500 Future (e-Mini) Mar 2022 3150.00000000 300.00000000 USD 2022-02-21 XXXX -143508.13000000 N N N N/A N/A N/A -15916000.00000000 NC USD 721461.00000000 0.078528588182 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2023-06-20 356421.05000000 USD 0.00000000 USD -15916000.00000000 USD 365039.95000000 N N N GLOBAL AIRCRAFT LEASING CO., LTD N/A 37960JAA6 1627902.00000000 PA USD 1570925.43000000 0.170989916513 Long DBT NUSS KY N 2 2024-09-15 Fixed 7.25000000 N N Y N N N WEC ENERGY GROUP, INC. 549300IGLYTZUK3PVP70 92939U106 685.00000000 NS USD 66492.95000000 0.007237532572 Long EC US N 1 N N N PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED PUSS41EMO3E6XXNV3U28 744573106 988.00000000 NS USD 65929.24000000 0.007176174647 Long EC US N 1 N N N ALLY FINANCIAL INC. 549300JBN1OSM8YNAI90 02005NBN9 1325000.00000000 PA USD 1365810.00000000 0.148663796137 Long DBT CORP US N 2 2170-08-15 Fixed 4.70000000 N N N N N N ANSYS, INC. 549300VJV8H15Z5FJ571 03662Q105 171.00000000 NS USD 68591.52000000 0.007465954815 Long EC US N 1 N N N HOWMET AEROSPACE INC. 549300HO5WFZUT5N2T22 443201108 802.00000000 NS USD 25527.66000000 0.002778599396 Long EC US N 1 N N N EDELMEN FINANCIAL ENGINES CENTER, LLC N/A 27943UAK2 1521187.50000000 PA USD 1518905.72000000 0.165327747132 Long LON US N 2 2028-04-07 Floating 4.25000160 N N N N N N PETSMART LLC N/A 71677HAL9 658350.00000000 PA USD 658764.76000000 0.071704314643 Long LON US N 2 2028-02-11 Floating 4.50000000 N N N N N N Arcis 11/21 Cov-Lite TLB N/A N/A 700000.00000000 PA USD 701750.00000000 0.076383112541 Long LON US N 2 2028-11-19 Floating 4.74999840 N N N N N N Government National Mortgage Association N/A 38382FV84 1009150.27200000 PA USD 104185.78000000 0.011340269553 Long DBT USGA US N 2 2050-06-20 Fixed 4.00000000 N N N N N N DUPONT DE NEMOURS, INC. 5493004JF0SDFLM8GD76 26614N102 1022.00000000 NS USD 82557.16000000 0.008986067464 Long EC US N 1 N N N AMAZON.COM, INC. ZXTILKJKG63JELOEG630 023135106 882.00000000 NS USD 2940887.88000000 0.320105692780 Long EC US N 1 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205AX2 950000.00000000 PA USD 910100.00000000 0.099061304914 Long DBT NUSS ZA N 2 2047-09-27 Fixed 5.65000000 N N N N N N DIRECTV FINANCING, LLC N/A 25461LAA0 2120000.00000000 PA USD 2170265.20000000 0.236226022109 Long DBT CORP US N 2 2027-08-15 Fixed 5.87500000 N N N N N N PARALLEL LTD N/A 69915XAS5 750000.00000000 PA USD 741414.00000000 0.080700404704 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 2.13149880 N N N N N N MILLICOM INTERNATIONAL CELLULAR S.A. 549300CTHC1CP86P2G96 600814AQ0 477000.00000000 PA USD 518594.40000000 0.056447245341 Long DBT NUSS CO N 2 2029-03-25 Fixed 6.25000000 N N N N N N OZLM FUNDING LTD N/A 67108WBL2 650000.00000000 PA USD 643490.25000000 0.070041735924 Long ABS-CBDO CORP KY N 2 2029-07-17 Floating 3.12225120 N N N N N N CLOUDERA, INC. N/A 74339VAB4 1175000.00000000 PA USD 1170593.75000000 0.127415168003 Long LON US N 2 2028-10-08 Floating 4.25000160 N N N N N N AUTOMATIC DATA PROCESSING, INC. HGBOLILQXWER4SAL2I23 053015103 849.00000000 NS USD 209346.42000000 0.022786649318 Long EC US N 1 N N N PLAYA RESORTS HOLDING B.V. N/A 72812NAD8 785521.70000000 PA USD 763511.38000000 0.083105629732 Long LON US N 2 2024-04-29 Floating 3.75000120 N N N N N N BERRY PETROLEUM COMPANY, LLC DQ2XTZKV7SILNNV77403 08580BAA4 1200000.00000000 PA USD 1188000.00000000 0.129309779406 Long DBT CORP US N 2 2026-02-15 Fixed 7.00000000 N N N N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109104 1088.00000000 NS USD 77889.92000000 0.008478054186 Long EC US N 1 N N N IDEX CORPORATION 549300U5Y5EL6PHYLF13 45167R104 137.00000000 NS USD 32375.84000000 0.003524000613 Long EC US N 1 N N N Republica de Guatemala 529900QKDFFU9UWW5315 P5015VAE6 790000.00000000 PA USD 848072.90000000 0.092309865000 Long DBT NUSS GT N 2 2028-02-13 Fixed 4.87500000 N N N N N N SYNOPSYS, INC. QG7T915N9S0NY5UKNE63 871607107 304.00000000 NS USD 112024.00000000 0.012193433272 Long EC US N 1 N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199105 568.00000000 NS USD 194761.52000000 0.021199132313 Long EC US N 1 N N N CSX Corporation 549300JVQR4N1MMP3Q88 126408103 4453.00000000 NS USD 167432.80000000 0.018224493630 Long EC US N 1 N N N MILANO ACQUISITION N/A 59909TAC8 1985000.00000000 PA USD 1987977.50000000 0.216384622888 Long LON US N 2 2027-10-01 Floating 4.74999840 N N N N N N TEXTRON INC. 3PPKBHUG1HD6BO7RNR87 883203101 477.00000000 NS USD 36824.40000000 0.004008211313 Long EC US N 1 N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324P102 1918.00000000 NS USD 963104.52000000 0.104830667531 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5211.89000000 0.000567296587 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 1540000.00000000 NOK 179824.61000000 USD 2022-01-18 5211.89000000 N N N SBA Communications Corporation 5299001HX8ZN8Y8QIT49 78410G104 215.00000000 NS USD 83639.30000000 0.009103854741 Long EC US N 1 N N N ALLIED UNIVERSAL HOLDCO LLC 98450038B4549046D794 U0201TAB6 649000.00000000 PA USD 693407.83000000 0.075475095569 Long DBT NUSS US N 2 2027-07-15 Fixed 9.75000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 4832.68000000 0.000526020862 N/A DFE NO N 2 BNP PARIBAS N/A 792263.05000000 USD 7030000.00000000 NOK 2022-01-18 4832.68000000 N N N BRK: MORGAN STANLEY N/A CDS860793 -440000.00000000 NC USD 84889.42000000 0.009239926072 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2026-06-20 84454.43000000 USD 0.00000000 USD -440000.00000000 USD 434.99000000 N N N MIDCAP FINANCIAL ISSUER TRUST N/A 59590AAA7 230000.00000000 PA USD 230599.15000000 0.025099937052 Long DBT CORP US N 2 2030-01-15 Fixed 5.62500000 N N N N N N BRK: BANK OF AMERICA, N.A. N/A N/A 8050000.00000000 NC 5359.42000000 0.000583354728 N/A DIR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2032-03-03 0.00000000 MXN -1093.08000000 MXN -8050000.00000000 MXN 6452.50000000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AA6 1000000.00000000 PA USD 995190.00000000 0.108323063441 Long DBT NUSS GB N 2 2170-03-31 Floating 2.54374920 N N N N N N LOWE'S COMPANIES, INC. WAFCR4OKGSC504WU3E95 548661107 1403.00000000 NS USD 362647.44000000 0.039472946522 Long EC US N 1 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 250000.00000000 PA USD 285454.39000000 0.031070744277 Long DBT CORP US N 2 2029-02-15 Fixed 4.80000000 N N N N N N DANAHER CORPORATION S4BKK9OTCEWQ3YHPFM11 235851102 1290.00000000 NS USD 424422.90000000 0.046196996274 Long EC US N 1 N N N USA COMPRESSION PARTNERS, LP N/A 91740PAC2 1175000.00000000 PA USD 1222000.00000000 0.133010564339 Long DBT CORP US N 2 2026-04-01 Fixed 6.87500000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -3851.70000000 -0.00041924450 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 282251.34000000 USD 20894345.25000000 RUB 2022-01-18 -3851.70000000 N N N THE CHEESECAKE FACTORY INCORPORATED 529900872XMLK10SY247 163072AA9 138000.00000000 PA USD 123596.25000000 0.013453033521 Long DBT CORP US N 2 2026-06-15 Fixed 0.37500000 N N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 100000.00000000 PA USD 10500.00000000 0.001142889464 Long DBT NUSS LB N 2 2027-03-23 Fixed 6.85000000 Y N N N N N THERMO FISHER SCIENTIFIC INC. HCHV7422L5HDJZCRFL38 883556102 801.00000000 NS USD 534459.24000000 0.058174079483 Long EC US N 1 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 91087BAN0 520000.00000000 PA USD 478795.20000000 0.052115237115 Long DBT NUSS MX N 2 2061-05-24 Fixed 3.77100000 N N N N N N Romania 315700IASY927EDWBK92 N/A 110000.00000000 PA 116023.20000000 0.012628732658 Long DBT NUSS RO N 2 2032-01-28 Fixed 2.00000000 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAL5 330000.00000000 PA USD 349699.29000000 0.038063584216 Long DBT NUSS IE N 2 2026-04-15 Fixed 4.25000000 N N N N N N Petroleos de Venezuela, S.A. 549300YWR8TN1OFD4P06 N/A 2570000.00000000 PA USD 99716.00000000 0.010853749127 Long DBT NUSS VE N 2 2027-04-12 Floating 0.00000000 Y N N N N N GRANITE POINT MORTGAGE TRUST INC. 529900VX2HQZ76AYIE02 38741LAB3 580000.00000000 PA USD 577100.00000000 0.062815381898 Long DBT CORP US N 2 2022-12-01 Fixed 5.62500000 N N N N N N CENTERPOINT ENERGY, INC. 21TPXMRRHFKOBHDC8J74 15189T107 1408.00000000 NS USD 39297.28000000 0.004277375932 Long EC US N 1 N N N GLOBAL AIRCRAFT LEASING CO., LTD N/A 37960JAA6 1449648.00000000 PA USD 1398910.32000000 0.152266653947 Long DBT NUSS KY N 2 2024-09-15 Fixed 7.25000000 N N Y N N N CLUBCORP HOLDINGS INC. N/A 18948TAB9 863255.81000000 PA USD 829562.94000000 0.090295118497 Long LON US N 2 2024-09-18 Floating 2.88200160 N N N N N N Carnival Corporation F1OF2ZSX47CR0BCWA982 143658300 1863.00000000 NS USD 37483.56000000 0.004079958648 Long EC US N 1 N N N LEIDOS HOLDINGS, INC. 549300IUTGTP6EJP8124 525327102 291.00000000 NS USD 25869.90000000 0.002815851062 Long EC US N 1 N N N W. R. GRACE HOLDINGS LLC N/A 92943GAA9 670000.00000000 PA USD 685912.50000000 0.074659254265 Long DBT CORP US N 2 2029-08-15 Fixed 5.62500000 N N N N N N TKC HOLDINGS, INC. N/A 87256YAA1 310000.00000000 PA USD 334800.00000000 0.036441846923 Long DBT CORP US N 2 2029-05-15 Fixed 10.50000000 N N N N N N Truist Financial Corporation 549300DRQQI75D2JP341 89832Q109 2677.00000000 NS USD 156738.35000000 0.017060438942 Long EC US N 1 N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 369604301 2213.00000000 NS USD 209062.11000000 0.022755703136 Long EC US N 1 N N N SURF HOLDINGS S.A R.L. N/A 86875TAB3 464127.14000000 PA USD 460001.05000000 0.050069557493 Long LON GB N 2 2027-03-05 Floating 3.69000000 N N N N N N CARNIVAL PLC 4DR1VPDQMHD3N3QW8W95 693070AD6 1270000.00000000 PA USD 1471930.00000000 0.160214598991 Long DBT NUSS US N 2 2027-06-01 Fixed 7.87500000 N N N N N N NIKE, INC. 787RXPR0UX0O0XUXPZ81 654106103 2593.00000000 NS USD 432175.31000000 0.047040819866 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -13872.69000000 -0.00150999535 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 12820000.00000000 MXN 610793.22000000 USD 2022-01-18 -13872.69000000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 N/A 290000.00000000 PA 358744.53000000 0.039048127977 Long DBT NUSS GB N 2 2170-06-27 Fixed 4.94700000 N N N Y Y LLOYDS BANKING GROUP PLC GBP XXXX N N N THE PROGRESSIVE CORPORATION 529900TACNVLY9DCR586 743315103 1167.00000000 NS USD 119792.55000000 0.013039013649 Long EC US N 1 N N N CITADEL SECURITIES LP N/A 17288YAD4 1002418.64000000 PA USD 995391.69000000 0.108345016714 Long LON US N 2 2028-02-02 Floating 2.60425080 N N N N N N CORTEVA, INC. 549300WZN9I2QKLS0O94 22052L104 1390.00000000 NS USD 65719.20000000 0.007153312504 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12045.07000000 0.001311065104 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 390000.00000000 NZD 278908.50000000 USD 2022-01-18 12045.07000000 N N N VERTEX PHARMACEUTICALS INCORPORATED 54930015RAQRRZ5ZGJ91 92532F100 506.00000000 NS USD 111117.60000000 0.012094774700 Long EC US N 1 N N N NEWS CORPORATION 549300ITS31QK8VRBQ14 65249B208 145.00000000 NS USD 3262.50000000 0.000355112083 Long EC US N 1 N N N BIP-V CHINOOK HOLDCO L.L.C. 254900KE9EMWN8JWL297 12657NAA8 1605000.00000000 PA USD 1675218.75000000 0.182341891431 Long DBT CORP US N 2 2031-06-15 Fixed 5.50000000 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46654PAQ9 710000.00000000 PA USD 702971.71000000 0.076516091539 Long ABS-MBS US Y 2 2038-11-15 Floating 4.37500080 N N N N N N Republica de Angola 549300QHR2R3J8JSGK83 035198AE0 740000.00000000 PA USD 708700.96000000 0.077139701012 Long DBT NUSS AO N 2 2049-11-26 Fixed 9.12500000 N N N N N N TIKEHAU US CLO LTD N/A 88676JAA4 1200000.00000000 PA USD 1164000.00000000 0.126697460631 Long ABS-CBDO CORP KY N 2 2035-01-18 Floating 7.12599840 N N N N N N ACRISURE, LLC 549300R0Z1Q47XRTGO22 00489LAH6 915000.00000000 PA USD 903562.50000000 0.098349720164 Long DBT CORP US N 2 2029-08-01 Fixed 6.00000000 N N N N N N BERKSHIRE HATHAWAY INC. 5493000C01ZX7D35SD85 084670702 3695.00000000 NS USD 1104805.00000000 0.120254285216 Long EC US N 1 N N N Wynn Macau, Limited 254900NMDQ8ENTHU1I31 98313RAG1 200000.00000000 PA USD 188000.00000000 0.020463163744 Long DBT NUSS MO N 2 2026-01-15 Fixed 5.50000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 N/A 200000.00000000 PA USD 270665.60000000 0.029461034536 Long DBT NUSS QA N 2 2048-04-23 Fixed 5.10300000 N N N N N N CHURCH & DWIGHT CO., INC. POOXSI30AWAQGYJZC921 171340102 540.00000000 NS USD 55350.00000000 0.006024660176 Long EC US N 1 N N N MTN (MAURITIUS) INVESTMENTS LIMITED 2549009PQD415OQIR074 55377XAB2 320000.00000000 PA USD 356972.80000000 0.038855281163 Long DBT NUSS ZA N 2 2026-10-13 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 38379EWA6 388746.07200000 PA USD 59461.71000000 0.006472205895 Long DBT USGA US N 2 2044-08-20 Floating 5.49612000 N N N N N N Sands China Ltd. 549300EVO6UZDGY05787 80007RAM7 470000.00000000 PA USD 442411.00000000 0.048154940081 Long DBT NUSS MO N 2 2027-03-08 Fixed 2.30000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PAY7 620000.00000000 PA USD 839063.36000000 0.091329207062 Long DBT NUSS QA N 2 2048-04-23 Fixed 5.10300000 N N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 30000.00000000 PA USD 3150.00000000 0.000342866839 Long DBT NUSS LB N 2 2026-11-27 Fixed 6.60000000 Y N N N N N HOWARD MIDSTREAM ENERGY PARTNERS, LLC N/A 442722AA2 540000.00000000 PA USD 553340.70000000 0.060229262503 Long DBT CORP US N 2 2027-01-15 Fixed 6.75000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 EJ0234298 5740000.00000000 PA 280456.43000000 0.030526733246 Long DBT NUSS MX N 2 2022-06-09 Fixed 6.50000000 N N N N N N CONSERVICE MIDCO, LLC N/A 20848PAB4 1658250.00000000 PA USD 1653756.14000000 0.180005758969 Long LON US N 2 2027-05-13 Floating 4.38149880 N N N N N N LCM XXII LLC N/A 50189HAC4 350000.00000000 PA USD 332823.40000000 0.036226700703 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 5.63150160 N N N N N N MADISON IAQ LLC 549300IXDNBXNHUPBU73 55760LAB3 189000.00000000 PA USD 188999.96000000 0.020572006006 Long DBT CORP US N 2 2029-06-30 Fixed 5.87500000 N N N N N N Aon plc 635400FALWQYX5E6QC64 G0403H108 440.00000000 NS USD 132246.40000000 0.014394573073 Long EC US N 1 N N N PENTAIR PUBLIC LIMITED COMPANY 549300EVR9D56WPSRP15 G7S00T104 385.00000000 NS USD 28116.55000000 0.003060391311 Long EC US N 1 N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 4170000.00000000 NC 3785.49000000 0.000412037775 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2026-12-15 0.00000000 CNY -4056.23000000 CNY -4170000.00000000 CNY 7841.72000000 N N N AT&T INC. 549300Z40J86GGSTL398 00206RJY9 375000.00000000 PA USD 382595.00000000 0.041644170919 Long DBT CORP US N 2 2031-06-01 Fixed 2.75000000 N N N N N N TURKIYE VAKIFLAR BANKASI TURK ANONIM ORTAKLIGI 789000KAIHOLSQKQ9858 90015WAK9 680000.00000000 PA USD 634937.76000000 0.069110826332 Long DBT NUSS TR N 2 2026-01-08 Fixed 6.50000000 N N N N N N REDSTONE HOLDCO N/A 75774EAG0 840000.00000000 PA USD 800360.40000000 0.087116520850 Long LON US N 2 2028-04-27 Floating 5.50000080 N N N N N N BRK: MERRILL LYNCH INTERNATIONAL N/A N/A 360000.00000000 NC -2178.00000000 -0.00023706792 N/A DIR XX N 2 BRK: MERRILL LYNCH INTERNATIONAL N/A Y 2052-03-16 0.00000000 EUR -31142.22000000 EUR -360000.00000000 EUR 28964.22000000 N N N FEDERAL REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 65412JAH6 690000.00000000 PA USD 637019.04000000 0.069337366616 Long DBT NUSS NG N 2 2038-02-23 Fixed 7.69600000 N N N N N N LIBERTY LATIN AMERICA LTD. 213800YWQHEAX7CAVO83 53069QAB5 140000.00000000 PA USD 137550.00000000 0.014971851984 Long DBT CORP CL N 2 2024-07-15 Fixed 2.00000000 N N N N N N EURO N/A N/A 1.00000000 NC -10427.32000000 -0.00113497849 N/A DFE XX N 2 MORGAN STANLEY & CO, INC N/A 670208.04000000 USD 580000.00000000 EUR 2022-01-18 -10427.32000000 N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAC9 440000.00000000 PA USD 442750.00000000 0.048191839084 Long DBT CORP ZA N 2 2026-09-18 Fixed 4.37500000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625H100 5960.00000000 NS USD 943766.00000000 0.102725735077 Long EC US N 1 N N N INTERNATIONAL BUSINESS MACHINES CORPORATION VGRQXHF3J8VDLUA7XE92 459200101 1810.00000000 NS USD 241924.60000000 0.026332673955 Long EC US N 1 N N N BELARUS, REPUBLIC OF (GOVERNMENT) 635400CVCOWYLHF4ZB08 N/A 260000.00000000 PA USD 257306.40000000 0.028006930828 Long DBT NUSS BY N 2 2023-02-28 Fixed 6.87500000 N N N N N N AVIS BUDGET RENTAL CAR FUNDING N/A 05377RDS0 820000.00000000 PA USD 837132.26000000 0.091119013362 Long ABS-MBS US N 2 2026-03-20 Fixed 3.15000000 N N N N N N CIFC FUNDING LTD N/A 12548JAJ1 690000.00000000 PA USD 688956.03000000 0.074990532205 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 3.78150120 N N N N N N DAVITA INC. M2XHYMU3TZNEZURC6H66 23918KAT5 1760000.00000000 PA USD 1714820.80000000 0.186652440547 Long DBT CORP US N 2 2031-02-15 Fixed 3.75000000 N N N N N N Huarong Finance 2019 Co., Ltd. 549300M6T6OW4AGYHK10 N/A 200000.00000000 PA USD 191998.00000000 0.020898332513 Long DBT NUSS CN N 2 2030-02-24 Fixed 3.37500000 N N N N N N MICROSOFT CORPORATION INR2EJN1ERAN0W5ZP974 594918104 15194.00000000 NS USD 5110046.08000000 0.556211221686 Long EC US N 1 N N N Republica del Ecuador 5299003Y2U5XK0A35H71 N/A 351540.00000000 PA USD 291338.78000000 0.031711240214 Long DBT NUSS EC N 2 2030-07-31 Fixed 5.00000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 200000.00000000 PA 209995.11000000 0.022857257029 Long DBT NUSS EG N 2 2031-04-11 Fixed 6.37500000 N N N N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 455780CS3 200000.00000000 PA USD 224820.79000000 0.024470982122 Long DBT NUSS ID N 2 2030-10-15 Fixed 3.85000000 N N N N N N FIRST BRANDS GROUP, LLC N/A 31935HAD9 338300.00000000 PA USD 339314.90000000 0.036933278508 Long LON US N 2 2027-03-30 Floating 6.00000120 N N N N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FBJ9 525000.00000000 PA USD 538659.65000000 0.058631279896 Long DBT CORP US N 2 2041-02-15 Fixed 3.50000000 N N N N N N LRS HOLDINGS, LLC N/A 50205HAC4 670000.00000000 PA USD 668325.00000000 0.072744914412 Long LON US N 2 2028-08-31 Floating 4.74999840 N N N N N N VERTIV GROUP CORPORATION 549300ZT8RQ5VK10E643 92535UAB0 500000.00000000 PA USD 505000.00000000 0.054967540909 Long DBT CORP US N 2 2028-11-15 Fixed 4.12500000 N N N N N N AMERICAN TOWER CORPORATION 5493006ORUSIL88JOE18 03027X100 920.00000000 NS USD 269100.00000000 0.029290624274 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3955.96000000 -0.00043059285 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 400000.00000000 AUD 286844.00000000 USD 2022-01-18 -3955.96000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -9826.35000000 -0.00106956494 N/A DFE AU N 2 JP MORGAN N/A 511456.29000000 USD 690000.00000000 AUD 2022-01-18 -9826.35000000 N N N DISH DBS Corporation N/A 25470XBD6 1635000.00000000 PA USD 1487850.00000000 0.161947437113 Long DBT CORP US N 2 2029-06-01 Fixed 5.12500000 N N N N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SAY2 200000.00000000 PA USD 104318.00000000 0.011354661252 Long DBT NUSS LK N 2 2024-03-14 Fixed 6.85000000 N N N N N N MULTI-COLOR 10/21 (USD) N/A N/A 650000.00000000 PA USD 648375.00000000 0.070573424430 Long LON US N 2 2028-10-20 Floating 5.50000080 N N N N N N STRUCTURED ASSET SECURITIES CORPORATION N/A 86361NAD3 1348494.26130000 PA USD 1341091.30000000 0.145973249299 Long ABS-MBS US N 2 2036-10-25 Floating 0.67187880 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045V100 2915.00000000 NS USD 170906.45000000 0.018602588677 Long EC US N 1 N N N CARVANA CO. 5493003WEAK2PJ5WS063 146869AF9 360000.00000000 PA USD 356400.00000000 0.038792933822 Long DBT CORP US N 2 2027-04-15 Fixed 5.50000000 N N N N N N BRK: BARCLAYS BANK PLC N/A N/A 8410907.00000000 NC 175746.80000000 0.019129444393 N/A DIR XX N 2 BRK: BARCLAYS BANK PLC N/A Y 2025-01-02 14560.81000000 BRL 0.00000000 BRL -8410907.00000000 BRL 161185.99000000 N N N POOL CORPORATION 5493005VZK1KMN6CO617 73278L105 88.00000000 NS USD 49808.00000000 0.005421432232 Long EC US N 1 N N N USD CALL RUB PUT N/A USRUC0053 -1830000.00000000 NC USD -20034.14000000 -0.00218064833 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A Call Written N/A N/A -1830000.00000000 78.00000000 USD 2022-02-17 XXXX 6305.05000000 N N N N/A N/A 313747206 140.00000000 NS USD 19084.80000000 0.002077315890 Long EC US N 1 N N N SPRINT CAPITAL CORPORATION 549300L17W0GQBR1PO80 852060AT9 510000.00000000 PA USD 765000.00000000 0.083267660981 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N N METTLER-TOLEDO INTERNATIONAL INC. 5493000BD5GJNUDIUG10 592688105 45.00000000 NS USD 76374.45000000 0.008313100405 Long EC US N 1 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RN3 525000.00000000 PA USD 573562.50000000 0.062430336995 Long DBT CORP US N 2 2170-06-15 Fixed 5.87500000 N N N N N N SUNNY EXPRESS ENTERPRISES CORP. 254900RHBSC69QS5NZ68 N/A 200000.00000000 PA USD 202184.77000000 0.022007127952 Long DBT NUSS CN N 2 2168-04-23 Fixed 3.35000000 N N N N N N DUKE REALTY Ltd PARTNERSHIP 2549009GZDBNY1KE9O81 26441YBE6 300000.00000000 PA USD 285020.81000000 0.031023550561 Long DBT CORP US N 2 2030-07-01 Fixed 1.75000000 N N N N N N BAKER HUGHES COMPANY N/A 05722G100 1668.00000000 NS USD 40132.08000000 0.004368241087 Long EC US N 1 N N N CLOUDERA, INC. N/A 74339VAB4 920000.00000000 PA USD 916550.00000000 0.099763365585 Long LON US N 2 2028-10-08 Floating 4.25000160 N N N N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 699149AH3 320000.00000000 PA USD 365200.00000000 0.039750784039 Long DBT NUSS PY N 2 2050-03-30 Fixed 5.40000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JZN2 1100000.00000000 PA USD 1210968.48000000 0.131809820721 Long DBT CORP US N 2 2027-04-23 Fixed 3.95000000 N N N N N N RV Retailer 1/21 TLB N/A N/A 500000.00000000 PA USD 498440.00000000 0.054253507110 Long LON US N 2 2028-02-08 Floating 4.75062840 N N N N N N OZLM FUNDING LTD N/A 67109UAW2 600000.00000000 PA USD 600573.60000000 0.065370403816 Long ABS-CBDO CORP KY N 2 2030-10-30 Floating 2.43163080 N N N N N N GFL ENVIRONMENTAL INC. 549300FYK4MBXWIVZU26 36168QAL8 1188000.00000000 PA USD 1164240.00000000 0.126723583818 Long DBT NUSS CA N 2 2028-08-01 Fixed 4.00000000 N N N N N N SUNRUN ATLAS ISSUER LLC N/A 86772FAA9 407860.76030000 PA USD 426772.37000000 0.046452728132 Long ABS-MBS US N 2 2055-02-01 Fixed 3.61000000 N N N N N N Romania 315700IASY927EDWBK92 N/A 250000.00000000 PA 270932.51000000 0.029490086786 Long DBT NUSS RO N 2 2031-07-16 Fixed 2.12400000 N N N N N N Joint-stock company National Bank for Foreign Economic Activity of the Republic of Uzbekistan 253400TZJ7T1YULTGN68 N/A 200000.00000000 PA USD 199260.00000000 0.021688776636 Long DBT NUSS UZ N 2 2025-10-21 Fixed 4.85000000 N N N N N N ADLER Real Estate Aktiengesellschaft 529900Y6QFNN3D363B76 N/A 1100000.00000000 PA 1147722.75000000 0.124925737056 Long DBT NUSS DE N 2 2026-04-27 Fixed 3.00000000 N N N N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209SBH5 425000.00000000 PA USD 434976.49000000 0.047345718829 Long DBT CORP US N 2 2025-05-06 Fixed 2.35000000 N N N N N N LKQ CORPORATION DS830JTTZQN6GK0I2E41 501889208 622.00000000 NS USD 37338.66000000 0.004064186774 Long EC US N 1 N N N Republica de Honduras 5493002DW1JNBNG17615 N/A 660000.00000000 PA USD 697956.60000000 0.075970213789 Long DBT NUSS HN N 2 2024-03-15 Fixed 7.50000000 N N N N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A -1175000.00000000 NC USD 19123.80000000 0.002081560908 N/A DCR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2026-06-20 16795.21000000 USD 0.00000000 USD -1175000.00000000 USD 2328.59000000 N N N KKR APPLE BIDCO, LLC N/A N/A 1450000.00000000 PA USD 1443953.50000000 0.157169451648 Long LON US N 2 2028-07-14 Floating 3.50034120 N N N N N N VT TOPCO, INC. N/A 39355YAJ3 380000.00000000 PA USD 379209.60000000 0.041275681586 Long LON US N 2 2025-08-01 Floating 4.50000000 N N N N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 9000000.00000000 NC 2843.31000000 0.000309484670 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2032-03-16 411.66000000 ZAR 0.00000000 ZAR -9000000.00000000 ZAR 2431.65000000 N N N CONSTELLATION BRANDS, INC. 5493005GKEG8QCVY7037 21036PBE7 600000.00000000 PA USD 632825.08000000 0.068880868264 Long DBT CORP US N 2 2029-08-01 Fixed 3.15000000 N N N N N N STRYKER CORPORATION 5493002F0SC4JTBU5137 863667AY7 825000.00000000 PA USD 806510.68000000 0.087785958013 Long DBT CORP US N 2 2030-06-15 Fixed 1.95000000 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429109 389.00000000 NS USD 16905.94000000 0.001840154353 Long EC US N 1 N N N CATALENT, INC. N/A 148806102 363.00000000 NS USD 46474.89000000 0.005058634489 Long EC US N 1 N N N UNITED AIRLINES, INC. K1OQBWM7XEOO08LDNP29 90932LAG2 665000.00000000 PA USD 693418.78000000 0.075476287439 Long DBT CORP US N 2 2026-04-15 Fixed 4.37500000 N N N N N N Prosus N.V. 635400Z5LQ5F9OLVT688 74365PAD0 560000.00000000 PA USD 537770.35000000 0.058534482601 Long DBT NUSS CN N 2 2050-08-03 Fixed 4.02700000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAP8 880000.00000000 PA USD 1018608.80000000 0.110872120563 Long DBT NUSS BR N 2 2026-08-10 Fixed 6.25000000 N N N N N N Endo Designated Activity Company N/A 29273DAB6 200000.00000000 PA USD 203583.99000000 0.022159428314 Long DBT NUSS US N 2 2027-07-31 Fixed 9.50000000 N N N N N N IRB HOLDING CORP. N/A 44988LAF4 118163.27000000 PA USD 117880.86000000 0.012830932662 Long LON US N 2 2025-02-05 Floating 3.75000120 N N N N N N N/A N/A G7998G106 5098.00000000 NS USD 124901.00000000 0.013595051142 Long EC US N 2 N N N INGRAM MICRO INC. N/A 45258FAB6 2121562.50000000 PA USD 2120501.72000000 0.230809435728 Long LON US N 2 2028-06-30 Floating 3.99999960 N N N N N N REGENERON PHARMACEUTICALS, INC. 549300RCBFWIRX3HYQ56 75886F107 211.00000000 NS USD 133250.72000000 0.014503889906 Long EC US N 1 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 400000.00000000 PA 438633.99000000 0.047743825326 Long DBT NUSS ID N 2 2033-03-12 Fixed 1.10000000 N N N N N N KEURIG DR PEPPER INC. DYTQ8KRTKO7Y2BVU5K74 49271VAF7 1000000.00000000 PA USD 1137271.56000000 0.123788160395 Long DBT CORP US N 2 2028-05-25 Fixed 4.59700000 N N N N N N DEALER TIRE, LLC 549300XTS06OMOCRSE50 24229JAA1 1734000.00000000 PA USD 1804955.28000000 0.196463273650 Long DBT CORP US N 2 2028-02-01 Fixed 8.00000000 N N N N N N SOTERA HEALTH HOLDINGS, LLC N/A 83600VAE1 440000.00000000 PA USD 437936.40000000 0.047667895015 Long LON US N 2 2026-12-11 Floating 3.25000080 N N N N N N API GROUP DE, INC. 549300XP4G7B4QYA0G83 001877AA7 1460000.00000000 PA USD 1467300.00000000 0.159710639161 Long DBT CORP US N 2 2029-07-15 Fixed 4.12500000 N N N N N N CARNIVAL CORP TL 1L B N/A N/A 760000.00000000 PA USD 752400.00000000 0.081896193624 Long LON US N 2 2028-10-06 Floating 3.99999960 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1093.35000000 -0.00011900744 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 1400000.00000000 EUR 1591480.80000000 USD 2022-01-18 -1093.35000000 N N N ALTICE FINANCING S.A. 549300DIYGW8HVDF7Q17 02154CAF0 735000.00000000 PA USD 717279.15000000 0.078073407962 Long DBT NUSS LU N 2 2028-01-15 Fixed 5.00000000 N N N N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05971KAC3 400000.00000000 PA USD 422762.35000000 0.046016251026 Long DBT NUSS ES N 2 2029-06-27 Fixed 3.30600000 N N N N N N VIRGIN MEDIA BRISTOL LLC N/A G9368PBC7 935000.00000000 PA USD 925846.35000000 0.100775241820 Long LON US N 2 2028-01-31 Floating 2.60975160 N N N N N N COSTCO WHOLESALE CORPORATION 29DX7H14B9S6O3FD6V18 22160K105 897.00000000 NS USD 509226.90000000 0.055427624669 Long EC US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 130000.00000000 PA 136496.82000000 0.014857216905 Long DBT NUSS EG N 2 2031-04-11 Fixed 6.37500000 N N N N N N CERIDIAN HCM HOLDING INC. 549300T64GVCHFJ8L449 15677J108 251.00000000 NS USD 26219.46000000 0.002853899485 Long EC US N 1 N N N CORECIVIC, INC. 529900JFA3K6PTLT8B15 21871NAB7 1060000.00000000 PA USD 1107700.00000000 0.120569396169 Long DBT CORP US N 2 2026-04-15 Fixed 8.25000000 N N N N N N BRK: MORGAN STANLEY & CO INTERNATIONAL PLC N/A N/A 3325000.00000000 NC 35922.47000000 0.003910039285 N/A DIR XX N 2 BRK: MORGAN STANLEY & CO INTERNATIONAL PLC N/A Y 2032-03-16 0.00000000 PLN -1611.02000000 PLN -3325000.00000000 PLN 37533.49000000 N N N Provincia de Cordoba 5299006CLM2Z97AATT29 74408DAD6 526241.00000000 PA USD 330879.29000000 0.036015090909 Long DBT NUSS AR N 2 2027-06-01 Fixed 5.00000000 N N Y N N N RUSSIA, FEDERATION OF (GOVERNMENT) 5493004EHVGF71PDBU58 N/A 200000.00000000 PA USD 253008.00000000 0.027539064535 Long DBT NUSS RU N 2 2047-06-23 Fixed 5.25000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625HJZ4 3400000.00000000 PA USD 3750101.43000000 0.408185849046 Long DBT CORP US N 2 2026-12-15 Fixed 4.12500000 N N N N N N Altice France Holding S.A. 5299000JVHXKJPOE6H40 02156TAB0 300000.00000000 PA USD 322500.00000000 0.035103033551 Long DBT NUSS LU N 2 2027-05-15 Fixed 10.50000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 056057AL6 629131.93850000 PA USD 626556.65000000 0.068198570873 Long ABS-MBS US N 2 2037-03-15 Floating 1.43105040 N N N N N N BRK: CITI N/A N/A 4300000.00000000 NC -81897.62000000 -0.00891427876 N/A DIR XX N 2 BRK: CITI N/A Y 2027-01-04 1703.32000000 BRL 0.00000000 BRL -4300000.00000000 BRL -83600.94000000 N N N BCPE CYCLE MERGER SUB II, INC. N/A 07335BAA4 430000.00000000 PA USD 436450.00000000 0.047506105405 Long DBT CORP US N 2 2027-07-15 Fixed 10.62500000 N N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 170000.00000000 PA USD 17850.00000000 0.001942912089 Long DBT NUSS LB N 2 2024-04-22 Fixed 6.65000000 Y N N N N N LABL, INC. 5493004FUZN8R6Y3VB98 50168AAB6 950000.00000000 PA USD 979070.00000000 0.106568455996 Long DBT CORP US N 2 2026-07-15 Fixed 6.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 4312.42000000 0.000469392322 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 391558.93000000 USD 500000.00000000 CAD 2022-01-18 4312.42000000 N N N BRK: MORGAN STANLEY N/A N/A -740000.00000000 NC USD 11484.94000000 0.001250096850 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2023-12-20 859.47000000 USD 0.00000000 USD -740000.00000000 USD 10625.47000000 N N N ATMOS ENERGY CORPORATION QVLWEGTD2S8GJMO8D383 049560105 303.00000000 NS USD 31745.31000000 0.003455369556 Long EC US N 1 N N N HALLIBURTON COMPANY ENYF8GB5SMQZ25S06U51 406216101 1703.00000000 NS USD 38947.61000000 0.004239315536 Long EC US N 1 N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 45866FAK0 800000.00000000 PA USD 794888.00000000 0.086520868630 Long DBT CORP US N 2 2030-06-15 Fixed 2.10000000 N N N N N N Northrop Grumman Corporation RIMU48P07456QXSO0R61 666807BN1 1950000.00000000 PA USD 2086924.73000000 0.227154694002 Long DBT CORP US N 2 2028-01-15 Fixed 3.25000000 N N N N N N OPEN TEXT HOLDINGS, INC. N/A 683720AA4 3000.00000000 PA USD 3090.00000000 0.000336336042 Long DBT NUSS CA N 2 2030-02-15 Fixed 4.12500000 N N N N N N AMERICAN INTERNATIONAL GROUP, INC. ODVCVCQG2BP6VHV36M30 026874784 1645.00000000 NS USD 93534.70000000 0.010180935541 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -13255.89000000 -0.00144285876 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 15200000.00000000 MXN 727377.64000000 USD 2022-01-18 -13255.89000000 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCC4 16000.00000000 PA USD 14200.00000000 0.001545621942 Long DBT NUSS MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N DISH DBS Corporation N/A 25470XBF1 480000.00000000 PA USD 484800.00000000 0.052768839273 Long DBT CORP US N 2 2028-12-01 Fixed 5.75000000 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST N/A 004421HQ9 459909.57300000 PA USD 460371.74000000 0.050109905845 Long ABS-MBS US N 2 2034-11-25 Floating 1.03187880 N N N N N N TEVA PHARMACEUTICAL FINANCE COMPANY, LLC 5493006PITD7MU7WW480 88163VAD1 950000.00000000 PA USD 995885.00000000 0.108398711838 Long DBT CORP IL N 2 2036-02-01 Fixed 6.15000000 N N N N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 72650RAZ5 1700000.00000000 PA USD 1708346.34000000 0.185947717488 Long DBT CORP US N 2 2022-06-01 Fixed 3.65000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BBWT5 1267527.10860000 PA USD 228722.86000000 0.024895709235 Long DBT USGA US N 2 2048-06-25 Fixed 4.00000000 N N N N N N CELANESE CORPORATION 549300FHJQTDPPN41627 150870103 238.00000000 NS USD 39998.28000000 0.004353677410 Long EC US N 1 N N N MPH ACQUISITION HOLDINGS LLC 5493002WXOPRPTXWTU06 553283AC6 30000.00000000 PA USD 28530.00000000 0.003105393944 Long DBT CORP US N 2 2028-11-01 Fixed 5.75000000 N N N N N N ONEOK, INC. 2T3D6M0JSY48PSZI1Q41 682680103 980.00000000 NS USD 57584.80000000 0.006267910593 Long EC US N 1 N N N United States of America N/A N/A 78.00000000 NC USD 12514125.00000000 1.362120154226 N/A DIR US N 1 CITICORP SECURITY SERVICES INC. N/A Long U.S. Treasury Futures US Long Bond (CBT) Mar 2022 2022-03-25 12326423.25000000 USD 187701.75000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564KFG9 390000.00000000 PA USD 404048.00000000 0.043979257365 Long DBT USGA US N 2 2033-10-25 Floating 3.54966840 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5942.25000000 0.000646793801 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 1140000.00000000 CAD 908528.93000000 USD 2022-01-18 5942.25000000 N N N NESCO HOLDINGS II, INC. 254900FAHT0HW9T6L409 64083YAA9 284000.00000000 PA USD 293230.00000000 0.031917093110 Long DBT CORP US N 2 2029-04-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 38381WVB1 197553.31030000 PA USD 27240.37000000 0.002965022083 Long DBT USGA US N 2 2049-06-20 Floating 5.99612040 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 18269.24000000 0.001988544944 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 840000.00000000 AUD 628949.16000000 USD 2022-01-18 18269.24000000 N N N AADVANTAGE LOYALTY IP LTD. N/A 00253XAA9 360000.00000000 PA USD 374355.00000000 0.040747274806 Long DBT NUSS US N 2 2026-04-20 Fixed 5.50000000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HV5 1310000.00000000 PA USD 461775.00000000 0.050262645947 Long DBT NUSS AR N 2 2041-07-09 Fixed 2.50000000 N N N N N N VISTAJET MALTA FINANCE P.L.C. 5299001UK94VGT0CPQ36 92840JAA7 320000.00000000 PA USD 342400.00000000 0.037269081202 Long DBT NUSS CH N 2 2024-06-01 Fixed 10.50000000 N N N N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 14448CAP9 1100000.00000000 PA USD 1130058.64000000 0.123003058464 Long DBT CORP US N 2 2027-02-15 Fixed 2.49300000 N N N N N N FIRST BRANDS GROUP, LLC N/A 31935HAF4 210000.00000000 PA USD 210657.30000000 0.022929334169 Long LON US N 2 2028-03-30 Floating 9.50000040 N N N N N N FASTENAL COMPANY 529900PP0C7H2HHPSJ32 311900104 1101.00000000 NS USD 70530.06000000 0.007676958333 Long EC US N 1 N N N CBB INTERNATIONAL SUKUK PROGRAMME COMPANY W.L.L 5493006IRJ2IWXTNIM16 05675M2B9 300000.00000000 PA USD 322058.40000000 0.035054966885 Long DBT NUSS BH N 2 2024-11-14 Fixed 6.25000000 N N N N N N Emirate of Abu Dhabi 213800FER4348CINTA77 29135LAB6 380000.00000000 PA USD 454743.72000000 0.049497314915 Long DBT NUSS AE N 2 2047-10-11 Fixed 4.12500000 N N N N N N Republique de Cote d'Ivoire 254900ICW11T82O6H590 N/A 390000.00000000 PA 452379.60000000 0.049239988454 Long DBT NUSS CI N 2 2030-03-22 Fixed 5.25000000 N N N N N N Capmark Military Housing Trust N/A 14070AAA1 931300.35000000 PA USD 942442.05000000 0.102581627600 Long ABS-MBS US N 2 2052-10-10 Fixed 6.06300000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B69 700000.00000000 PA USD 736879.50000000 0.080206839726 Long DBT CORP US N 2 2031-06-17 Fixed 3.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -9568.32000000 -0.00104147924 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 2870000.00000000 CNY 440907.62000000 USD 2022-01-18 -9568.32000000 N N N USD PUT RUB CALL N/A USRUP0147 1830000.00000000 NC USD 12408.20000000 0.001350590576 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A Put Purchased N/A N/A 1830000.00000000 73.00000000 USD 2022-02-17 XXXX -14763.64000000 N N N Government National Mortgage Association N/A 38380ABR7 978334.31550000 PA USD 99264.15000000 0.010804566784 Long DBT USGA US N 2 2045-10-20 Fixed 4.00000000 N N N N N N BLUEMOUNTAIN CLO LTD. N/A 09630LAE2 890000.00000000 PA USD 874531.80000000 0.095189826719 Long ABS-CBDO CORP KY Y 2 2034-07-25 Floating 6.98388120 N N N N N N BRK: MORGAN STANLEY & CO INTERNATIONAL PLC N/A N/A 460000.00000000 NC -5732.39000000 -0.00062395125 N/A DIR XX N 2 BRK: MORGAN STANLEY & CO INTERNATIONAL PLC N/A Y 2042-03-16 0.00000000 EUR -16992.77000000 EUR -460000.00000000 EUR 11260.38000000 N N N DTE ENERGY COMPANY 549300IX8SD6XXD71I78 233331107 426.00000000 NS USD 50924.04000000 0.005542909409 Long EC US N 1 N N N NETFLIX, INC. 549300Y7VHGU0I7CE873 64110L106 900.00000000 NS USD 542196.00000000 0.059016199625 Long EC US N 1 N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135F101 837.00000000 NS USD 556948.17000000 0.060621923403 Long EC US N 1 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 5428.31000000 0.000590853172 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 520968.16000000 USD 664858.00000000 CAD 2022-01-18 5428.31000000 N N N United States of America N/A N/A 5.00000000 NC USD 732187.50000000 0.079696131405 N/A DIR US N 1 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A Long U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Mar 2022 2022-03-25 719664.90000000 USD 12522.60000000 N N N BRK: MORGAN STANLEY N/A N/A -980000.00000000 NC USD 16330.67000000 0.001777538160 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-12-20 12881.59000000 USD 0.00000000 USD -980000.00000000 USD 3449.08000000 N N N Driven Performance/Holley Perf DelayedTL N/A N/A 164285.71000000 PA USD 163635.14000000 0.017811131192 Long LON US N 2 2028-11-10 Floating 0.00000000 N N N N N N GRAHAM PACKAGING 2/21 COV-LITE N/A 38469EAD5 575110.00000000 PA USD 573010.85000000 0.062370291760 Long LON US N 2 2027-08-04 Floating 3.75000120 N N N N N N Romania 315700IASY927EDWBK92 N/A 1490000.00000000 PA 1801284.36000000 0.196063706431 Long DBT NUSS RO N 2 2029-03-11 Fixed 2.87500000 N N N N N N ALTERRA MOUNTAIN COMPANY N/A 46124CAJ6 1105114.34000000 PA USD 1102351.55000000 0.119987235487 Long LON US N 2 2028-08-17 Floating 3.99999960 N N N N N N TELEFLEX INCORPORATED UUL85LWXB4NGSWWXIQ25 879369106 98.00000000 NS USD 32191.04000000 0.003503885758 Long EC US N 1 N N N Option Care/BioScrip 10/21 TLB N/A N/A 590000.00000000 PA USD 588707.90000000 0.064078862528 Long LON US N 2 2028-10-22 Floating 3.25000080 N N N N N N CUMMINS INC. ZUNI8PYC725B6H8JU438 231021106 313.00000000 NS USD 68277.82000000 0.007431809631 Long EC US N 1 N N N AIA Group Limited ZP5ILWVSYE4LJGMMVD57 00131LAF2 475000.00000000 PA USD 524130.44000000 0.057049824559 Long DBT NUSS HK N 2 2028-04-06 Fixed 3.90000000 N N N N N N RESOLUTE INVESTMENT MANAGERS, INC. N/A 04635WAH7 306963.89000000 PA USD 307347.59000000 0.033453745003 Long LON US N 2 2024-04-30 Floating 5.24999880 N N N N N N MATCH GROUP HOLDINGS II, LLC N/A 57667JAA0 385000.00000000 PA USD 373931.25000000 0.040701151052 Long DBT CORP US N 2 2031-10-01 Fixed 3.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 13023.16000000 0.001417526891 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 410000.00000000 NZD 293571.89000000 USD 2022-01-18 13023.16000000 N N N BORGWARNER INC. 549300DSFX2IE88NSX47 099724AM8 560000.00000000 PA USD 626141.09000000 0.068153338573 Long DBT CORP US N 2 2025-10-01 Fixed 5.00000000 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389X105 3262.00000000 NS USD 284479.02000000 0.030964578553 Long EC US N 1 N N N THE GAP, INC. T2ZG1WRWZ4BUCMQL9224 364760108 525.00000000 NS USD 9266.25000000 0.001008599952 Long EC US N 1 N N N Mexico City Airport Trust N/A P6629MAB8 200000.00000000 PA USD 199700.00000000 0.021736669147 Long DBT NUSS MX N 2 2046-10-31 Fixed 5.50000000 N N N N N N THE J. M. SMUCKER COMPANY 5493000WDH6A0LHDJD55 832696405 254.00000000 NS USD 34498.28000000 0.003755021024 Long EC US N 1 N N N CITIZENS FINANCIAL GROUP, INC. 2138004JDDA4ZQUPFW65 174610105 898.00000000 NS USD 42430.50000000 0.004618416325 Long EC US N 1 N N N TALLGRASS ENERGY PARTNERS, LP 549300IQ3DN0F3VERF65 87470LAJ0 230000.00000000 PA USD 230000.00000000 0.025034721602 Long DBT CORP US N 2 2030-12-31 Fixed 6.00000000 N N N N N N REDSTONE HOLDCO 2 LP N/A 75774EAK1 910000.00000000 PA USD 835680.30000000 0.090960972430 Long LON US N 2 2029-04-27 Floating 8.49999960 N N N N N N BANIJAY ENTERTAINMENT SAS 969500CE0IE2EZ5VBG13 060335AA4 650000.00000000 PA USD 663000.00000000 0.072165306184 Long DBT NUSS FR N 2 2025-03-01 Fixed 5.37500000 N N N N N N Post Holdings, Inc. JM1I5YUAURL6DC8N1468 737446AQ7 429000.00000000 PA USD 436936.50000000 0.047559059284 Long DBT CORP US N 2 2030-04-15 Fixed 4.62500000 N N N N N N FREEDOM MORTGAGE CORPORATION 549300LYRWPSYPK6S325 35640YAF4 1450000.00000000 PA USD 1480827.00000000 0.161183007331 Long DBT CORP US N 2 2026-05-01 Fixed 7.62500000 N N N N N N FREEDOM MORTGAGE CORPORATION 549300LYRWPSYPK6S325 35640YAG2 1015000.00000000 PA USD 992162.50000000 0.107993530312 Long DBT CORP US N 2 2027-01-15 Fixed 6.62500000 N N N N N N HORMEL FOODS CORPORATION MSD54751OJP1FS2ND863 440452100 580.00000000 NS USD 28309.80000000 0.003081425920 Long EC US N 1 N N N ALLEN MEDIA, LLC N/A 01771JAG8 976201.12000000 PA USD 974248.72000000 0.106043675985 Long LON US N 2 2027-02-10 Floating 5.63199840 N N N N N N Prosus N.V. 635400Z5LQ5F9OLVT688 74365PAF5 740000.00000000 PA USD 721335.93000000 0.078514974736 Long DBT NUSS CN N 2 2031-07-13 Fixed 3.06100000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 15321.61000000 0.001667705394 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 780000.00000000 AUD 582381.54000000 USD 2022-01-18 15321.61000000 N N N ASURION LLC N/A 04649VAY6 507450.00000000 PA USD 503897.85000000 0.054847575612 Long LON US N 2 2027-07-31 Floating 3.34068840 N N N N N N Braskem Netherlands Finance B.V. 2549000TLMHFQ74DS330 10554TAB1 970000.00000000 PA USD 1028200.00000000 0.111916090224 Long DBT NUSS BR N 2 2028-01-10 Fixed 4.50000000 N N N N N N ION TRADING TECHNOLOGIES S.a r.l. 5493009ZVXOKZLQ6QJ12 46205YAA9 687000.00000000 PA USD 707610.00000000 0.077020953708 Long DBT NUSS LU N 2 2028-05-15 Fixed 5.75000000 N N N N N N THE AES CORPORATION 2NUNNB7D43COUIRE5295 00130H105 1399.00000000 NS USD 33995.70000000 0.003700316892 Long EC US N 1 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QDD1 406000.00000000 PA USD 391790.00000000 0.042645015550 Long DBT NUSS MX N 2 2050-01-23 Fixed 7.69000000 N N N N N N GARRETT MOTION SARL N/A 36649XAC2 1200000.00000000 PA USD 1194756.00000000 0.130045147142 Long LON US N 2 2028-04-30 Floating 3.75000120 N N N N N N PFIZER INC. 765LHXWGK1KXCLTFYQ30 717081103 11417.00000000 NS USD 674173.85000000 0.073381541940 Long EC US N 1 N N N EPAM SYSTEMS, INC. 549300XCR4R530HJP604 29414B104 112.00000000 NS USD 74866.40000000 0.008148954266 Long EC US N 1 N N N Driven Performance/Holley Perf 11/21 Cov-Lite TL N/A N/A 985714.29000000 PA USD 981810.86000000 0.106866789331 Long LON US N 2 2028-11-10 Floating 0.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 1861.28000000 0.000202594028 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 394010.07000000 USD 500000.00000000 CAD 2022-01-18 1861.28000000 N N N NASDAQ, INC. 549300L8X1Q78ERXFD06 631103108 251.00000000 NS USD 52712.51000000 0.005737578316 Long EC US N 1 N N N WALGREENS BOOTS ALLIANCE, INC. 549300RPTUOIXG4LIH86 931427108 1410.00000000 NS USD 73545.60000000 0.008005189656 Long EC US N 1 N N N BED BATH & BEYOND INC. 529900ZBUWWUV7BKGX39 075896AC4 1060000.00000000 PA USD 880536.70000000 0.095843439761 Long DBT CORP US N 2 2044-08-01 Fixed 5.16500000 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 195325DS1 730000.00000000 PA USD 654518.00000000 0.071242069190 Long DBT NUSS CO N 2 2031-04-15 Fixed 3.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -101767.01000000 -0.01107699462 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 108900950000.00000000 IDR 7543079.68000000 USD 2022-01-18 -101767.01000000 N N N CWABS ASSET-BACKED CERTIFICATES TRUST N/A 12667AAA4 1136104.95630000 PA USD 1133026.11000000 0.123326057530 Long ABS-MBS US N 2 2036-12-25 Floating 0.36187920 N N N N N N MORGAN STANLEY RE-REMIC TRUST N/A 61759HBA4 257530.88450000 PA USD 239741.04000000 0.026095000839 Long ABS-MBS US N 2 2036-06-26 Floating 2.42211960 N N N N N N ANGLO AMERICAN CAPITAL PLC TINT358G1SSHR3L3PW36 034863AW0 500000.00000000 PA USD 592423.74000000 0.064483319137 Long DBT NUSS ZA N 2 2030-04-01 Fixed 5.62500000 N N N N N N DiversiTech Holdings, Inc. N/A N/A 642142.86000000 PA USD 640942.05000000 0.069764372978 Long LON US N 2 2028-12-15 Floating 0.00000000 N N N N N N BRK: BANK OF AMERICA, N.A. N/A N/A 4810000.00000000 NC -9515.17000000 -0.00103569405 N/A DIR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2023-01-02 0.00000000 BRL 0.00000000 BRL -4810000.00000000 BRL -9515.17000000 N N N Republika Srbija 254900W94OCY91V32O78 N/A 500000.00000000 PA 548245.86000000 0.059674706411 Long DBT NUSS RS N 2 2029-06-26 Fixed 1.50000000 N N N N N N DEERFIELD DAKOTA HOLDING, LLC N/A 24440EAG2 300000.00000000 PA USD 305250.00000000 0.033225429430 Long LON US N 3 2028-04-07 Floating 7.49999880 N N N N N N STONEMOR INC. N/A 86184WAA4 850000.00000000 PA USD 877625.00000000 0.095526511070 Long DBT CORP US N 2 2029-05-15 Fixed 8.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 10738.03000000 0.001168798224 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 788922.10000000 USD 1010000.00000000 CAD 2022-01-18 10738.03000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4288.34000000 0.000466771295 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 29590000.00000000 RUB 398550.29000000 USD 2022-01-18 4288.34000000 N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 832000.00000000 PA USD 85363.20000000 0.009291495422 Long DBT NUSS LB N 2 2030-02-26 Fixed 6.65000000 Y N N N N N Romania 315700IASY927EDWBK92 N/A 650000.00000000 PA 795500.65000000 0.086587553509 Long DBT NUSS RO N 2 2028-05-26 Fixed 2.87500000 N N N N N N DELTA AIR LINES, INC. Q2CCMS6R0AS67HJMBN42 247361702 1378.00000000 NS USD 53852.24000000 0.005861634069 Long EC US N 1 N N N NIO INC. 549300JBU4TV5OCKJV96 62914VAD8 1350000.00000000 PA USD 1140750.00000000 0.124166776816 Long DBT CORP CN N 2 2027-02-01 Fixed 0.50000000 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES, INC. MGCJBT4MKTQBVLNUIS88 015271109 305.00000000 NS USD 68002.80000000 0.007401874635 Long EC US N 1 N N N U.S. RENAL CARE, INC. N/A 90290PAQ7 750000.00000000 PA USD 733125.00000000 0.079798175107 Long LON US N 2 2026-06-26 Floating 6.50000160 N N N N N N VISA INC. 549300JZ4OKEHW3DPJ59 92826C839 3412.00000000 NS USD 739414.52000000 0.080482768073 Long EC US N 1 N N N CARRIAGE PURCHASER, INC. N/A 14445LAA5 240000.00000000 PA USD 230400.00000000 0.025078260248 Long DBT CORP US N 2 2029-10-15 Fixed 7.87500000 N N N N N N NCL CORPORATION LTD. UNZWILHE4KMRP9K2L524 62886HAR2 576000.00000000 PA USD 682560.00000000 0.074294345986 Long DBT NUSS US N 2 2024-05-15 Fixed 12.25000000 N N N N N N THE MOSAIC COMPANY 2YD5STGSJNMUB7H76907 61945C103 856.00000000 NS USD 33632.24000000 0.003660755501 Long EC US N 1 N N N Huarong Finance 2017 Co., Ltd. 5493006V07LYI3HE6G83 N/A 310000.00000000 PA USD 308062.50000000 0.033531560537 Long DBT NUSS CN N 2 2170-05-07 Fixed 4.00000000 N N N N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953101 813.00000000 NS USD 36487.44000000 0.003971534358 Long EC US N 1 N N N H&E EQUIPMENT SERVICES, INC. 254900KVLRCDMQRYY541 404030AJ7 340000.00000000 PA USD 337450.00000000 0.036730290455 Long DBT CORP US N 2 2028-12-15 Fixed 3.87500000 N N N N N N TransAlta Corporation GJZNVO2UY6DNFNIYH321 89346DAE7 1020000.00000000 PA USD 1182807.30000000 0.128744571585 Long DBT NUSS CA N 2 2040-03-15 Fixed 6.50000000 N N N N N N SALESFORCE.COM, INC. RCGZFPDMRW58VJ54VR07 79466L302 1989.00000000 NS USD 505464.57000000 0.055018107781 Long EC US N 1 N N N COGNIZANT TECHNOLOGY SOLUTIONS CORPORATION 5493006IEVQEFQO40L83 192446102 1040.00000000 NS USD 92268.80000000 0.010043146611 Long EC US N 1 N N N TRC Companies, Inc. N/A N/A 425000.00000000 PA USD 420750.00000000 0.045797213539 Long LON US N 2 2029-11-19 Floating 7.25000040 N N N N N N DOLLAR TREE, INC. 549300PMSTQITB1WHR43 256746108 438.00000000 NS USD 61547.76000000 0.006699265377 Long EC US N 1 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AYTL7 1174927.92000000 PA USD 213412.14000000 0.023229189180 Long DBT USGA US N 2 2047-11-25 Floating 6.04811880 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFH7 225000.00000000 PA USD 241168.28000000 0.026250351083 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N AVERY DENNISON CORPORATION 549300PW7VPFCYKLIV37 053611109 149.00000000 NS USD 32268.93000000 0.003512363821 Long EC US N 1 N N N MICRON TECHNOLOGY, INC. B3DXGBC8GAIYWI2Z0172 595112103 2254.00000000 NS USD 209960.10000000 0.022853446309 Long EC US N 1 N N N CONTINENTAL RESOURCES, INC. XXRTID9RYWOZ0UPIVR53 212015AT8 400000.00000000 PA USD 471048.00000000 0.051271980614 Long DBT CORP US N 2 2031-01-15 Fixed 5.75000000 N N N N N N CHIPOTLE MEXICAN GRILL, INC. N/A 169656105 56.00000000 NS USD 97902.00000000 0.010656301366 Long EC US N 1 N N N PROSPEROUS RAY LIMITED N/A N/A 300000.00000000 PA USD 315819.20000000 0.034375851081 Long DBT NUSS CN N 2 2023-11-12 Fixed 4.62500000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAE2 500000.00000000 PA USD 568626.49000000 0.061893069012 Long DBT NUSS FR N 2 2028-09-12 Fixed 4.62500000 N N N N N N ARCHER-DANIELS-MIDLAND COMPANY 549300LO13MQ9HYSTR83 039483102 1099.00000000 NS USD 74281.41000000 0.008085280085 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 42265.89000000 0.004600499084 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 6800000.00000000 NOK 813283.09000000 USD 2022-01-18 42265.89000000 N N N Akumin Inc. N/A 01021FAA7 500000.00000000 PA USD 475850.00000000 0.051794662062 Long DBT NUSS US N 2 2025-11-01 Fixed 7.00000000 N N N N N N BHARTI AIRTEL LIMITED 335800KQ1FPKOQ84OR26 08860HAC8 1360000.00000000 PA USD 1375092.44000000 0.149674158316 Long DBT NUSS IN N 2 2031-06-03 Fixed 3.25000000 N N N N N N New Era Cap 12/21 TLB N/A N/A 700000.00000000 PA USD 689500.00000000 0.075049741499 Long LON US N 2 2027-06-08 Floating 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 16639.88000000 0.001811194623 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 610000.00000000 AUD 460109.82000000 USD 2022-01-18 16639.88000000 N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370DA5 921000.00000000 PA USD 943104.00000000 0.102653678617 Long DBT CORP US N 2 2032-02-12 Fixed 3.25000000 N N N N N N CITY BREWING COMPANY, LLC N/A 17776EAB1 380000.00000000 PA USD 358940.40000000 0.039069447764 Long LON US N 2 2028-04-05 Floating 4.25000160 N N N N N N PAKISTAN WATER AND POWER DEVELOPMENT AUTHORITY 213800UA74QOTK6IES10 N/A 620000.00000000 PA USD 599850.00000000 0.065291642405 Long DBT NUSS PK N 2 2031-06-04 Fixed 7.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 16302.23000000 0.001774442563 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 4320000.00000000 NOK 506124.92000000 USD 2022-01-18 16302.23000000 N N N N/A N/A 00ZRVKGK4 20.00000000 NC USD 45750.00000000 0.004979732666 N/A DIR US N 1 JP MORGAN N/A Put Purchased N/A Put Option 4300 Mar 2022 on S&P 500 Future (e-Mini) Mar 2022 1000.00000000 300.00000000 USD 2022-03-21 XXXX -28292.00000000 N N N LAM RESEARCH CORPORATION 549300I4GMO6D34U1T02 512807108 284.00000000 NS USD 204238.60000000 0.022230680397 Long EC US N 1 N N N Republica de Guatemala 529900QKDFFU9UWW5315 401494AQ2 280000.00000000 PA USD 301350.00000000 0.032800927629 Long DBT NUSS GT N 2 2030-06-01 Fixed 4.90000000 N N N N N N DCP MIDSTREAM OPERATING, LP 549300Y6CTBSE0QIPL28 23311RAA4 302000.00000000 PA USD 403970.30000000 0.043970799983 Long DBT CORP US N 2 2037-09-15 Fixed 6.75000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967GF2 675000.00000000 PA USD 695250.00000000 0.075675609539 Long DBT CORP US N 2 2170-08-15 Fixed 5.90000000 N N N N N N Mexico City Airport Trust N/A 59284MAD6 390000.00000000 PA USD 390573.30000000 0.042512581873 Long DBT NUSS MX N 2 2047-07-31 Fixed 5.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 15915.62000000 0.001732361373 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 510000.00000000 NZD 364890.87000000 USD 2022-01-18 15915.62000000 N N N ILLINOIS ST N/A 452152GS4 225000.00000000 PA USD 283229.84000000 0.030828609538 Long DBT MUN US N 2 2035-07-01 Fixed 7.35000000 N N N N N N MCDONALD'S CORPORATION UE2136O97NLB5BYP9H04 580135101 1516.00000000 NS USD 406394.12000000 0.044234624587 Long EC US N 1 N N N OTIS WORLDWIDE CORPORATION 549300ZLBKR8VSU25153 68902VAK3 1425000.00000000 PA USD 1445484.96000000 0.157336145886 Long DBT CORP US N 2 2030-02-15 Fixed 2.56500000 N N N N N N THE HERSHEY COMPANY 21X2CX66SU2BR6QTAD08 427866108 314.00000000 NS USD 60749.58000000 0.006612386185 Long EC US N 1 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAB7 140000.00000000 PA USD 147444.77000000 0.016048864211 Long DBT NUSS IE N 2 2023-10-01 Fixed 5.12500000 N N N N N N CORECIVIC, INC. N/A 21871QAF1 202825.00000000 PA USD 201135.47000000 0.021892915199 Long LON US N 2 2024-12-18 Floating 5.50000080 N N N N N N LEGENDS HOSPITALITY HOLDING COMPANY, LLC N/A 52473NAA6 510000.00000000 PA USD 512550.00000000 0.055789332857 Long DBT CORP US N 2 2026-02-01 Fixed 5.00000000 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST N/A 41162CAD3 1840985.55560000 PA USD 1846977.41000000 0.201037240283 Long ABS-MBS US N 2 2036-11-19 Floating 0.34387920 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137L105 761.00000000 NS USD 28080.90000000 0.003056510929 Long EC US N 1 N N N RADIOLOGY PARTNERS, INC. 549300SFTAG2177WUZ08 75041VAA2 400000.00000000 PA USD 420048.00000000 0.045720803215 Long DBT CORP US N 2 2028-02-01 Fixed 9.25000000 N N N N N N NORFOLK SOUTHERN CORPORATION 54930036C8MWP850MI84 655844108 487.00000000 NS USD 144984.77000000 0.015781101537 Long EC US N 1 N N N Sultanate of Oman 549300SZ20F0QTKNQC75 N/A 200000.00000000 PA USD 203220.00000000 0.022119809234 Long DBT NUSS OM N 2 2048-01-17 Fixed 6.75000000 N N N N N N STANLEY BLACK & DECKER, INC. 549300DJ09SMTO561131 854502AH4 650000.00000000 PA USD 738392.17000000 0.080371488736 Long DBT CORP US N 2 2028-11-15 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -180602.85000000 -0.01965800900 N/A DFE US N 2 JP MORGAN N/A 23271057.56000000 EUR 26302182.62000000 USD 2022-02-10 -180602.85000000 N N N YAPI VE KREDI BANKASI ANONIM SIRKETI B85ZYWEZ5IZCZ2WNIO12 984848AN1 1050000.00000000 PA USD 1009281.00000000 0.109856821102 Long DBT NUSS TR N 2 2031-01-22 Fixed 7.87500000 N N N N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 P75744AF2 280000.00000000 PA USD 323400.00000000 0.035200995505 Long DBT NUSS PY N 2 2048-03-13 Fixed 5.60000000 N N N N N N URBAN ONE, INC. 549300PLGIGPBRQUP240 91705JAC9 740000.00000000 PA USD 762200.00000000 0.082962890457 Long DBT CORP US N 2 2028-02-01 Fixed 7.37500000 N N N N N N VALERO ENERGY CORPORATION 549300XTO5VR8SKV1V74 91913YAY6 350000.00000000 PA USD 362552.81000000 0.039462646367 Long DBT CORP US N 2 2025-04-15 Fixed 2.85000000 N N N N N N DOMINO'S PIZZA, INC. 25490005ZWM1IF9UXU57 25754A201 79.00000000 NS USD 44582.07000000 0.004852607438 Long EC US N 1 N N N BAXTER INTERNATIONAL INC. J5OIVXX3P24RJRW5CK77 071813109 989.00000000 NS USD 84895.76000000 0.009240616160 Long EC US N 1 N N N CA Magnum Holdings 549300ZRDHFR078MFZ78 12674CAA1 210000.00000000 PA USD 217087.50000000 0.023629239677 Long DBT NUSS IN N 2 2026-10-31 Fixed 5.37500000 N N N N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 P75744AB1 700000.00000000 PA USD 860125.00000000 0.093621695296 Long DBT NUSS PY N 2 2044-08-11 Fixed 6.10000000 N N N N N N Republica de Angola 549300QHR2R3J8JSGK83 N/A 200000.00000000 PA USD 195416.00000000 0.021270370246 Long DBT NUSS AO N 2 2048-05-08 Fixed 9.37500000 N N N N N N WWEX UNI TOPCO HOLDINGS, LLC N/A 00435UAB4 780000.00000000 PA USD 781622.40000000 0.085076952965 Long LON US N 2 2028-07-26 Floating 5.00000040 N N N N N N Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III 254900G208H6Q0L5B953 71567PAF7 330000.00000000 PA USD 369748.50000000 0.040245872871 Long DBT NUSS ID N 2 2026-03-29 Fixed 4.55000000 N N N N N N ULTA BEAUTY, INC. 529900CIV6HN8M28YM82 90384S303 117.00000000 NS USD 48243.78000000 0.005251172179 Long EC US N 1 N N N BROADRIDGE FINANCIAL SOLUTIONS, INC. 549300KZDJZQ2YIHRC28 11133T103 222.00000000 NS USD 40586.04000000 0.004417653097 Long EC US N 1 N N N MOLSON COORS BEVERAGE COMPANY 54930073LBBH6ZCBE225 60871R209 401.00000000 NS USD 18586.35000000 0.002023061295 Long EC US N 1 N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 595017104 1101.00000000 NS USD 95853.06000000 0.010433281181 Long EC US N 1 N N N CARVANA CO. 5493003WEAK2PJ5WS063 146869AH5 1535000.00000000 PA USD 1462087.50000000 0.159143276177 Long DBT CORP US N 2 2029-09-01 Fixed 4.87500000 N N N N N N CDW CORPORATION 9845001B052ABF0B6755 12514G108 255.00000000 NS USD 52218.90000000 0.005683850538 Long EC US N 1 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 20754RAF3 670000.00000000 PA USD 676917.95000000 0.073680227938 Long ABS-MBS US Y 2 2041-10-25 Floating 3.15000000 N N N N N N PAYSAFE FINANCE PLC 894500TDMZ4S0F5X0Z61 70452AAA1 720000.00000000 PA USD 667800.00000000 0.072687769939 Long DBT NUSS US N 2 2029-06-15 Fixed 4.00000000 N N N N N N PETSMART LLC N/A 71677KAB4 290000.00000000 PA USD 315012.50000000 0.034288044516 Long DBT CORP US N 2 2029-02-15 Fixed 7.75000000 N N N N N N PETROBRAS GLOBAL FINANCE B.V. 549300FNENFFSMO3GT38 71647NAV1 500000.00000000 PA USD 537500.00000000 0.058505055918 Long DBT NUSS BR N 2 2025-01-27 Fixed 5.29900000 N N N N N N NEUBERGER BERMAN LOAN ADVISERS LLC N/A 64134EAA2 490000.00000000 PA USD 487754.33000000 0.053090408095 Long ABS-CBDO CORP KY Y 2 2034-10-16 Floating 6.07983840 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES, INC. 6WQI0GK1PRFVBA061U48 31620M106 1217.00000000 NS USD 132835.55000000 0.014458700057 Long EC US N 1 N N N HUSKY INJECTION MOLDING SYSTEMS LTD. N/A 88827AAA1 1465000.00000000 PA USD 1486975.00000000 0.161852196324 Long DBT NUSS CA N 2 2026-04-15 Fixed 7.75000000 N N N N N N N/A N/A 74049LAQ4 57475.15000000 PA USD -98.86000000 -0.00001076057 Long LON US N 2 2028-07-29 Floating 2.00000160 N N N N N N FORTIVE CORPORATION 549300MU9YQJYHDQEF63 34959J108 672.00000000 NS USD 51266.88000000 0.005580226383 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2915.83000000 0.000317378227 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 680000.00000000 CAD 541300.86000000 USD 2022-01-18 2915.83000000 N N N SUMMIT MIDSTREAM HOLDINGS, LLC N/A 86614WAD8 925000.00000000 PA USD 832500.00000000 0.090614807538 Long DBT CORP US N 2 2025-04-15 Fixed 5.75000000 N N N N N N MARAVAI INTERMEDIATE HOLDINGS, LLC N/A 56589PAG0 136375.00000000 PA USD 136886.41000000 0.014899622458 Long LON US N 2 2027-10-19 Floating 4.74999840 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 91086QBB3 440000.00000000 PA USD 479054.40000000 0.052143450158 Long DBT NUSS MX N 2 2044-03-08 Fixed 4.75000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PAY7 870000.00000000 PA USD 1177395.36000000 0.128155500232 Long DBT NUSS QA N 2 2048-04-23 Fixed 5.10300000 N N N N N N RYAN SPECIALTY GROUP LLC N/A 78350UAE5 265956.78000000 PA USD 265557.84000000 0.028905072146 Long LON US N 2 2027-09-01 Floating 3.75000120 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 90352JAF0 510000.00000000 PA USD 549907.50000000 0.059855570302 Long DBT NUSS CH N 2 2170-07-31 Fixed 7.00000000 N N N N N N Banque Centrale de Tunisie 254900B5LFB16S9T2T11 N/A 440000.00000000 PA 416452.61000000 0.045329457182 Long DBT NUSS TN N 2 2023-10-31 Fixed 6.75000000 N N N N N N Government National Mortgage Association N/A 38375AN91 1347471.67670000 PA USD 212576.05000000 0.023138183613 Long DBT USGA US N 2 2040-01-16 Floating 6.49249920 N N N N N N DISCOVERY, INC. 5493006ZCRFWKF6B1K26 25470F302 586.00000000 NS USD 13419.40000000 0.001460656274 Long EC US N 1 N N N CORNING INCORPORATED 549300X2937PB0CJ7I56 219350105 1646.00000000 NS USD 61280.58000000 0.006670183738 Long EC US N 1 N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 100000.00000000 PA USD 10506.00000000 0.001143542544 Long DBT NUSS LB N 2 2035-11-02 Fixed 7.05000000 Y N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1693.17000000 -0.00018429582 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 286720.54000000 USD 360000.00000000 CAD 2022-01-18 -1693.17000000 N N N GOBIERNO DE LA REPUBLICA DE PANAMA 549300SHS4T08CL0LP14 698299BM5 300000.00000000 PA USD 330453.00000000 0.035968690685 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N L3HARRIS TECHNOLOGIES, INC. 549300UTE50ZMDBG8A20 502431109 387.00000000 NS USD 82523.88000000 0.008982445049 Long EC US N 1 N N N CHARTER COMMUNICATIONS OPERATING, LLC 549300TPZNMN50BJ3745 161175BS2 200000.00000000 PA USD 231993.95000000 0.025251756311 Long DBT CORP US N 2 2049-07-01 Fixed 5.12500000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 525.99000000 0.000057252231 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 16040.81000000 USD 340000.00000000 MXN 2022-01-18 525.99000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 91087BAM2 360000.00000000 PA USD 351003.60000000 0.038205553945 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N AVIS BUDGET CAR RENTAL, LLC XN8R4HH1TVC1XOCL5P21 053773BF3 705000.00000000 PA USD 743648.10000000 0.080943578928 Long DBT CORP US N 2 2029-03-01 Fixed 5.37500000 N N N N N N PDS HOLDCO INC. N/A N/A 16800.00000000 PA USD 16791.60000000 0.001827708831 Long LON US N 2 2028-08-18 Floating 5.24999880 N N N N N N SUNNOVA HELIOS ISSUER LLC N/A 86745LAC6 485429.10500000 PA USD 504821.56000000 0.054948118319 Long ABS-MBS US N 2 2046-06-20 Fixed 5.32000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CJ6 1000000.00000000 PA USD 991710.81000000 0.107944365384 Long DBT NUSS GB N 2 2026-04-18 Fixed 1.64500000 N N N N N N ANHEUSER-BUSCH INBEV WORLDWIDE INC. 549300CRGMZK3K53BF92 035240AQ3 1650000.00000000 PA USD 1920493.84000000 0.209039254884 Long DBT CORP BE N 2 2029-01-23 Fixed 4.75000000 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599105 1658.00000000 NS USD 48065.42000000 0.005231758297 Long EC US N 1 N N N AMCOR PLC 549300GSODGFCDQ3DI89 G0250X107 2886.00000000 NS USD 34660.86000000 0.003772717306 Long EC US N 1 N N N KELLOGG COMPANY LONOZNOJYIBXOHXWDB86 487836108 549.00000000 NS USD 35366.58000000 0.003849532540 Long EC US N 1 N N N UNIVISION COMMUNICATIONS INC. 549300YQDE2JSGTL8V47 914906AT9 300000.00000000 PA USD 320625.00000000 0.034898946146 Long DBT CORP US N 2 2025-05-01 Fixed 9.50000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967KN0 1675000.00000000 PA USD 1796034.60000000 0.195492287822 Long DBT CORP US N 2 2026-05-01 Fixed 3.40000000 N N N N N N NOBLE CORP WARRANTS N/A N/A 2787.00000000 NC USD 27173.25000000 0.002957716299 N/A DE US N 2 CORPORATE ACTION N/A Call Purchased N/A N/A 2787.00000000 0.01000000 USD 2028-02-05 XXXX 21599.25000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 6111.15000000 0.000665177995 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 392956.46000000 USD 504037.00000000 CAD 2022-01-18 6111.15000000 N N N State of Qatar 52990074F6OJOAXK4P65 74727PBE0 450000.00000000 PA USD 559031.40000000 0.060848675939 Long DBT NUSS QA N 2 2050-04-16 Fixed 4.40000000 N N N N N N ENDURANCE INTERNATIONAL GROUP HOLDINGS, INC. 549300UTQC2651SB0W88 29279XAA8 2285000.00000000 PA USD 2125050.00000000 0.231304500613 Long DBT CORP US N 2 2029-02-15 Fixed 6.00000000 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST N/A 78448YAF8 690000.00000000 PA USD 679446.17000000 0.073955416129 Long ABS-MBS US Y 2 2053-01-15 Fixed 3.86000000 N N N N N N FREEPORT LNG 11/21 N/A N/A 600000.00000000 PA USD 593814.00000000 0.064634644232 Long LON US N 2 2028-11-17 Floating 3.99999960 N N N N N N TRC Companies 11/21 TL N/A N/A 800000.00000000 PA USD 795248.00000000 0.086560053412 Long LON US N 2 2028-11-17 Floating 4.25000160 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9522.08000000 0.001036446182 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 440000.00000000 AUD 329402.04000000 USD 2022-01-18 9522.08000000 N N N SEDGWICK CLAIMS MANAGEMENT SERVICES, INC. N/A 81527CAN7 171500.00000000 PA USD 171561.74000000 0.018673914776 Long LON US N 2 2026-09-03 Floating 10.00000080 N N N N N N INGERSOLL RAND INC. 5299004C02FMZCUOIR50 45687V106 870.00000000 NS USD 53826.90000000 0.005858875896 Long EC US N 1 N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAC9 1360000.00000000 PA USD 1368500.00000000 0.148956593534 Long DBT CORP ZA N 2 2026-09-18 Fixed 4.37500000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 18079.87000000 0.001967932661 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 722553.66000000 USD 15200000.00000000 MXN 2022-01-18 18079.87000000 N N N SUNNOVA ENERGY CORPORATION 549300TH3GCD8YQUDR46 86745GAF0 410000.00000000 PA USD 418200.00000000 0.045519654670 Long DBT CORP US N 2 2026-09-01 Fixed 5.87500000 N N N N N N GS MORTGAGE SECURITIES CORPORATION TRUST N/A 36255TAL6 1889269.06510000 PA USD 607588.93000000 0.066133998744 Long ABS-MBS US N 2 2031-09-15 Floating 4.11000120 N N N N N N Republic of Armenia 5299000H77JSW90G7935 042207AC4 290000.00000000 PA USD 281300.00000000 0.030618552985 Long DBT NUSS AM N 2 2029-09-26 Fixed 3.95000000 N N N N N N ROYAL CARIBBEAN CRUISES LTD. K2NEH8QNVW44JIWK7Z55 V7780T103 465.00000000 NS USD 35758.50000000 0.003892191706 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -72.01000000 -0.00000783804 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 5710000.00000000 MXN 278152.82000000 USD 2022-01-18 -72.01000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 N/A 700000.00000000 PA 819923.81000000 0.089245931819 Long DBT NUSS GB N 2 2170-03-16 Fixed 5.25000000 N N N Y Y HSBC HOLDINGS PLC GBP XXXX N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023CY9 150000.00000000 PA USD 174765.15000000 0.019022595113 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370860 7879.00000000 NS USD 163646.83000000 0.017812403609 Long EC US N 1 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -5977.07000000 -0.00065058384 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 847623.26000000 USD 1230000.00000000 NZD 2022-01-18 -5977.07000000 N N N THE THIRD PAKISTAN INTERNATIONAL SUKUK COMPANY LIMITED 529900OMZDJ2H3CXKF72 N/A 630000.00000000 PA USD 641088.00000000 0.069780259141 Long DBT NUSS PK N 2 2022-12-05 Fixed 5.62500000 N N N N N N APPLIED MATERIALS, INC. 41BNNE1AFPNAZELZ6K07 038222105 1827.00000000 NS USD 287496.72000000 0.031293044986 Long EC US N 1 N N N SPECIALTY BUILDING PRODUCTS HOLDINGS, LLC 549300ICFD46O3KMJC06 84749AAA5 1592000.00000000 PA USD 1668527.44000000 0.181613564983 Long DBT CORP US N 2 2026-09-30 Fixed 6.37500000 N N N N N N YAPI VE KREDI BANKASI ANONIM SIRKETI B85ZYWEZ5IZCZ2WNIO12 N/A 510000.00000000 PA USD 506532.00000000 0.055134293924 Long DBT NUSS TR N 2 2023-03-16 Fixed 6.10000000 N N N N N N Smyrna Ready Mix Concrete, LLC 549300S7RFWHQFOIOY93 85236FAA1 710000.00000000 PA USD 757960.50000000 0.082501435230 Long DBT CORP US N 2 2028-11-01 Fixed 6.00000000 N N N N N N J. B. HUNT TRANSPORT SERVICES, INC. 549300XCD1MPI1C5GK90 445658107 173.00000000 NS USD 35361.20000000 0.003848946945 Long EC US N 1 N N N BROWN GROUP HOLDINGS, LLC N/A 11565HAB2 1065195.29000000 PA USD 1062532.30000000 0.115653044887 Long LON US N 2 2028-06-07 Floating 3.25000080 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35563PGR4 1125000.00000000 PA USD 1159084.46000000 0.126162420737 Long ABS-MBS US N 2 2057-08-25 Floating 4.74999840 N N N N N N TRIMBLE INC. 549300E2MI7NSZFQWS19 896239100 554.00000000 NS USD 48303.26000000 0.005257646376 Long EC US N 1 N N N United States of America N/A N/A -228.00000000 NC USD -27582656.25000000 -3.00227878379 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Mar 2022 2022-04-03 -27655230.66000000 USD 72574.41000000 N N N D.R. HORTON, INC. 529900ZIUEYVSB8QDD25 23331A109 705.00000000 NS USD 76457.25000000 0.008322112905 Long EC US N 1 N N N BROADSTREET PARTNERS, INC. 549300BS9N54G8DD0R75 11135RAA3 1195000.00000000 PA USD 1174087.50000000 0.127795450866 Long DBT CORP US N 2 2029-04-15 Fixed 5.87500000 N N N N N N MCLAREN FINANCE PLC 213800BKPDWMWX3GSG36 58175LAA8 740000.00000000 PA USD 746475.00000000 0.081251277426 Long DBT NUSS GB N 2 2026-08-01 Fixed 7.50000000 N N N N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 893647BP1 135000.00000000 PA USD 134551.80000000 0.014645508061 Long DBT CORP US N 2 2029-01-15 Fixed 4.62500000 N N N N N N Republique de Cote d'Ivoire 254900ICW11T82O6H590 AR7769417 320000.00000000 PA 360862.91000000 0.039278706471 Long DBT CORP CI N 2 2048-03-22 Fixed 6.62500000 N N N N N N ROCKET MORTGAGE, LLC 549300FGXN1K3HLB1R50 77313LAB9 160000.00000000 PA USD 162060.80000000 0.017639769611 Long DBT CORP US N 2 2033-10-15 Fixed 4.00000000 N N N N N N TRITON WATER HOLDINGS, INC. 5493005IYCEL7QJFZZ63 89680EAA7 470000.00000000 PA USD 450777.00000000 0.049065550868 Long DBT CORP US N 2 2029-04-01 Fixed 6.25000000 N N N N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 26884LAG4 360000.00000000 PA USD 462600.00000000 0.050352444405 Long DBT CORP US N 2 2030-02-01 Fixed 7.50000000 N N N N N N SERVICENOW, INC. 549300HJTQM36M0E1G39 81762P102 402.00000000 NS USD 260942.22000000 0.028402677530 Long EC US N 1 N N N LINDE PUBLIC LIMITED COMPANY 8945002PAZHZLBGKGF02 G5494J103 1039.00000000 NS USD 359940.77000000 0.039178334653 Long EC US N 1 N N N ZOETIS INC. 549300HD9Q1LOC9KLJ48 98978V103 955.00000000 NS USD 233048.65000000 0.025366556837 Long EC US N 1 N N N ADOBE INC. FU4LY2G4933NH2E1CP29 00724F101 967.00000000 NS USD 548347.02000000 0.059685717335 Long EC US N 1 N N N United States of America N/A N/A 14.00000000 NC USD 2246125.00000000 0.244483104604 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Long U.S. Treasury Futures US Long Bond (CBT) Mar 2022 2022-03-25 2209353.12000000 USD 36771.88000000 N N N INTELSAT JACKSON HOLDINGS S.A. 8XJ8KF85PBKK1TLMFN29 45824TAY1 650000.00000000 PA USD 298395.50000000 0.032479340303 Long DBT NUSS LU N 2 2025-07-15 Fixed 9.75000000 Y N N N N N JUNIPER NETWORKS, INC. AUHIXNGG7U2U7JEHM527 48203R104 729.00000000 NS USD 26032.59000000 0.002833559318 Long EC US N 1 N N N CHARLES RIVER LABORATORIES INTERNATIONAL, INC. 549300BSQ0R4UZ5KX287 159864107 110.00000000 NS USD 41445.80000000 0.004511235063 Long EC US N 1 N N N LASERSHIP, INC. N/A 51809EAB1 975000.00000000 PA USD 975000.00000000 0.106125450270 Long LON US N 2 2028-05-07 Floating 5.24999880 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020107 820.00000000 NS USD 55965.00000000 0.006091600845 Long EC US N 1 N N N THE REPUBLIC OF KENYA 549300VVURQQYU45PR87 491798AH7 260000.00000000 PA USD 263728.40000000 0.028705943794 Long DBT NUSS KE N 2 2048-02-28 Fixed 8.25000000 N N N N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FBL4 175000.00000000 PA USD 183167.19000000 0.019937128731 Long DBT CORP US N 2 2034-04-15 Fixed 3.46900000 N N N N N N Suzano Austria GmbH 254900287ZNSGVP1R341 86964WAF9 530000.00000000 PA USD 613480.30000000 0.066775254430 Long DBT NUSS BR N 2 2029-01-15 Fixed 6.00000000 N N N N N N ROSS STORES, INC. 549300ENZFLPGRDFZQ60 778296103 700.00000000 NS USD 79996.00000000 0.008707293866 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9171.43000000 0.000998279116 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 880388.73000000 GBP 1201415.44000000 USD 2022-01-18 9171.43000000 N N N EQUINIX, INC. 549300EVUN2BTLJ3GT74 29444U700 180.00000000 NS USD 152251.20000000 0.016572027850 Long EC US N 1 N N N CPP 7/19 2nd Lien Incrementa N/A N/A 370000.00000000 PA USD 359825.00000000 0.039165733480 Long LON US N 2 2026-04-30 Floating 8.75000160 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AR2 802000.00000000 PA USD 883596.04000000 0.096176438566 Long DBT NUSS CH N 2 2026-04-17 Fixed 4.55000000 N N N N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 P3579EBE6 660000.00000000 PA USD 727650.00000000 0.079202239886 Long DBT NUSS DO N 2 2045-01-27 Fixed 6.85000000 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO LTD N/A 38137XAA1 250000.00000000 PA USD 240028.25000000 0.026126262675 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 5.35150080 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HS2 2685394.00000000 PA USD 939914.75000000 0.102306539548 Long DBT NUSS AR N 2 2030-07-09 Fixed 0.50000000 N N N N N N BENCHMARK MORTGAGE TRUST N/A 08162BBG6 10878913.14750000 PA USD 661546.71000000 0.072007120486 Long DBT USGA US N 2 2052-05-15 Floating 1.04302800 N N N N N N STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 857477103 716.00000000 NS USD 66588.00000000 0.007247878443 Long EC US N 1 N N N BBCMS TRUST N/A 05492JAW2 870000.00000000 PA USD 923965.49000000 0.100570516575 Long ABS-MBS US N 2 2052-11-15 Fixed 3.06300000 N N N N N N Government National Mortgage Association N/A 38380UM67 1147458.98890000 PA USD 202268.10000000 0.022016198141 Long DBT USGA US N 2 2048-01-20 Floating 5.59612080 N N N N N N MPT OPERATING PARTNERSHIP, L.P. WUQXXXF7PXTUPGROE843 55342UAL8 544000.00000000 PA 769361.64000000 0.083742410734 Long DBT CORP US N 2 2028-06-05 Fixed 3.69200000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46647PBP0 250000.00000000 PA USD 258843.40000000 0.028174228076 Long DBT CORP US N 2 2031-05-13 Fixed 2.95600000 N N N N N N TOWNSQUARE MEDIA, INC. 549300XBA8C68H0DR538 892231AB7 902000.00000000 PA USD 957247.50000000 0.104193150726 Long DBT CORP US N 2 2026-02-01 Fixed 6.87500000 N N N N N N AGILENT TECHNOLOGIES, INC. QUIX8Y7A2WP0XRMW7G29 00846U101 600.00000000 NS USD 95790.00000000 0.010426417314 Long EC US N 1 N N N PRESTIGE BRANDS, INC. 549300JBVP4J6D42I235 74112BAM7 810000.00000000 PA USD 785700.00000000 0.085520785925 Long DBT CORP US N 2 2031-04-01 Fixed 3.75000000 N N N N N N SIGNATURE BANK VLP5AP0XK2GM6GKD1007 82669G104 134.00000000 NS USD 43344.98000000 0.004717954378 Long EC US N 1 N N N RC BUYER, INC. N/A 74934KAD3 300000.00000000 PA USD 299250.00000000 0.032572349736 Long LON US N 2 2029-07-30 Floating 7.49999880 N N N N N N Petroleos de Venezuela, S.A. 549300YWR8TN1OFD4P06 N/A 130000.00000000 PA USD 5044.00000000 0.000549022329 Long DBT NUSS VE N 2 2037-04-12 Floating 0.00000000 Y N N N N N MHP Lux S.A. 222100RHC7R1WZ1J3M44 N/A 1870000.00000000 PA USD 1859460.68000000 0.202396001975 Long DBT NUSS UA N 2 2026-04-03 Fixed 6.95000000 N N N N N N TALEN ENERGY SUPPLY, LLC K5K33XN0PQAU1XF7NN66 87422VAG3 390000.00000000 PA USD 342225.00000000 0.037250033045 Long DBT CORP US N 2 2028-01-15 Fixed 6.62500000 N N N N N N Altice France Holding S.A. 5299000JVHXKJPOE6H40 02156TAB0 350000.00000000 PA USD 376250.00000000 0.040953539142 Long DBT NUSS LU N 2 2027-05-15 Fixed 10.50000000 N N N N N N WATERS CORPORATION 5T547R1474YC9HOD8Q74 941848103 131.00000000 NS USD 48810.60000000 0.005312868618 Long EC US N 1 N N N Republique de Cote d'Ivoire 254900ICW11T82O6H590 BM7280605 250000.00000000 PA 273110.82000000 0.029727188457 Long DBT NUSS CI N 2 2032-01-30 Fixed 4.87500000 N N N N N N HAWAIIAN BRAND INTELLECTUAL PROPERTY, LTD. N/A 41984LAA5 430000.00000000 PA USD 449887.50000000 0.048968731803 Long DBT NUSS US N 2 2026-01-20 Fixed 5.75000000 N N N N N N Kingdom of Bahrain 549300RODM1WN85LFQ95 05675M2C7 1610000.00000000 PA USD 1785103.60000000 0.194302485466 Long DBT NUSS BH N 2 2030-05-14 Fixed 7.37500000 N N N N N N AMPHENOL CORPORATION 549300D3L3G0R4U4VT04 032095101 1188.00000000 NS USD 103902.48000000 0.011309433306 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6576.22000000 -0.00071579929 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 500000.00000000 CAD 389295.13000000 USD 2022-01-18 -6576.22000000 N N N Pearl Second Merger Sub LLC N/A 701885AH8 480000.00000000 PA USD 490200.00000000 0.053356610997 Long DBT CORP US N 2 2027-10-15 Fixed 5.62500000 N N N N N N THE HERTZ CORPORATION N/A 42804VBB6 1049150.49000000 PA USD 1049150.49000000 0.114196480157 Long LON US N 2 2028-06-30 Floating 3.75039000 N N N N N N MOZART DEBT MERGER SUB INC. N/A 62482BAB8 810000.00000000 PA USD 821048.40000000 0.089368339635 Long DBT CORP US N 2 2029-10-01 Fixed 5.25000000 N N N N N N AXALTA COATING SYSTEMS, LLC 549300G80QONCHILSF69 05453GAC9 1405000.00000000 PA USD 1359337.50000000 0.147959286418 Long DBT CORP US N 2 2029-02-15 Fixed 3.37500000 N N N N N N TKC HOLDINGS, INC. N/A 87256FAH7 1035419.05000000 PA USD 1035419.05000000 0.112701859384 Long LON US N 2 2028-05-15 Floating 6.50000160 N N N N N N Republica Federativa do Brasil 254900ZFY40OYEADAP90 N/A 1400000.00000000 PA 242392.28000000 0.026383579340 Long DBT NUSS BR N 2 2029-01-01 Fixed 10.00000000 N N N N N N PEACE PARK CLO N/A 70470NAA1 400000.00000000 PA USD 396258.40000000 0.043131385767 Long ABS-CBDO CORP KY Y 2 2034-10-20 Floating 6.13815840 N N N N N N Government National Mortgage Association N/A 38380YR23 569662.66470000 PA USD 98643.13000000 0.010736970858 Long DBT USGA US N 2 2048-09-20 Floating 6.09612120 N N N N N N NGL ENERGY PARTNERS LP 5299005YSRP46BE8Z459 62913TAJ1 1150000.00000000 PA USD 1132750.00000000 0.123296003891 Long DBT CORP US N 2 2023-11-01 Fixed 7.50000000 N N N N N N TRANSOCEAN INC. DOL4HJ22ADYSIWES4H94 893830BQ1 3565000.00000000 PA USD 3493700.00000000 0.380277421139 Long DBT NUSS US N 2 2027-01-30 Fixed 11.50000000 N N N N N N VOYA CLO N/A 92917KAA2 250000.00000000 PA USD 250320.75000000 0.027246566467 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 1.27374840 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -1973.97000000 -0.00021485995 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 391838.95000000 USD 29260000.00000000 RUB 2022-01-18 -1973.97000000 N N N HUMANA INC. 529900YLDW34GJAO4J06 444859102 256.00000000 NS USD 118748.16000000 0.012925335332 Long EC US N 1 N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 721000.00000000 PA USD 75705.00000000 0.008240233038 Long DBT NUSS LB N 2 2029-05-25 Fixed 6.85000000 Y N N N N N Sands China Ltd. 549300EVO6UZDGY05787 80007RAF2 200000.00000000 PA USD 209812.00000000 0.022837326125 Long DBT NUSS MO N 2 2025-08-08 Fixed 5.12500000 N N N N N N Ressources Teck Limitee T8KI5SQ2JRWHL7XY0E11 878742BG9 250000.00000000 PA USD 268589.20000000 0.029235025423 Long DBT NUSS CA N 2 2030-07-15 Fixed 3.90000000 N N N N N N VERSCEND HOLDING CORP. N/A 92531HAD9 1066123.98000000 PA USD 1064791.33000000 0.115898932657 Long LON US N 2 2025-08-27 Floating 4.09038120 N N N N N N THE WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687106 3693.00000000 NS USD 572008.77000000 0.062261218743 Long EC US N 1 N N N MARATHON OIL CORPORATION 1FRVQX2CRLGC1XLP5727 565849106 1785.00000000 NS USD 29309.70000000 0.003190261651 Long EC US N 1 N N N ASURION LLC N/A 04649VBA7 950000.00000000 PA USD 945449.50000000 0.102908978354 Long LON US N 2 2029-01-20 Floating 5.34038040 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -3100.05000000 -0.00033742995 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 618938.73000000 USD 900000.00000000 NZD 2022-01-18 -3100.05000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 91087BAA8 323000.00000000 PA USD 342266.95000000 0.037254599160 Long DBT NUSS MX N 2 2025-01-30 Fixed 3.60000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B0LQ7 1308666.65260000 PA USD 210845.44000000 0.022949812571 Long DBT USGA US N 2 2048-01-25 Floating 6.04811880 N N N N N N FANATICS COMMERC TL 1L B N/A N/A 720000.00000000 PA USD 715500.00000000 0.077879753506 Long LON US N 2 2028-11-17 Floating 3.75000120 N N N N N N THE ESTEE LAUDER COMPANIES INC. 549300VFZ8XJ9NUPU221 518439104 465.00000000 NS USD 172143.00000000 0.018737182959 Long EC US N 1 N N N INTERNATIONAL PAPER COMPANY 824LMFJDH41EY779Q875 460146103 852.00000000 NS USD 40026.96000000 0.004356799131 Long EC US N 1 N N N NUCOR CORPORATION 549300GGJCRSI2TIEJ46 670346105 559.00000000 NS USD 63809.85000000 0.006945486218 Long EC US N 1 N N N SHOPS AT CRYSTALS TRUST N/A 82510WAL4 885000.00000000 PA USD 818577.30000000 0.089099368763 Long ABS-MBS US N 2 2036-07-05 Floating 3.73110120 N N N N N N Government National Mortgage Association N/A 38381WQE1 270853.21850000 PA USD 22392.68000000 0.002437367433 Long DBT USGA US N 2 2049-06-20 Floating 3.16612080 N N N N N N RENT-A-CENTER, INC. 529900QUHE15UQNCCJ63 76009NAL4 370000.00000000 PA USD 385725.00000000 0.041984860826 Long DBT CORP US N 2 2029-02-15 Fixed 6.37500000 N N N N N N United States of America N/A N/A -267.00000000 NC USD -34835156.25000000 -3.79168886388 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Mar 2022 2022-03-25 -34729479.38000000 USD -105676.87000000 N N N Republique de Cote d'Ivoire 254900ICW11T82O6H590 N/A 211402.95000000 PA USD 211990.65000000 0.023074464804 Long DBT NUSS CI N 2 2032-12-31 Fixed 5.75000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAW7 1080000.00000000 PA USD 1194519.13000000 0.130019364644 Long DBT NUSS IT N 2 2026-01-15 Fixed 5.71000000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165B103 1055.00000000 NS USD 48941.45000000 0.005327111198 Long EC US N 1 N N N MATCH GROUP, INC. 15OMOPB0A8K0EFUVD031 57667L107 557.00000000 NS USD 73663.25000000 0.008017995461 Long EC US N 1 N N N THE KRAFT HEINZ COMPANY N/A 500754106 1491.00000000 NS USD 53526.90000000 0.005826221911 Long EC US N 1 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 180000.00000000 PA 204792.45000000 0.022290965095 Long DBT NUSS ID N 2 2027-02-14 Fixed 0.90000000 N N N N N N GETTY IMAGES N/A 37427UAJ9 553105.77000000 PA USD 553221.92000000 0.060216333702 Long LON US N 2 2026-02-19 Floating 4.62559320 N N N N N N CANYON CAPITAL CLO LTD. N/A 13877FAA7 280000.00000000 PA USD 277479.44000000 0.030202697959 Long ABS-CBDO CORP KY Y 2 2034-04-15 Floating 6.53375160 N N N N N N VIRGIN MEDIA BRISTOL LLC N/A G9368PBE3 590000.00000000 PA USD 589356.90000000 0.064149503982 Long LON US N 2 2029-01-31 Floating 3.35975040 N N N N N N CSC HOLDINGS, LLC 3HG2WD2W22M120IUNG49 126307BH9 350000.00000000 PA USD 345625.00000000 0.037620111538 Long DBT CORP US N 2 2031-11-15 Fixed 4.50000000 N N N N N N GARTNER, INC. PP55B5R38BFB8O8HH686 366651107 154.00000000 NS USD 51485.28000000 0.005603998484 Long EC US N 1 N N N N/A N/A CDS868901 3853000.00000000 NC USD -354342.38000000 -0.03856896884 N/A DCR XX N 2 BRK: BNP PARIBAS (PAS) N/A Y 2026-12-20 0.00000000 USD -351491.13000000 USD 3853000.00000000 USD -2851.25000000 N N N MAGNOLIA FINANCE X DESIGNATED ACTIVITY COMPANY 213800P1BCRS8AAU4W28 55960WAB7 960000.00000000 PA USD 931059.72000000 0.101342699501 Long ABS-MBS IE N 2 2024-08-09 Floating 3.03162840 N N N N N N Coterra Energy Inc. FCNMH6O7VWU7LHXMK351 127097103 1761.00000000 NS USD 33459.00000000 0.003641898913 Long EC US N 1 N N N BATH & BODY WORKS, INC. GR3KVMWVCR54YWQNXU90 070830104 578.00000000 NS USD 40338.62000000 0.004390722267 Long EC US N 1 N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92925GAD5 625887.58850000 PA USD 596896.48000000 0.064970161748 Long ABS-MBS US N 2 2036-12-25 Floating 2.38086360 N N N N N N REGIONS FINANCIAL CORPORATION CW05CS5KW59QTC0DG824 7591EP100 1995.00000000 NS USD 43491.00000000 0.004733848161 Long EC US N 1 N N N BRF S.A. 254900MTXR9LUVQFU480 P1905CJX9 1440000.00000000 PA USD 1458374.40000000 0.158739117808 Long DBT NUSS BR N 2 2030-01-24 Fixed 4.87500000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 45866F104 1130.00000000 NS USD 154550.10000000 0.016822255335 Long EC US N 1 N N N BAIN CAPITAL CREDIT CLO N/A 05684LAJ4 450000.00000000 PA USD 445465.80000000 0.048487444723 Long ABS-CBDO CORP KY Y 2 2034-04-18 Floating 3.03225120 N N N N N N BLUEMOUNTAIN CLO LTD. N/A 09628CAG1 1000000.00000000 PA USD 977569.00000000 0.106405077226 Long ABS-CBDO CORP KY N 2 2027-07-18 Floating 5.32225080 N N N N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 2696310000.00000000 NC 15070.40000000 0.001640362036 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2024-03-16 6509.39000000 KRW 0.00000000 KRW -2696310000.00000000 KRW 8561.01000000 N N N GREAT OUTDOORS GROUP, LLC N/A 07014QAN1 802678.14000000 PA USD 802846.70000000 0.087387146190 Long LON US N 2 2028-03-05 Floating 4.50000000 N N N N N N ASBURY AUTOMOTIVE GROUP, INC. 549300JH4DTA7U42GL91 043436AW4 505000.00000000 PA USD 514468.75000000 0.055998182301 Long DBT CORP US N 2 2029-11-15 Fixed 4.62500000 N N N N N N Huarong Finance II Co., Ltd. 549300BHVD63HE2GHX17 N/A 210000.00000000 PA USD 217875.00000000 0.023714956387 Long DBT NUSS CN N 2 2025-11-19 Fixed 5.00000000 N N N N N N HALSEYPOINT CLO N/A 40638CAC3 290000.00000000 PA USD 272193.42000000 0.029627332572 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 8.33150160 N N N N N N Republique Gabonaise N/A 362420AE1 700000.00000000 PA USD 684250.00000000 0.074478296767 Long DBT NUSS GA N 2 2031-11-24 Fixed 7.00000000 N N N N N N HUNTINGTON BANCSHARES INCORPORATED 549300XTVCVV9I7B5T19 446150104 3167.00000000 NS USD 48835.14000000 0.005315539714 Long EC US N 1 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 750000.00000000 PA USD 870937.50000000 0.094798599328 Long DBT NUSS GB N 2 2170-09-30 Fixed 8.00000000 N N N Y Y NATWEST GROUP PLC GBP XXXX N N N KINDER MORGAN, INC. 549300WR7IX8XE0TBO16 49456B101 3691.00000000 NS USD 58539.26000000 0.006371800334 Long EC US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JX54 480000.00000000 PA USD 453883.20000000 0.049403650226 Long DBT NUSS EG N 2 2032-05-29 Fixed 7.62500000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 N/A 164900.00000000 PA 59280.37000000 0.006452467649 Long DBT NUSS AR N 2 2030-07-09 Fixed 0.12500000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -5364.20000000 -0.00058387501 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 329978.71000000 USD 410000.00000000 CAD 2022-01-18 -5364.20000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -17166.94000000 -0.00186856332 N/A DFE NO N 2 BNP PARIBAS N/A 514773.72000000 USD 4388651.86000000 NOK 2022-01-18 -17166.94000000 N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAK4 1100000.00000000 PA USD 1121846.00000000 0.122109140394 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N N/A N/A 92342NAH6 180000.00000000 PA USD 221850.00000000 0.024147621684 Long DBT CORP US N 2 2027-10-15 Fixed 13.00000000 N N N N N N INEOS STYROLUTION GROUP GMBH N/A G4770MAH7 349125.00000000 PA USD 347889.10000000 0.037866551160 Long LON US N 2 2026-01-29 Floating 3.25000080 N N N N N N AADVANTAGE LOYALTY IP LTD. N/A 00253XAA9 222000.00000000 PA USD 230852.25000000 0.025127486130 Long DBT NUSS US N 2 2026-04-20 Fixed 5.50000000 N N N N N N NVR, Inc. 529900RWXR4JI3JYTV70 62944T105 7.00000000 NS USD 41362.09000000 0.004502123513 Long EC US N 1 N N N RADNOR RE/ESSENT N/A 750493AC2 1830000.00000000 PA USD 1809759.10000000 0.196986153199 Long ABS-MBS BM N 2 2030-01-25 Floating 1.85187960 N N N N N N HAYWARD INDUSTRIES INC. N/A 421300AL8 718200.00000000 PA USD 714458.18000000 0.077766354925 Long LON US N 2 2028-05-28 Floating 2.99999880 N N N N N N NORTHERN TRUST CORPORATION 549300GLF98S992BC502 665859104 440.00000000 NS USD 52628.40000000 0.005728423227 Long EC US N 1 N N N FEDERAL REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 65412JAK9 240000.00000000 PA USD 251388.00000000 0.027362733018 Long DBT NUSS NG N 2 2031-01-21 Fixed 8.74700000 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BG3 1075000.00000000 PA USD 1144354.51000000 0.124559115531 Long DBT CORP US N 2 2028-02-01 Fixed 3.40000000 N N N N N N DIRECTV FINANCING, LLC N/A 25460HAB8 950000.00000000 PA USD 950275.50000000 0.103434272121 Long LON US N 2 2027-08-02 Floating 5.74999920 N N N N N N Sands China Ltd. 549300EVO6UZDGY05787 80007RAR6 200000.00000000 PA USD 187912.00000000 0.020453585242 Long DBT NUSS MO N 2 2031-08-08 Fixed 3.25000000 N N N N N N W. R. GRACE HOLDINGS LLC N/A 92943HAB5 200000.00000000 PA USD 200150.00000000 0.021785650124 Long LON US N 2 2028-08-11 Floating 4.25000160 N N N N N N HUNTSMAN INTERNATIONAL LLC 3YTEJFW18LGIUQ2N5J61 44701QBE1 375000.00000000 PA USD 414518.85000000 0.045118973950 Long DBT CORP US N 2 2029-05-01 Fixed 4.50000000 N N N N N N EVEREST RE GROUP, LTD. 549300N24XF2VV0B3570 G3223R108 91.00000000 NS USD 24926.72000000 0.002713189111 Long EC US N 1 N N N Provincia de Buenos Aires 549300L6AYROPOTQ4L07 N/A 7101901.00000000 PA USD 3018307.93000000 0.328532603207 Long DBT NUSS AR N 2 2037-09-01 Fixed 3.90000000 N N N N N N PAYCOM SOFTWARE, INC. 254900LSB0HNJUDC6Q18 70432V102 102.00000000 NS USD 42349.38000000 0.004609586688 Long EC US N 1 N N N MEXICAN PESO N/A N/A 1.00000000 NC 12989.85000000 0.001413901210 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 402641.99000000 USD 8530000.00000000 MXN 2022-01-18 12989.85000000 N N N WYNN RESORTS FINANCE, LLC N/A 983133AB5 600000.00000000 PA USD 629250.00000000 0.068491732905 Long DBT CORP US N 2 2025-04-15 Fixed 7.75000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 300000.00000000 PA USD 335081.86000000 0.036472526430 Long DBT CORP DE N 2 2028-12-15 Fixed 4.37500000 N N N N N N BANCO MERCANTIL DEL NORTE S.A. N/A 05962GAJ8 200000.00000000 PA USD 214699.00000000 0.023369259536 Long DBT NUSS MX N 2 2170-10-06 Fixed 7.62500000 N N N N N N Ukraine 6354001WLTJXOMEXPY07 N/A 450000.00000000 PA USD 445284.00000000 0.048467656408 Long DBT NUSS UA N 2 2022-09-01 Fixed 7.75000000 N N N N N N Mondelez International, Inc. 549300DV9GIB88LZ5P30 609207105 2805.00000000 NS USD 185999.55000000 0.020245421532 Long EC US N 1 N N N JACOBS ENGINEERING GROUP INC. 549300CZ8QS1GE53O776 469814107 245.00000000 NS USD 34111.35000000 0.003712905003 Long EC US N 1 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAK7 350000.00000000 PA USD 341381.81000000 0.037158254667 Long DBT CORP US N 2 2026-01-30 Fixed 1.95000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3401.13000000 -0.00037020148 N/A DFE US N 2 JP MORGAN N/A 365013.28000000 EUR 411989.03000000 USD 2022-02-10 -3401.13000000 N N N CIVITAS RESOURCES, INC. IIVIHPH28S64K95M2381 097793AE3 475000.00000000 PA USD 479655.00000000 0.052208823435 Long DBT CORP US N 2 2026-10-15 Fixed 5.00000000 N N N N N N CAB SELAS 9695008EGX5O9K1MS743 N/A 475000.00000000 PA 539451.13000000 0.058717429815 Long DBT NUSS FR N 2 2028-02-01 Fixed 3.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810TC2 80000.00000000 PA USD 80912.50000000 0.008807051789 Long DBT UST US N 2 2041-11-15 Fixed 2.00000000 N N N N N N COLGATE ENERGY PARTNERS III, LLC 549300QRLZK0B17DH791 19416MAB5 700000.00000000 PA USD 721000.00000000 0.078478409892 Long DBT CORP US N 2 2029-07-01 Fixed 5.87500000 N N N N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 893647BH9 260000.00000000 PA USD 271700.00000000 0.029573625475 Long DBT CORP US N 2 2027-03-15 Fixed 7.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1145.35000000 -0.00012466747 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 404934.13000000 USD 510000.00000000 CAD 2022-01-18 -1145.35000000 N N N VIATRIS INC. 254900ZZTSW7NL773X71 92556V106 2801.00000000 NS USD 37897.53000000 0.004125017882 Long EC US N 1 N N N M&T BANK CORPORATION 549300WYXDDBYRASEG81 55261F104 282.00000000 NS USD 43309.56000000 0.004714099031 Long EC US N 1 N N N SEAWORLD PARKS & ENTERTAINMENT, INC. 549300UZV72O3371JJ53 81282UAG7 1765000.00000000 PA USD 1797220.08000000 0.195621323308 Long DBT CORP US N 2 2029-08-15 Fixed 5.25000000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XCS3 175000.00000000 PA USD 207526.80000000 0.022588589839 Long DBT CORP US N 2 2029-01-17 Fixed 5.65000000 N N N N N N LAM RESEARCH CORPORATION 549300I4GMO6D34U1T02 512807AV0 300000.00000000 PA USD 295016.95000000 0.032111596570 Long DBT CORP US N 2 2030-06-15 Fixed 1.90000000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205AU8 200000.00000000 PA USD 202820.00000000 0.022076270588 Long DBT NUSS ZA N 2 2028-10-12 Fixed 4.30000000 N N N N N N RITCHIE BROS. HOLDINGS, INC N/A 76774LAA5 320000.00000000 PA USD 334000.00000000 0.036354769631 Long DBT CORP CA N 2 2031-12-15 Fixed 4.75000000 N N N N N N APX GROUP, INC. 549300OMQVKPRU98OE64 00213MAW4 1620000.00000000 PA USD 1595700.00000000 0.173686544612 Long DBT CORP US N 2 2029-07-15 Fixed 5.75000000 N N N N N N BRK: MORGAN STANLEY N/A CDS862326 660000.00000000 NC USD -19844.51000000 -0.00216000775 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2026-06-20 0.00000000 USD -17443.90000000 USD 660000.00000000 USD -2400.61000000 N N N CARRIAGE SERVICES, INC. N/A 143905AP2 440000.00000000 PA USD 437800.00000000 0.047653048337 Long DBT CORP US N 2 2029-05-15 Fixed 4.25000000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 49927.36000000 0.005434424164 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 844679.98000000 USD 18360000.00000000 MXN 2022-01-18 49927.36000000 N N N ARCOSA, INC. 549300WFHLTCZV7D6V29 039653AA8 500000.00000000 PA USD 506875.00000000 0.055171628313 Long DBT CORP US N 2 2029-04-15 Fixed 4.37500000 N N N N N N THE REPUBLIC OF KENYA 549300VVURQQYU45PR87 491798AJ3 250000.00000000 PA USD 263687.50000000 0.028701491967 Long DBT NUSS KE N 2 2027-05-22 Fixed 7.00000000 N N N N N N MCAFEE 5/21 N/A 55910RAB9 810000.00000000 PA USD 807213.60000000 0.087862468476 Long LON US N 2 2028-07-27 Floating 5.74999920 N N N N N N CMS ENERGY CORPORATION 549300IA9XFBAGNIBW29 125896100 546.00000000 NS USD 35517.30000000 0.003865937902 Long EC US N 1 N N N ZEBRA TECHNOLOGIES CORPORATION PO0I32GKZ3HZMMDPZZ08 989207105 116.00000000 NS USD 69043.20000000 0.007515118654 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1726.30000000 0.000187901912 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 14390000.00000000 SAR 3834827.91000000 USD 2022-01-13 1726.30000000 N N N ARISTOCRAT LEISURE LIMITED N/A 04044PAH7 374977.76000000 PA USD 376267.68000000 0.040955463551 Long LON US N 2 2024-10-19 Floating 4.74999840 N N N N N N NETAPP, INC. QTX3D84DZDD5JYOCYH15 64110D104 490.00000000 NS USD 45075.10000000 0.004906272085 Long EC US N 1 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 30711XYW8 570000.00000000 PA USD 588334.85000000 0.064038257298 Long DBT USGA US N 2 2030-07-25 Floating 3.65275080 N N N N N N LAMB WESTON HOLDINGS, INC. 5493005SMYID1D2OY946 513272104 325.00000000 NS USD 20598.50000000 0.002242077012 Long EC US N 1 N N N MEXICAN PESO N/A N/A 1.00000000 NC 2399.03000000 0.000261126296 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 70202.55000000 USD 1490000.00000000 MXN 2022-01-18 2399.03000000 N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287Y109 3590.00000000 NS USD 486086.00000000 0.052908816020 Long EC US N 1 N N N BOOKING HOLDINGS INC. FXM8FAOHMYDIPD38UZ17 09857L108 83.00000000 NS USD 199136.09000000 0.021675289452 Long EC US N 1 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 20753QAF6 460000.00000000 PA USD 474109.67000000 0.051605233032 Long ABS-MBS US N 2 2031-04-25 Floating 4.45187880 N N N N N N ROYAL CARIBBEAN CRUISES N/A N/A 360000.00000000 PA USD 338400.00000000 0.036833694740 Long LON US N 2 2022-04-05 Floating 0.00000000 N N N N N N Republique de Cote d'Ivoire 254900ICW11T82O6H590 AR7769417 100000.00000000 PA 112769.66000000 0.012274595840 Long DBT NUSS CI N 2 2048-03-22 Fixed 6.62500000 N N N N N N MARATHON CLO LTD. N/A 56578HAJ5 330000.00000000 PA USD 329831.37000000 0.035901028363 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 3.43149840 N N N N N N BRK: BNP PARIBAS N/A N/A 4830000.00000000 NC USD -20779.44000000 -0.00226177171 N/A DIR XX N 2 BRK: BNP PARIBAS N/A Y 2026-11-20 0.00000000 USD -8127.09000000 USD -4830000.00000000 USD -12652.35000000 N N N Republica del Ecuador 5299003Y2U5XK0A35H71 N/A 1127580.00000000 PA USD 659634.30000000 0.071798961129 Long DBT NUSS EC N 2 2040-07-31 Fixed 0.50000000 N N N N N N PAYCHEX, INC. 529900K900DW6SUBM174 704326107 634.00000000 NS USD 86541.00000000 0.009419694966 Long EC US N 1 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -438.92000000 -0.00004777495 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 389904.18000000 USD 29230000.00000000 RUB 2022-01-18 -438.92000000 N N N OCP S.A. 213800D26TAPVTCVWG40 67091TAD7 200000.00000000 PA USD 194080.00000000 0.021124951167 Long DBT NUSS MA N 2 2031-06-23 Fixed 3.75000000 N N N N N N FIRST REPUBLIC BANK YWC0TIKBQM2JV8L4IV08 33616C100 352.00000000 NS USD 72691.52000000 0.007912225939 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 34991.57000000 0.003808713971 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 211815650.85000000 RUB 2857257.62000000 USD 2022-01-18 34991.57000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -10370.19000000 -0.00112876008 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 1707996.12000000 USD 2144163.67000000 CAD 2022-01-18 -10370.19000000 N N N MASCO CORPORATION 5GCSNMQXHEYA1JO8QN11 574599106 523.00000000 NS USD 36725.06000000 0.003997398490 Long EC US N 1 N N N MEXICAN PESO N/A N/A 1.00000000 NC 4493.63000000 0.000489116417 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 277070.81000000 USD 5784000.00000000 MXN 2022-01-24 4493.63000000 N N N LABORATORY CORPORATION OF AMERICA HOLDINGS OZ7UA8IXAIFILY2VZH07 50540R409 207.00000000 NS USD 65041.47000000 0.007079543887 Long EC US N 1 N N N Xcel Energy Inc. LGJNMI9GH8XIDG5RCM61 98389B100 1057.00000000 NS USD 71558.90000000 0.007788944085 Long EC US N 1 N N N HALOZYME THERAPEUTICS, INC. 529900242I3SV9AGM753 40637HAC3 390000.00000000 PA USD 347343.75000000 0.037807191658 Long DBT CORP US N 2 2027-03-01 Fixed 0.25000000 N N N N N N FISERV, INC. GI7UBEJLXYLGR2C7GV83 337738108 1186.00000000 NS USD 123094.94000000 0.013398467624 Long EC US N 1 N N N BRK: BANK OF AMERICA N/A N/A 365382600.00000000 NC -82779.95000000 -0.00901031740 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 -82779.95000000 N N N DAVITA INC. M2XHYMU3TZNEZURC6H66 23918K108 156.00000000 NS USD 17746.56000000 0.001931652995 Long EC US N 1 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BZ1 700000.00000000 PA USD 734560.49000000 0.079954423335 Long DBT NUSS GB N 2 2025-03-11 Fixed 3.80300000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 18470.91000000 0.002010496041 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 1220000.00000000 AUD 905410.80000000 USD 2022-01-18 18470.91000000 N N N BERRY GLOBAL, INC. 549300AP2Q7ERHX6RI89 08576PAH4 325000.00000000 PA USD 318019.00000000 0.034615291866 Long DBT CORP US N 2 2026-01-15 Fixed 1.57000000 N N N N N N EXPEDITORS INTERNATIONAL OF WASHINGTON, INC 984500B055A804AB6E40 302130109 356.00000000 NS USD 47807.24000000 0.005203656278 Long EC US N 1 N N N CAESARS RESORT COLLECTION, LLC N/A 12769LAD1 305035.73000000 PA USD 304959.47000000 0.033193806223 Long LON US N 2 2025-07-21 Floating 3.59038080 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AL4 410000.00000000 PA USD 306479.10000000 0.033359212806 Long DBT NUSS AR N 2 2025-07-28 Fixed 8.50000000 N N N N N N United States of America N/A N/A 286.00000000 NC USD 37314062.50000000 4.061509419740 N/A DIR US N 1 MORGAN LEWIS GITHENS & AHN INC. N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Mar 2022 2022-03-25 37076817.58000000 USD 237244.92000000 N N N VTR Comunicaciones SpA 213800XDZJKMC1AEUV94 918367AA1 676000.00000000 PA USD 689520.00000000 0.075051918431 Long DBT NUSS CL N 2 2028-01-15 Fixed 5.12500000 N N N N N N BRK: BNP PARIBAS N/A N/A 53010000.00000000 NC 11025.43000000 0.001200080741 N/A DIR XX N 2 BRK: BNP PARIBAS N/A Y 2027-03-10 0.00000000 MXN -6192.55000000 MXN -53010000.00000000 MXN 17217.98000000 N N N THE MICHAELS COMPANIES, INC. 549300H9LWMBP7HYLR98 55916AAB0 580000.00000000 PA USD 571300.00000000 0.062184071527 Long DBT CORP US N 2 2029-05-01 Fixed 7.87500000 N N N N N N WOLVERINE ESCROW, LLC N/A 97789LAC0 1370000.00000000 PA USD 1270675.00000000 0.138308673356 Long DBT CORP US N 2 2024-11-15 Fixed 8.50000000 N N N N N N TRANSDIGM GROUP INCORPORATED N/A 893641100 114.00000000 NS USD 72535.92000000 0.007895289405 Long EC US N 1 N N N COINBASE GLOBAL, INC. 5493004G3J2SC154DU06 19260QAD9 400000.00000000 PA USD 368000.00000000 0.040055554563 Long DBT CORP US N 2 2031-10-01 Fixed 3.62500000 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045VAT7 50000.00000000 PA USD 68438.96000000 0.007449349175 Long DBT CORP US N 2 2049-04-01 Fixed 5.95000000 N N N N N N COINBASE GLOBAL, INC. 5493004G3J2SC154DU06 19260QAC1 710000.00000000 PA USD 662962.50000000 0.072161224436 Long DBT CORP US N 2 2028-10-01 Fixed 3.37500000 N N N N N N MV24 CAPITAL B.V N/A 55388RAA4 180614.00000000 PA USD 186259.99000000 0.020273769544 Long DBT NUSS BR N 2 2034-06-01 Fixed 6.74800000 N N N N N N CARNIVAL CORPORATION N/A P2121YAN8 536123.84000000 PA USD 530762.60000000 0.057771712730 Long LON PA N 2 2025-06-30 Floating 3.75000120 N N N N N N ARISTA NETWORKS, INC. 635400H1WKBLOQERUU95 040413106 480.00000000 NS USD 69000.00000000 0.007510416480 Long EC US N 1 N N N Republic of Iraq 2549004N3P710UQ9X454 N/A 227500.00000000 PA USD 217308.00000000 0.023653240356 Long DBT NUSS IQ N 2 2028-01-15 Fixed 5.80000000 N N N N N N Evergy, Inc. 549300PGTHDQY6PSUI61 30034W106 488.00000000 NS USD 33481.68000000 0.003644367554 Long EC US N 1 N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 526057104 515.00000000 NS USD 59822.40000000 0.006511465780 Long EC US N 1 N N N CLARIVATE SCIENCE HOLDINGS CORPORATION N/A 18064PAD1 270000.00000000 PA USD 273812.40000000 0.029803553066 Long DBT CORP US N 2 2029-07-01 Fixed 4.87500000 N N N N N N VIRGIN PULSE INC TL N/A N/A 320000.00000000 PA USD 316000.00000000 0.034395530549 Long LON US N 2 2029-04-06 Floating 7.99999920 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040Q104 833.00000000 NS USD 71446.41000000 0.007776699929 Long EC US N 1 N N N BROWN-FORMAN CORPORATION 549300873K3LXF7ARU34 115637209 384.00000000 NS USD 27978.24000000 0.003045336736 Long EC US N 1 N N N B3 S.A. - BRASIL, BOLSA, BALCAO 4GTK5S46E6H318LMDS44 11778EAA4 700000.00000000 PA USD 674632.00000000 0.073431410017 Long DBT NUSS BR N 2 2031-09-20 Fixed 4.12500000 N N N N N N SCIENTIFIC GAMES INTERNATIONAL INC N/A 80875AAP6 741497.56060000 PA USD 738368.44000000 0.080368905805 Long LON US N 2 2024-08-14 Floating 2.85424920 N N N N N N ZIMMER BIOMET HOLDINGS, INC. 2P2YLDVPES3BXQ1FRB91 98956P102 459.00000000 NS USD 58311.36000000 0.006346994190 Long EC US N 1 N N N Government National Mortgage Association N/A 38380Y2Z7 1831007.72820000 PA USD 330656.38000000 0.035990827910 Long DBT USGA US N 2 2048-09-20 Floating 6.09612120 N N N N N N Republica de Guatemala 529900QKDFFU9UWW5315 401494AR0 530000.00000000 PA USD 606855.30000000 0.066054145601 Long DBT NUSS GT N 2 2050-06-01 Fixed 6.12500000 N N N N N N BATH & BODY WORKS, INC. GR3KVMWVCR54YWQNXU90 501797AN4 710000.00000000 PA USD 784550.00000000 0.085395612317 Long DBT CORP US N 2 2028-02-01 Fixed 5.25000000 N N N N N N NMI HOLDINGS, INC. 529900KNNGFXJX1C3Z08 629209AA5 410000.00000000 PA USD 465555.00000000 0.050674086154 Long DBT CORP US N 2 2025-06-01 Fixed 7.37500000 N N N N N N ALARM.COM HOLDINGS, INC. 549300HIH92U1EKIHZ32 011642AA3 57000.00000000 PA USD 51300.00000000 0.005583831383 Long DBT CORP US N 2 2026-01-15 Fixed 0.00000000 N N N N N N OMNICOM GROUP INC. HKUPACFHSSASQK8HLS17 681919106 375.00000000 NS USD 27476.25000000 0.002990696823 Long EC US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35563PMX4 1720000.00000000 PA USD 1752907.21000000 0.190798017378 Long ABS-MBS US N 2 2059-02-25 Floating 4.50000000 N N N N N N Huarong Finance 2017 Co., Ltd. 5493006V07LYI3HE6G83 G463PSAB0 200000.00000000 PA USD 200000.00000000 0.021769323132 Long DBT NUSS CN N 2 2170-07-24 Fixed 4.50000000 N N N N N N JACK HENRY & ASSOCIATES, INC. 529900X1QS8C54W0JB21 426281101 154.00000000 NS USD 25716.46000000 0.002799149637 Long EC US N 1 N N N EDWARDS LIFESCIENCES CORPORATION YA13X31F3V31L8TMPR58 28176E108 1253.00000000 NS USD 162326.15000000 0.017668652061 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1698.05000000 -0.00018482699 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 390000.00000000 EUR 441947.61000000 USD 2022-01-18 -1698.05000000 N N N Digicel Group 0.5 Ltd N/A 25381YAB7 90772.00000000 PA USD 84077.57000000 0.009151558947 Long DBT NUSS JM N 2 2025-04-01 Fixed 8.00000000 N N Y N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140HXEV8 100000.00000000 PA USD 106245.91000000 0.011564507731 Long DBT USGA US N 2 2035-01-01 Fixed 2.68000000 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00772BAP6 2300000.00000000 PA USD 2344854.46000000 0.255229472191 Long DBT NUSS IE N 2 2022-07-01 Fixed 4.62500000 N N N N N N BRK: MORGAN STANLEY N/A CDS869779 -880000.00000000 NC USD 169778.75000000 0.018479842348 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2026-06-20 168093.51000000 USD 0.00000000 USD -880000.00000000 USD 1685.24000000 N N N CarMax, Inc. 529900F60CID3NCZM330 143130102 360.00000000 NS USD 46882.80000000 0.005103034112 Long EC US N 1 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 455780CQ7 900000.00000000 PA USD 937641.69000000 0.102059124660 Long DBT NUSS ID N 2 2030-02-14 Fixed 2.85000000 N N N N N N THARALDSON HOTEL PORTFOLIO TRUST N/A 88327HAN3 1741672.55900000 PA USD 1697960.41000000 0.184817244157 Long ABS-MBS US N 2 2034-11-11 Floating 3.58400160 N N N N N N CATHEDRAL LAKE CLO LTD. N/A 14919MAA0 300000.00000000 PA USD 290684.10000000 0.031639980511 Long ABS-CBDO CORP KY Y 2 2034-04-25 Floating 7.33388040 N N N N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 N/A 260000.00000000 PA 292592.03000000 0.031847652235 Long DBT NUSS TR N 2 2026-02-16 Fixed 5.20000000 N N N N N N MTN (MAURITIUS) INVESTMENTS LIMITED 2549009PQD415OQIR074 N/A 2150000.00000000 PA USD 2398411.00000000 0.261058920317 Long DBT NUSS ZA N 2 2026-10-13 Fixed 6.50000000 N N N N N N ITT HOLDINGS LLC 549300TH2PHOLK31LB42 45074JAA2 485000.00000000 PA USD 480150.00000000 0.052262702510 Long DBT CORP US N 2 2029-08-01 Fixed 6.50000000 N N N N N N NEXTERA ENERGY, INC. N/A 65339F101 3976.00000000 NS USD 371199.36000000 0.040403794072 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2970.40000000 0.000323317987 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 14600000.00000000 RUB 197503.17000000 USD 2022-01-18 2970.40000000 N N N NISOURCE INC. 549300D8GOWWH0SJB189 65473P105 886.00000000 NS USD 24462.46000000 0.002662655981 Long EC US N 1 N N N MEXICAN PESO N/A N/A 1.00000000 NC 11395.91000000 0.001240406235 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 849446.56000000 USD 17667044.49000000 MXN 2022-01-18 11395.91000000 N N N AMERILIFE HOLDINGS LLC N/A 03078CAA2 158025.00000000 PA USD 157353.39000000 0.017127383964 Long LON US N 2 2027-03-18 Floating 4.09971600 N N N N N N THE GAP, INC. T2ZG1WRWZ4BUCMQL9224 364760AP3 455000.00000000 PA USD 450040.50000000 0.048985385336 Long DBT CORP US N 2 2029-10-01 Fixed 3.62500000 N N N N N N N/A N/A 011BW6RM3 26.00000000 NC USD 5525.00000000 0.000601377551 N/A DIR US N 1 JP MORGAN N/A Put Purchased N/A Put Option 4200 Jan 2022 on S&P 500 Future (e-Mini) Mar 2022 1300.00000000 200.00000000 USD 2022-01-24 XXXX -64992.10000000 N N N APTIV PLC N/A G6095L109 535.00000000 NS USD 88248.25000000 0.009605523350 Long EC US N 1 N N N BRK: MORGAN STANLEY & CO INC (PAS) N/A CDS860813 1290000.00000000 NC USD -29615.35000000 -0.00322353061 N/A DCR XX N 2 BRK: MORGAN STANLEY & CO INC (PAS) N/A Y 2024-12-20 0.00000000 USD -16638.34000000 USD 1290000.00000000 USD -12977.01000000 N N N Samarco Mineracao S.A. 529900U8HKV15GJC4O60 P84050AB2 200000.00000000 PA USD 129000.00000000 0.014041213420 Long DBT NUSS BR N 2 2023-10-24 Floating 5.74999920 Y N N N N N SEDGWICK CLAIMS MANAGEMENT SERVICES, INC. N/A 81527CAL1 852468.51000000 PA USD 845188.43000000 0.091995900202 Long LON US N 2 2025-12-31 Floating 3.35424960 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 N/A 700000.00000000 PA 1042922.35000000 0.113518568196 Long DBT NUSS GB N 2 2170-09-15 Fixed 7.12500000 N N N Y Y BARCLAYS PLC GBP XXXX N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 904678AS8 440000.00000000 PA USD 479394.06000000 0.052180420999 Long DBT NUSS IT N 2 2035-06-30 Fixed 5.45900000 N N N N N N GRANITE US HOLDINGS CORPORATION N/A 38748YAA0 820000.00000000 PA USD 891750.00000000 0.097063969516 Long DBT CORP US N 2 2027-10-01 Fixed 11.00000000 N N N N N N RANGE RESOURCES CORPORATION H3Y3WLYCX0BTO1TRW162 75281ABG3 1000000.00000000 PA USD 1077792.50000000 0.117314066011 Long DBT CORP US N 2 2026-02-01 Fixed 9.25000000 N N N N N N GRINDING MEDIA INC. (MOLYCOP LTD.) N/A 39854KAB6 950000.00000000 PA USD 947625.00000000 0.103145774167 Long LON US N 2 2028-09-21 Floating 4.74999840 N N N N N N CNX MIDSTREAM PARTNERS LP N/A 12654AAA9 430000.00000000 PA USD 428387.50000000 0.046628529567 Long DBT CORP US N 2 2030-04-15 Fixed 4.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 11312.46000000 0.001231322985 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 920000.00000000 CAD 739715.74000000 USD 2022-01-18 11312.46000000 N N N HILTON GRAND VACATIONS BORROWER LLC 254900HF0EZ734FDVY79 43284MAA6 1010000.00000000 PA USD 1035250.00000000 0.112683458864 Long DBT CORP US N 2 2029-06-01 Fixed 5.00000000 N N N N N N USD CALL MXN PUT N/A USMXC0160 -260000.00000000 NC USD -648.62000000 -0.00007060009 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A Call Written N/A N/A -260000.00000000 22.38310000 USD 2022-02-25 XXXX 4036.58000000 N N N NOBLE CORP WARRANTS N/A N/A 2787.00000000 NC USD 32050.50000000 0.003488588455 N/A DE US N 2 CORPORATE ACTION N/A Call Purchased N/A N/A 2787.00000000 0.01000000 USD 2028-02-05 XXXX 25083.00000000 N N N Romania 315700IASY927EDWBK92 77586RAF7 200000.00000000 PA USD 235792.40000000 0.025665204738 Long DBT NUSS RO N 2 2048-06-15 Fixed 5.12500000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 251525AX9 400000.00000000 PA USD 415500.00000000 0.045225768807 Long DBT NUSS DE N 2 2170-04-30 Fixed 6.00000000 N N N N N N EMERSON ELECTRIC CO. FGLT0EWZSUIRRITFOA30 291011104 1190.00000000 NS USD 110634.30000000 0.012042169131 Long EC US N 1 N N N Islamic Republic of Pakistan 529900LOP29R5WKHOD86 N/A 370000.00000000 PA USD 399600.00000000 0.043495107618 Long DBT NUSS PK N 2 2025-09-30 Fixed 8.25000000 N N N N N N COLGATE-PALMOLIVE COMPANY YMEGZFW4SBUSS5BQXF88 194162103 1687.00000000 NS USD 143968.58000000 0.015670492694 Long EC US N 1 N N N BRK: CITIBANK, NA N/A N/A 4270000.00000000 NC 54492.28000000 0.005931300257 N/A DIR XX N 2 BRK: CITIBANK, NA N/A Y 2029-03-16 0.00000000 EUR -2100.72000000 EUR -4270000.00000000 EUR 56593.00000000 N N N SEALED AIR CORPORATION Q0M0CZB4YN6JZ65WXI09 81211KAK6 411000.00000000 PA USD 521900.13000000 0.056807062864 Long DBT CORP US Y 2 2033-07-15 Fixed 6.87500000 N N N N N N MCKESSON CORPORATION 549300WZWOM80UCFSF54 58155Q103 293.00000000 NS USD 72831.01000000 0.007927408953 Long EC US N 1 N N N Carnival Corporation F1OF2ZSX47CR0BCWA982 143658BJ0 1090000.00000000 PA USD 1245559.35000000 0.135574919854 Long DBT NUSS US N 2 2027-08-01 Fixed 9.87500000 N N N N N N STARBUCKS CORPORATION OQSJ1DU9TAOC51A47K68 855244109 2385.00000000 NS USD 278973.45000000 0.030365315892 Long EC US N 1 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -55174.85000000 -0.00600559569 N/A DFE NO N 2 BNP PARIBAS N/A 1835122.76000000 USD 15698282.40000000 NOK 2022-01-18 -55174.85000000 N N N CONSOLIDATED EDISON, INC. 54930033SBW53OO8T749 209115104 668.00000000 NS USD 56993.76000000 0.006203577889 Long EC US N 1 N N N N/A N/A 02862PAA5 1640890.00000000 PA USD 1870614.60000000 0.203610068418 Long DBT CORP US N 2 2026-09-01 Fixed 8.50000000 N N N N N N OLD DOMINION FREIGHT LINE, INC. 5299009TWK32WE417T96 679580100 177.00000000 NS USD 63433.26000000 0.006904495671 Long EC US N 1 N N N Republica del Peru 254900STKLK2DBJJZ530 715638DF6 480000.00000000 PA USD 477604.80000000 0.051985666104 Long DBT NUSS PE N 2 2031-01-23 Fixed 2.78300000 N N N N N N Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III 254900G208H6Q0L5B953 71567RAF3 200000.00000000 PA USD 224090.00000000 0.024391438103 Long DBT NUSS ID N 2 2026-03-29 Fixed 4.55000000 N N N N N N GILEAD SCIENCES, INC. 549300WTZWR07K8MNV44 375558103 2523.00000000 NS USD 183195.03000000 0.019940159021 Long EC US N 1 N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAD7 440000.00000000 PA USD 443740.00000000 0.048299597234 Long DBT CORP ZA N 2 2031-03-18 Fixed 5.50000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RKG6 875000.00000000 PA USD 856472.93000000 0.093224179836 Long DBT CORP US N 2 2028-02-01 Fixed 1.65000000 N N N N N N BRK: BARCLAYS BANK PLC N/A N/A 5130000.00000000 NC 45153.70000000 0.004914827429 N/A DIR XX N 2 BRK: BARCLAYS BANK PLC N/A Y 2032-03-16 0.00000000 EUR -64170.05000000 EUR -5130000.00000000 EUR 109323.75000000 N N N NEWREZ WAREHOUSE SECURITIZATION TRUST N/A 65246PAF8 430000.00000000 PA USD 428927.97000000 0.046687357897 Long ABS-MBS US Y 2 2055-05-25 Floating 5.35187880 N N N N N N FIRST QUANTUM MINERALS LTD. 549300I7UVBGWRYMYZ18 335934AT2 1300000.00000000 PA USD 1399125.00000000 0.152290021138 Long DBT NUSS ZM N 2 2027-10-15 Fixed 6.87500000 N N N N N N PACTIV LLC 549300O4WTC6DL4JIE57 880394AE1 250000.00000000 PA USD 278005.00000000 0.030259903387 Long DBT CORP US N 2 2027-04-15 Fixed 8.37500000 N N N N N N ACCENTURE PUBLIC LIMITED COMPANY N/A G1151C101 1283.00000000 NS USD 531867.65000000 0.057891993682 Long EC US N 1 N N N XPO CNW, INC. N/A 12612WAB0 590000.00000000 PA USD 724502.30000000 0.078859623394 Long DBT CORP US N 2 2034-05-01 Fixed 6.70000000 N N N N N N PINNACLE WEST CAPITAL CORPORATION TWSEY0NEDUDCKS27AH81 723484101 217.00000000 NS USD 15318.03000000 0.001667315724 Long EC US N 1 N N N ROPER TECHNOLOGIES, INC. 54930003T4SXCIWVXY35 776696106 210.00000000 NS USD 103290.60000000 0.011242832239 Long EC US N 1 N N N FIRST HORIZON CORPORATION TF3RXI1ZB1TQ30H9JV10 320517AD7 625000.00000000 PA USD 668169.66000000 0.072728006179 Long DBT CORP US N 2 2025-05-26 Fixed 4.00000000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141G104 686.00000000 NS USD 262429.30000000 0.028564541155 Long EC US N 1 N N N RENEW CLEAN ENERGY PRIVATE LIMITED 3358008RR2HQOCUDCQ35 Y7275HAA6 200000.00000000 PA USD 207460.09000000 0.022581328681 Long DBT NUSS IN N 2 2024-03-12 Fixed 6.67000000 N N N N N N ROUGH COUNTRY LLC N/A N/A 700000.00000000 PA USD 697816.00000000 0.075954909955 Long LON US N 2 2028-07-26 Floating 7.49999880 N N N N N N FMC CORPORATION CKDHZ2X64EEBQCSP7013 302491303 272.00000000 NS USD 29890.08000000 0.003253434049 Long EC US N 1 N N N MEXICAN PESO N/A N/A 1.00000000 NC 10720.95000000 0.001166939124 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 326949.47000000 USD 6930000.00000000 MXN 2022-01-18 10720.95000000 N N N State of Qatar 52990074F6OJOAXK4P65 74727PBB6 440000.00000000 PA USD 576681.60000000 0.062769840474 Long DBT NUSS QA N 2 2049-03-14 Fixed 4.81700000 N N N N N N CROWN CASTLE INTERNATIONAL CORP. 54930012H97VSM0I2R19 22822V101 869.00000000 NS USD 181395.06000000 0.019744238378 Long EC US N 1 N N N PENSKE AUTOMOTIVE GROUP, INC. 549300W7UTQ0M4C7LB15 70959WAK9 848000.00000000 PA USD 840580.00000000 0.091494288193 Long DBT CORP US N 2 2029-06-15 Fixed 3.75000000 N N N N N N Republica de Guatemala 529900QKDFFU9UWW5315 401494AN9 770000.00000000 PA USD 810432.70000000 0.088212856617 Long DBT NUSS GT N 2 2026-05-03 Fixed 4.50000000 N N N N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 Y8137FAE8 570000.00000000 PA USD 292227.60000000 0.031807985263 Long DBT NUSS LK N 2 2025-11-03 Fixed 6.85000000 N N N N N N NOBLE FINANCE COMPANY 5493003DTPH8AMMK4P51 65505JAC5 179828.00000000 PA USD 197810.80000000 0.021531036121 Long DBT NUSS US N 2 2028-02-15 Fixed 11.00000000 N N Y N N N PACIFIC BELLS, LLC 549300VGOQXINYVBJF37 74049LAQ4 2680.41000000 PA USD -13.40000000 -0.00000145854 Long LON US N 2 2028-10-14 Floating 0.00000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -25646.27000000 -0.00279150969 N/A DFE NO N 2 BNP PARIBAS N/A 769451.10000000 USD 6560000.00000000 NOK 2022-01-18 -25646.27000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 18130.88000000 0.001973484926 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 704961.33000000 USD 14840000.00000000 MXN 2022-01-18 18130.88000000 N N N ARCHES BUYER INC. 2549009ADY4208OH2Y47 039524AB9 364000.00000000 PA USD 366273.18000000 0.039867596050 Long DBT CORP US N 2 2028-12-01 Fixed 6.12500000 N N N N N N BRK: MORGAN STANLEY N/A N/A -860000.00000000 NC USD 19184.05000000 0.002088118917 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-12-20 11720.53000000 USD 0.00000000 USD -860000.00000000 USD 7463.52000000 N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05971KAG4 200000.00000000 PA USD 195712.42000000 0.021302634560 Long DBT NUSS ES N 2 2030-12-03 Fixed 2.74900000 N N N N N N Kraft Heinz Foods Company 5493003STKEZ2S0RNU91 50077LAB2 1671000.00000000 PA USD 1956741.57000000 0.212984697620 Long DBT CORP US N 2 2046-06-01 Fixed 4.37500000 N N N N N N Azarbayjan Respublikasi 549300P74FF45UQVU281 N/A 160000.00000000 PA USD 161923.20000000 0.017624792317 Long DBT NUSS AZ N 2 2032-09-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 586.00000000 NC USD 144170650.00000000 15.69248733035 N/A DO US N 1 CITIGROUP GLOBAL MARKETS N/A Long Interest Rate Futures 3M -- 90 Day EuroDollar Future (Consolidated) Dec 2023 2023-12-21 144612196.60000000 USD -441546.60000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1156.47000000 -0.00012587784 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 365358.11000000 USD 460000.00000000 CAD 2022-01-18 -1156.47000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -7808.69000000 -0.00084994947 N/A DFE NO N 2 BNP PARIBAS N/A 720999.60000000 USD 6290000.00000000 NOK 2022-01-18 -7808.69000000 N N N TALEN ENERGY SUPPLY, LLC K5K33XN0PQAU1XF7NN66 87422VAF5 510000.00000000 PA USD 451350.00000000 0.049127919979 Long DBT CORP US N 2 2027-05-15 Fixed 7.25000000 N N N N N N Mexico City Airport Trust N/A 59284MAB0 200000.00000000 PA USD 199700.00000000 0.021736669147 Long DBT NUSS MX N 2 2046-10-31 Fixed 5.50000000 N N N N N N CONSTELLATION BRANDS, INC. 5493005GKEG8QCVY7037 21036P108 324.00000000 NS USD 81314.28000000 0.008850784183 Long EC US N 1 N N N BLAST MOTION INC. N/A 09345BAA8 520000.00000000 PA USD 520780.00000000 0.056685140504 Long DBT CORP US N 3 2024-01-15 Fixed 7.00000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -10719.82000000 -0.00116681612 N/A DFE NO N 2 BNP PARIBAS N/A 406433.06000000 USD 3490000.00000000 NOK 2022-01-18 -10719.82000000 N N N GRUBHUB HOLDINGS INC. N/A 40010PAA6 300000.00000000 PA USD 297900.00000000 0.032425406805 Long DBT CORP US N 2 2027-07-01 Fixed 5.50000000 N N N N N N GARDA WORLD SECURITY CORPORATION N/A C4000KAD6 678623.09000000 PA USD 676363.28000000 0.073619853986 Long LON US N 2 2026-10-30 Floating 4.35999960 N N N N N N LyondellBasell Industries N.V. BN6WCCZ8OVP3ITUUVN49 N53745100 585.00000000 NS USD 53954.55000000 0.005872770167 Long EC US N 1 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -6626.92000000 -0.00072131781 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 563426.20000000 USD 41788690.50000000 RUB 2022-01-18 -6626.92000000 N N N MIDCAP FINANCIAL ISSUER TRUST N/A 59590AAA7 305000.00000000 PA USD 305794.53000000 0.033284699678 Long DBT CORP US N 2 2030-01-15 Fixed 5.62500000 N N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659AX9 175000.00000000 PA USD 213777.36000000 0.023268942141 Long DBT CORP US N 2 2050-10-15 Fixed 4.25000000 N N N N N N DCERT BUYER INC. N/A 24022KAJ8 990000.00000000 PA USD 990000.00000000 0.107758149505 Long LON US N 2 2029-02-19 Floating 7.09038000 N N N N N N Z CAPITAL CREDIT PARTNERS CLO LTD N/A 98878FAS8 450000.00000000 PA USD 435761.10000000 0.047431120972 Long ABS-CBDO CORP KY Y 2 2033-07-15 Floating 4.34959920 N N N N N N TRANE TECHNOLOGIES PLC 549300BURLR9SLYY2705 G8994E103 471.00000000 NS USD 95156.13000000 0.010357422710 Long EC US N 1 N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAX3 260000.00000000 PA USD 264880.64000000 0.028831361218 Long DBT NUSS IE N 2 2032-01-30 Fixed 3.30000000 N N N N N N MONITRONICS INTERNATIONAL N/A 60945HAB0 646700.51000000 PA USD 601431.47000000 0.065463780062 Long LON US N 2 2024-03-29 Floating 7.75000080 N N N N N N Huarong Finance 2019 Co., Ltd. 549300M6T6OW4AGYHK10 N/A 550000.00000000 PA USD 545699.00000000 0.059397489320 Long DBT NUSS CN N 2 2023-02-24 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38380TZK5 944590.86400000 PA USD 140748.29000000 0.015319975026 Long DBT USGA US N 2 2047-07-20 Floating 5.55612120 N N N N N N EyeCare Partners 10/21 Incremental Cov-Lite TL N/A N/A 370000.00000000 PA USD 368242.50000000 0.040081949868 Long LON US N 2 2028-10-14 Floating 4.25000160 N N N N N N Bundesrepublik Deutschland N/A N/A 5.00000000 NC 757605.05000000 0.082462745701 N/A DIR DE N 1 UBS SECURITIES N/A Long Germany Govt. Bond Futures Euro-BOBL Future Mar 2022 2022-03-11 756709.66000000 EUR 895.39000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BBVK5 684306.51970000 PA USD 104460.55000000 0.011370177337 Long DBT USGA US N 2 2050-09-25 Fixed 4.00000000 N N N N N N BRK: MORGAN STANLEY N/A N/A -525000.00000000 NC USD 3158.62000000 0.000343805097 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 6204.44000000 USD 0.00000000 USD -525000.00000000 USD -3045.82000000 N N N BRK: TORONTO DOMINION BANK N/A N/A 890000.00000000 NC USD -12917.10000000 -0.00140598261 N/A DIR XX N 2 BRK: TORONTO DOMINION BANK N/A Y 2032-03-16 0.00000000 USD -17250.13000000 USD -890000.00000000 USD 4333.03000000 N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST N/A 94983RAD6 470028.87080000 PA USD 466690.44000000 0.050797674956 Long ABS-MBS US N 2 2036-04-25 Floating 2.63925720 N N N N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 25714PEB0 660000.00000000 PA USD 693006.60000000 0.075431423041 Long DBT NUSS DO N 2 2049-06-05 Fixed 6.40000000 N N N N N N CCO HOLDINGS, LLC N/A 1248EPCN1 790000.00000000 PA USD 812712.50000000 0.088461005131 Long DBT CORP US N 2 2032-05-01 Fixed 4.50000000 N N N N N N ROLLINS, INC. 549300F2A0BXT4SGWD84 775711104 442.00000000 NS USD 15120.82000000 0.001645850083 Long EC US N 1 N N N LAKESHORE LEARNING MATERIALS N/A 51207KAB5 1350000.00000000 PA USD 1344100.50000000 0.146300790535 Long LON US N 2 2028-09-29 Floating 3.99999960 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 N/A 5621.00000000 PA 2211.71000000 0.000240737148 Long DBT NUSS AR N 2 2029-07-09 Fixed 0.50000000 N N N N N N NUSTAR LOGISTICS, L.P. N62BF2PKP51FIIOIUN20 67059TAF2 915000.00000000 PA USD 992775.00000000 0.108060198864 Long DBT CORP US N 2 2026-06-01 Fixed 6.00000000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 28228PAA9 488000.00000000 PA USD 494100.00000000 0.053781112798 Long DBT NUSS GB N 2 2025-02-07 Fixed 6.75000000 N N N N N N CHARTER COMMUNICATIONS OPERATING, LLC 549300TPZNMN50BJ3745 161175BJ2 650000.00000000 PA USD 696334.83000000 0.075793689613 Long DBT CORP US N 2 2028-02-15 Fixed 3.75000000 N N N N N N Government National Mortgage Association N/A 38380YR64 418404.74360000 PA USD 73879.57000000 0.008041541161 Long DBT USGA US N 2 2048-09-20 Floating 6.09612120 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35563PES4 1720000.00000000 PA USD 1764759.90000000 0.192088142571 Long ABS-MBS US N 2 2057-05-25 Floating 4.74999840 N N N N N N ALLIANT ENERGY FINANCE, LLC 54930033ER6EOI5DL570 01882YAB2 125000.00000000 PA USD 137952.88000000 0.015015704108 Long DBT CORP US N 2 2028-06-15 Fixed 4.25000000 N N N N N N CSMC COMMERCIAL MORTGAGE TRUST N/A 12597HAC0 1440000.00000000 PA USD 1395253.44000000 0.151868614935 Long ABS-MBS US N 2 2022-12-15 Floating 7.99999920 N N N N N N SKYMILES IP LTD. (DELA AIR LINES, INC.) N/A 24736CBS2 780000.00000000 PA USD 823875.00000000 0.089676005478 Long LON US N 2 2027-10-20 Floating 4.74999840 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XBA1 850000.00000000 PA USD 881992.30000000 0.096001876895 Long DBT CORP US N 2 2025-03-01 Fixed 3.25000000 N N N N N N ANTERO MIDSTREAM PARTNERS LP 529900HFO1BDEIT4QU11 03690AAD8 950000.00000000 PA USD 984437.50000000 0.107152690206 Long DBT CORP US N 2 2027-03-01 Fixed 5.75000000 N N N N N N DISH NETWORK CORPORATION 529900U350CWHH15G169 25470M109 574.00000000 NS USD 18620.56000000 0.002026784937 Long EC US N 1 N N N Republica de Guatemala 529900QKDFFU9UWW5315 401494AP4 790000.00000000 PA USD 828322.90000000 0.090160144340 Long DBT NUSS GT N 2 2027-06-05 Fixed 4.37500000 N N N N N N INTELSAT JACKSON HOLDINGS S.A. 8XJ8KF85PBKK1TLMFN29 45824TAP0 1747000.00000000 PA USD 791076.54000000 0.086106004108 Long DBT NUSS LU N 2 2023-08-01 Fixed 5.50000000 Y N N N N N Joint Stock Company KazTransGas 635400YGLXBBSVHONW39 48668NAA9 300000.00000000 PA USD 326250.00000000 0.035511208359 Long DBT NUSS KZ N 2 2027-09-26 Fixed 4.37500000 N N N N N N GLOBAL PARTNERS LP 549300PCHWTW9P4DU444 37954FAJ3 545000.00000000 PA USD 570696.75000000 0.062118409807 Long DBT CORP US N 2 2029-01-15 Fixed 6.87500000 N N N N N N BECTON, DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 075887109 575.00000000 NS USD 144601.00000000 0.015739329471 Long EC US N 1 N N N WYNN RESORTS, LIMITED 254900CEKKWIHTEAB172 983134107 213.00000000 NS USD 18113.52000000 0.001971595349 Long EC US N 1 N N N DUKE REALTY CORPORATION 254900E47KH1NFFKNF25 264411505 733.00000000 NS USD 48114.12000000 0.005237059127 Long EC US N 1 N N N THE CHEMOURS COMPANY 549300M1BOLNXL8DOV14 163851AH1 1645000.00000000 PA USD 1632251.25000000 0.177665024473 Long DBT CORP US N 2 2029-11-15 Fixed 4.62500000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 19203.55000000 0.002090241426 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 406660.73000000 USD 8740000.00000000 MXN 2022-01-18 19203.55000000 N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05971KAE9 600000.00000000 PA USD 620154.02000000 0.067501666266 Long DBT NUSS ES N 2 2025-05-28 Fixed 2.74600000 N N N N N N APPLOVIN CORPORATION N/A 03835EAC8 149008.33000000 PA USD 148565.78000000 0.016170882356 Long LON US N 2 2025-08-15 Floating 3.34037880 N N N N N N DIRECTV FINANCING, LLC N/A 25461LAA0 830000.00000000 PA USD 849679.30000000 0.092484716203 Long DBT CORP US N 2 2027-08-15 Fixed 5.87500000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 N/A 280000.00000000 PA USD 353679.20000000 0.038496783950 Long DBT NUSS QA N 2 2046-06-02 Fixed 4.62500000 N N N N N N NEWELL BRANDS INC. 549300LWGYFM1TVO1Z12 651229106 839.00000000 NS USD 18323.76000000 0.001994479262 Long EC US N 1 N N N DENTSPLY SIRONA INC. 9NHEHR1SOZCYXDO8HO28 24906PAA7 325000.00000000 PA USD 343285.90000000 0.037365508419 Long DBT CORP US N 2 2030-06-01 Fixed 3.25000000 N N N N N N FRONERI INTERNATIONAL LIMITED N/A G3679YAC6 138250.00000000 PA USD 136286.85000000 0.014834362381 Long LON US N 2 2027-01-29 Floating 2.34038160 N N N N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05964HAB1 400000.00000000 PA USD 439768.26000000 0.047867286776 Long DBT NUSS ES N 2 2027-04-11 Fixed 4.25000000 N N N N N N CME GROUP INC. LCZ7XYGSLJUHFXXNXD88 12572Q105 722.00000000 NS USD 164948.12000000 0.017954044621 Long EC US N 1 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGF0 1525000.00000000 PA USD 1651385.58000000 0.179747731536 Long DBT CORP US N 2 2028-01-20 Fixed 3.82400000 N N N N N N OASIS PETROLEUM INC. 529900FA4V2YNIKZ0M71 674215AL2 700000.00000000 PA USD 733250.00000000 0.079811780934 Long DBT CORP US N 2 2026-06-01 Fixed 6.37500000 N N N N N N BIO-TECHNE CORPORATION 54930073RLKQ51TILZ35 09073M104 84.00000000 NS USD 43456.56000000 0.004730099484 Long EC US N 1 N N N SYMPLR SOFTWARE N/A 87190HAC3 477600.00000000 PA USD 477748.06000000 0.052001259470 Long LON US N 2 2027-12-22 Floating 5.24999880 N N N N N N DOLLAR GENERAL CORPORATION OPX52SQVOZI8IVSWYU66 256677105 464.00000000 NS USD 109425.12000000 0.011910553980 Long EC US N 1 N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 25714PDW5 1270000.00000000 PA USD 1346212.70000000 0.146530696356 Long DBT NUSS DO N 2 2048-02-15 Fixed 6.50000000 N N N N N N CLEVELAND-CLIFFS INC. 549300TM2WLI2BJMDD86 185899AL5 715000.00000000 PA USD 742795.63000000 0.080850790454 Long DBT CORP US N 2 2031-03-01 Fixed 4.87500000 N N N N N N Republic of Kazakhstan 5493007OEK8EF02UO833 N/A 720000.00000000 PA USD 810702.72000000 0.088242247380 Long DBT NUSS KZ N 2 2025-07-21 Fixed 5.12500000 N N N N N N GOLUB CAPITAL PARTNERS CLO LTD N/A 38178CAA7 410000.00000000 PA USD 407061.53000000 0.044307269906 Long ABS-CBDO CORP KY Y 2 2034-07-20 Floating 6.83010000 N N N N N N BRK: BANK OF AMERICA, N.A. N/A N/A 790531127.00000000 NC 6115.56000000 0.000665658008 N/A DIR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2031-09-15 20729.52000000 KRW 0.00000000 KRW -790531127.00000000 KRW -14613.96000000 N N N Republica del Ecuador 5299003Y2U5XK0A35H71 N/A 329216.00000000 PA USD 185184.00000000 0.020156651674 Long DBT NUSS EC N 2 2030-07-31 Fixed 0.00000000 N N N N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829107 1010.00000000 NS USD 79335.50000000 0.008635400676 Long EC US N 1 N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 850000.00000000 NC -2240.75000000 -0.00024389805 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2024-01-02 0.00000000 BRL 0.00000000 BRL -850000.00000000 BRL -2240.75000000 N N N F5, INC. 54930015FPK9KT966303 315616102 125.00000000 NS USD 30588.75000000 0.003329481914 Long EC US N 1 N N N DELTA TOPCO, INC. N/A 24780DAC1 1327150.00000000 PA USD 1327627.77000000 0.144507789623 Long LON US N 2 2027-12-01 Floating 4.50056160 N N N N N N THE GEO GROUP, INC. N/A 36162JAA4 990000.00000000 PA USD 871200.00000000 0.094827171565 Long DBT CORP US N 2 2024-10-15 Fixed 5.87500000 N N N N N N SUMMIT MIDSTREAM HOLDINGS, LLC N/A 86614WAE6 1164000.00000000 PA USD 1212806.52000000 0.132009885155 Long DBT CORP US N 2 2026-10-15 Fixed 8.50000000 N N N N N N Petroleos de Venezuela, S.A. 549300YWR8TN1OFD4P06 N/A 8860000.00000000 PA USD 277318.00000000 0.030185125762 Long DBT NUSS VE N 2 2022-10-28 Fixed 6.00000000 Y N N N N N ABN AMRO Bank N.V. BFXS5XCH7N0Y05NIXW11 N/A 400000.00000000 PA 486723.15000000 0.052978167642 Long DBT NUSS NL N 2 2170-09-22 Fixed 4.37500000 N N N N N N Ciudad de Buenos Aires 5299007MC8RF52X0ON96 N/A 480000.00000000 PA USD 427804.80000000 0.046565104644 Long DBT NUSS AR N 2 2027-06-01 Fixed 7.50000000 N N N N N N N/A N/A N/A -119.00000000 NC USD -1438710.00000000 -0.15659871441 N/A DE US N 1 JPM CHASE N/A Call Written Call Option 4685 Jan 2022 on S&P 500 Index N/A N/A -11900.00000000 685.00000000 USD 2022-01-24 XXXX -327904.50000000 N N N CHS/COMMUNITY HEALTH SYSTEMS, INC. 5493007X5NC5XI1BB106 12543DBL3 370000.00000000 PA USD 366048.40000000 0.039843129508 Long DBT CORP US N 2 2030-04-01 Fixed 6.12500000 N N N N N N LAS VEGAS SANDS CORP. 549300DUOO1KXOHPM605 517834107 806.00000000 NS USD 30337.84000000 0.003302171210 Long EC US N 1 N N N THE TJX COMPANIES, INC. V167QI9I69W364E2DY52 872540109 2417.00000000 NS USD 183498.64000000 0.019973205942 Long EC US N 1 N N N SPIRIT AIRLINES, INC. 549300DCAFIXFNFR3304 848577AB8 560000.00000000 PA USD 482742.73000000 0.052544912396 Long DBT CORP US N 2 2026-05-15 Fixed 1.00000000 N N N N N N Cidron Aida Finco SARL 98450036A07991DEBF10 N/A 440000.00000000 PA 588506.18000000 0.064056905989 Long DBT NUSS LU N 2 2028-04-01 Fixed 6.25000000 N N N N N N CATSKILL PARK CLO LTD N/A 149421AA7 900000.00000000 PA USD 888964.20000000 0.096760744615 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.13149840 N N N N N N PACKERS HOLDINGS, LLC N/A 69519UAF9 1020165.80000000 PA USD 1012769.60000000 0.110236543405 Long LON US N 2 2028-03-09 Floating 3.99999960 N N N N N N OWENS-BROCKWAY GLASS CONTAINER INC. V2UQUCDZJ9WY98W8QU33 69073TAT0 267000.00000000 PA USD 281685.00000000 0.030660458932 Long DBT CORP US N 2 2027-05-13 Fixed 6.62500000 N N N N N N IHS MARKIT LTD. 549300HLPTRASHS0E726 G47567105 793.00000000 NS USD 105405.56000000 0.011473038478 Long EC US N 1 N N N GREYSTONE SELECT TL 1L B N/A N/A 288215.38000000 PA USD 288575.65000000 0.031410482865 Long LON US N 2 2028-06-16 Floating 5.30150040 N N N N N N Gray Television 10/21 Cov-Lite TLD N/A N/A 700000.00000000 PA USD 695975.00000000 0.075754523335 Long LON US N 2 2028-10-27 Floating 3.09925080 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 320000.00000000 PA USD 353689.60000000 0.038497915954 Long DBT NUSS GB N 2 2170-09-15 Fixed 8.00000000 N N N Y Y BARCLAYS PLC GBP XXXX N N N THE SOUTHERN COMPANY 549300FC3G3YU2FBZD92 842587107 2122.00000000 NS USD 145526.76000000 0.015840095314 Long EC US N 1 N N N CBRE GROUP, INC. 52990016II9MJ2OSWA10 12504L109 657.00000000 NS USD 71291.07000000 0.007759791696 Long EC US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35565WBD3 1620000.00000000 PA USD 1671060.13000000 0.181889239718 Long DBT USGA US N 2 2050-06-25 Floating 5.20274880 N N N N N N LCM INVESTMENTS HOLDINGS II, LLC 549300P5V78NNQTG4428 50190EAA2 1205000.00000000 PA USD 1238354.40000000 0.134790685430 Long DBT CORP US N 2 2029-05-01 Fixed 4.87500000 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816109 1264.00000000 NS USD 206790.40000000 0.022508435191 Long EC US N 1 N N N INGEVITY CORPORATION 5493009UTFC4B5IMGF87 45688CAB3 735000.00000000 PA USD 715706.25000000 0.077902203120 Long DBT CORP US N 2 2028-11-01 Fixed 3.87500000 N N N N N N ADAPTHEALTH, LLC N/A 00653VAE1 190000.00000000 PA USD 193325.00000000 0.021042771972 Long DBT CORP US N 2 2030-03-01 Fixed 5.12500000 N N N N N N UNIQUIFY, INC. N/A 90915UAA6 180000.00000000 PA USD 180711.70000000 0.019669856955 Long DBT CORP US N 2 2024-06-15 Fixed 6.00000000 N N N N N N DH Europe Finance II S.a r.l. 222100KDGL314CKTZ511 23291KAH8 175000.00000000 PA USD 180808.44000000 0.019680386777 Long DBT NUSS US N 2 2029-11-15 Fixed 2.60000000 N N N N N N SUMMIT MIDSTREAM PARTNERS, LP N/A 866142AA0 1258000.00000000 PA USD 924630.00000000 0.100642846239 Long DBT CORP US N 2 2170-12-15 Fixed 9.50000000 N N N N N N NIELSEN HOLDINGS PLC 549300ZVCBHQE0XHG367 G6518L108 682.00000000 NS USD 13987.82000000 0.001522526867 Long EC US N 1 N N N CAESARS ENTERTAINMENT, INC. 549300FA4CTCW903Y781 12769G100 471.00000000 NS USD 44052.63000000 0.004794979686 Long EC US N 1 N N N ARTHUR J. GALLAGHER & CO. 54930049QLLMPART6V29 363576109 406.00000000 NS USD 68886.02000000 0.007498010143 Long EC US N 1 N N N TRACTOR SUPPLY COMPANY 549300OJ9VZHZRO6I137 892356106 243.00000000 NS USD 57979.80000000 0.006310905006 Long EC US N 1 N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 72650RBF8 175000.00000000 PA USD 182923.74000000 0.019910630023 Long DBT CORP US N 2 2024-11-01 Fixed 3.60000000 N N N N N N Mexico City Airport Trust N/A P6629MAD4 502000.00000000 PA USD 502737.94000000 0.054721323334 Long DBT NUSS MX N 2 2047-07-31 Fixed 5.50000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 650000.00000000 PA USD 718432.00000000 0.078198891783 Long DBT NUSS GB N 2 2170-09-15 Fixed 8.00000000 N N N Y Y BARCLAYS PLC GBP XXXX N N N State of Israel 213800T8ZHTFZIBYPE21 46513JXN6 310000.00000000 PA USD 334817.36000000 0.036443736501 Long DBT NUSS IL N 2 2050-01-15 Fixed 3.37500000 N N N N N N AUTOZONE, INC. GA3JGKJ41LJKXDN23E90 053332102 45.00000000 NS USD 94337.55000000 0.010268323047 Long EC US N 1 N N N Pepsico, Inc. FJSUNZKFNQ5YPJ5OT455 713448108 2808.00000000 NS USD 487777.68000000 0.053092949663 Long EC US N 1 N N N YAPI VE KREDI BANKASI ANONIM SIRKETI B85ZYWEZ5IZCZ2WNIO12 984848AM3 500000.00000000 PA USD 507079.00000000 0.055193833023 Long DBT NUSS TR N 2 2024-10-15 Fixed 8.25000000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -2693.10000000 -0.00029313482 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 197225.87000000 USD 14600000.00000000 RUB 2022-01-18 -2693.10000000 N N N POPULAR ABS MORTGAGE PASS THROUGH TRUST N/A 73316PJE1 101071.17000000 PA USD 100776.70000000 0.010969202732 Long ABS-MBS US N 2 2036-01-25 Fixed 3.42340100 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CF4 226000.00000000 PA USD 265188.61000000 0.028864882710 Long DBT NUSS GB N 2 2030-03-31 Fixed 4.95000000 N N N N N N TYSON FOODS, INC. WD6L6041MNRW1JE49D58 902494103 569.00000000 NS USD 49594.04000000 0.005398143411 Long EC US N 1 N N N RADIOLOGY PARTNERS N/A 75041EAB8 640000.00000000 PA USD 629868.79000000 0.068559086102 Long LON US N 2 2025-07-09 Floating 4.35975120 N N N N N N PENN NATIONAL GAMING, INC. N/A 707569AV1 1219000.00000000 PA USD 1182430.00000000 0.128703503757 Long DBT CORP US N 2 2029-07-01 Fixed 4.12500000 N N N N N N DIGITAL REALTY TRUST, INC. 549300HKCZ31D08NEI41 253868103 563.00000000 NS USD 99577.81000000 0.010838707613 Long EC US N 1 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205AW4 890000.00000000 PA USD 937170.00000000 0.102007782800 Long DBT NUSS ZA N 2 2027-09-27 Fixed 4.85000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BM2 225000.00000000 PA USD 234608.27000000 0.025536316195 Long DBT NUSS GB N 2 2029-11-01 Fixed 3.75400000 N N N N N N ALLIANT ENERGY CORPORATION 5493009ML300G373MZ12 018802108 531.00000000 NS USD 32640.57000000 0.003552815577 Long EC US N 1 N N N THE WILLIAMS COMPANIES, INC. D71FAKCBLFS2O0RBPG08 969457100 2372.00000000 NS USD 61766.88000000 0.006723115848 Long EC US N 1 N N N CATALENT PHARMA SOLUTIONS, INC. 549300HALRZ339MSTH85 14879EAH1 440000.00000000 PA USD 434016.00000000 0.047241172743 Long DBT CORP US N 2 2029-02-15 Fixed 3.12500000 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 09659W2N3 675000.00000000 PA USD 656815.76000000 0.071492172589 Long DBT NUSS FR N 2 2027-01-13 Fixed 1.32300000 N N N N N N RALPH LAUREN CORPORATION HO1QNWM0IXBZ0QSMMO20 751212101 119.00000000 NS USD 14144.34000000 0.001539563539 Long EC US N 1 N N N TAPESTRY, INC. 549300LJNVY5SW3VTN33 876030107 639.00000000 NS USD 25943.40000000 0.002823851288 Long EC US N 1 N N N WEST PHARMACEUTICAL SERVICES, INC. 5493007NKRGM1RJQ1P16 955306105 161.00000000 NS USD 75510.61000000 0.008219074345 Long EC US N 1 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 2818.80000000 0.000306816840 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 852263.31000000 USD 1080000.00000000 CAD 2022-01-18 2818.80000000 N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAN5 285000.00000000 PA USD 325680.81000000 0.035449253954 Long DBT NUSS IE N 2 2025-07-15 Fixed 6.50000000 N N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 30000.00000000 PA USD 2957.40000000 0.000321902981 Long DBT NUSS LB N 2 2034-05-17 Fixed 8.25000000 Y N N N N N BORGWARNER INC. 549300DSFX2IE88NSX47 099724106 394.00000000 NS USD 17757.58000000 0.001932852485 Long EC US N 1 N N N MARATHON PETROLEUM CORPORATION 3BNYRYQHD39K4LCKQF12 56585ABD3 325000.00000000 PA USD 348307.28000000 0.037912068638 Long DBT CORP US N 2 2028-04-01 Fixed 3.80000000 N N N N N N BATH & BODY WORKS, INC. GR3KVMWVCR54YWQNXU90 501797AW4 420000.00000000 PA USD 475650.00000000 0.051772892739 Long DBT CORP US N 2 2030-10-01 Fixed 6.62500000 N N N N N N AMEREN CORPORATION XRZQ5S7HYJFPHJ78L959 023608102 551.00000000 NS USD 49044.51000000 0.005338328930 Long EC US N 1 N N N NEWPORT PARENT, INC. N/A 65230LAC2 907656.25000000 PA USD 907275.03000000 0.098753816490 Long LON US N 2 2027-12-10 Floating 7.49999880 N N N N N N HILTON WORLDWIDE HOLDINGS INC. 549300HVGPK36ICB0B89 43300A203 551.00000000 NS USD 85950.49000000 0.009355419951 Long EC US N 1 N N N MISTER CAR WASH N/A 60646CAF4 266181.20000000 PA USD 264517.57000000 0.028791842277 Long LON US N 2 2026-05-14 Floating 3.10187880 N N N N N N WESTERN DIGITAL CORPORATION 549300QQXOOYEF89IC56 958102105 566.00000000 NS USD 36908.86000000 0.004017404498 Long EC US N 1 N N N TAKE-TWO INTERACTIVE SOFTWARE, INC. BOMSTHHJK882EWYX3334 874054109 244.00000000 NS USD 43363.68000000 0.004719989810 Long EC US N 1 N N N OAKTREE CLO LTD N/A 67401XAJ0 250000.00000000 PA USD 244033.50000000 0.026562220583 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 3.92825160 N N N N N N AMERICAN INTERNATIONAL GROUP, INC. ODVCVCQG2BP6VHV36M30 026874DR5 225000.00000000 PA USD 243306.70000000 0.026483110862 Long DBT CORP US N 2 2030-06-30 Fixed 3.40000000 N N N N N N SCRIPPS ESCROW, INC. N/A 81104PAA7 450000.00000000 PA USD 472753.13000000 0.051457578244 Long DBT CORP US N 2 2027-07-15 Fixed 5.87500000 N N N N N N MARATHON PETROLEUM CORPORATION 3BNYRYQHD39K4LCKQF12 56585A102 1183.00000000 NS USD 75700.17000000 0.008239707309 Long EC US N 1 N N N THE COCA-COLA COMPANY UWJKFUJFZ02DKWI3RY53 191216100 7892.00000000 NS USD 467285.32000000 0.050862425630 Long EC US N 1 N N N ADAPTHEALTH, LLC N/A 00653VAE1 370000.00000000 PA USD 376475.00000000 0.040978029631 Long DBT CORP US N 2 2030-03-01 Fixed 5.12500000 N N N N N N ALLEN MEDIA, LLC N/A 01771YAA8 490000.00000000 PA USD 511219.45000000 0.055644506993 Long DBT CORP US N 2 2028-02-15 Fixed 10.50000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -45286.51000000 -0.00492928334 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 1898656.70000000 USD 2708555.39000000 NZD 2022-01-18 -45286.51000000 N N N N/A N/A 011BW6R70 -26.00000000 NC USD -2860.00000000 -0.00031130132 N/A DIR US N 1 JP MORGAN N/A Put Written N/A Put Option 3900 Jan 2022 on S&P 500 Future (e-Mini) Mar 2022 -1300.00000000 900.00000000 USD 2022-01-24 XXXX 34135.40000000 N N N THERMOSTAT PURCHASER III, INC. N/A 74049LAQ4 47368.42000000 PA USD -118.42000000 -0.00001288961 Long LON US N 2 2028-08-31 Floating 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FW6P0 736839.71120000 PA USD 118573.13000000 0.012906283908 Long DBT USGA US N 2 2050-09-25 Fixed 4.00000000 N N N N N N COMMSCOPE, INC. 549300Z6K4JXMFE8QY54 20338QAA1 710000.00000000 PA USD 729659.90000000 0.079421010699 Long DBT CORP US N 2 2027-03-01 Fixed 8.25000000 N N N N N N MILEAGE PLUS HOLDINGS LLC N/A 59921PAB2 740000.00000000 PA USD 779316.20000000 0.084825930900 Long LON US N 2 2027-06-21 Floating 6.24999960 N N N N N N Ukraine 6354001WLTJXOMEXPY07 903724BV3 640000.00000000 PA USD 645875.20000000 0.070301329660 Long DBT NUSS UA N 2 2028-11-01 Fixed 9.75000000 N N N N N N M.D.C. HOLDINGS, INC. 5299005FV4VNV75R8R35 552676AQ1 180000.00000000 PA USD 227706.12000000 0.024785040527 Long DBT CORP US N 2 2043-01-15 Fixed 6.00000000 N N N N N N BRK: MORGAN STANLEY N/A N/A -410000.00000000 NC USD 6531.93000000 0.000710978474 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 6306.00000000 USD 0.00000000 USD -410000.00000000 USD 225.93000000 N N N TURK TELEKOMUNIKASYON ANONIM SIRKETI 789000A2TXOI10JZLF90 90011QAC4 730000.00000000 PA USD 738964.40000000 0.080433774035 Long DBT NUSS TR N 2 2025-02-28 Fixed 6.87500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -30963.10000000 -0.00337022864 N/A DFE NO N 2 BNP PARIBAS N/A 6161562.74000000 USD 54068933.00000000 NOK 2022-01-18 -30963.10000000 N N N Republic of Uzbekistan 213800L6VDKUM3TCM927 91822Q2C0 660000.00000000 PA USD 632940.00000000 0.068893376917 Long DBT NUSS UZ N 2 2030-11-25 Fixed 3.70000000 N N N N N N EYECARE PARTNERS, LLC N/A 30233PAB6 759577.69000000 PA USD 754594.86000000 0.082135096707 Long LON US N 2 2027-02-18 Floating 3.88149840 N N N N N N HARDEES FUNDING LLC N/A 411707AK8 159600.00000000 PA USD 156954.63000000 0.017083980288 Long ABS-MBS US Y 2 2051-06-20 Fixed 2.86500000 N N N N N N SCULPTOR CLO LTD N/A 81125HAA0 450000.00000000 PA USD 445952.70000000 0.048540442140 Long ABS-CBDO CORP KY Y 2 2034-07-20 Floating 0.00000000 N N N N N N ESKOM HOLDINGS SOC LIMITED 3789001900ED06F65111 S25221AV4 500000.00000000 PA USD 538750.00000000 0.058641114188 Long DBT NUSS ZA N 2 2028-08-10 Fixed 6.35000000 N N N N N N RUSSIA, FEDERATION OF (GOVERNMENT) 5493004EHVGF71PDBU58 N/A 800000.00000000 PA USD 880649.60000000 0.095855728544 Long DBT NUSS RU N 2 2029-03-21 Fixed 4.37500000 N N N N N N II-VI INCORPORATED 549300O5C25A0MMHHU33 902104AC2 420000.00000000 PA USD 428912.40000000 0.046685663155 Long DBT CORP US N 2 2029-12-15 Fixed 5.00000000 N N N N N N A. O. SMITH CORPORATION 549300XG4US7UJNECY36 831865209 291.00000000 NS USD 24982.35000000 0.002719244248 Long EC US N 1 N N N TRANSOCEAN INC. DOL4HJ22ADYSIWES4H94 893830BF5 500000.00000000 PA USD 372500.00000000 0.040545364334 Long DBT NUSS US N 2 2026-01-15 Fixed 7.50000000 N N N N N N VERISIGN, INC. LMPL4N8ZOJRMF0KOF759 92343E102 206.00000000 NS USD 52286.92000000 0.005691254285 Long EC US N 1 N N N N/A N/A 011BVX6R6 -68.00000000 NC USD -36550.00000000 -0.00397834380 N/A DIR US N 1 JP MORGAN N/A Put Written N/A Put Option 4000 Feb 2022 on S&P 500 Future (e-Mini) Mar 2022 -3400.00000000 0.00000000 USD 2022-02-21 XXXX 98639.44000000 N N N SWAPTION PAYER 106 N/A SWTN86288 -3400000.00000000 NC USD -3115.47000000 -0.00033910836 N/A DIR US N 2 BNP PARIBAS N/A Put Written N/A N/A 0.00000000 106.00000000 USD 2022-01-20 XXXX 16536.53000000 N N N TECHNIPFMC PLC 549300D5I93QWCJTCK36 87854XAE1 846000.00000000 PA USD 905728.79000000 0.098585513499 Long DBT NUSS GB N 2 2026-02-01 Fixed 6.50000000 N N N N N N BAUSCH HEALTH COMPANIES INC. B3BS7ACMDUWISF18KY76 071734AM9 390000.00000000 PA USD 344175.00000000 0.037462283945 Long DBT NUSS US N 2 2029-02-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35563PTU3 640000.00000000 PA USD 659445.76000000 0.071778439188 Long ABS-MBS US N 2 2060-05-25 Floating 4.25000160 N N N N N N DISCOVERY, INC. 5493006ZCRFWKF6B1K26 25470F104 459.00000000 NS USD 10804.86000000 0.001176072443 Long EC US N 1 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBL8 725000.00000000 PA USD 747733.50000000 0.081388260892 Long DBT NUSS GB N 2 2026-05-07 Fixed 2.85200000 N N N N N N Kleopatra Holdings 2 SCA 222100ALG258IKQWWE73 N/A 375000.00000000 PA 389205.09000000 0.042363656845 Long DBT NUSS LU N 2 2026-09-01 Fixed 6.50000000 N N N N N N RAYTHEON TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 75513E101 3024.00000000 NS USD 260245.44000000 0.028326835385 Long EC US N 1 N N N Mexico City Airport Trust N/A 59284MAA2 210000.00000000 PA USD 222337.50000000 0.024200684409 Long DBT NUSS MX N 2 2026-10-31 Fixed 4.25000000 N N N N N N Islamic Republic of Pakistan 529900LOP29R5WKHOD86 N/A 200000.00000000 PA USD 201500.00000000 0.021932593055 Long DBT NUSS PK N 2 2027-12-05 Fixed 6.87500000 N N N N N N IDEXX LABORATORIES, INC. OGMTXK0LUU1HKV2P0J84 45168D104 169.00000000 NS USD 111279.74000000 0.012112423090 Long EC US N 1 N N N LOCKHEED MARTIN CORPORATION DPRBOZP0K5RM2YE8UU08 539830109 493.00000000 NS USD 175217.13000000 0.019071791606 Long EC US N 1 N N N ICON PUBLIC LIMITED COMPANY N/A L5000DAD9 89530.82000000 PA USD 89493.22000000 0.009741034121 Long LON US N 2 2028-07-03 Floating 2.75000040 N N N N N N Government National Mortgage Association N/A 38382BDB6 2836700.13360000 PA USD 236465.34000000 0.025738451980 Long DBT USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N CNT HOLDINGS I CORP N/A 12656AAC3 746250.00000000 PA USD 746115.68000000 0.081212166660 Long LON US N 2 2027-11-08 Floating 4.50000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967424 4006.00000000 NS USD 241922.34000000 0.026332427962 Long EC US N 1 N N N Kingdom of Saudi Arabia 635400FMICXSM3SI3H65 80413TAT6 430000.00000000 PA USD 461777.00000000 0.050262863640 Long DBT NUSS SA N 2 2030-10-22 Fixed 3.25000000 N N N N N N TRIUMPH GROUP, INC. 5493007L6S47Q14SL582 896818AP6 1161000.00000000 PA USD 1152292.50000000 0.125423138878 Long DBT CORP US N 2 2025-08-15 Fixed 7.75000000 N N N N N N AMERICAN ELECTRIC POWER COMPANY, INC. 1B4S6S7G0TW5EE83BO58 025537101 996.00000000 NS USD 88614.12000000 0.009645347061 Long EC US N 1 N N N ROCKET SOFTWARE, INC. 549300PVG26ISP5X1556 77314EAA6 530000.00000000 PA USD 517068.00000000 0.056281101867 Long DBT CORP US N 2 2029-02-15 Fixed 6.50000000 N N N N N N ANI TECHNOLOGIES PVT LTD (OLA NETHERLANDS BV) N/A N/A 275000.00000000 PA USD 276375.00000000 0.030082483403 Long LON US N 2 2026-12-03 Floating 6.99999840 N N N N N N UST HOLDINGS LTD TL 1L N/A N/A 490000.00000000 PA USD 487550.00000000 0.053068167466 Long LON US N 2 2028-11-02 Floating 4.25000160 N N N N N N UNIVISION COMMUNICATIONS INC. N/A 914908BC1 0.01000000 PA USD 0.01000000 0.000000001088 Long LON US N 2 2026-03-15 Floating 3.99999960 N N N N N N WALMART INC. Y87794H0US1R65VBXU25 931142103 2884.00000000 NS USD 417285.96000000 0.045420164509 Long EC US N 1 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QDF6 207000.00000000 PA USD 184747.50000000 0.020109140127 Long DBT NUSS MX N 2 2060-01-28 Fixed 6.95000000 N N N N N N JANE STREET GROUP, LLC N/A 47077DAG5 1180022.78000000 PA USD 1169945.39000000 0.127344596211 Long LON US N 2 2028-01-26 Floating 2.84037840 N N N N N N MEG Energy Corp. 5493002WXPTG5ZC1T326 552704AF5 500000.00000000 PA USD 523465.00000000 0.056977393667 Long DBT NUSS CA N 2 2029-02-01 Fixed 5.87500000 N N N N N N EDUCATION FUNDING CAPITAL TRUST N/A 28140XAC3 776883.74920000 PA USD 622958.37000000 0.067806910273 Long ABS-MBS US N 2 2033-04-25 Floating 0.47387880 N N N N N N ICON PUBLIC LIMITED COMPANY N/A L5000DAD9 162988.67000000 PA USD 162920.21000000 0.017733313481 Long LON US N 2 2028-07-03 Floating 2.75000040 N N N N N N RUSSIA, FEDERATION OF (GOVERNMENT) 5493004EHVGF71PDBU58 N/A 444542000.00000000 PA 5571484.41000000 0.606437222244 Long DBT NUSS RU N 2 2028-01-19 Fixed 7.05000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1819.70000000 -0.00019806818 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 1450000.00000000 EUR 1647632.10000000 USD 2022-01-18 -1819.70000000 N N N ADAPTHEALTH, LLC N/A 00653VAC5 310000.00000000 PA USD 310000.02000000 0.033742453032 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N ASURION LLC N/A 04649VAW0 721360.20000000 PA USD 717623.55000000 0.078110894737 Long LON US N 2 2024-11-03 Floating 3.10425120 N N N N N N PRINCIPAL FINANCIAL GROUP, INC. CUMYEZJOAF02RYZ1JJ85 74251V102 539.00000000 NS USD 38985.87000000 0.004243480008 Long EC US N 1 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VGB4 140000.00000000 PA USD 150760.76000000 0.016409798500 Long DBT CORP US N 2 2051-03-22 Fixed 3.55000000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160104 5361.00000000 NS USD 917106.27000000 0.099823913692 Long EC US N 1 N N N PARK-OHIO INDUSTRIES, INC. 5493006LQUO5SLMNYM18 700677AR8 900000.00000000 PA USD 873450.00000000 0.095072076450 Long DBT CORP US N 2 2027-04-15 Fixed 6.62500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505104 14647.00000000 NS USD 651645.03000000 0.070929356128 Long EC US N 1 N N N MIDCAP FINANCIAL ISSUER TRUST N/A 59567LAA2 520000.00000000 PA USD 542100.00000000 0.059005750350 Long DBT CORP US N 2 2028-05-01 Fixed 6.50000000 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040H105 850.00000000 NS USD 123326.50000000 0.013423672146 Long EC US N 1 N N N LS GROUP OPCO ACQUISITION LLC N/A 50220KAB0 357300.00000000 PA USD 356256.68000000 0.038777333925 Long LON US N 2 2027-11-02 Floating 3.99999960 N N N N N N AMERICAN AXLE & MANUFACTURING, INC. RY5TAKFOBLDUGX31MS24 02406PBB5 190000.00000000 PA USD 186371.00000000 0.020285852607 Long DBT CORP US N 2 2029-10-01 Fixed 5.00000000 N N N N N N BIOGEN INC. W8J5WZB5IY3K0NDQT671 09062X103 288.00000000 NS USD 69096.96000000 0.007520970248 Long EC US N 1 N N N LIFEPOINT HEALTH, INC. 549300G8ZVHRTBBBSZ90 53219LAU3 1185000.00000000 PA USD 1179075.00000000 0.128338323362 Long DBT CORP US N 2 2029-01-15 Fixed 5.37500000 N N N N N N MPH ACQUISITION HOLDINGS LLC 5493002WXOPRPTXWTU06 553283AD4 510000.00000000 PA USD 517012.50000000 0.056275060880 Long DBT CORP US N 2 2028-09-01 Fixed 5.50000000 N N N N N N ACTIVISION BLIZZARD, INC. 549300TPQQDBP9GNOF40 00507V109 1547.00000000 NS USD 102921.91000000 0.011202701581 Long EC US N 1 N N N GS MORTGAGE SECURITIES CORPORATION TRUST N/A 36253VAN9 1000000.00000000 PA USD 997223.70000000 0.108544424803 Long ABS-MBS US N 2 2032-07-15 Floating 2.75974920 N N N N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023BX2 425000.00000000 PA USD 439877.39000000 0.047879165207 Long DBT CORP US N 2 2028-03-01 Fixed 3.25000000 N N N N N N WACHOVIA ASSET SECURITIZATION,INC. N/A 92976YAA0 238517.11000000 PA USD 228585.26000000 0.024880731941 Long ABS-MBS US N 2 2037-07-25 Floating 0.24188040 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 650000.00000000 PA USD 575224.00000000 0.062611185647 Long DBT NUSS EG N 2 2047-01-31 Fixed 8.50000000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC 4662.58000000 0.000507506053 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 455420.73000000 USD 34530000.00000000 RUB 2022-01-18 4662.58000000 N N N BRK: MORGAN STANLEY N/A N/A -400000.00000000 NC USD 7731.60000000 0.000841558493 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 4607.58000000 USD 0.00000000 USD -400000.00000000 USD 3124.02000000 N N N MID-AMERICA APARTMENT COMMUNITIES, INC. 549300FQZKFR5YNSHZ21 59522J103 250.00000000 NS USD 57360.00000000 0.006243441874 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1061.53000000 0.000115543947 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 9320000.00000000 RUB 125242.72000000 USD 2022-01-18 1061.53000000 N N N United States of America N/A N/A 430.00000000 NC USD 93813906.25000000 10.21132619738 N/A DIR US N 1 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Mar 2022 2022-04-03 93887857.40000000 USD -73951.15000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 55507.49000000 0.006041802430 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 10370000.00000000 NOK 1231308.73000000 USD 2022-01-18 55507.49000000 N N N AT&T INC. 549300Z40J86GGSTL398 00206RJZ6 350000.00000000 PA USD 359710.33000000 0.039153252039 Long DBT CORP US N 2 2041-06-01 Fixed 3.50000000 N N N N N N SWITCH LTD. 5493002D70VTFFLT8L43 87105NAC4 300000.00000000 PA USD 306750.00000000 0.033388699354 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N GLOBAL TEL*LINK TL 1L N/A 37959JAE1 110000.00000000 PA USD 102300.00000000 0.011135008782 Long LON US N 2 2026-11-29 Floating 8.34037920 N N N N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 699149AF7 280000.00000000 PA USD 323400.00000000 0.035200995505 Long DBT NUSS PY N 2 2048-03-13 Fixed 5.60000000 N N N N N N MOZART DEBT MERGER SUB INC. N/A 62482BAA0 1160000.00000000 PA USD 1155905.20000000 0.125816369046 Long DBT CORP US N 2 2029-04-01 Fixed 3.87500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140JA4J4 346868.30700000 PA USD 374175.76000000 0.040727765138 Long DBT USGA US N 2 2035-01-01 Floating 2.79000000 N N N N N N BEST BUY CO., INC. HL5XPTVRV0O8TUN5LL90 086516101 491.00000000 NS USD 49885.60000000 0.005429878730 Long EC US N 1 N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546AR5 525000.00000000 PA USD 569025.69000000 0.061936520581 Long DBT CORP US N 2 2028-03-15 Fixed 3.90000000 N N N N N N MONOLITHIC POWER SYSTEMS, INC. 529900TB7O85LSZ1XU31 609839105 95.00000000 NS USD 46866.35000000 0.005101243585 Long EC US N 1 N N N DIGICERT HOLDINGS INC. N/A 24022KAB5 882750.00000000 PA USD 880446.02000000 0.095833569550 Long LON US N 2 2026-10-16 Floating 4.09038120 N N N N N N PMT CREDIT RISK TRANSFER TRUST N/A 69349MAA4 290387.23600000 PA USD 290471.36000000 0.031616824482 Long ABS-MBS US N 2 2022-10-27 Floating 2.80188000 N N N N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 904678AQ2 260000.00000000 PA USD 311487.74000000 0.033904386319 Long DBT NUSS IT N 2 2034-04-02 Fixed 7.29600000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAH4 200000.00000000 PA USD 197000.00000000 0.021442783285 Long DBT NUSS FR N 2 2029-10-15 Fixed 5.50000000 N N N N N N ARCTIC CANADIAN DIAMOND COMPANY LTD. N/A N/A 759675.44000000 PA USD 760055.28000000 0.082729444944 Long LON US N 3 2027-12-31 Floating 17.49999960 N N N N N N Husky III Holding Limited N/A 44810RAA6 600000.00000000 PA USD 630000.00000000 0.068573367867 Long DBT NUSS CA N 2 2025-02-15 Fixed 13.00000000 N N Y N N N IIP OPERATING PARTNERSHIP, LP N/A 44988FAD2 320000.00000000 PA USD 338761.13000000 0.036873002518 Long DBT CORP US N 2 2026-05-25 Fixed 5.50000000 N N N N N N AKBANK TURK ANONIM SIRKETI 789000TUMN63Z28TJ497 N/A 200000.00000000 PA USD 191985.60000000 0.020896982815 Long DBT NUSS TR N 2 2028-04-27 Fixed 6.79700000 N N N N N N Azarbayjan Respublikasi 549300P74FF45UQVU281 N/A 1200000.00000000 PA USD 1214424.00000000 0.132185942379 Long DBT NUSS AZ N 2 2032-09-01 Fixed 3.50000000 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546104 855.00000000 NS USD 61953.30000000 0.006743407034 Long EC US N 1 N N N DiversiTech Holdings, Inc. N/A N/A 225000.00000000 PA USD 224860.50000000 0.024475304421 Long LON US N 2 2029-12-14 Floating 0.00000000 N N N N N N SWAPTION RECEIVER 109 N/A SWTN86347 3400000.00000000 NC USD 12783.01000000 0.001391387376 N/A DIR US N 2 BNP PARIBAS N/A Call Purchased N/A N/A 0.00000000 109.00000000 USD 2022-01-20 XXXX -1836.99000000 N N N THE HARTFORD FINANCIAL SERVICES GROUP, INC. IU7C3FTM7Y3BQM112U94 416515104 746.00000000 NS USD 51503.84000000 0.005606018677 Long EC US N 1 N N N CHROME HOLDCO SAS 9845000E49865VT3N679 N/A 375000.00000000 PA 426451.36000000 0.046417787280 Long DBT NUSS FR N 2 2029-05-31 Fixed 5.00000000 N N N N N N Republique du Senegal 549300NP14ZLQGWIUZ97 N/A 930000.00000000 PA 1001081.25000000 0.108964306065 Long DBT NUSS SN N 2 2037-06-08 Fixed 5.37500000 N N N N N N UNION PACIFIC CORPORATION 549300LMMRSZZCZ8CL11 907818108 1302.00000000 NS USD 328012.86000000 0.035703089704 Long EC US N 1 N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 893647BL0 960000.00000000 PA USD 988800.00000000 0.107627533566 Long DBT CORP US N 2 2027-11-15 Fixed 5.50000000 N N N N N N ONEOK, INC. 2T3D6M0JSY48PSZI1Q41 682680BE2 325000.00000000 PA USD 407989.18000000 0.044408241469 Long DBT CORP US N 2 2031-01-15 Fixed 6.35000000 N N N N N N PAE INCORPORATED N/A 69329HAB7 416850.00000000 PA USD 416954.21000000 0.045384054644 Long LON US N 2 2027-10-19 Floating 5.24999880 N N N N N N GRIFOLS WORLDWIDE OPERATIONS USA N/A 39843PAG8 435011.23000000 PA USD 428486.06000000 0.046639257489 Long LON US N 2 2027-11-15 Floating 2.10425040 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -11264.94000000 -0.00122615059 N/A DFE NO N 2 BNP PARIBAS N/A 406978.18000000 USD 3490000.00000000 NOK 2022-01-18 -11264.94000000 N N N GETTY IMAGES, INC. 5493005NV20IG4VEKZ40 374276AJ2 720000.00000000 PA USD 762660.00000000 0.083012959901 Long DBT CORP US N 2 2027-03-01 Fixed 9.75000000 N N N N N N CD&R SMOKEY BUYER, INC. N/A 12510CAA9 441000.00000000 PA USD 463050.00000000 0.050401425382 Long DBT CORP US N 2 2025-07-15 Fixed 6.75000000 N N N N N N MADISON IAQ LLC 549300IXDNBXNHUPBU73 55760LAA5 179000.00000000 PA USD 179447.50000000 0.019532253064 Long DBT CORP US N 2 2028-06-30 Fixed 4.12500000 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS, LLC 549300I7CIEWU1BBLQ53 16412XAD7 250000.00000000 PA USD 276556.09000000 0.030102194437 Long DBT CORP US N 2 2024-06-30 Fixed 7.00000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 05609KAQ2 500000.00000000 PA USD 496521.05000000 0.054044635897 Long ABS-MBS US Y 2 2038-10-15 Floating 3.99999960 N N N N N N TERRIER MEDIA BUYER, INC. N/A 88146LAA1 850000.00000000 PA USD 918654.50000000 0.099992433288 Long DBT CORP US N 2 2027-12-15 Fixed 8.87500000 N N N N N N TRIDENT TPI HOLDINGS, INC. N/A 00216EAF6 38798.14000000 PA USD 38731.41000000 0.004215782898 Long LON US N 2 2028-09-15 Floating 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137G0TF6 330000.00000000 PA USD 344477.03000000 0.037495158888 Long DBT USGA US N 2 2042-12-25 Floating 4.70274840 N N N N N N CUMBERLAND PARK CLO LTD. N/A 23076RAQ4 500000.00000000 PA USD 500000.00000000 0.054423307831 Long ABS-CBDO CORP KY N 2 2028-07-20 Floating 2.83150080 N N N N N N N/A N/A 011BVX703 35.00000000 NC USD 24062.50000000 0.002619121689 N/A DIR US N 1 JP MORGAN N/A Put Purchased N/A Put Option 4100 Feb 2022 on S&P 500 Future (e-Mini) Mar 2022 1750.00000000 100.00000000 USD 2022-02-21 XXXX -45461.00000000 N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAV5 1021000.00000000 PA USD 1167392.35000000 0.127066706447 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAK1 400000.00000000 PA USD 425382.92000000 0.046301491202 Long DBT NUSS IE N 2 2024-01-16 Fixed 4.87500000 N N N N N N MEGLOBAL CANADA ULC 635400MHHHT7LMKMQL03 58518N2A9 660000.00000000 PA USD 799425.00000000 0.087014705725 Long DBT NUSS KW N 2 2030-05-18 Fixed 5.87500000 N N N N N N MAGENTA BUYER N/A N/A 900000.00000000 PA USD 891846.00000000 0.097074418792 Long LON US N 2 2029-07-27 Floating 9.00000000 N N N N N N YUM! Brands, Inc. 549300JE8XHZZ7OHN517 988498AL5 454000.00000000 PA USD 491455.00000000 0.053493213500 Long DBT CORP US N 2 2030-01-15 Fixed 4.75000000 N N N N N N PENN NATIONAL GAMING, INC. N/A 707569109 253.00000000 NS USD 13118.05000000 0.001427855346 Long EC US N 1 N N N BRK: BANK OF AMERICA, N.A. N/A N/A 11150000.00000000 NC 111018.07000000 0.012083941196 N/A DIR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2023-01-02 6480.25000000 BRL 0.00000000 BRL -11150000.00000000 BRL 104537.82000000 N N N ACADEMY, LTD. N/A 00400YAK7 671625.00000000 PA USD 672464.53000000 0.073195488243 Long LON US N 2 2027-11-05 Floating 4.50000000 N N N N N N IHS Holding Limited 213800CLGMKL63VKTD94 44963HAB1 350000.00000000 PA USD 354375.00000000 0.038572519425 Long DBT NUSS NG N 2 2028-11-29 Fixed 6.25000000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 4366.03000000 0.000475227589 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 141324.38000000 USD 2990000.00000000 MXN 2022-01-18 4366.03000000 N N N RITCHIE BROS. HOLDINGS, INC N/A 76774LAA5 150000.00000000 PA USD 156562.50000000 0.017041298264 Long DBT CORP CA N 2 2031-12-15 Fixed 4.75000000 N N N N N N ALBEMARLE CORPORATION HDBLS2Q6GV1LSKQPBS54 012653101 254.00000000 NS USD 59377.58000000 0.006463048629 Long EC US N 1 N N N EQUINOX HOLDINGS INC. N/A 29446CAR5 246875.00000000 PA USD 251195.31000000 0.027341759363 Long LON US N 2 2024-03-08 Floating 10.00000080 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -9003.00000000 -0.00097994608 N/A DFE NO N 2 BNP PARIBAS N/A 409251.64000000 USD 3530000.00000000 NOK 2022-01-18 -9003.00000000 N N N U.S. RENAL CARE, INC. N/A 90290PAN4 1105900.48000000 PA USD 1073143.71000000 0.116808060952 Long LON US N 2 2026-06-26 Floating 5.09037840 N N N N N N VOYA CLO N/A 92916PAF1 260000.00000000 PA USD 257694.84000000 0.028049211207 Long ABS-CBDO CORP KY Y 2 2034-04-20 Floating 7.08149880 N N N N N N PACTIV LLC 549300O4WTC6DL4JIE57 880394AE1 1265000.00000000 PA USD 1406705.30000000 0.153115111139 Long DBT CORP US N 2 2027-04-15 Fixed 8.37500000 N N N N N N PARKER-HANNIFIN CORPORATION 5493002CONDB4N2HKI23 701094104 255.00000000 NS USD 81120.60000000 0.008829702770 Long EC US N 1 N N N GS MORTGAGE SECURITIES CORPORATION TRUST N/A 36256AAS1 500000.00000000 PA USD 498833.15000000 0.054296300157 Long ABS-MBS US N 2 2032-11-15 Floating 4.55974920 N N N N N N FOCUS FINANCIAL PARTNERS, LLC N/A 34416DAU2 437653.12000000 PA USD 434996.57000000 0.047347904469 Long LON US N 2 2028-06-30 Floating 2.99999880 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 617446448 2904.00000000 NS USD 285056.64000000 0.031027450536 Long EC US N 1 N N N LIVE NATION ENTERTAINMENT, INC. 5493007B9BM9ZXJINO78 538034109 279.00000000 NS USD 33393.51000000 0.003634770548 Long EC US N 1 N N N OTIS WORLDWIDE CORPORATION 549300ZLBKR8VSU25153 68902V107 834.00000000 NS USD 72616.38000000 0.007904047204 Long EC US N 1 N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441C204 1543.00000000 NS USD 161860.70000000 0.017617989403 Long EC US N 1 N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137L204 434.00000000 NS USD 14873.18000000 0.001618895307 Long EC US N 1 N N N ORGANON & CO. 549300AMCKY57OK2CO56 68622V106 550.00000000 NS USD 16747.50000000 0.001822908695 Long EC US N 1 N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAU7 200000.00000000 PA USD 241744.29000000 0.026313047822 Long DBT CORP US N 2 2045-06-15 Fixed 5.00000000 N N N N N N N/A N/A 011BVX785 29.00000000 NC USD 25737.50000000 0.002801439770 N/A DIR US N 1 JP MORGAN N/A Put Purchased N/A Put Option 4200 Feb 2022 on S&P 500 Future (e-Mini) Mar 2022 1450.00000000 200.00000000 USD 2022-02-21 XXXX -84523.40000000 N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650100 2668.00000000 NS USD 275230.88000000 0.029957949813 Long EC US N 1 N N N DIAMONDBACK ENERGY, INC. 549300R22LSX6OHWEN64 25278X109 322.00000000 NS USD 34727.70000000 0.003779992614 Long EC US N 1 N N N ABIOMED, INC. 5493001EZN4ZTB4Z5887 003654100 96.00000000 NS USD 34480.32000000 0.003753066138 Long EC US N 1 N N N AMC ENTERTAINMENT HOLDINGS, INC. N/A 00164DAQ6 370000.00000000 PA USD 332537.50000000 0.036195581455 Long LON US N 2 2026-04-22 Floating 3.10313160 N N N N N N BRK: CREDIT SUISSE INTERNATIONAL N/A N/A 235000.00000000 NC USD 31510.85000000 0.003429849379 N/A DCR XX N 2 BRK: CREDIT SUISSE INTERNATIONAL N/A Y 2022-12-20 18373.63000000 USD 0.00000000 USD 235000.00000000 USD 13137.22000000 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QDB5 160000.00000000 PA USD 170560.00000000 0.018564878767 Long DBT NUSS MX N 2 2027-01-23 Fixed 6.49000000 N N N N N N BAUSCH HEALTH AMERICAS, INC. KOO0397YRO83WY5MGD97 91911XAW4 500000.00000000 PA USD 525000.00000000 0.057144473222 Long DBT CORP US N 2 2027-01-31 Fixed 8.50000000 N N N N N N The Travelers Companies, Inc. 549300Y650407RU8B149 89417E109 484.00000000 NS USD 75712.12000000 0.008241008026 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A CDS862300 660000.00000000 NC USD -8246.06000000 -0.00089755572 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2026-06-20 0.00000000 USD -8851.29000000 USD 660000.00000000 USD 605.23000000 N N N AMENTUM GOVERNMENT SERVICES HOLDINGS LLC N/A 57776DAB9 543125.00000000 PA USD 533962.48000000 0.058120008838 Long LON US N 2 2027-01-29 Floating 3.59038080 N N N N N N GS MORTGAGE SECURITIES CORPORATION TRUST N/A 36258BAA6 1830000.00000000 PA USD 1827998.53000000 0.198971453426 Long ABS-MBS US N 2 2036-12-15 Floating 1.20999960 N N N N N N KEYSIGHT TECHNOLOGIES, INC. 549300GLKVIO8YRCYN02 49338L103 362.00000000 NS USD 74756.62000000 0.008137005085 Long EC US N 1 N N N DCP Midstream, LP 52990024YYS3MLGW0E91 23311PAA8 300000.00000000 PA USD 296250.00000000 0.032245809889 Long DBT CORP US N 2 2170-06-15 Fixed 7.37500000 N N N N N N PVH CORP. 123WALMHY1GZXG2YDL90 693656100 104.00000000 NS USD 11091.60000000 0.001207283122 Long EC US N 1 N N N CASTLE US HOLDING CORPORATION N/A 14852LAA1 839000.00000000 PA USD 874657.50000000 0.095203508738 Long DBT CORP US N 2 2028-02-15 Fixed 9.50000000 N N N N N N BRK: JP MORGAN N/A N/A 15030000.00000000 NC -301937.05000000 -0.03286482603 N/A DIR XX N 2 BRK: JP MORGAN N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL -15030000.00000000 BRL -301937.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -411.36000000 -0.00004477514 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 37509.00000000 CAD 29286.12000000 USD 2022-01-18 -411.36000000 N N N TESLA, INC. 54930043XZGB27CTOV49 88160R101 1644.00000000 NS USD 1737346.32000000 0.189104267165 Long EC US N 1 N N N Republique Gabonaise N/A 362420AE1 420000.00000000 PA USD 410550.00000000 0.044686978060 Long DBT NUSS GA N 2 2031-11-24 Fixed 7.00000000 N N N N N N AMETEK, INC. 549300WZDEF9KKE40E98 031100100 440.00000000 NS USD 64697.60000000 0.007042114801 Long EC US N 1 N N N ASBURY AUTOMOTIVE GROUP, INC. 549300JH4DTA7U42GL91 043436AX2 280000.00000000 PA USD 290556.00000000 0.031626037260 Long DBT CORP US N 2 2032-02-15 Fixed 5.00000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAR1 950000.00000000 PA USD 1029477.07000000 0.112055094971 Long DBT CORP US N 2 2028-03-15 Fixed 4.00000000 N N N N N N TERRIER MEDIA BUYER N/A 88145LAE4 923595.87000000 PA USD 918746.99000000 0.100002500511 Long LON US N 2 2026-12-17 Floating 3.60425160 N N N N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 66190000.00000000 NC 20404.90000000 0.002221004307 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2024-03-13 911.30000000 MXN 0.00000000 MXN -66190000.00000000 MXN 19493.60000000 N N N TERADYNE, INC. C3X4YJ278QNZHRJULN75 880770102 356.00000000 NS USD 58216.68000000 0.006336688593 Long EC US N 1 N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAF8 370000.00000000 PA USD 360916.50000000 0.039284539561 Long DBT NUSS FR N 2 2029-07-15 Fixed 5.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 30992.06000000 0.003373380843 N/A DFE US N 2 JP MORGAN N/A 1354242.92000000 GBP 1864891.36000000 USD 2022-01-21 30992.06000000 N N N SALLY HOLDINGS LLC 3GM3SMNQ8UJOJU9DFN26 79546VAL0 380000.00000000 PA USD 388550.00000000 0.042292352515 Long DBT CORP US N 2 2025-12-01 Fixed 5.62500000 N N N N N N FIRST BRANDS GROUP, LLC N/A 31935HAD9 448250.00000000 PA USD 449594.75000000 0.048936866957 Long LON US N 2 2027-03-30 Floating 6.00000120 N N N N N N SPRINT CAPITAL CORPORATION 549300L17W0GQBR1PO80 852060AD4 520000.00000000 PA USD 657800.00000000 0.071599303782 Long DBT CORP US N 2 2028-11-15 Fixed 6.87500000 N N N N N N DXC TECHNOLOGY COMPANY 549300DOVZ3EDJB7O259 23355L106 491.00000000 NS USD 15805.29000000 0.001720352326 Long EC US N 1 N N N DISH NETWORK CORPORATION 529900U350CWHH15G169 25470MAB5 610000.00000000 PA USD 577397.33000000 0.062847745263 Long DBT CORP US N 2 2026-08-15 Fixed 3.37500000 N N N N N N FACTSET RESEARCH SYSTEMS INC. 549300ZSJE7NBK6K9P30 303075105 83.00000000 NS USD 40338.83000000 0.004390745125 Long EC US N 1 N N N ESSEX PROPERTY TRUST, INC. 549300TR2H2VEFX0NC60 297178105 143.00000000 NS USD 50368.89000000 0.005482483211 Long EC US N 1 N N N PETCO HEALTH AND WELLNESS COMPANY, INC. N/A 71601HAB2 517400.00000000 PA USD 516266.89000000 0.056193903755 Long LON US N 2 2028-03-03 Floating 3.99999960 N N N N N N WHEEL BIDCO LIMITED 213800GGDN5YSVU1G348 N/A 610000.00000000 PA 809686.99000000 0.088131688607 Long DBT NUSS GB N 2 2026-07-15 Fixed 6.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 13972.12000000 0.001520817975 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 84400000.00000000 JPY 747069.59000000 USD 2022-01-18 13972.12000000 N N N UNITED RENTALS, INC. 5323X5O7RN0NKFCDRY08 911363109 156.00000000 NS USD 51837.24000000 0.005642308139 Long EC US N 1 N N N HEALTHEQUITY, INC. 529900LRJU1RAFQHM467 42226AAA5 376000.00000000 PA USD 372240.00000000 0.040517064214 Long DBT CORP US N 2 2029-10-01 Fixed 4.50000000 N N N N N N HOYA MIDCO, LLC N/A 44325HAB4 700444.36000000 PA USD 699715.90000000 0.076161707640 Long LON US N 2 2024-06-30 Floating 4.50000000 N N N N N N VENTURE GLOBAL CALCASIEU PASS, LLC 549300GKHS6RS20NLH85 92328MAC7 430000.00000000 PA USD 451749.40000000 0.049171393317 Long DBT CORP US N 2 2033-11-01 Fixed 3.87500000 N N N N N N Aeropuertos Dominicanos Siglo XXI, S.A. 254900KJA5MXNPYB4W32 007866AC0 350000.00000000 PA USD 360062.50000000 0.039191584551 Long DBT NUSS DO N 2 2029-03-30 Fixed 6.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FTLA3 2469229.11060000 PA USD 365613.32000000 0.039795772523 Long DBT USGA US N 2 2050-06-25 Fixed 4.50000000 N N N N N N SNAP-ON INCORPORATED HHWAT5TDOYZMM26KKQ73 833034101 107.00000000 NS USD 23045.66000000 0.002508442096 Long EC US N 1 N N N FIRST BRANDS GROUP, LLC N/A 31935HAF4 1200000.00000000 PA USD 1203756.00000000 0.131024766683 Long LON US N 2 2028-03-30 Floating 9.50000040 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 940000.00000000 PA 964334.06000000 0.104964498798 Long DBT NUSS EG N 2 2030-04-16 Fixed 5.62500000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HS2 1075077.00000000 PA USD 376287.70000000 0.040957642660 Long DBT NUSS AR N 2 2030-07-09 Fixed 0.50000000 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166104 1627.00000000 NS USD 66999.86000000 0.007292708010 Long EC US N 1 N N N AMERICAN AIRLINES GROUP INC. N/A 02376R102 1366.00000000 NS USD 24533.36000000 0.002670373206 Long EC US N 1 N N N N/A N/A BGH4R5A63 55.84000000 NS USD 57048.94000000 0.006209584046 Long EC US N 3 N N N EASTMAN CHEMICAL COMPANY FDPVHDGJ1IQZFK9KH630 277432100 290.00000000 NS USD 35063.90000000 0.003816586846 Long EC US N 1 N N N COMERICA INCORPORATED I9Q57JVPWHHZ3ZGBW498 200340107 279.00000000 NS USD 24273.00000000 0.002642033901 Long EC US N 1 N N N BRK: BANK OF AMERICA, N.A. N/A N/A 1175000.00000000 NC -3855.91000000 -0.00041970275 N/A DIR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2024-01-02 0.00000000 BRL 0.00000000 BRL -1175000.00000000 BRL -3855.91000000 N N N BRK: CITIGROUP GLOBAL MARKETS N/A N/A 4250000.00000000 NC USD 34791.89000000 0.003786979478 N/A DIR XX N 2 BRK: CITIGROUP GLOBAL MARKETS N/A Y 2026-11-18 44376.83000000 USD 0.00000000 USD -4250000.00000000 USD -9584.94000000 N N N BOYD GAMING CORPORATION N/A 10330JAU2 757105.90000000 PA USD 756159.52000000 0.082305404652 Long LON US N 2 2023-09-15 Floating 2.35424880 N N N N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023CA1 375000.00000000 PA USD 392142.25000000 0.042683356770 Long DBT CORP US N 2 2028-11-01 Fixed 3.45000000 N N N N N N MAVERICK PURCHASE N/A 02351UAB0 440000.00000000 PA USD 442200.00000000 0.048131973445 Long LON US N 2 2028-01-31 Floating 10.00000080 N N N N N N PRECISION MEDICINE GROUP, LLC N/A 74028HAE5 667265.38000000 PA USD 663722.20000000 0.072243915210 Long LON US N 2 2027-11-18 Floating 3.75000120 N N N N N N WHATABRANDS/WHATABURGER 7/21 N/A 96244UAF4 180000.00000000 PA USD 179181.00000000 0.019503245441 Long LON US N 2 2028-08-03 Floating 3.75000120 N N N N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 40000.00000000 PA USD 3952.00000000 0.000430161825 Long DBT NUSS LB N 2 2028-03-20 Fixed 7.00000000 Y N N N N N INTUIT INC. VI90HBPH7XSFMB9E4M29 461202103 574.00000000 NS USD 369208.28000000 0.040187071752 Long EC US N 1 N N N RR LTD N/A 749737AA0 750000.00000000 PA USD 745668.75000000 0.081163519842 Long ABS-CBDO CORP KY Y 2 2034-10-15 Floating 6.33375000 N N N N N N AVALONBAY COMMUNITIES, INC. K9G90K85RBWD2LAGQX17 053484101 267.00000000 NS USD 67441.53000000 0.007340782295 Long EC US N 1 N N N DIGICEL HOLDINGS (BERMUDA) LIMITED N/A 25381XAA1 60600.00000000 PA USD 62191.36000000 0.006769319059 Long DBT NUSS JM N 2 2024-05-25 Fixed 8.75000000 N N N N N N SABINE PASS LIQUEFACTION, LLC 549300KJYBG7C6WJYZ11 785592AM8 800000.00000000 PA USD 888178.96000000 0.096675273898 Long DBT CORP US N 2 2025-03-01 Fixed 5.62500000 N N N N N N BOYNE USA, INC. N/A 103557AC8 310000.00000000 PA USD 319300.00000000 0.034754724381 Long DBT CORP US N 2 2029-05-15 Fixed 4.75000000 N N N N N N AMERICAN INTERNATIONAL GROUP, INC. ODVCVCQG2BP6VHV36M30 026874DK0 275000.00000000 PA USD 306772.55000000 0.033391153845 Long DBT CORP US N 2 2028-04-01 Fixed 4.20000000 N N N N N N CLARK EQUIPMENT COMPANY N/A 18143EAF6 597000.00000000 PA USD 595632.87000000 0.064832622076 Long LON US N 2 2024-05-18 Floating 2.38150080 N N N N N N AMERICAN INTERNATIONAL GROUP, INC. ODVCVCQG2BP6VHV36M30 026874DH7 325000.00000000 PA USD 352236.77000000 0.038339780326 Long DBT CORP US N 2 2026-04-01 Fixed 3.90000000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -10696.66000000 -0.00116429523 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 376438.58000000 USD 27449525.00000000 RUB 2022-01-18 -10696.66000000 N N N ALLIED UNIVERSAL HOLDCO LLC N/A 01957TAH0 575000.00000000 PA USD 572487.25000000 0.062313299672 Long LON US N 2 2028-05-12 Floating 4.25000160 N N N N N N STANDARD INDUSTRIES INC. 54930064UHXCIUWVI755 853496AG2 645000.00000000 PA USD 658225.73000000 0.071645643052 Long DBT CORP US N 2 2030-07-15 Fixed 4.37500000 N N N N N N DRAFTKINGS INC. 5493008P45UYYL683Z97 26142RAA2 640000.00000000 PA USD 481920.00000000 0.052455361020 Long DBT CORP US N 2 2028-03-15 Fixed 0.00000000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBX6 1375000.00000000 PA USD 1470139.67000000 0.160019727630 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967KU4 1450000.00000000 PA USD 1591239.08000000 0.173200988567 Long DBT CORP US N 2 2028-07-25 Fixed 4.12500000 N N N N N N LD HOLDINGS GROUP LLC N/A 521088AC8 755000.00000000 PA USD 711587.50000000 0.077453891122 Long DBT CORP US N 2 2028-04-01 Fixed 6.12500000 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AU4 824820.00000000 PA USD 657958.91000000 0.071616600598 Long DBT NUSS AR N 2 2026-02-12 Fixed 4.00000000 N N N N N N W. R. BERKLEY CORPORATION SQOAGCLKBDWNVYV1OV80 084423102 323.00000000 NS USD 26611.97000000 0.002896622870 Long EC US N 1 N N N KLA CORPORATION 549300H0BF5JCG96TJ81 482480100 303.00000000 NS USD 130323.33000000 0.014185253412 Long EC US N 1 N N N BANQUE OUEST AFRICAINE DE DEVELOPPEMENT 529900LIZJABE4JJS826 N/A 1870000.00000000 PA 2233222.54000000 0.243078715500 Long DBT NUSS XX N 2 2033-01-22 Fixed 2.75000000 N N N N N N BRK: MORGAN STANLEY & CO INTERNATIONAL PLC N/A N/A 1630000.00000000 NC 28058.22000000 0.003054042288 N/A DIR XX N 2 BRK: MORGAN STANLEY & CO INTERNATIONAL PLC N/A Y 2027-03-16 14447.04000000 EUR 0.00000000 EUR -1630000.00000000 EUR 13611.18000000 N N N AMERICAN BUILDERS & CONTRACTORS SUPPLY CO., INC. 549300H5GQ4C1BEKG397 024747AG2 1115000.00000000 PA USD 1112212.50000000 0.121060566522 Long DBT CORP US N 2 2029-11-15 Fixed 3.87500000 N N N N N N AEROPUERTO INTERNACIONAL DE TOCUMEN, S.A. 254900FO1PHX49ZIGB14 00787CAE2 520000.00000000 PA USD 544055.20000000 0.059218567253 Long DBT NUSS PA N 2 2061-08-11 Fixed 5.12500000 N N N N N N XILINX, INC. 6EY4K7ZMF9UX1CU6KC79 983919101 493.00000000 NS USD 104530.79000000 0.011377822724 Long EC US N 1 N N N Eversource Energy SJ7XXD41SQU3ZNWUJ746 30040W108 747.00000000 NS USD 67962.06000000 0.007397440224 Long EC US N 1 N N N API ESCROW CORP. N/A 00185PAA9 143000.00000000 PA USD 145860.00000000 0.015876367360 Long DBT CORP US N 2 2029-10-15 Fixed 4.75000000 N N N N N N JANE STREET GROUP, LLC 5493002N1IVX6KHGYO08 47077WAA6 160000.00000000 PA USD 161600.00000000 0.017589613091 Long DBT CORP US N 2 2029-11-15 Fixed 4.50000000 N N N N N N N/A N/A BGH4R5AF3 13812.07000000 NS USD 0.01000000 0.000000001088 Long EC US N 3 N N N BOSTON SCIENTIFIC CORPORATION Y6ZDD9FP4P8JSSJMW954 101137107 2844.00000000 NS USD 120813.12000000 0.013150099239 Long EC US N 1 N N N AMGEN INC. 62QBXGPJ34PQ72Z12S66 031162100 1138.00000000 NS USD 256015.86000000 0.027866459916 Long EC US N 1 N N N DENTSPLY SIRONA INC. 9NHEHR1SOZCYXDO8HO28 24906P109 439.00000000 NS USD 24491.81000000 0.002665850629 Long EC US N 1 N N N ROBERT HALF INTERNATIONAL INC. 529900VPCUY9H3HLIC08 770323103 262.00000000 NS USD 29218.24000000 0.003180306539 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 21724.86000000 0.002364677486 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 3310000.00000000 NOK 397028.82000000 USD 2022-01-18 21724.86000000 N N N NCL CORPORATION LTD. UNZWILHE4KMRP9K2L524 62886HAP6 1600000.00000000 PA USD 1510000.00000000 0.164358389650 Long DBT NUSS US N 2 2024-12-15 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35565HBD6 660000.00000000 PA USD 659601.16000000 0.071795353953 Long DBT USGA US N 2 2050-01-25 Floating 2.40275160 N N N N N N JAZZ PHARMACEUTICALS PUBLIC LIMITED COMPANY N/A G5080AAF9 798225.00000000 PA USD 800771.34000000 0.087161250278 Long LON US N 2 2028-05-05 Floating 3.99999960 N N N N N N United Group B.V. 213800PC85O8BJ7DU398 N/A 450000.00000000 PA 511058.96000000 0.055627038199 Long DBT NUSS NL N 2 2028-08-15 Fixed 4.62500000 N N N N N N State of Israel 213800T8ZHTFZIBYPE21 46513JB34 460000.00000000 PA USD 488886.16000000 0.053213603960 Long DBT NUSS IL N 2 2030-07-03 Fixed 2.75000000 N N N N N N MARSH & MCLENNAN COMPANIES, INC. 549300XMP3KDCKJXIU47 571748102 1015.00000000 NS USD 176427.30000000 0.019203514515 Long EC US N 1 N N N NFP CORP. VO2L9FZNXDJNQNEYH039 65342RAD2 893000.00000000 PA USD 895303.94000000 0.097450803858 Long DBT CORP US N 2 2028-08-15 Fixed 6.87500000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AT5 400000.00000000 PA USD 420599.96000000 0.045780882193 Long DBT CORP AU N 2 2024-03-12 Fixed 4.12500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A9BU1 308688.66000000 PA USD 50914.40000000 0.005541860128 Long DBT USGA US N 2 2042-10-25 Floating 5.99811840 N N N N N N NOMURA ASSET SECURITIES CORPORATION N/A 65535VBC1 679655.30960000 PA USD 478023.53000000 0.052031243447 Long ABS-MBS US N 2 2033-05-25 Floating 6.66332280 N N N N N N Wynn Macau, Limited 254900NMDQ8ENTHU1I31 98313RAC0 220000.00000000 PA USD 206800.00000000 0.022509480118 Long DBT NUSS MO N 2 2024-10-01 Fixed 4.87500000 N N N N N N SOUTHWEST AIRLINES CO. UDTZ87G0STFETI6HGH41 844741108 1321.00000000 NS USD 56591.64000000 0.006159808488 Long EC US N 1 N N N EQUIFAX INC. 5493004MCF8JDC86VS77 294429105 233.00000000 NS USD 68220.07000000 0.007425523739 Long EC US N 1 N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023105 1114.00000000 NS USD 224270.48000000 0.024411082740 Long EC US N 1 N N N ENPHASE ENERGY, INC. 5493008U7KIGMI59Z314 29355A107 298.00000000 NS USD 54516.12000000 0.005933895161 Long EC US N 1 N N N CQS US CLO LTD N/A 12659UAG7 1850000.00000000 PA USD 1850000.00000000 0.201366238975 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 3.79652040 N N N N N N CARDINAL PARENT, INC. N/A 14153EAC9 620880.00000000 PA USD 619470.60000000 0.067427278312 Long LON US N 2 2027-11-12 Floating 5.24999880 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BFY1 1575000.00000000 PA USD 1716675.79000000 0.186854349931 Long DBT CORP US N 2 2026-06-03 Fixed 4.10000000 N N N N N N LABORATOIRE EIMER SELAS 969500DCZL54LLTFEM37 N/A 225000.00000000 PA 258800.53000000 0.028169561822 Long DBT NUSS FR N 2 2029-02-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38381YXM1 846686.07500000 PA USD 123909.54000000 0.013487134077 Long DBT USGA US N 2 2049-09-20 Floating 5.99612040 N N N N N N Samarco Mineracao S.A. 529900U8HKV15GJC4O60 P84050AA4 200000.00000000 PA USD 118000.00000000 0.012843900648 Long DBT NUSS BR N 2 2022-11-01 Floating 4.12499880 Y N N N N N Kingdom of Bahrain 549300RODM1WN85LFQ95 05675M2J2 940000.00000000 PA USD 890650.00000000 0.096944238239 Long DBT NUSS BH N 2 2034-05-18 Fixed 5.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 0.41000000 0.000000044627 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 3325.00000000 JPY 29.29000000 USD 2022-01-18 0.41000000 N N N PARK-OHIO INDUSTRIES, INC. 5493006LQUO5SLMNYM18 700677AR8 1170000.00000000 PA USD 1135485.00000000 0.123593699385 Long DBT CORP US N 2 2027-04-15 Fixed 6.62500000 N N N N N N BRK: MORGAN STANLEY N/A N/A -1840000.00000000 NC USD -14215.63000000 -0.00154732321 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 6796.01000000 USD 0.00000000 USD -1840000.00000000 USD -21011.64000000 N N N Virtusa 9/21 Cov-Lite N/A 92828KAK8 1676575.00000000 PA USD 1680766.44000000 0.182945738712 Long LON US N 2 2028-02-11 Floating 4.50000000 N N N N N N CATHEDRAL LAKE CLO LTD. N/A 14919HAJ2 700000.00000000 PA USD 702755.90000000 0.076492601351 Long ABS-CBDO CORP KY Y 2 2032-01-15 Floating 4.40375040 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 N/A 1160000.00000000 PA 1563299.97000000 0.170159910999 Long DBT NUSS GB N 2 2170-03-31 Fixed 4.50000000 N N N Y Y NATWEST GROUP PLC N/A XXXX N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123CT5 560000.00000000 PA USD 559311.20000000 0.060879131222 Long DBT NUSS TR N 2 2029-04-26 Fixed 7.62500000 N N N N N N DOVER CORPORATION 549300FMC2ALGA7N9E80 260003108 310.00000000 NS USD 56296.00000000 0.006127629075 Long EC US N 1 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 410000.00000000 PA USD 433575.00000000 0.047193171385 Long DBT NUSS CH N 2 2170-01-17 Fixed 7.50000000 N N N N N N ETSY, INC. 54930089Q7XT501AEA40 29786A106 275.00000000 NS USD 60208.50000000 0.006553491459 Long EC US N 1 N N N GENERAL DYNAMICS CORPORATION 9C1X8XOOTYY2FNYTVH06 369550108 459.00000000 NS USD 95687.73000000 0.010415285570 Long EC US N 1 N N N EMPIRE TODAY N/A N/A 658350.00000000 PA USD 646828.88000000 0.070405134500 Long LON US N 2 2028-04-03 Floating 5.74999920 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264AAZ8 1516000.00000000 PA USD 1774331.36000000 0.193129963599 Long DBT CORP US N 2 2050-04-15 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12481.60000000 0.001358579918 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 110440000.00000000 JPY 971762.23000000 USD 2022-01-18 12481.60000000 N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SBB1 910000.00000000 PA USD 450450.00000000 0.049029958025 Long DBT NUSS LK N 2 2030-03-28 Fixed 7.55000000 N N N N N N NEWELL BRANDS INC. 549300LWGYFM1TVO1Z12 651229AY2 536000.00000000 PA USD 687709.44000000 0.074854845103 Long DBT CORP US N 2 2046-04-01 Fixed 6.00000000 N N N N N N IHEARTCOMMUNICATIONS, INC. N/A 45174UAF5 81499.92000000 PA USD 80903.34000000 0.008806054754 Long LON US N 2 2026-05-01 Floating 3.10425120 N N N N N N COPART, INC. 549300KVYX3JWMYEHU61 217204106 464.00000000 NS USD 70351.68000000 0.007657542274 Long EC US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 100000.00000000 PA 112583.16000000 0.012254295946 Long DBT NUSS EG N 2 2025-04-11 Fixed 4.75000000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B51 290000.00000000 PA USD 290725.00000000 0.031644432338 Long DBT CORP US N 2 2028-02-16 Fixed 2.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35563PPH6 2230000.00000000 PA USD 2277765.93000000 0.247927112751 Long ABS-MBS US N 2 2059-08-25 Floating 4.25000160 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAM0 1519000.00000000 PA USD 1515202.50000000 0.164924664168 Long DBT CORP US N 2 2029-03-15 Fixed 5.50000000 N N N N N N VIRGIN MONEY UK PLC 213800ZK9VGCYYR6O495 N/A 300000.00000000 PA 452045.89000000 0.049203665250 Long DBT NUSS GB N 2 2170-06-08 Fixed 9.25000000 N N N Y Y VIRGIN MONEY UK PLC GBP XXXX N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 80000.00000000 PA USD 8281.60000000 0.000901424132 Long DBT NUSS LB N 2 2028-11-03 Fixed 6.65000000 Y N N N N N PM GENERAL PURCHASER LLC N/A 69356MAA4 930000.00000000 PA USD 942243.45000000 0.102560010662 Long DBT CORP US N 2 2028-10-01 Fixed 9.50000000 N N N N N N NRG ENERGY, INC. 5E2UPK5SW04M13XY7I38 629377508 400.00000000 NS USD 17232.00000000 0.001875644881 Long EC US N 1 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GQ0 450000.00000000 PA USD 501679.70000000 0.054606137491 Long DBT CORP US N 2 2029-03-01 Fixed 4.20000000 N N N N N N CAESARS RESORT COLLECTION LLC N/A 12769LAB5 706581.67000000 PA USD 702165.53000000 0.076428341575 Long LON US N 2 2024-12-23 Floating 2.84037840 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFM6 1350000.00000000 PA USD 1441783.77000000 0.156933283881 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N CP ATLAS BUYER, INC. N/A 12658HAG7 407950.00000000 PA USD 405706.28000000 0.044159755530 Long LON US N 2 2027-11-23 Floating 4.25000160 N N N N N N Government National Mortgage Association N/A 38378WUZ4 139254.48000000 PA USD 22938.37000000 0.002496763943 Long DBT USGA US N 2 2043-08-20 Floating 5.94612000 N N N N N N Verisure Holding AB 549300VQQCWGISM3N408 N/A 475000.00000000 PA 538184.97000000 0.058579612584 Long DBT NUSS SE N 2 2027-02-15 Fixed 3.25000000 N N N N N N VOC ESCROW LTD N/A 91832VAA2 830000.00000000 PA USD 821700.00000000 0.089439264089 Long DBT NUSS US N 2 2028-02-15 Fixed 5.00000000 N N N N N N EYECARE PARTNERS, LLC 254900ZAACWK09RJ8W93 74049LAQ4 90000.00000000 PA USD -427.50000000 -0.00004653192 Long LON US N 2 2028-10-14 Floating 0.00000000 N N N N N N PDS Holdco Inc N/A 74049LAQ4 23200.00000000 PA USD -11.60000000 -0.00000126262 Long LON US N 2 2028-08-18 Floating 0.00000000 N N N N N N NORTONLIFELOCK INC. YF6ZV0M6AU4FY94MK914 668771108 1376.00000000 NS USD 35748.48000000 0.003891101063 Long EC US N 1 N N N PEOPLE'S UNITED FINANCIAL, INC. ROPY7PEPIPIDJNF0BO69 712704105 638.00000000 NS USD 11369.16000000 0.001237494588 Long EC US N 1 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231G102 8601.00000000 NS USD 526295.19000000 0.057285450270 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 10320.00000000 0.001123297073 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 6675820.25000000 BRL 1203609.53000000 USD 2022-01-18 10320.00000000 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VGH1 515000.00000000 PA USD 515980.91000000 0.056162775799 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N TENET HEALTHCARE CORPORATION 0W9AIBT6U6ADJ2I8HK17 88033GCX6 200000.00000000 PA USD 207000.01000000 0.022531250530 Long DBT CORP US N 2 2027-02-01 Fixed 6.25000000 N N N N N N ABG INTERMEDIATE TL 1L N/A N/A 83582.09000000 PA USD 83164.18000000 0.009052139537 Long LON US N 2 2028-12-08 Floating 0.00000000 N N N N N N STERIS plc N/A G8473T100 213.00000000 NS USD 51846.33000000 0.005643297555 Long EC US N 1 N N N FOUNDATION BUILDING MATERIALS, INC. 549300ZVE6MONHB01I28 350392AA4 355000.00000000 PA USD 348787.50000000 0.037964338960 Long DBT CORP US N 2 2029-03-01 Fixed 6.00000000 N N N N N N Transportadora de Gas del Sur S.A. 5299002TRC7IFQYSW596 893870AX3 1250000.00000000 PA USD 1146887.50000000 0.124834822920 Long DBT NUSS AR N 2 2025-05-02 Fixed 6.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5121.29000000 0.000557435084 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 1540000.00000000 NOK 179734.01000000 USD 2022-01-18 5121.29000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2324.00000000 -0.00025295953 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 390000.00000000 EUR 441321.66000000 USD 2022-01-18 -2324.00000000 N N N UNITED WHOLESALE MORTGAGE, LLC 549300HW662MN1WU8550 913229AA8 1360000.00000000 PA USD 1334500.00000000 0.145255808601 Long DBT CORP US N 2 2029-04-15 Fixed 5.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 43783.28000000 0.004765661850 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 2023440.85000000 EUR 2345554.42000000 USD 2022-01-18 43783.28000000 N N N APA CORPORATION N/A 03743Q108 773.00000000 NS USD 20785.97000000 0.002262482487 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 13217.98000000 0.001438732388 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 490000.00000000 GBP 676788.00000000 USD 2022-01-18 13217.98000000 N N N MCCORMICK & COMPANY, INCORPORATED 549300JQQA6MQ4OJP259 579780206 545.00000000 NS USD 52652.45000000 0.005731040988 Long EC US N 1 N N N Government National Mortgage Association N/A 38380W4A4 1882900.33300000 PA USD 267353.77000000 0.029100553049 Long DBT USGA US N 2 2048-05-20 Floating 6.09612120 N N N N N N MEG Energy Corp. 5493002WXPTG5ZC1T326 552704AE8 620000.00000000 PA USD 660250.40000000 0.071866021529 Long DBT NUSS CA N 2 2027-02-01 Fixed 7.12500000 N N N N N N RANGE RESOURCES CORPORATION H3Y3WLYCX0BTO1TRW162 75281ABA6 110000.00000000 PA USD 112475.00000000 0.012242523096 Long DBT CORP US N 2 2023-03-15 Fixed 5.00000000 N N N N N N WESTROCK COMPANY N/A 96145D105 546.00000000 NS USD 24220.56000000 0.002636325985 Long EC US N 1 N N N ZIONS BANCORPORATION, NATIONAL ASSOCIATION 8WH0EE09O9V05QJZ3V89 989701107 332.00000000 NS USD 20969.12000000 0.002282417745 Long EC US N 1 N N N AADVANTAGE LOYALTY IP LTD. N/A 00253XAB7 340000.00000000 PA USD 363364.80000000 0.039551028730 Long DBT NUSS US N 2 2029-04-20 Fixed 5.75000000 N N N N N N HLF FINANCING SARL, LLC 549300VKVJUV5OGV2R51 40390DAC9 1639000.00000000 PA USD 1608186.80000000 0.175045690532 Long DBT CORP US N 2 2029-06-01 Fixed 4.87500000 N N N N N N INTERNATIONAL FLAVORS & FRAGRANCES INC. BZLRL03D3GPGMOGFO832 459506101 488.00000000 NS USD 73517.20000000 0.008002098412 Long EC US N 1 N N N TUTOR PERINI N/A 90110FAM6 415800.00000000 PA USD 415800.00000000 0.045258422792 Long LON US N 2 2027-08-18 Floating 5.74999920 N N N N N N IDERA, INC N/A 45168RAQ6 1070375.00000000 PA USD 1068705.22000000 0.116324946337 Long LON US N 2 2028-03-02 Floating 4.50000000 N N N N N N INSTALLED BUILDING PRODUCTS, INC. 549300I95Y9P9YM5FI86 45780RAA9 450000.00000000 PA USD 468000.00000000 0.050940216130 Long DBT CORP US N 2 2028-02-01 Fixed 5.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 14977.41000000 0.001630240389 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 1680000.00000000 CAD 1345105.14000000 USD 2022-01-18 14977.41000000 N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123AY6 60000.00000000 PA USD 56186.40000000 0.006115699486 Long DBT NUSS TR N 2 2036-03-17 Fixed 6.87500000 N N N N N N Government National Mortgage Association N/A 38381AQL3 570259.05220000 PA USD 90839.93000000 0.009887618947 Long DBT USGA US N 2 2048-10-20 Floating 6.04612080 N N N N N N O'Reilly Automotive, Inc. 549300K2RLMQL149Q332 67103H107 133.00000000 NS USD 93928.59000000 0.010223809135 Long EC US N 1 N N N HUDSON RIVER TRADING LLC N/A 44413EAF5 905450.00000000 PA USD 897853.27000000 0.097728289800 Long LON US N 2 2028-03-20 Floating 3.09038040 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135B101 1158.00000000 NS USD 95419.20000000 0.010386056989 Long EC US N 1 N N N AT&T INC. 549300Z40J86GGSTL398 00206RHJ4 700000.00000000 PA USD 786293.27000000 0.085585361357 Long DBT CORP US N 2 2029-03-01 Fixed 4.35000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206R102 14470.00000000 NS USD 355962.00000000 0.038745259004 Long EC US N 1 N N N BRK: MORGAN STANLEY & CO INC (PAS) N/A CDS860797 -1290000.00000000 NC USD 24063.64000000 0.002619245774 N/A DCR XX N 2 BRK: MORGAN STANLEY & CO INC (PAS) N/A Y 2024-12-20 8716.26000000 USD 0.00000000 USD -1290000.00000000 USD 15347.38000000 N N N PROLOGIS, INC. 529900DFH19P073LZ636 74340W103 1493.00000000 NS USD 251361.48000000 0.027359846405 Long EC US N 1 N N N JUMP FINANCIAL, LLC N/A 48138UAB3 1650000.00000000 PA USD 1637625.00000000 0.178249938974 Long LON US N 2 2028-08-07 Floating 3.99999960 N N N N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123DD9 900000.00000000 PA USD 816390.00000000 0.088861288560 Long DBT NUSS TR N 2 2033-09-20 Fixed 6.50000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 680000.00000000 PA 746440.26000000 0.081247496095 Long DBT NUSS EG N 2 2026-04-16 Fixed 4.75000000 N N N N N N TARGET CORPORATION 8WDDFXB5T1Z6J0XC1L66 87612E106 984.00000000 NS USD 227736.96000000 0.024788397357 Long EC US N 1 N N N HAZINE MUSTESARLIGI VARLIK KIRALAMA ANONIM SIRKETI 6354003QFJP7RDXEOZ20 421790AE6 860000.00000000 PA USD 857299.60000000 0.093314160068 Long DBT NUSS TR N 2 2023-04-06 Fixed 5.00400000 N N N N N N DIVERSIFIED HEALTHCARE TRUST N/A 25525PAA5 470000.00000000 PA USD 508516.50000000 0.055350300033 Long DBT CORP US N 2 2025-06-15 Fixed 9.75000000 N N N N N N ALIGN TECHNOLOGY, INC. 549300N5YSE0U3LCP840 016255101 145.00000000 NS USD 95291.10000000 0.010372113737 Long EC US N 1 N N N CINTAS CORPORATION N/A 172908105 173.00000000 NS USD 76668.41000000 0.008345096956 Long EC US N 1 N N N LINCOLN NATIONAL CORPORATION EFQMQROEDSNBRIP7LE47 534187109 360.00000000 NS USD 24573.60000000 0.002674753194 Long EC US N 1 N N N PACCAR INC KDTEY8BWE486IKZ3CC07 693718108 656.00000000 NS USD 57898.56000000 0.006302062307 Long EC US N 1 N N N TCI SYMPHONY CLO N/A 87230XAD8 730000.00000000 PA USD 728161.86000000 0.079257954115 Long ABS-CBDO CORP KY Y 2 2032-10-13 Floating 6.86750040 N N N N N N SOUTHWESTERN ENERGY COMPANY EFWMP121W54QV9MGOP87 845467AT6 500000.00000000 PA USD 526552.50000000 0.057313457593 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N NABORS INDUSTRIES, INC. 549300VFQWRKICUFNU92 62957HAJ4 1390000.00000000 PA USD 1438914.10000000 0.156620930013 Long DBT CORP US N 2 2027-05-15 Fixed 7.37500000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PBD2 200000.00000000 PA USD 224260.00000000 0.024409942028 Long DBT NUSS QA N 2 2030-04-16 Fixed 3.75000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468U6 625000.00000000 PA USD 591590.64000000 0.064392639021 Long DBT CORP US N 2 2032-02-13 Fixed 1.79400000 N N N N N N WHITEHORSE LTD N/A 96525YAJ8 250000.00000000 PA USD 243161.00000000 0.026467251911 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 3.77375040 N N N N N N PULTEGROUP, INC. N/A 745867101 603.00000000 NS USD 34467.48000000 0.003751668548 Long EC US N 1 N N N W.P. CAREY INC. 54930042CRNE713E3Q67 92936UAE9 700000.00000000 PA USD 766291.78000000 0.083408266862 Long DBT CORP US N 2 2026-10-01 Fixed 4.25000000 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS, LLC 549300I7CIEWU1BBLQ53 16412XAG0 850000.00000000 PA USD 959069.94000000 0.104391517152 Long DBT CORP US N 2 2027-06-30 Fixed 5.12500000 N N N N N N CLEAR CHANNEL OUTDOOR HOLDINGS, INC. N/A 18453HAD8 800000.00000000 PA USD 854000.00000000 0.092955009775 Long DBT CORP US N 2 2029-06-01 Fixed 7.50000000 N N N N N N Kleopatra Finco S.a r.l. 222100M6T1N8VIC8M726 N/A 425000.00000000 PA 465791.49000000 0.050699827290 Long DBT NUSS LU N 2 2026-03-01 Fixed 4.25000000 N N N N N N MV24 CAPITAL B.V N/A N53766AA4 2889824.00000000 PA USD 2980159.90000000 0.324380319247 Long DBT NUSS BR N 2 2034-06-01 Fixed 6.74800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35563PRE1 830000.00000000 PA USD 848160.32000000 0.092319380371 Long ABS-MBS US N 2 2059-11-25 Floating 4.25000160 N N N N N N ALLIANT HOLDINGS INTERMEDIATE, LLC 5493006Q26653NF8SI73 01883LAA1 760000.00000000 PA USD 788500.00000000 0.085825556449 Long DBT CORP US N 2 2027-10-15 Fixed 6.75000000 N N N N N N Gaz Capital S.A. 213800568PRHV2JR9650 368266AV4 500000.00000000 PA USD 540600.00000000 0.058842480427 Long DBT NUSS RU N 2 2027-03-23 Fixed 4.95000000 N N N N N N MOZART DEBT MERGER N/A 58503UAC7 950000.00000000 PA USD 949582.00000000 0.103358786993 Long LON US N 3 2028-09-30 Floating 3.75000120 N N N N N N VERISK ANALYTICS, INC. 549300I1YSWNIRKBWP67 92345Y106 308.00000000 NS USD 70448.84000000 0.007668117811 Long EC US N 1 N N N Romania 315700IASY927EDWBK92 N/A 590000.00000000 PA 702149.31000000 0.076426576083 Long DBT NUSS RO N 2 2026-12-08 Fixed 2.00000000 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAH4 1250000.00000000 PA USD 1276886.63000000 0.138984788260 Long DBT NUSS IE N 2 2025-02-15 Fixed 2.87500000 N N N N N N BRK: BNP PARIBAS N/A N/A 5325000.00000000 NC 32027.54000000 0.003486089336 N/A DIR XX N 2 BRK: BNP PARIBAS N/A Y 2027-03-16 17376.63000000 PLN 0.00000000 PLN -5325000.00000000 PLN 14650.91000000 N N N Applovin 10/21 Cov-Lite TLB N/A N/A 470000.00000000 PA USD 468726.30000000 0.051019271426 Long LON US N 2 2028-10-21 Floating 3.49999920 N N N N N N ILLINOIS TOOL WORKS INC. 76NA4I14SZCFAYMNSV04 452308109 572.00000000 NS USD 141169.60000000 0.015365833194 Long EC US N 1 N N N LOYALTY VENTURES N/A N/A 950000.00000000 PA USD 943663.50000000 0.102714578299 Long LON US N 2 2027-10-08 Floating 5.00000040 N N N N N N BRK: CITI N/A N/A 3600000.00000000 NC -68583.98000000 -0.00746513411 N/A DIR XX N 2 BRK: CITI N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL -3600000.00000000 BRL -68583.98000000 N N N COPPER RIVER CLO LTD. N/A 217563AC9 3000000.00000000 PA USD 199515.00000000 0.021716532523 Long ABS-CBDO CORP KY N 2 2021-01-20 Variable 0.00000000 N N N N N N United States of America N/A N/A 78.00000000 NC USD 9436171.88000000 1.027095373946 N/A DIR US N 1 CITICORP SECURITY SERVICES INC. N/A Long U.S. Treasury Futures US 5-Year Note (consolidated) Mar 2022 2022-04-03 9434998.51000000 USD 1173.37000000 N N N GLOBAL TEL*LINK TL 1L N/A 37959JAB7 573175.92000000 PA USD 555980.64000000 0.060516611037 Long LON US N 2 2025-11-29 Floating 4.34037960 N N N N N N SPENCER SPIRIT IH LLC N/A 84823UAB8 608475.00000000 PA USD 605280.51000000 0.065882735039 Long LON US N 2 2026-06-19 Floating 6.09037920 N N N N N N AUTHENTIC BRANDS 12/21 DELAYED-DRAW N/A N/A 532835.82000000 PA USD 530171.64000000 0.057707388734 Long LON US N 2 2028-12-08 Floating 0.00000000 N N N N N N SYMPHONY CLO, LTD. N/A 87166DAA6 250000.00000000 PA USD 238120.00000000 0.025918556121 Long ABS-CBDO CORP KY N 2 2031-04-16 Floating 5.32225080 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PBB6 690000.00000000 PA USD 904341.60000000 0.098434522562 Long DBT NUSS QA N 2 2049-03-14 Fixed 4.81700000 N N N N N N BRK: CITIBANK, NA N/A N/A 4620000.00000000 NC 24067.96000000 0.002619715991 N/A DIR XX N 2 BRK: CITIBANK, NA N/A Y 2025-03-16 8803.82000000 EUR 0.00000000 EUR -4620000.00000000 EUR 15264.14000000 N N N BRK: MORGAN STANLEY & CO INTERNATIONAL PLC N/A N/A -1160000.00000000 NC USD 4852.26000000 0.000528152079 N/A DCR XX N 2 BRK: MORGAN STANLEY & CO INTERNATIONAL PLC N/A Y 2026-12-20 5033.52000000 USD 0.00000000 USD -1160000.00000000 USD -181.26000000 N N N N/A N/A N/A -6091500.00000000 NC USD 495188.91000000 0.053899636967 N/A DCR XX N 2 BRK: BNP PARIBAS N/A Y 2025-06-25 0.00000000 USD -163461.97000000 USD -6091500.00000000 USD 658650.88000000 N N N FOCUS FINANCIAL PARTNERS, LLC 5493007L0E0VKRC2CP39 34416DAV0 101250.00000000 PA USD -614.59000000 -0.00006689604 Long LON US N 2 2028-06-30 Floating 2.49999840 N N N N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 893647BK2 170000.00000000 PA USD 179344.90000000 0.019521085401 Long DBT CORP US N 2 2025-12-15 Fixed 8.00000000 N N N N N N CARDINAL HEALTH, INC. CCU46N3GJMF4OK4N7U60 14149Y108 491.00000000 NS USD 25281.59000000 0.002751815510 Long EC US N 1 N N N TYLER TECHNOLOGIES, INC. 25490040SMU4Z8LBCW70 902252105 90.00000000 NS USD 48415.50000000 0.005269863320 Long EC US N 1 N N N MEDTRONIC PUBLIC LIMITED COMPANY 549300GX3ZBSQWUXY261 G5960L103 2721.00000000 NS USD 281487.45000000 0.030638956283 Long EC US N 1 N N N BX TRUST N/A 05608BAN0 1970000.00000000 PA USD 1942819.91000000 0.211469372045 Long ABS-MBS US N 2 2034-04-15 Floating 2.26000080 N N N N N N OPTION CARE HEALTH, INC. 549300DI3Q5ACSYJRI17 68404LAA0 590000.00000000 PA USD 591475.00000000 0.064380051998 Long DBT CORP US N 2 2029-10-31 Fixed 4.37500000 N N N N N N Verisure Midholding AB 549300496LYEZ55X1M49 N/A 500000.00000000 PA 575737.76000000 0.062667106685 Long DBT NUSS SE N 2 2029-02-15 Fixed 5.25000000 N N N N N N DP World Limited 549300M3U2DNF4QVSS04 23330JAB7 750000.00000000 PA USD 920137.50000000 0.100153852819 Long DBT NUSS AE N 2 2048-09-25 Fixed 5.62500000 N N N N N N DIAMOND SPORTS GROUP, LLC 5493002K6DHWNZH8YA34 25277LAC0 500000.00000000 PA USD 140000.00000000 0.015238526192 Long DBT CORP US N 2 2027-08-15 Fixed 6.62500000 N N N N N N BRAZILIAN REAL N/A N/A 1.00000000 NC 6676.27000000 0.000726689394 N/A DFE BR N 2 MORGAN STANLEY & CO, INC N/A 427681.37000000 USD 2430000.00000000 BRL 2022-01-18 6676.27000000 N N N Emirate of Abu Dhabi 213800FER4348CINTA77 29135LAJ9 1630000.00000000 PA USD 1898604.44000000 0.206656667775 Long DBT NUSS AE N 2 2050-04-16 Fixed 3.87500000 N N N N N N HOST HOTELS & RESORTS, INC. N6EL63S0K3PB1YFTDI24 44107P104 1656.00000000 NS USD 28797.84000000 0.003134547422 Long EC US N 1 N N N N/A N/A N/A -2375000.00000000 NC USD 42668.12000000 0.004644280458 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-12-20 36946.08000000 USD 0.00000000 USD -2375000.00000000 USD 5722.04000000 N N N DCERT BUYER INC. N/A 24022KAJ8 1200000.00000000 PA USD 1200000.00000000 0.130615938794 Long LON US N 2 2029-02-19 Floating 7.09038000 N N N N N N DISH DBS Corporation N/A 25470XAY1 100000.00000000 PA USD 105500.00000000 0.011483317952 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N Ukraine 6354001WLTJXOMEXPY07 N/A 230000.00000000 PA USD 222690.60000000 0.024239118149 Long DBT NUSS UA N 2 2024-09-01 Fixed 7.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5331.42000000 0.000580307023 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 43950000.00000000 RUB 590928.34000000 USD 2022-01-18 5331.42000000 N N N ALLEGION PUBLIC LIMITED COMPANY 984500560CAC2E6FB757 G0176J109 208.00000000 NS USD 27547.52000000 0.002998454321 Long EC US N 1 N N N NCL CORPORATION LTD. UNZWILHE4KMRP9K2L524 62886HAY7 298000.00000000 PA USD 346615.72000000 0.037727948057 Long DBT NUSS US N 2 2026-02-01 Fixed 10.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 20754HAD0 640000.00000000 PA USD 650637.70000000 0.070819711667 Long ABS-MBS US N 2 2039-07-25 Floating 4.20275160 N N N N N N FRANKLIN RESOURCES, INC. RIFQSET379FOGTEFKS80 354613101 576.00000000 NS USD 19290.24000000 0.002099677339 Long EC US N 1 N N N DISH DBS Corporation N/A 25470XBD6 490000.00000000 PA USD 445900.00000000 0.048534705923 Long DBT CORP US N 2 2029-06-01 Fixed 5.12500000 N N N N N N B. RILEY FINANCIAL, INC. N/A 05580M819 7350.00000000 NS USD 183823.50000000 0.020008565854 Long EP US N 2 N N N UNDER ARMOUR, INC. 549300D4549QKWETZ406 904311107 407.00000000 NS USD 8624.33000000 0.000938729132 Long EC US N 1 N N N TRANSOCEAN POSEIDON LIMITED N/A 89383JAA6 470000.00000000 PA USD 454137.50000000 0.049431329920 Long DBT NUSS US N 2 2027-02-01 Fixed 6.87500000 N N N N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SAR7 250000.00000000 PA USD 126350.00000000 0.013752769888 Long DBT NUSS LK N 2 2026-07-18 Fixed 6.82500000 N N N N N N Acrisure 11/21 Incremental TLB N/A N/A 840000.00000000 PA USD 838597.20000000 0.091278467123 Long LON US N 2 2027-02-15 Floating 4.74999840 N N N N N N NOBLE FINANCE COMPANY 5493003DTPH8AMMK4P51 65505JAA9 67929.00000000 PA USD 74721.90000000 0.008133225930 Long DBT NUSS US N 2 2028-02-15 Fixed 11.00000000 N N Y N N N MELCO RESORTS FINANCE LIMITED N/A 58547DAD1 920000.00000000 PA USD 892400.00000000 0.097134719817 Long DBT NUSS HK N 2 2029-12-04 Fixed 5.37500000 N N N N N N VERICAST MERGER SUB, INC. N/A 92348BAA1 240000.00000000 PA USD 253800.00000000 0.027625271055 Long DBT CORP US N 2 2026-09-15 Fixed 11.00000000 N N N N N N YAPI VE KREDI BANKASI ANONIM SIRKETI B85ZYWEZ5IZCZ2WNIO12 AW5744700 480000.00000000 PA USD 520800.00000000 0.056687317436 Long DBT NUSS TR N 2 2170-07-15 Fixed 13.87500000 N N N N N N THE PROCTER & GAMBLE COMPANY 2572IBTT8CCZW6AU4141 742718109 4925.00000000 NS USD 805631.50000000 0.087690262246 Long EC US N 1 N N N THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SAT3 380000.00000000 PA USD 191086.80000000 0.020799151477 Long DBT NUSS LK N 2 2027-05-11 Fixed 6.20000000 N N N N N N MADISON IAQ LLC 549300IXDNBXNHUPBU73 55760LAB3 690000.00000000 PA USD 689999.85000000 0.075104148480 Long DBT CORP US N 2 2029-06-30 Fixed 5.87500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAC7 3225000.00000000 PA USD 3367825.32000000 0.366576388224 Long DBT CORP US N 2 2023-09-15 Fixed 4.20000000 N N N N N N EQUITY RESIDENTIAL 5493008RACSH5EP3PI59 29476L107 730.00000000 NS USD 66065.00000000 0.007190951663 Long EC US N 1 N N N LEGACY MORTGAGE ASSET TRUST N/A 52474JAB2 660000.00000000 PA USD 662986.57000000 0.072163844374 Long ABS-MBS US Y 2 2066-10-25 Fixed 3.84400000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HT0 370222.00000000 PA USD 118474.74000000 0.012895574490 Long DBT NUSS AR N 2 2035-07-09 Fixed 1.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1434.44000000 0.000156133939 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 9330000.00000000 RUB 125748.87000000 USD 2022-01-18 1434.44000000 N N N Romania 315700IASY927EDWBK92 N/A 140000.00000000 PA 149656.00000000 0.016289549113 Long DBT NUSS RO N 2 2050-01-28 Fixed 3.37500000 N N N N N N PERKINELMER, INC. 549300IKL1SDPFI7N655 714046109 280.00000000 NS USD 56296.80000000 0.006127716152 Long EC US N 1 N N N PETSMART LLC N/A 71677KAA6 250000.00000000 PA USD 256562.50000000 0.027925959830 Long DBT CORP US N 2 2028-02-15 Fixed 4.75000000 N N N N N N SCRIPPS ESCROW II, INC. N/A 81105DAB1 580000.00000000 PA USD 589425.00000000 0.064156916436 Long DBT CORP US N 2 2031-01-15 Fixed 5.37500000 N N N N N N The Bank of New York Mellon Corporation WFLLPEPC7FZXENRZV188 064058100 1502.00000000 NS USD 87236.16000000 0.009495360779 Long EC US N 1 N N N PPG INDUSTRIES, INC. 549300BKPEP01R3V6C59 693506107 468.00000000 NS USD 80701.92000000 0.008784130869 Long EC US N 1 N N N FOUR SEASONS HOLDINGS INC. N/A 35100DAR7 79790.57000000 PA USD 79391.62000000 0.008641509148 Long LON US N 2 2023-11-30 Floating 2.09037960 N N N N N N ONE CALL CORPORATION N/A 68235XAB7 967575.00000000 PA USD 966975.10000000 0.105251967064 Long LON US N 2 2027-04-22 Floating 6.24999960 N N N N N N DIAMOND SPORTS GROUP, LLC 5493002K6DHWNZH8YA34 25277LAA4 330000.00000000 PA USD 165000.00000000 0.017959691584 Long DBT CORP US N 2 2026-08-15 Fixed 5.37500000 N N N N N N VIRGIN PULSE INC N/A 92770HAD9 950000.00000000 PA USD 936937.50000000 0.101982475962 Long LON US N 2 2028-04-06 Floating 4.74999840 N N N N N N ANALOG DEVICES, INC. GYVOE5EZ4GDAVTU4CQ61 032654105 1081.00000000 NS USD 190007.37000000 0.020681659175 Long EC US N 1 N N N CONOCOPHILLIPS WPTL2Z3FIYTHSP5V2253 20825C104 2655.00000000 NS USD 191637.90000000 0.020859136847 Long EC US N 1 N N N KIMBERLY-CLARK CORPORATION MP3J6QPYPGN75NVW2S34 494368103 667.00000000 NS USD 95327.64000000 0.010376090993 Long EC US N 1 N N N BBVA Bancomer SA (Houston Branch) N/A 05533UAF5 210000.00000000 PA USD 215514.60000000 0.023458034835 Long DBT NUSS MX N 2 2033-01-18 Fixed 5.12500000 N N N N N N HORNBLOWER SUB L N/A N/A 660000.00000000 PA USD 620400.00000000 0.067528440356 Long LON US N 2 2025-04-27 Floating 5.50000080 N N N N N N LIBERTY INTERACTIVE LLC 549300SZUIU7Z32Q0664 530715AJ0 130000.00000000 PA USD 142350.00000000 0.015494315739 Long DBT CORP US N 2 2030-02-01 Fixed 8.25000000 N N N N N N GENERAL MILLS, INC. 2TGYMUGI08PO8X8L6150 370334104 1193.00000000 NS USD 80384.34000000 0.008749563361 Long EC US N 1 N N N LOEWS CORPORATION R8V1FN4M5ITGZOG7BS19 540424108 335.00000000 NS USD 19349.60000000 0.002106138474 Long EC US N 1 N N N Government National Mortgage Association N/A 38379MNK6 1713716.83200000 PA USD 166406.87000000 0.018112824622 Long DBT USGA US N 2 2045-08-20 Fixed 4.00000000 N N N N N N VENTAS, INC. ORQTRC074CWLT3DKHT41 92276F100 864.00000000 NS USD 44167.68000000 0.004807502489 Long EC US N 1 N N N PECF USS INTERMEDIATE HO N/A N/A 570000.00000000 PA USD 570205.20000000 0.062064906253 Long LON US N 2 2028-11-04 Floating 0.00000000 N N N N N N MADISON IAQ LLC TL 1L N/A 55759VAB4 279300.00000000 PA USD 278872.67000000 0.030354346330 Long LON US N 2 2028-06-21 Floating 3.75000120 N N N N N N MARTIN MARIETTA MATERIALS, INC. 5299005MZ4WZECVATV08 573284106 133.00000000 NS USD 58589.16000000 0.006377231780 Long EC US N 1 N N N PIONEER NATURAL RESOURCES COMPANY FY8JBF7CCL2VE4F1B628 723787107 448.00000000 NS USD 81482.24000000 0.008869066060 Long EC US N 1 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -17062.60000000 -0.00185720626 N/A DFE AU N 2 JP MORGAN N/A 780412.50000000 USD 1050000.00000000 AUD 2022-01-18 -17062.60000000 N N N INCYTE CORPORATION 549300Z4WN6JVZ3T4680 45337C102 384.00000000 NS USD 28185.60000000 0.003067907170 Long EC US N 1 N N N BRK: CITIGROUP GLOBAL MARKETS N/A N/A 4250000.00000000 NC USD -778.71000000 -0.00008475994 N/A DIR XX N 2 BRK: CITIGROUP GLOBAL MARKETS N/A Y 2023-11-18 0.00000000 USD -14990.34000000 USD -4250000.00000000 USD 14211.63000000 N N N IPG PHOTONICS CORPORATION 5493002KZ51CADQ94G15 44980X109 66.00000000 NS USD 11361.24000000 0.001236632523 Long EC US N 1 N N N ALLIED UNIVERSAL HOLDCO LLC 98450038B4549046D794 019576AC1 320000.00000000 PA USD 311200.00000000 0.033873066794 Long DBT CORP US N 2 2029-06-01 Fixed 6.00000000 N N N N N N BANCO MERCANTIL DEL NORTE S.A. N/A 05971PAB4 720000.00000000 PA USD 766087.20000000 0.083385999022 Long DBT NUSS MX N 2 2170-09-27 Fixed 7.50000000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VGK4 430000.00000000 PA USD 450185.69000000 0.049001188776 Long DBT CORP US N 2 2041-03-22 Fixed 3.40000000 N N N N N N CINEMARK USA INC. N/A 172442AS4 157948.71000000 PA USD 151408.06000000 0.016480254915 Long LON US N 2 2025-03-31 Floating 1.85000040 N N N N N N INSULET CORPORATION N/A 45784QAB5 598500.00000000 PA USD 598128.93000000 0.065104309760 Long LON US N 2 2028-05-04 Floating 3.75000120 N N N N N N MARKETAXESS HOLDINGS INC. 5493002U1CA1XJOVID83 57060D108 67.00000000 NS USD 27555.09000000 0.002999278290 Long EC US N 1 N N N ESKOM HOLDINGS SOC LIMITED 3789001900ED06F65111 N/A 230000.00000000 PA USD 235962.06000000 0.025683671655 Long DBT NUSS ZA N 2 2023-08-06 Fixed 6.75000000 N N N N N N GENERAC HOLDINGS INC. 529900S2H2AHJHSFFI84 368736104 136.00000000 NS USD 47861.12000000 0.005209520933 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 14042.56000000 0.001528485131 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 690000.00000000 EUR 798954.11000000 USD 2022-01-18 14042.56000000 N N N Endo Luxembourg Finance Company I S.a r.l. 222100B15VY0VVCTG251 29280BAA3 540000.00000000 PA USD 529200.00000000 0.057601629008 Long DBT NUSS US N 2 2029-04-01 Fixed 6.12500000 N N N N N N STANLEY BLACK & DECKER, INC. 549300DJ09SMTO561131 854502101 308.00000000 NS USD 58094.96000000 0.006323439783 Long EC US N 1 N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 893647BL0 370000.00000000 PA USD 381100.00000000 0.041481445228 Long DBT CORP US N 2 2027-11-15 Fixed 5.50000000 N N N N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 P3579EAY3 600000.00000000 PA USD 709500.00000000 0.077226673812 Long DBT NUSS DO N 2 2044-04-30 Fixed 7.45000000 N N N N N N United States of America N/A N/A 165.00000000 NC USD 35998359.38000000 3.918299587912 N/A DIR US N 1 MORGAN LEWIS GITHENS & AHN INC. N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Mar 2022 2022-04-03 36037444.85000000 USD -39085.47000000 N N N TotalEnergies Capital International SA 549300U37G2I8G4RUG09 89153VAT6 1350000.00000000 PA USD 1413539.24000000 0.153858962380 Long DBT NUSS FR N 2 2030-01-10 Fixed 2.82900000 N N N N N N Government National Mortgage Association N/A 38381AQC3 365470.64450000 PA USD 48926.51000000 0.005325485029 Long DBT USGA US N 2 2048-10-20 Floating 6.04612080 N N N N N N GLOBAL PAYMENTS INC. 549300NOMHGVQBX6S778 37940XAA0 400000.00000000 PA USD 411070.97000000 0.044743683881 Long DBT CORP US N 2 2025-02-15 Fixed 2.65000000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -7265.33000000 -0.00079080658 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 774337.34000000 USD 57570000.00000000 RUB 2022-01-18 -7265.33000000 N N N UNIFRAX ESCROW ISSUER CORPORATION N/A 90473LAA0 365000.00000000 PA USD 368923.75000000 0.040156101624 Long DBT CORP US N 2 2028-09-30 Fixed 5.25000000 N N N N N N OCEAN TRAILS CLO N/A 67515UAX8 340000.00000000 PA USD 339485.92000000 0.036951893457 Long ABS-CBDO CORP KY Y 2 2028-07-15 Floating 3.72375000 N N N N N N ECOLAB INC. 82DYEISM090VG8LTLS26 278865100 497.00000000 NS USD 116591.23000000 0.012690560801 Long EC US N 1 N N N PARK AEROSPACE HOLDINGS LIMITED 635400CPI3EOIFF6OC33 70014LAC4 170000.00000000 PA USD 175439.93000000 0.019096042632 Long DBT NUSS IE N 2 2023-03-15 Fixed 4.50000000 N N N N N N Greenko Investment Company 21380023V4N5Y8KXN552 39530XAA2 410000.00000000 PA USD 413741.62000000 0.045034375095 Long DBT NUSS IN N 2 2023-08-16 Fixed 4.87500000 N N N N N N Banco Bilbao Vizcaya Argentaria, S.A. K8MS7FD7N5Z2WQ51AZ71 N/A 800000.00000000 PA 965485.87000000 0.105089869419 Long DBT NUSS ES N 2 2170-12-24 Fixed 5.87500000 N N N N N N FORTINET, INC. 549300O0QJWDBAS0QX03 34959E109 269.00000000 NS USD 96678.60000000 0.010523138416 Long EC US N 1 N N N B. RILEY FINANCIAL, INC. N/A 05580M827 8400.00000000 NS USD 214200.00000000 0.023314945074 Long EP US N 2 N N N Independent State of Papua New Guinea 254900NKI6OC90ZW9W36 69888UAB1 290000.00000000 PA USD 291595.00000000 0.031739128894 Long DBT NUSS PG N 2 2028-10-04 Fixed 8.37500000 N N N N N N MILLICOM INTERNATIONAL CELLULAR S.A. 549300CTHC1CP86P2G96 600814AR8 219000.00000000 PA USD 220644.69000000 0.024016427770 Long DBT NUSS CO N 2 2031-04-27 Fixed 4.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -190.35000000 -0.00002071895 N/A DFE CA N 2 MORGAN STANLEY & CO, INC N/A 1125607.17000000 USD 1421442.62000000 CAD 2022-01-18 -190.35000000 N N N AMERICAN AXLE & MANUFACTURING INC. N/A 02406MAP2 297568.82000000 PA USD 296500.55000000 0.032273081409 Long LON US N 2 2024-04-06 Floating 2.99999880 N N N N N N DELTA AIR LINES, INC. Q2CCMS6R0AS67HJMBN42 247361ZX9 700000.00000000 PA USD 800386.79000000 0.087119393312 Long DBT CORP US N 2 2025-05-01 Fixed 7.00000000 N N N N N N CLOUDERA, INC. N/A 74339VAE8 390000.00000000 PA USD 389025.00000000 0.042344054658 Long LON US N 2 2029-10-08 Floating 6.50000160 N N N N N N Northrop Grumman Corporation RIMU48P07456QXSO0R61 666807102 297.00000000 NS USD 114959.79000000 0.012512984078 Long EC US N 1 N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HT0 1315672.00000000 PA USD 421028.20000000 0.045827494668 Long DBT NUSS AR N 2 2035-07-09 Fixed 1.12500000 N N N N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 1400000.00000000 PA 1741343.04000000 0.189539296611 Long DBT NUSS NL N 2 2170-12-29 Fixed 4.62500000 N N N N N N EyeCare Partners 10/21 2nd Lien Cov-Lite TL N/A N/A 430000.00000000 PA USD 430000.00000000 0.046804044734 Long LON US N 2 2029-10-14 Floating 7.25000040 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FWXZ8 593507.16000000 PA USD 91870.69000000 0.009999813685 Long DBT USGA US N 2 2050-08-25 Fixed 3.00000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCK6 180000.00000000 PA USD 178920.00000000 0.019474836474 Long DBT NUSS MX N 2 2028-02-12 Fixed 5.35000000 N N N N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 550000.00000000 NC 14789.82000000 0.001609821853 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2032-03-16 0.00000000 GBP -234.33000000 GBP -550000.00000000 GBP 15024.15000000 N N N KEYCORP RKPI3RZGV1V1FJTH5T61 493267108 2108.00000000 NS USD 48758.04000000 0.005307147640 Long EC US N 1 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 360000.00000000 PA 418887.13000000 0.045594446445 Long DBT NUSS DE N 2 2026-08-15 Fixed 0.00000000 N N N N N N TEAMSYSTEM S.P.A. 81560062081DF3AB7A90 N/A 550000.00000000 PA 619137.32000000 0.067391001912 Long DBT NUSS IT N 2 2028-02-15 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12193.86000000 0.001327260392 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 450000.00000000 GBP 621594.90000000 USD 2022-01-18 12193.86000000 N N N DIVIDEND SOLAR LOANS LLC N/A 255388AA8 425387.82320000 PA USD 443343.70000000 0.048256461320 Long ABS-MBS US N 2 2039-08-22 Fixed 3.67000000 N N N N N N PHOENIX GUARANTOR INC. N/A 71913BAE2 703856.30000000 PA USD 698577.38000000 0.076037783591 Long LON US N 2 2026-03-05 Floating 3.34163160 N N N N N N DOW INC. 5493003S21INSLK2IP73 260557103 1459.00000000 NS USD 82754.48000000 0.009007545078 Long EC US N 1 N N N FREEPORT-MCMORAN INC. 549300IRDTHJQ1PVET45 35671D857 2931.00000000 NS USD 122310.63000000 0.013313098135 Long EC US N 1 N N N NISOURCE INC. 549300D8GOWWH0SJB189 65473PAJ4 50000.00000000 PA USD 53891.13000000 0.005865867114 Long DBT CORP US N 2 2030-05-01 Fixed 3.60000000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VGC2 310000.00000000 PA USD 336107.28000000 0.036584139927 Long DBT CORP US N 2 2061-03-22 Fixed 3.70000000 N N N N N N ADVANCE AUTO PARTS, INC. 529900UCNQ5H9FSL0Y70 00751Y106 131.00000000 NS USD 31424.28000000 0.003420426527 Long EC US N 1 N N N PACIFIC BELLS TL 1L B N/A N/A 257319.59000000 PA USD 256032.99000000 0.027868324459 Long LON US N 2 2028-10-14 Floating 0.00000000 N N N N N N TUI Cruises GmbH 529900SVD83QUUIZYY18 N/A 375000.00000000 PA 422719.91000000 0.046011631576 Long DBT NUSS DE N 2 2026-05-15 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 62548QAD3 480000.00000000 PA USD 487013.76000000 0.053009799557 Long ABS-MBS US N 2 2050-03-25 Floating 3.85188120 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851109 630.00000000 NS USD 83336.40000000 0.009070885101 Long EC US N 1 N N N CF INDUSTRIES HOLDINGS, INC. 529900CG8YAQFZ2JMV97 125269100 504.00000000 NS USD 35673.12000000 0.003882898382 Long EC US N 1 N N N NMG HOLDING COMPANY, INC. N/A 62929RAC2 430000.00000000 PA USD 456389.10000000 0.049676408960 Long DBT CORP US N 2 2026-04-01 Fixed 7.12500000 N N N N N N CINCINNATI FINANCIAL CORPORATION 254900Q4WEDMZBOZ0002 172062101 268.00000000 NS USD 30533.24000000 0.003323439839 Long EC US N 1 N N N CHEPLAPHARM Arzneimittel GmbH 529900ONXKBELT7EW052 16412EAA5 578000.00000000 PA USD 585225.00000000 0.063699760651 Long DBT NUSS DE N 2 2028-01-15 Fixed 5.50000000 N N N N N N LD HOLDINGS GROUP LLC N/A 521088AA2 860000.00000000 PA USD 848519.00000000 0.092358421475 Long DBT CORP US N 2 2025-11-01 Fixed 6.50000000 N N N N N N AKAMAI TECHNOLOGIES, INC. OC1LZNN2LF5WTJ5RIL89 00971T101 307.00000000 NS USD 35931.28000000 0.003910998224 Long EC US N 1 N N N EXPEDIA GROUP, INC. N/A 30212P303 321.00000000 NS USD 58011.12000000 0.006314314082 Long EC US N 1 N N N METLIFE, INC. C4BXATY60WC6XEOZDX54 59156R108 1414.00000000 NS USD 88360.86000000 0.009617780568 Long EC US N 1 N N N THE CLOROX COMPANY 54930044KVSC06Z79I06 189054109 269.00000000 NS USD 46902.84000000 0.005105215398 Long EC US N 1 N N N VT TOPCO, INC. N/A 91838LAE0 320000.00000000 PA USD 320000.00000000 0.034830917011 Long LON US N 2 2026-07-31 Floating 7.49999880 N N N N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 4914061.00000000 NC 21415.59000000 0.002331014493 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2024-03-16 888.00000000 PLN 0.00000000 PLN -4914061.00000000 PLN 20527.59000000 N N N BRK: GOLDMAN SACHS N/A N/A 12410000.00000000 NC -93009.94000000 -0.01012381719 N/A DIR XX N 2 BRK: GOLDMAN SACHS N/A Y 2023-01-02 780.91000000 BRL 0.00000000 BRL -12410000.00000000 BRL -93790.85000000 N N N THE INTERPUBLIC GROUP OF COMPANIES, INC. 5493008IUOJ5VWTRC333 460690100 934.00000000 NS USD 34978.30000000 0.003807269576 Long EC US N 1 N N N CALPINE CORPORATION 43R4VPJBXTU2O15HEF41 131347CR5 1875000.00000000 PA USD 1807031.25000000 0.196689235958 Long DBT CORP US N 2 2031-03-01 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FUUT9 1906670.28140000 PA USD 321023.79000000 0.034942353088 Long DBT USGA US N 2 2050-07-25 Fixed 5.00000000 N N N N N N Cellnex Finance Company, S.A 549300OUROMFTRFA7T23 N/A 400000.00000000 PA 433626.66000000 0.047198794401 Long DBT NUSS ES N 2 2029-01-15 Fixed 1.25000000 N N N N N N WHIRLPOOL CORPORATION WHENKOULSSK7WUM60H03 963320106 130.00000000 NS USD 30505.80000000 0.003320453088 Long EC US N 1 N N N USD PUT RUB CALL N/A USRUP0140 -1290000.00000000 NC USD -78.02000000 -0.00000849221 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A Put Written N/A N/A -1290000.00000000 70.82500000 USD 2022-01-13 XXXX 8788.15000000 N N N N/A N/A N/A -26200000.00000000 NC USD 497633.93000000 0.054165769119 N/A DCR XX N 2 BRK: CREDIT SUISSE INTERNATIONAL N/A Y 2025-06-20 273895.50000000 USD 0.00000000 USD -26200000.00000000 USD 223738.43000000 N N N BELARUS, REPUBLIC OF (GOVERNMENT) 635400CVCOWYLHF4ZB08 N/A 200000.00000000 PA USD 157760.00000000 0.017171642086 Long DBT NUSS BY N 2 2030-02-28 Fixed 6.20000000 N N N N N N CLARIOS GLOBAL LP N/A C8000CAG8 665597.33000000 PA USD 661104.55000000 0.071958992866 Long LON US N 2 2026-04-30 Floating 3.35424960 N N N N N N PRIME SECURITY SERVICES BORROWER, LLC 549300O6QPZVWXV2DC15 74166MAE6 330000.00000000 PA USD 344025.00000000 0.037445956953 Long DBT CORP US N 2 2028-01-15 Fixed 6.25000000 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89178BBA1 640000.00000000 PA USD 646459.97000000 0.070364979895 Long ABS-MBS US N 2 2059-10-25 Floating 3.49999920 N N N N N N ALLIED UNIVERSAL HOLDCO LLC N/A 01957TAH0 1500809.55000000 PA USD 1494251.01000000 0.162644165388 Long LON US N 2 2028-05-12 Floating 4.25000160 N N N N N N HOLOGIC, INC. 549300DYP6F5ZJL0LB74 436440101 480.00000000 NS USD 36748.80000000 0.003999982509 Long EC US N 1 N N N AMERICAN AIRLINES, INC. IWUQB36BXD6OWD6X4T14 023771S58 160000.00000000 PA USD 197400.00000000 0.021486321931 Long DBT CORP US N 2 2025-07-15 Fixed 11.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3973.06000000 0.000432454134 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 29260000.00000000 RUB 393838.04000000 USD 2022-01-18 3973.06000000 N N N CSMC TRUST N/A 12649AAQ2 320000.00000000 PA USD 284736.22000000 0.030992573903 Long ABS-MBS US N 2 2037-09-15 Fixed 4.37330000 N N N N N N Wynn Macau, Limited 254900NMDQ8ENTHU1I31 98313RAH9 390000.00000000 PA USD 361134.15000000 0.039308230027 Long DBT NUSS MO N 2 2028-08-26 Fixed 5.62500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746101 8085.00000000 NS USD 387918.30000000 0.042223594108 Long EC US N 1 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC 1316.36000000 0.000143281330 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 576819.03000000 USD 43390000.00000000 RUB 2022-01-18 1316.36000000 N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 008911BK4 400000.00000000 PA USD 408000.00000000 0.044409419190 Long DBT NUSS CA N 2 2026-08-15 Fixed 3.87500000 N N N N N N NXP B.V. 724500RKKW4NOJ9YQF60 62954HAD0 225000.00000000 PA USD 239784.90000000 0.026099774851 Long DBT NUSS CN N 2 2030-05-01 Fixed 3.40000000 N N N N N N DP World Limited 549300M3U2DNF4QVSS04 N/A 200000.00000000 PA USD 245370.00000000 0.026707694085 Long DBT NUSS AE N 2 2048-09-25 Fixed 5.62500000 N N N N N N NEWCREST FINANCE PTY LIMITED 549300I0XDZ4K7PDSS04 65120FAD6 150000.00000000 PA USD 157097.25000000 0.017099503992 Long DBT NUSS AU N 2 2030-05-13 Fixed 3.25000000 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 390000.00000000 PA USD 426694.26000000 0.046444226123 Long DBT CORP US N 2 2024-12-15 Fixed 5.50000000 N N N N N N Tibco Software/Bali Finco 9/21 TLB2 N/A N/A 1050000.00000000 PA USD 1039174.50000000 0.113110627407 Long LON US N 2 2026-06-30 Floating 0.00000000 N N N N N N Banco de Bogota S.A. 549300LYHE7LWSKDZT53 059514AC3 580000.00000000 PA USD 626400.00000000 0.068181520050 Long DBT NUSS CO N 2 2026-05-12 Fixed 6.25000000 N N N N N N VFH PARENT LLC N/A 91820UAQ3 252655.36000000 PA USD 251849.39000000 0.027412953758 Long LON US N 2 2026-03-01 Floating 3.10187880 N N N N N N BRK: JP MORGAN N/A N/A 3000000.00000000 NC -57157.24000000 -0.00622137213 N/A DIR XX N 2 BRK: JP MORGAN N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL -3000000.00000000 BRL -57157.24000000 N N N Cboe Global Markets, Inc. 529900RLNSGA90UPEH54 12503M108 221.00000000 NS USD 28818.40000000 0.003136785308 Long EC US N 1 N N N FRONTIER COMMUNICATIONS PARENT, INC. N/A 35906ABF4 395000.00000000 PA USD 406850.00000000 0.044284245582 Long DBT CORP US N 2 2028-05-01 Fixed 5.00000000 N N N N N N ESSEX PORTFOLIO, L.P. 5493003GN3O58H286O74 29717PAU1 400000.00000000 PA USD 419206.66000000 0.045629226204 Long DBT CORP US N 2 2030-01-15 Fixed 3.00000000 N N N N N N Bundesrepublik Deutschland N/A N/A -39.00000000 NC -7600420.75000000 -0.82728007624 N/A DIR DE N 1 MORGAN STANLEY & CO, INC N/A Short Germany Govt. Bond Futures Euro-Bund Future Mar 2022 2022-03-11 -7634586.28000000 EUR 34165.53000000 N N N Suzano Austria GmbH 254900287ZNSGVP1R341 86964WAK8 590000.00000000 PA USD 570830.90000000 0.062133011580 Long DBT NUSS BR N 2 2032-01-15 Fixed 3.12500000 N N N N N N LSF11 A5 HOLDCO LLC 254900FPK7P5WNA66Y10 50221DAA7 840000.00000000 PA USD 827400.00000000 0.090059689799 Long DBT CORP US N 2 2029-10-15 Fixed 6.62500000 N N N N N N AQGEN ISLAND HOLDINGS, INC. N/A N/A 740000.00000000 PA USD 736115.00000000 0.080123626488 Long LON US N 2 2028-08-02 Floating 3.99999960 N N N N N N IQVIA HOLDINGS INC 549300W3R20NM4KQPH86 46266C105 380.00000000 NS USD 107213.20000000 0.011669793974 Long EC US N 1 N N N Prosus N.V. 635400Z5LQ5F9OLVT688 74365PAA6 250000.00000000 PA USD 257290.08000000 0.028005154451 Long DBT NUSS CN N 2 2030-01-21 Fixed 3.68000000 N N N N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023CX1 410000.00000000 PA USD 568950.38000000 0.061928323342 Long DBT CORP US N 2 2060-05-01 Fixed 5.93000000 N N N N N N N/A N/A BGH5LNP38 56.61000000 NS USD 0.01000000 0.000000001088 Long EC US N 3 N N N CBOM FINANCE PUBLIC LIMITED COMPANY 635400Y22HQLUDCVZX38 N/A 470000.00000000 PA USD 466794.60000000 0.050809012419 Long DBT NUSS RU N 2 2027-10-05 Fixed 7.50000000 N N N N N N Wynn Macau, Limited 254900NMDQ8ENTHU1I31 98313RAE6 470000.00000000 PA USD 426971.50000000 0.046474402759 Long DBT NUSS MO N 2 2029-12-15 Fixed 5.12500000 N N N N N N SORENSON COMMUNICATIONS, LLC N/A 83583KAH9 322334.31000000 PA USD 322537.38000000 0.035107102237 Long LON US N 2 2026-03-17 Floating 6.24999960 N N N N N N GS MORTGAGE SECURITIES CORPORATION TRUST N/A 36258BAU2 595000.00000000 PA USD 578895.79000000 0.063010847562 Long ABS-MBS US N 2 2036-12-15 Floating 3.35999880 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179M103 1183.00000000 NS USD 52111.15000000 0.005672122315 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8622.31000000 0.000938509262 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 83577381.00000000 RUB 1116300.00000000 USD 2022-02-17 8622.31000000 N N N DEXCOM, INC. 549300YSK3QDSFR5EU59 252131107 193.00000000 NS USD 103631.35000000 0.011279921724 Long EC US N 1 N N N CLARIVATE SCIENCE HOLDINGS CORPORATION N/A 18064PAD1 936000.00000000 PA USD 949216.32000000 0.103318983963 Long DBT CORP US N 2 2029-07-01 Fixed 4.87500000 N N N N N N Islamic Republic of Pakistan 529900LOP29R5WKHOD86 695847AS2 540000.00000000 PA USD 539082.00000000 0.058677251264 Long DBT NUSS PK N 2 2026-04-08 Fixed 6.00000000 N N N N N N TE Connectivity Ltd. 894500ZRIX9K13RHXR17 H84989104 649.00000000 NS USD 104709.66000000 0.011397292118 Long EC US N 1 N N N Republique du Senegal 549300NP14ZLQGWIUZ97 N/A 230000.00000000 PA 265134.93000000 0.028859039824 Long DBT NUSS SN N 2 2028-03-13 Fixed 4.75000000 N N N N N N AIB GROUP PUBLIC LIMITED COMPANY 635400AKJBGNS5WNQL34 00135TAA2 550000.00000000 PA USD 581699.51000000 0.063316022995 Long DBT NUSS IE N 2 2023-10-12 Fixed 4.75000000 N N N N N N RUSSIA, FEDERATION OF (GOVERNMENT) 5493004EHVGF71PDBU58 AX8009109 200000.00000000 PA USD 235260.00000000 0.025607254800 Long DBT NUSS RU N 2 2035-03-28 Fixed 5.10000000 N N N N N N CFK TRUST N/A 12529AAJ3 500000.00000000 PA USD 483975.10000000 0.052679051699 Long ABS-MBS US N 2 2039-03-15 Floating 3.45750120 N N N N N N Garmin Ltd. 2549001E0HIPIJQ0W046 H2906T109 321.00000000 NS USD 43710.57000000 0.004757747613 Long EC US N 1 N N N BANCO DO BRASIL S.A. N/A P3772WAF9 200000.00000000 PA USD 213202.00000000 0.023206316152 Long DBT NUSS BR N 2 2170-12-18 Fixed 9.00000000 N N N N N N THE HOME DEPOT, INC. QEKMOTMBBKA8I816DO57 437076102 2149.00000000 NS USD 891856.49000000 0.097075560593 Long EC US N 1 N N N SWF ESCROW ISSUER CORPORATION N/A 78500AAA6 1165000.00000000 PA USD 1119803.83000000 0.121886857101 Long DBT CORP US N 2 2029-10-01 Fixed 6.50000000 N N N N N N FIRSTENERGY CORP. 549300SVYJS666PQJH88 337932107 1194.00000000 NS USD 49658.46000000 0.005405155310 Long EC US N 1 N N N VT TOPCO, INC. 5493007T812R37X02Y38 75774EAH8 60000.00000000 PA USD -124.80000000 -0.00001358405 Long LON US N 2 2025-08-01 Floating 0.00000000 N N N N N N Republic of Armenia 5299000H77JSW90G7935 042207AD2 1300000.00000000 PA USD 1211106.00000000 0.131824789308 Long DBT NUSS AM N 2 2031-02-02 Fixed 3.60000000 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122108 4488.00000000 NS USD 279826.80000000 0.030458200151 Long EC US N 1 N N N Commerzbank Aktiengesellschaft 851WYGNLUQLFZBSYGB56 N/A 400000.00000000 PA 495252.17000000 0.053906522603 Long DBT NUSS DE N 2 2170-04-09 Fixed 6.12500000 N N N N N N CP ATLAS BUYER, INC. 2549006ZZ07G0NDDCR36 12597YAA7 955000.00000000 PA USD 950225.00000000 0.103428775367 Long DBT CORP US N 2 2028-12-01 Fixed 7.00000000 N N N N N N HONEYWELL INTERNATIONAL INC. ISRPG12PN4EIEOEMW547 438516106 1392.00000000 NS USD 290245.92000000 0.031592286101 Long EC US N 1 N N N Ukraine 6354001WLTJXOMEXPY07 N/A 250000.00000000 PA USD 236499.00000000 0.025742115757 Long DBT NUSS UA N 2 2027-09-01 Fixed 7.75000000 N N N N N N Gaz Capital S.A. 213800568PRHV2JR9650 N/A 300000.00000000 PA USD 398253.00000000 0.043348491227 Long DBT NUSS RU N 2 2037-08-16 Fixed 7.28800000 N N N N N N VIRTUSA CORPORATION C77OMXDER63WLJCSKT03 92837TAA0 275000.00000000 PA USD 283937.50000000 0.030905635934 Long DBT CORP US N 2 2028-12-15 Fixed 7.12500000 N N N N N N Republique du Benin 635400Q11P6AE5A5Y230 N/A 1480000.00000000 PA 1643576.73000000 0.178897764642 Long DBT NUSS BJ N 2 2032-01-19 Fixed 4.87500000 N N N N N N NABORS INDUSTRIES, INC. 549300VFQWRKICUFNU92 62957HAH8 1597000.00000000 PA USD 1644910.00000000 0.179042886569 Long DBT CORP US N 2 2025-02-01 Fixed 9.00000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AK4 200000.00000000 PA USD 219776.00000000 0.023921873803 Long DBT NUSS CH N 2 2170-03-12 Fixed 7.25000000 N N N N N N SOHO TRUST N/A 83410JAJ7 440000.00000000 PA USD 389417.47000000 0.042386773689 Long ABS-MBS US Y 2 2038-08-10 Floating 2.69659080 N N N N N N DELL INTERNATIONAL L.L.C. N/A 24703TAD8 1600000.00000000 PA USD 1849362.37000000 0.201296835107 Long DBT CORP US N 2 2026-06-15 Fixed 6.02000000 N N N N N N FLEETCOR TECHNOLOGIES, INC. 549300DG6RR0NQSFLN74 339041105 170.00000000 NS USD 38052.80000000 0.004141918496 Long EC US N 1 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -4696.38000000 -0.00051118506 N/A DFE NO N 2 BNP PARIBAS N/A 163435.22000000 USD 1400000.00000000 NOK 2022-01-18 -4696.38000000 N N N Republic of Lebanon 529900QPC4K9S1KHL354 N/A 860000.00000000 PA USD 87823.20000000 0.009559258096 Long DBT NUSS LB N 2 2025-02-26 Fixed 6.20000000 Y N N N N N Willis Towers Watson Public Limited Company 549300WHC56FF48KL350 G96629103 242.00000000 NS USD 57472.58000000 0.006255695826 Long EC US N 1 N N N EURO N/A N/A 1.00000000 NC -17390.63000000 -0.00189291121 N/A DFE XX N 2 MORGAN STANLEY & CO, INC N/A 1154943.60000000 USD 1000000.00000000 EUR 2022-01-18 -17390.63000000 N N N BRK: MORGAN STANLEY N/A CDS865428 1450000.00000000 NC USD -254753.82000000 -0.02772909113 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2026-06-20 0.00000000 USD -252815.19000000 USD 1450000.00000000 USD -1938.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 23317.28000000 0.002538007014 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 3290000.00000000 NOK 396353.55000000 USD 2022-01-18 23317.28000000 N N N C.H. ROBINSON WORLDWIDE, INC. 529900WNWN5L0OVDHA79 12541W209 225.00000000 NS USD 24216.75000000 0.002635911279 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -11220.45000000 -0.00122130800 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 8830000.00000000 MXN 419029.16000000 USD 2022-01-18 -11220.45000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 15033.06000000 0.001636297704 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 520951.73000000 USD 11000000.00000000 MXN 2022-01-18 15033.06000000 N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045VAG5 250000.00000000 PA USD 267388.18000000 0.029104298461 Long DBT CORP US N 2 2025-04-01 Fixed 4.00000000 N N N N N N ELECTRONIC ARTS INC. 549300O7A67PUEYKDL45 285512109 556.00000000 NS USD 73336.40000000 0.007982418944 Long EC US N 1 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343V104 8402.00000000 NS USD 436567.92000000 0.047518940598 Long EC US N 1 N N N SIMON PROPERTY GROUP, INC. 529900GQL5X8H7AO3T64 828806109 653.00000000 NS USD 104329.81000000 0.011355946731 Long EC US N 1 N N N Republic of Ghana 213800PP4399SNNXZ126 37443GAB7 950000.00000000 PA USD 775456.50000000 0.084405815618 Long DBT NUSS GH N 2 2032-03-26 Fixed 8.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12852.93000000 0.001398997931 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 490000.00000000 GBP 676422.95000000 USD 2022-01-18 12852.93000000 N N N Ukraine 6354001WLTJXOMEXPY07 N/A 910000.00000000 PA USD 888749.68000000 0.096737394839 Long DBT NUSS UA N 2 2023-09-01 Fixed 7.75000000 N N N N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 455780CD6 880000.00000000 PA USD 949184.88000000 0.103315561825 Long DBT NUSS ID N 2 2028-01-11 Fixed 3.50000000 N N N N N N AUTHENTIC BRANDS 12/21 DELAYED-DRAW N/A N/A 83582.09000000 PA USD 83164.18000000 0.009052139537 Long LON US N 2 2028-12-08 Floating 0.00000000 N N N N N N EXPEDIA GROUP, INC. N/A 30212PBK0 647000.00000000 PA USD 720479.40000000 0.078421744344 Long DBT CORP US N 2 2027-08-01 Fixed 4.62500000 N N N N N N Republica Federativa do Brasil 254900ZFY40OYEADAP90 N/A 2791000.00000000 PA 489176.62000000 0.053245219548 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 14448C104 1716.00000000 NS USD 93075.84000000 0.010130990183 Long EC US N 1 N N N Jamaica 529900Y93KNSXZI8KK56 470160CB6 740000.00000000 PA USD 1023975.00000000 0.111456213272 Long DBT NUSS JM N 2 2045-07-28 Fixed 7.87500000 N N N N N N EATON VANCE CLO LTD N/A 27830RAE9 500000.00000000 PA USD 500000.00000000 0.054423307831 Long ABS-CBDO CORP KY Y 2 2035-01-15 Floating 6.60975120 N N N N N N ICON PUBLIC LIMITED COMPANY N/A L5000DAC1 359344.18000000 PA USD 359193.26000000 0.039096970719 Long LON US N 2 2028-07-03 Floating 2.75000040 N N N N N N Sultanate of Oman 549300SZ20F0QTKNQC75 68205LAS2 1600000.00000000 PA USD 1747728.00000000 0.190234277898 Long DBT NUSS OM N 2 2031-01-25 Fixed 6.25000000 N N N N N N N/A N/A N/A 21.00000000 NC 2124815.18000000 0.231278941251 N/A DIR AU N 1 MERRILL LYNCH N/A Long Australia Govt. Bond Futures AUST 10Y BOND (consolidated) Mar 2022 2022-03-18 2086431.16000000 AUD 38384.02000000 N N N Joint Stock Company National Company KazMunayGas 2138001H1M69RFJCSH88 48667QAN5 800000.00000000 PA USD 883056.00000000 0.096117657040 Long DBT NUSS KZ N 2 2027-04-19 Fixed 4.75000000 N N N N N N RESIDENTIAL ACCREDIT LOANS INCORPORATED N/A 75116AAA8 859113.31850000 PA USD 414570.20000000 0.045124563224 Long ABS-MBS US N 2 2047-02-25 Floating 0.25188120 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370DA5 470000.00000000 PA USD 481280.00000000 0.052385699186 Long DBT CORP US N 2 2032-02-12 Fixed 3.25000000 N N N N N N SEAGATE TECHNOLOGY HOLDINGS PUBLIC LIMITED COMPANY 635400RUXIFEZSRU8X70 G7997R103 454.00000000 NS USD 51292.92000000 0.005583060749 Long EC US N 1 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -10291.52000000 -0.00112019712 N/A DFE NO N 2 BNP PARIBAS N/A 408272.46000000 USD 3510000.00000000 NOK 2022-01-18 -10291.52000000 N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HX1 80555.00000000 PA USD 29201.99000000 0.003178537782 Long DBT NUSS AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N SOVOS BRANDS INTERMEDIATE, INC. N/A 84611UAH1 215531.03000000 PA USD 215216.35000000 0.023425571332 Long LON US N 2 2028-06-08 Floating 4.50000000 N N N N N N ADAPTHEALTH, LLC N/A 00653VAA9 670000.00000000 PA USD 710200.00000000 0.077302866443 Long DBT CORP US N 2 2028-08-01 Fixed 6.12500000 N N N N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209S103 3691.00000000 NS USD 174916.49000000 0.019039067960 Long EC US N 1 N N N NATIONSTAR MORTGAGE HOLDINGS INC. N/A 63861CAC3 1754000.00000000 PA USD 1789080.00000000 0.194735303149 Long DBT CORP US N 2 2028-08-15 Fixed 5.50000000 N N N N N N SRS DISTRIBUTION INC. 549300ZQ3XP75BCYM468 78471RAC0 1360000.00000000 PA USD 1386003.20000000 0.150861757617 Long DBT CORP US N 2 2029-07-01 Fixed 6.12500000 N N N N N N WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORPORATION 06BTX5UWZD0GQ5N5Y745 929740108 385.00000000 NS USD 35462.35000000 0.003859956780 Long EC US N 1 N N N Chubb Limited E0JAN6VLUDI1HITHT809 H1467J104 865.00000000 NS USD 167213.15000000 0.018200585471 Long EC US N 1 N N N SAGA PLC 2138004WWUJN94K2LH95 N/A 610000.00000000 PA 797293.82000000 0.086782733995 Long DBT NUSS GB N 2 2026-07-15 Fixed 5.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1016.72000000 -0.00011066653 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 390000.00000000 EUR 442628.94000000 USD 2022-01-18 -1016.72000000 N N N Dominion Energy, Inc. ILUL7B6Z54MRYCF6H308 25746U109 1617.00000000 NS USD 127031.52000000 0.013826951034 Long EC US N 1 N N N CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST) N/A 12668BBN2 541923.36720000 PA USD 473417.53000000 0.051529895935 Long ABS-MBS US N 2 2037-02-25 Floating 0.66188160 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAJ1 375000.00000000 PA USD 361328.51000000 0.039329385455 Long DBT NUSS FR N 2 2032-01-20 Fixed 2.27700000 N N N N N N VORNADO REALTY TRUST N/A 929042109 297.00000000 NS USD 12432.42000000 0.001353226841 Long EC US N 1 N N N AFLAC INCORPORATED 549300N0B7DOGLXWPP39 001055102 1193.00000000 NS USD 69659.27000000 0.007582175789 Long EC US N 1 N N N DISCOVER FINANCIAL SERVICES Z1YLO2USPORE63VVUL20 254709108 574.00000000 NS USD 66331.44000000 0.007219952756 Long EC US N 1 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BEF9 750000.00000000 PA USD 813118.90000000 0.088505240396 Long DBT CORP US N 2 2027-01-20 Fixed 3.62500000 N N N N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460D109 304.00000000 NS USD 113866.24000000 0.012393954862 Long EC US N 1 N N N SWIRE PACIFIC MTN FINANCING LIMITED 549300B8O4ENACYK5559 N/A 200000.00000000 PA USD 210977.63000000 0.022964201005 Long DBT NUSS HK N 2 2023-10-09 Fixed 4.50000000 N N N N N N REPUBLIC SERVICES, INC. NKNQHM6BLECKVOQP7O46 760759100 456.00000000 NS USD 63589.20000000 0.006921469212 Long EC US N 1 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B8EJ4 271832.07600000 PA USD 39412.47000000 0.004289913974 Long DBT USGA US N 2 2050-01-25 Floating 5.89812120 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -5938.06000000 -0.00064633773 N/A DFE NO N 2 BNP PARIBAS N/A 420926.73000000 USD 3660000.00000000 NOK 2022-01-18 -5938.06000000 N N N Suncor Energy Inc. 549300W70ZOQDVLCHY06 867224AD9 400000.00000000 PA USD 417863.83000000 0.045483063703 Long DBT NUSS CA N 2 2025-05-15 Fixed 3.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 517.21000000 0.000056296558 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 490000.00000000 CAD 388471.13000000 USD 2022-01-18 517.21000000 N N N Telecom Argentina S.A. 549300MKPIRSJD8SB782 879273AT7 28000.00000000 PA USD 27055.28000000 0.002944875663 Long DBT NUSS AR N 2 2025-08-06 Fixed 8.50000000 N N N N N N IMPAC CMB TRUST N/A 45254NPG6 862807.25420000 PA USD 851644.69000000 0.092698642253 Long ABS-MBS US N 2 2035-05-25 Floating 0.74688120 N N N N N N CARROLS RESTAURANT GROUP, INC 529900HZEMNWQSAKFJ98 14574XAF1 280000.00000000 PA USD 252000.00000000 0.027429347146 Long DBT CORP US N 2 2029-07-01 Fixed 5.87500000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RMM1 1428000.00000000 PA USD 1396644.12000000 0.152019985746 Long DBT CORP US N 2 2033-12-01 Fixed 2.55000000 N N N N N N Republica de Guatemala 529900QKDFFU9UWW5315 P5015VAD8 500000.00000000 PA USD 508005.00000000 0.055294624989 Long DBT NUSS GT N 2 2022-06-06 Fixed 5.75000000 N N N N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824100 3592.00000000 NS USD 505538.08000000 0.055026109096 Long EC US N 1 N N N BECTON, DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 075887BW8 690000.00000000 PA USD 751943.28000000 0.081846481198 Long DBT CORP US N 2 2027-06-06 Fixed 3.70000000 N N N N N N ALASKA AIR GROUP, INC. 529900G48RT4KWLC6C27 011659109 341.00000000 NS USD 17766.10000000 0.001933779858 Long EC US N 1 N N N GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST N/A 38237GAA7 160982.09000000 PA USD 157410.07000000 0.017133553390 Long ABS-MBS US Y 2 2048-07-20 Fixed 1.93000000 N N N N N N CSMC TRUST N/A 22945AAD1 1190000.00000000 PA USD 1188484.54000000 0.129362519946 Long ABS-MBS US N 2 2057-07-25 Floating 2.98787040 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12149.95000000 0.001322480937 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 410000.00000000 EUR 478546.67000000 USD 2022-01-18 12149.95000000 N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023CW3 350000.00000000 PA USD 473944.05000000 0.051587205855 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N BRK: JPM N/A N/A -1450000.00000000 NC USD 219777.33000000 0.023922018569 N/A DCR XX N 2 BRK: JPM N/A Y 2026-06-20 188100.63000000 USD 0.00000000 USD -1450000.00000000 USD 31676.70000000 N N N BAUSCH HEALTH COMPANIES INC. B3BS7ACMDUWISF18KY76 071734AH0 325000.00000000 PA USD 299000.00000000 0.032545138083 Long DBT NUSS US N 2 2028-01-30 Fixed 5.00000000 N N N N N N VENTURE GLOBAL CALCASIEU PASS, LLC 549300GKHS6RS20NLH85 92328MAB9 390000.00000000 PA USD 413400.00000000 0.044997190914 Long DBT CORP US N 2 2031-08-15 Fixed 4.12500000 N N N N N N FRONERI INTERNATIONAL LIMITED N/A G3679YAD4 330000.00000000 PA 367013.59000000 0.039948187173 Long LON XX N 2 2027-01-29 Floating 2.62500120 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 11596.97000000 0.001262290936 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 390000.00000000 EUR 455242.63000000 USD 2022-01-18 11596.97000000 N N N N/A N/A N/A 824.00000000 NS USD 0.01000000 0.000000001088 Long EC US N 3 N N N THE CHARLES SCHWAB CORPORATION 549300VSGCJ7E698NM85 808513105 3037.00000000 NS USD 255411.70000000 0.027800699145 Long EC US N 1 N N N MARATHON PETROLEUM CORPORATION 3BNYRYQHD39K4LCKQF12 56585AAG7 350000.00000000 PA USD 367976.18000000 0.040052961837 Long DBT CORP US N 2 2024-09-15 Fixed 3.62500000 N N N N N N PLAYTIKA HOLDING CORP. 254900E35Z4TKA4UFG64 72815LAA5 868000.00000000 PA USD 850640.00000000 0.092589285147 Long DBT CORP US N 2 2029-03-15 Fixed 4.25000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAH3 230000.00000000 PA USD 199826.30000000 0.021750416475 Long DBT CORP US N 2 2170-02-15 Fixed 6.25000000 N N N N N N MIDCAP FINANCIAL ISSUER TRUST N/A 59567LAA2 1012000.00000000 PA USD 1055010.00000000 0.114834267990 Long DBT CORP US N 2 2028-05-01 Fixed 6.50000000 N N N N N N SOLAREDGE TECHNOLOGIES, INC. 5493000K6Y58XXPDF853 83417M104 115.00000000 NS USD 32265.55000000 0.003511995919 Long EC US N 1 N N N ATLANTIC AVIATION 7/21 2ND LIEN COV-LITE TL N/A N/A 125000.00000000 PA USD 126367.50000000 0.013754674704 Long LON US N 2 2029-07-13 Floating 6.24999960 N N N N N N S&P GLOBAL INC. Y6X4K52KMJMZE7I7MY94 78409V104 486.00000000 NS USD 229357.98000000 0.024964839898 Long EC US N 1 N N N REGENCY CENTERS CORPORATION 529900053A7X7FJ97S58 758849103 350.00000000 NS USD 26372.50000000 0.002870557371 Long EC US N 1 N N N CSC HOLDINGS, LLC 3HG2WD2W22M120IUNG49 126307BK2 709000.00000000 PA USD 683298.75000000 0.074374756423 Long DBT CORP US N 2 2031-11-15 Fixed 5.00000000 N N N N N N UDR, INC. P3CH2EG5X6Z1XWU1OO74 902653104 644.00000000 NS USD 38633.56000000 0.004205132256 Long EC US N 1 N N N FORTUNE BRANDS HOME & SECURITY, INC. 54930032LHW54PQUJD44 34964C106 286.00000000 NS USD 30573.40000000 0.003327811119 Long EC US N 1 N N N GLOBAL INFRASTRUCTURE SOLUTIONS INC. 2549003BGLQITAJ6ZT28 37960XAA5 1095000.00000000 PA USD 1122375.00000000 0.122166720254 Long DBT CORP US N 2 2029-06-01 Fixed 5.62500000 N N N N N N ARDAGH METAL PACKAGING FINANCE USA LLC 635400YUJMWFYRBL5293 03969YAB4 360000.00000000 PA USD 356670.00000000 0.038822322408 Long DBT NUSS US N 2 2029-09-01 Fixed 4.00000000 N N N N N N EASTERN AND SOUTHERN AFRICAN TRADE AND DEVELOPMENT BANK N/A N/A 210000.00000000 PA USD 210907.20000000 0.022956534938 Long DBT NUSS XX N 2 2022-03-14 Fixed 5.37500000 N N N N N N UNIVERSAL HEALTH SERVICES, INC. 549300YGMGQDO0NMJD09 913903100 188.00000000 NS USD 24376.08000000 0.002653253811 Long EC US N 1 N N N QUANTA SERVICES, INC. SHVRXXEACT60MMH07S24 74762E102 253.00000000 NS USD 29008.98000000 0.003157529296 Long EC US N 1 N N N ADTALEM GLOBAL EDUCATION N/A 00737RAE0 870000.00000000 PA USD 871270.20000000 0.094834812597 Long LON US N 2 2028-08-12 Floating 5.24999880 N N N N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 25714PDZ8 1300000.00000000 PA USD 1451125.00000000 0.157950045153 Long DBT NUSS DO N 2 2028-07-19 Fixed 6.00000000 N N N N N N Metinvest B.V. 635400TMCKVEU87EJ582 591555AD9 375000.00000000 PA USD 379687.50000000 0.041327699384 Long DBT NUSS UA N 2 2023-04-23 Fixed 7.75000000 N N N N N N ALLEN MEDIA, LLC N/A 01771YAA8 570000.00000000 PA USD 594683.85000000 0.064729324461 Long DBT CORP US N 2 2028-02-15 Fixed 10.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 35384.00000000 0.003851428648 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 2220000.00000000 CAD 1793052.79000000 USD 2022-01-18 35384.00000000 N N N Teva Pharmaceutical Finance Netherlands III B.V. 5493004T21MOAFINJP35 88167AAP6 300000.00000000 PA USD 297261.00000000 0.032355853818 Long DBT NUSS IL N 2 2027-05-09 Fixed 4.75000000 N N N N N N CHS/COMMUNITY HEALTH SYSTEMS, INC. 5493007X5NC5XI1BB106 12543DBL3 900000.00000000 PA USD 890388.00000000 0.096915720426 Long DBT CORP US N 2 2030-04-01 Fixed 6.12500000 N N N N N N CWGS GROUP, LLC N/A 12670UAE7 596454.60000000 PA USD 591235.62000000 0.064353996296 Long LON US N 2 2028-06-03 Floating 3.25000080 N N N N N N Republica de Angola 549300QHR2R3J8JSGK83 035198AD2 420000.00000000 PA USD 413599.20000000 0.045018873160 Long DBT NUSS AO N 2 2029-11-26 Fixed 8.00000000 N N N N N N JAZZ PHARMACEUTICALS PUBLIC LIMITED COMPANY N/A G5080AAF9 1471312.50000000 PA USD 1476005.99000000 0.160658256708 Long LON US N 2 2028-05-05 Floating 3.99999960 N N N N N N THE KROGER CO. 6CPEOKI6OYJ13Q6O7870 501044101 1278.00000000 NS USD 57842.28000000 0.006295936420 Long EC US N 1 N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29364G103 440.00000000 NS USD 49566.00000000 0.005395091351 Long EC US N 1 N N N ROYAL CARIBBEAN CRUISES LTD. K2NEH8QNVW44JIWK7Z55 780153AZ5 318000.00000000 PA USD 356160.00000000 0.038766810634 Long DBT NUSS US N 2 2025-06-01 Fixed 11.50000000 N N N N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FBQ3 53000.00000000 PA USD 52907.68000000 0.005758821910 Long DBT CORP US N 2 2036-11-15 Fixed 3.18700000 N N N N N N MARRIOTT OWNERSHIP RESORTS, INC. BW4532OH033VURR0IT68 57164PAH9 280000.00000000 PA USD 281825.60000000 0.030675762767 Long DBT CORP US N 2 2029-06-15 Fixed 4.50000000 N N N N N N API GROUP DE, INC. N/A 00186XAB9 403569.62000000 PA USD 402964.27000000 0.043861297022 Long LON US N 2 2026-10-01 Floating 2.60124840 N N N N N N BIO-RAD LABORATORIES, INC. 549300ZC1GPV35XYDK53 090572207 46.00000000 NS USD 34756.22000000 0.003783096920 Long EC US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JW89 520000.00000000 PA USD 461427.20000000 0.050224789094 Long DBT NUSS EG N 2 2049-03-01 Fixed 8.70020000 N N N N N N W. W. GRAINGER, INC. 549300TWZSP6O1IH2V34 384802104 91.00000000 NS USD 47159.84000000 0.005133188979 Long EC US N 1 N N N HESS CORPORATION UASVRYNXNK17ULIGK870 42809H107 607.00000000 NS USD 44936.21000000 0.004891154379 Long EC US N 1 N N N UNITED PARCEL SERVICE, INC. D01LMJZU09ULLNCY6Z23 911312106 1476.00000000 NS USD 316365.84000000 0.034435350995 Long EC US N 1 N N N MERCK & CO., INC. 4YV9Y5M8S0BRK1RP0397 58933Y105 5122.00000000 NS USD 392550.08000000 0.042727747686 Long EC US N 1 N N N PDS HOLDCO INC. N/A 74049LAP6 440000.00000000 PA USD 439780.00000000 0.047868564636 Long LON US N 2 2028-08-18 Floating 5.24999880 N N N N N N ConnectWise, LLC N/A N/A 725000.00000000 PA USD 722542.25000000 0.078646278585 Long LON US N 2 2028-09-24 Floating 3.99999960 N N N N N N CHEGG, INC. 549300AKX7O8JG0O3G77 163092AF6 80000.00000000 PA USD 66200.00000000 0.007205645956 Long DBT CORP US N 2 2026-09-01 Fixed 0.00000000 N N N N N N BRK: CITI N/A N/A 4628000.00000000 NC -88678.61000000 -0.00965236658 N/A DIR XX N 2 BRK: CITI N/A Y 2027-01-04 2138.18000000 BRL 0.00000000 BRL -4628000.00000000 BRL -90816.79000000 N N N Lids Holdings 12/21 Cov-Lite N/A N/A 1080000.00000000 PA USD 1058400.00000000 0.115203258017 Long LON US N 2 2026-12-14 Floating 6.50000160 N N N N N N INEOS QUATTRO FINANCE 2 PLC 213800V48W4Y5MT5Q131 45674GAA2 205000.00000000 PA USD 205748.25000000 0.022395000690 Long DBT NUSS GB N 2 2026-01-15 Fixed 3.37500000 N N N N N N VIACOMCBS INC. 5KYC8KF17ROCY24M3H09 92556H206 1335.00000000 NS USD 40290.30000000 0.004385462799 Long EC US N 1 N N N BRK: BANK OF AMERICA, N.A. N/A N/A 4280000.00000000 NC 4658.38000000 0.000507048897 N/A DIR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2023-01-02 0.00000000 BRL -227.15000000 BRL -4280000.00000000 BRL 4885.53000000 N N N Kingdom of Saudi Arabia 635400FMICXSM3SI3H65 80413TAR0 220000.00000000 PA USD 235853.20000000 0.025671822613 Long DBT NUSS SA N 2 2055-01-21 Fixed 3.75000000 N N N N N N Huarong Finance II Co., Ltd. 549300BHVD63HE2GHX17 N/A 1190000.00000000 PA USD 1225545.30000000 0.133396458245 Long DBT NUSS CN N 2 2026-06-03 Fixed 4.62500000 N N N N N N APOLLO COMMERCIAL REAL ESTATE FINANCE, INC. 549300E0AN7M2AQHSY29 03762UAD7 510000.00000000 PA USD 493425.00000000 0.053707641333 Long DBT CORP US N 2 2029-06-15 Fixed 4.62500000 N N N N N N NVIDIA CORPORATION 549300S4KLFTLO7GSQ80 67066G104 5050.00000000 NS USD 1485255.50000000 0.161665034568 Long EC US N 1 N N N XYLEM INC. 549300DF5MV96DRYLQ48 98419M100 386.00000000 NS USD 46289.12000000 0.005038414053 Long EC US N 1 N N N Government National Mortgage Association N/A 38379FW96 618155.04100000 PA USD 40072.70000000 0.004361777775 Long DBT USGA US N 2 2045-11-20 Fixed 4.00000000 N N N N N N AIA Group Limited ZP5ILWVSYE4LJGMMVD57 00131LAB1 425000.00000000 PA USD 443957.18000000 0.048323236542 Long DBT NUSS HK N 2 2025-03-11 Fixed 3.20000000 N N N N N N ARDAGH METAL PACKAGING FINANCE USA LLC 635400YUJMWFYRBL5293 N/A 350000.00000000 PA 389563.31000000 0.042402647879 Long DBT NUSS US N 2 2029-09-01 Fixed 3.00000000 N N N N N N Corporacion Lindley S.A. 549300XI785GPWS6HA82 P31442AC3 142500.00000000 PA USD 145173.30000000 0.015801622389 Long DBT NUSS PE N 2 2023-04-12 Fixed 4.62500000 N N N N N N Syngenta Finance N.V. 54930042S3BYCEGOCN86 N/A 200000.00000000 PA 228284.07000000 0.024847948429 Long DBT NUSS CH 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 -10595.41000000 -0.00115327452 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 8310000.00000000 MXN 394316.74000000 USD 2022-01-18 -10595.41000000 N N N Republique de Cote d'Ivoire 254900ICW11T82O6H590 N/A 650000.00000000 PA USD 684125.00000000 0.074464690940 Long DBT NUSS CI N 2 2033-06-15 Fixed 6.12500000 N N N N N N EURO N/A N/A 1.00000000 NC -8201.65000000 -0.00089272184 N/A DFE XX N 2 MORGAN STANLEY & CO, INC N/A 463222.84000000 USD 400000.00000000 EUR 2022-01-18 -8201.65000000 N N N THE ALLSTATE CORPORATION OBT0W1ED8G0NWVOLOJ77 020002101 561.00000000 NS USD 66001.65000000 0.007184056230 Long EC US N 1 N N N VIKING CRUISES LTD 549300IJP90T4MV2GL84 92676XAF4 130000.00000000 PA USD 130375.70000000 0.014190953709 Long DBT NUSS US N 2 2029-02-15 Fixed 7.00000000 N N N N N N NEWMONT CORPORATION 549300VSP3RIX7FGDZ51 651639106 1581.00000000 NS USD 98053.62000000 0.010672804690 Long EC US N 1 N N N HEWLETT PACKARD ENTERPRISE COMPANY 549300BX44RGX6ANDV88 42824C109 2490.00000000 NS USD 39267.30000000 0.004274112711 Long EC US N 1 N N N LOGMEIN, INC. 549300D12V5KRBV00592 541056AA5 450000.00000000 PA USD 455400.00000000 0.049568748772 Long DBT CORP US N 2 2027-09-01 Fixed 5.50000000 N N N N N N WOLVERINE ESCROW, LLC N/A 97789LAB2 105000.00000000 PA USD 99750.00000000 0.010857449912 Long DBT CORP US N 2 2026-11-15 Fixed 9.00000000 N N N N N N Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III 254900G208H6Q0L5B953 71567PAM2 330000.00000000 PA USD 376381.50000000 0.040967852472 Long DBT NUSS ID N 2 2029-02-20 Fixed 4.45000000 N N N N N N Hasbro, Inc. 549300NUB6D2R1ITYR45 418056107 263.00000000 NS USD 26768.14000000 0.002913621446 Long EC US N 1 N N N CGMS COMMERCIAL MORTGAGE TRUST N/A 125333AG9 1620000.00000000 PA USD 1609423.67000000 0.175180319646 Long ABS-MBS US N 2 2030-07-10 Floating 3.75239880 N N N N N N WHEEL PROS, INC. N/A 96289WAA7 575000.00000000 PA USD 552000.00000000 0.060083331845 Long DBT CORP US N 2 2029-05-15 Fixed 6.50000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AF5 600000.00000000 PA USD 642254.68000000 0.069907248311 Long DBT NUSS CH N 2 2029-01-12 Fixed 3.86900000 N N N N N N NORWEGIAN CRUISE LINE HOLDINGS LTD. N/A G66721104 900.00000000 NS USD 18666.00000000 0.002031730927 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8755.18000000 0.000952971712 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 430000.00000000 CAD 349204.54000000 USD 2022-01-18 8755.18000000 N N N FOCUS FINANCIAL PARTNERS, LLC N/A 34416DAT5 1802230.13000000 PA USD 1785343.23000000 0.194328568381 Long LON US N 2 2024-07-03 Floating 2.09037960 N N N N N N NOMURA RESECURITIZATION TRUST N/A 65540WCC1 385870.26900000 PA USD 381860.27000000 0.041564198045 Long ABS-MBS US N 2 2036-03-26 Floating 2.19653640 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 11262.50000000 0.001225885008 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 920000.00000000 CAD 739665.78000000 USD 2022-01-18 11262.50000000 N N N HENRY SCHEIN, INC. VGO3WGL8H45T73F4RR92 806407102 227.00000000 NS USD 17599.31000000 0.001915625331 Long EC US N 1 N N N THE MICHAELS COMPANIES, INC. 549300H9LWMBP7HYLR98 55916AAA2 240000.00000000 PA USD 240105.60000000 0.026134681961 Long DBT CORP US N 2 2028-05-01 Fixed 5.25000000 N N N N N N HUNTER FAN COMPANY N/A 44568FAT5 1147125.00000000 PA USD 1147125.00000000 0.124860673991 Long LON US N 2 2028-05-08 Floating 5.74999920 N N N N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 P3579ECF2 550000.00000000 PA USD 558937.50000000 0.060838455241 Long DBT NUSS DO N 2 2030-01-30 Fixed 4.50000000 N N N N N N HEALTHPEAK PROPERTIES, INC. PZ9HF5U52KPF0MH0QN75 42250P103 977.00000000 NS USD 35259.93000000 0.003837924048 Long EC US N 1 N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 11830000.00000000 NC 31359.20000000 0.003413342789 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2026-09-15 11056.48000000 CNY 0.00000000 CNY -11830000.00000000 CNY 20302.72000000 N N N CSMC TRUST N/A 12656DAA1 950000.00000000 PA USD 993785.22000000 0.108170157892 Long ABS-MBS US N 2 2041-12-15 Fixed 3.15950000 N N N N N N RANGE RESOURCES CORPORATION H3Y3WLYCX0BTO1TRW162 75281ABJ7 500000.00000000 PA USD 557500.00000000 0.060681988231 Long DBT CORP US N 2 2029-01-15 Fixed 8.25000000 N N N N N N ADS TACTICAL, INC. N/A 00737BAD7 1170000.00000000 PA USD 1157574.60000000 0.125998077586 Long LON US N 2 2026-03-19 Floating 6.75000000 N N N N N N ALPHABET INC. 5493006MHB84DD0ZWV18 02079K107 565.00000000 NS USD 1634878.35000000 0.177950975417 Long EC US N 1 N N N NXP Semiconductors N.V. 724500M9BY5293JDF951 N6596X109 531.00000000 NS USD 120951.18000000 0.013165126603 Long EC US N 1 N N N DELL INTERNATIONAL L.L.C. N/A 24703TAA4 141000.00000000 PA USD 148739.93000000 0.016189837994 Long DBT CORP US N 2 2023-06-15 Fixed 5.45000000 N N N N N N US FOODS N/A N/A 660000.00000000 PA USD 659010.00000000 0.071731008187 Long LON US N 2 2028-11-17 Floating 0.00000000 N N N N N N N/A N/A BGH4QPU68 3600.00000000 NS USD 0.01000000 0.000000001088 Long EC US N 3 N N N THARALDSON HOTEL PORTFOLIO TRUST N/A 88327HAQ6 583257.78720000 PA USD 563300.92000000 0.061313398741 Long ABS-MBS US N 2 2034-11-11 Floating 4.35647520 N N N N N N BECTON, DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 075887CJ6 625000.00000000 PA USD 646917.95000000 0.070414829468 Long DBT CORP US N 2 2030-05-20 Fixed 2.82300000 N N N N N N BRK: DEUTSCHE BANK AG N/A N/A 40335145.00000000 NC 33372.38000000 0.003632470619 N/A DIR XX N 2 BRK: DEUTSCHE BANK AG N/A Y 2023-09-15 21285.32000000 CNY 0.00000000 CNY -40335145.00000000 CNY 12087.06000000 N N N UNITED AIRLINES INC. N/A 90932RAJ3 736300.00000000 PA USD 737301.37000000 0.080252758847 Long LON US N 2 2028-04-21 Floating 4.50000000 N N N N N N US FOODS, INC. 5493000JOOFAOUY1JZ87 90290MAD3 1171000.00000000 PA USD 1190028.75000000 0.129530601978 Long DBT CORP US N 2 2029-02-15 Fixed 4.75000000 N N N N N N KIMCO REALTY CORPORATION 549300EA7I6T15IBYS12 49446R109 1243.00000000 NS USD 30639.95000000 0.003335054861 Long EC US N 1 N N N Government National Mortgage Association N/A 38381YXT6 836340.51900000 PA USD 109875.49000000 0.011959575230 Long DBT USGA US N 2 2049-09-20 Floating 5.99612040 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 10099.98000000 0.001099348641 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 410000.00000000 AUD 308169.94000000 USD 2022-01-18 10099.98000000 N N N Cenovus Energy Inc. 549300NKHFE6ZRF37I48 15135UAS8 456000.00000000 PA USD 503207.14000000 0.054772394166 Long DBT NUSS CA N 2 2025-07-15 Fixed 5.37500000 N N N N N N COSTAR GROUP, INC. N/A 22160NAA7 625000.00000000 PA USD 625147.74000000 0.068045215788 Long DBT CORP US N 2 2030-07-15 Fixed 2.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 21134.74000000 0.002300444921 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 590000.00000000 NZD 424851.21000000 USD 2022-01-18 21134.74000000 N N N H-FOOD HOLDINGS, LLC 549300JY2LK0EQ95YT44 577088AA5 1090000.00000000 PA USD 1090000.00000000 0.118642811072 Long DBT CORP US N 2 2026-06-01 Fixed 8.50000000 N N N N N N PAREXEL INTERNATIONAL 8/21 TL N/A 71911KAC8 1050000.00000000 PA USD 1049527.50000000 0.114237516419 Long LON US N 2 2028-08-11 Floating 3.99999960 N N N N N N AMERICAN WATER WORKS COMPANY, INC. 549300DXHIJQMD5WFW18 030420103 346.00000000 NS USD 65345.56000000 0.007112643054 Long EC US N 1 N N N QORVO, INC. 254900YAUJV2EUEVBR11 74736K101 243.00000000 NS USD 38002.77000000 0.004136472900 Long EC US N 1 N N N AEROPUERTO INTERNACIONAL DE TOCUMEN, S.A. 254900FO1PHX49ZIGB14 00787CAD4 640000.00000000 PA USD 652272.88000000 0.070997695476 Long DBT NUSS PA N 2 2041-08-11 Fixed 4.00000000 N N N N N N THE PNC FINANCIAL SERVICES GROUP, INC. CFGNEKW0P8842LEUIA51 693475105 849.00000000 NS USD 170241.48000000 0.018530208943 Long EC US N 1 N N N ENGINEERED MACHINERY HOLDINGS, INC. N/A 26658NAL3 325000.00000000 PA 368319.78000000 0.040090361534 Long LON XX N 2 2028-05-21 Floating 3.75000120 N N N N N N Petroleos de Venezuela, S.A. 549300YWR8TN1OFD4P06 P7807HAR6 1110000.00000000 PA USD 43068.00000000 0.004687806043 Long DBT NUSS VE N 2 2026-11-15 Fixed 6.00000000 Y N N N N N MONSTER BEVERAGE CORPORATION 52990090AP0E7HCB6F33 61174X109 737.00000000 NS USD 70781.48000000 0.007704324549 Long EC US N 1 N N N Suzano Austria GmbH 254900287ZNSGVP1R341 A9890AAA8 400000.00000000 PA USD 456004.00000000 0.049634492128 Long DBT NUSS BR N 2 2026-07-14 Fixed 5.75000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 20754AAF0 680000.00000000 PA USD 679996.60000000 0.074015328571 Long ABS-MBS US Y 2 2041-12-25 Floating 2.80000080 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599DF9 30000.00000000 PA USD 38250.15000000 0.004163399376 Long DBT CORP US N 2 2036-09-15 Fixed 6.45000000 N N N N N N ORBCOMM INC. N/A 68558RAB9 360000.00000000 PA USD 359398.80000000 0.039119343053 Long LON US N 2 2028-09-01 Floating 5.00069520 N N N N N N PRUDENTIAL FINANCIAL, INC. 5PRBRS5FEH7NREC8OR45 744320102 746.00000000 NS USD 80747.04000000 0.008789042028 Long EC US N 1 N N N Republica de Colombia 549300MHDRBVRF6B9117 195325DT9 630000.00000000 PA USD 511245.00000000 0.055647288024 Long DBT NUSS CO N 2 2051-05-15 Fixed 4.12500000 N N N N N N EBAY INC. OML71K8X303XQONU6T67 278642103 1235.00000000 NS USD 82127.50000000 0.008939300427 Long EC US N 1 N N N Vertex Aerospace 11/21 TL N/A N/A 1110000.00000000 PA USD 1106947.50000000 0.120487489090 Long LON US N 2 2028-11-10 Floating 0.00000000 N N N N N N COUNTRY GARDEN HOLDINGS COMPANY LIMITED 549300MGHLPT1EFHGF84 N/A 200000.00000000 PA USD 200994.45000000 0.021877565649 Long DBT NUSS CN N 2 2024-01-27 Fixed 8.00000000 N N N N N N BRK: BANK OF AMERICA, N.A. N/A N/A 875000.00000000 NC -2174.09000000 -0.00023664233 N/A DIR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2024-01-02 0.00000000 BRL 0.00000000 BRL -875000.00000000 BRL -2174.09000000 N N N AADVANTAGE LOYALTY IP LTD. N/A 00253XAB7 731000.00000000 PA USD 781234.32000000 0.085034711771 Long DBT NUSS US N 2 2029-04-20 Fixed 5.75000000 N N N N N N PLANVIEW PARENT, INC. N/A 72751PAC8 317600.00000000 PA USD 317466.61000000 0.034555166084 Long LON US N 2 2027-12-17 Floating 4.74999840 N N N N N N GLOBAL PAYMENTS INC. 549300NOMHGVQBX6S778 37940X102 571.00000000 NS USD 77187.78000000 0.008401628623 Long EC US N 1 N N N SPIRIT REALTY, L.P. 549300GTBVIBJRX5BW73 84861TAE8 600000.00000000 PA USD 627170.12000000 0.068265345006 Long DBT CORP US N 2 2027-01-15 Fixed 3.20000000 N N N N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 893647BQ9 359000.00000000 PA USD 360543.70000000 0.039243961543 Long DBT CORP US N 2 2029-05-01 Fixed 4.87500000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B36 560000.00000000 PA USD 602448.00000000 0.065574425912 Long DBT CORP US N 2 2030-11-13 Fixed 4.00000000 N N N N N N DiversiTech Holdings, Inc. N/A N/A 132857.14000000 PA USD 132608.70000000 0.014434008202 Long LON US N 2 2028-12-15 Floating 0.00000000 N N N N N N Ukraine 6354001WLTJXOMEXPY07 903724BM3 200000.00000000 PA USD 178052.00000000 0.019380357611 Long DBT NUSS UA N 2 2032-09-25 Fixed 7.37500000 N N N N N N YUM! Brands, Inc. 549300JE8XHZZ7OHN517 988498101 578.00000000 NS USD 80261.08000000 0.008736146927 Long EC US N 1 N N N VECTOR GROUP LTD. 549300TUIF4WWN6NDN50 92240MBJ6 310000.00000000 PA USD 321237.50000000 0.034965614698 Long DBT CORP US N 2 2026-11-01 Fixed 10.50000000 N N N N N N Turkiye Cumhuriyeti 5493000PCHOG3B6S3Q85 900123BJ8 1980000.00000000 PA USD 1643400.00000000 0.178878528179 Long DBT NUSS TR N 2 2041-01-14 Fixed 6.00000000 N N N N N N ENTERCOM MEDIA CORP N/A 12506KAE9 325413.09000000 PA USD 320857.31000000 0.034924232304 Long LON US N 2 2024-11-18 Floating 2.60187840 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DJ6 590000.00000000 PA USD 646848.06000000 0.070407222178 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Atlas LuxCo 4 S.a r.l. 549300ONXPZT3KQZDR65 049362AA4 340000.00000000 PA USD 333704.90000000 0.036322648994 Long DBT NUSS US N 2 2028-06-01 Fixed 4.62500000 N N N N N N STRYKER CORPORATION 5493002F0SC4JTBU5137 863667101 675.00000000 NS USD 180508.50000000 0.019647739323 Long EC US N 1 N N N NORTHERN OIL AND GAS, INC. OKFF0PIZDDMNH4UCYE51 665531AG4 600000.00000000 PA USD 633000.00000000 0.068899907714 Long DBT CORP US N 2 2028-03-01 Fixed 8.12500000 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAL5 100000.00000000 PA USD 105969.48000000 0.011534419261 Long DBT NUSS IE N 2 2026-04-15 Fixed 4.25000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QBW1 40000.00000000 PA USD 40460.00000000 0.004403934069 Long DBT NUSS MX N 2 2026-01-23 Fixed 4.50000000 N N N N N N Petroleos de Venezuela, S.A. 549300YWR8TN1OFD4P06 P7807HAT2 3790000.00000000 PA USD 147052.00000000 0.016006112526 Long DBT NUSS VE N 2 2024-05-16 Fixed 6.00000000 Y N N N N N CADENCE DESIGN SYSTEMS, INC. GCT7RXJOGLXPV0NXZY22 127387108 551.00000000 NS USD 102678.85000000 0.011176245322 Long EC US N 1 N N N AMERICAN ELECTRIC POWER COMPANY, INC. 1B4S6S7G0TW5EE83BO58 025537AN1 300000.00000000 PA USD 292476.19000000 0.031835043443 Long DBT CORP US N 2 2030-03-01 Fixed 2.30000000 N N N N N N HCA HEALTHCARE, INC. 529900PH4ZGUH2MNEU89 40412C101 478.00000000 NS USD 122807.76000000 0.013367209053 Long EC US N 1 N N N INTUITIVE SURGICAL, INC. 54930052SRG011710797 46120E602 721.00000000 NS USD 259055.30000000 0.028197292674 Long EC US N 1 N N N MEG Energy Corp. 5493002WXPTG5ZC1T326 552704AE8 570000.00000000 PA USD 607004.40000000 0.066070374632 Long DBT NUSS CA N 2 2027-02-01 Fixed 7.12500000 N N N N N N PTC INC. 54930050SSMU8SKDJ030 69370C100 223.00000000 NS USD 27016.45000000 0.002940649149 Long EC US N 1 N N N AVERY POINT CLO, LIMITED N/A 05363LBA0 610000.00000000 PA USD 609075.85000000 0.066295844954 Long ABS-CBDO CORP KY N 2 2027-08-05 Floating 3.08975040 N N N N N N AMBIENCE MERGER SUB, INC. N/A 04650YAA8 625000.00000000 PA USD 615625.00000000 0.067008697767 Long DBT CORP US N 2 2028-07-15 Fixed 4.87500000 N N N N N N ACRISURE LLC N/A 00488PAL9 364450.00000000 PA USD 359894.38000000 0.039173285258 Long LON US N 2 2027-02-15 Floating 3.72375000 N N N N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 008911BK4 565000.00000000 PA USD 576300.00000000 0.062728304606 Long DBT NUSS CA N 2 2026-08-15 Fixed 3.87500000 N N N N N N FIRSTCASH HOLDINGS INC 549300V2X3UU7K0DG350 31944TAA8 340000.00000000 PA USD 346521.20000000 0.037717659875 Long DBT CORP US N 2 2030-01-01 Fixed 5.62500000 N N N N N N MOTOROLA SOLUTIONS, INC. 6S552MUG6KGJVEBSEC55 620076307 334.00000000 NS USD 90747.80000000 0.009877590908 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 20291.53000000 0.002208664367 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 1000000.00000000 EUR 1157844.50000000 USD 2022-01-18 20291.53000000 N N N MARATHON CLO LTD. N/A 565764AN7 750000.00000000 PA USD 267.75000000 0.000029143681 Long ABS-CBDO CORP KY N 3 2019-12-20 Variable 0.00000000 N N N N N N SUMMIT MIDSTREAM HOLDINGS, LLC N/A 86614WAE6 370000.00000000 PA USD 385514.10000000 0.041961905075 Long DBT CORP US N 2 2026-10-15 Fixed 8.50000000 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030N101 9256.00000000 NS USD 465854.48000000 0.050706683539 Long EC US N 1 N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46591JAN6 1730000.00000000 PA USD 1675750.31000000 0.182399749938 Long ABS-MBS US N 2 2029-09-15 Floating 2.71000080 N N N N N N PACKAGING CORPORATION OF AMERICA 549300XZP8MFZFY8TJ84 695156109 195.00000000 NS USD 26549.25000000 0.002889796010 Long EC US N 1 N N N HILLENBRAND, INC. U246OE781574J2BUD366 431571AE8 589000.00000000 PA USD 590472.50000000 0.064270933266 Long DBT CORP US N 2 2031-03-01 Fixed 3.75000000 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46645WAN3 1790000.00000000 PA USD 1773015.94000000 0.192986784584 Long ABS-MBS US N 2 2033-07-05 Floating 3.25350000 N N N N N N KOC HOLDING ANONIM SIRKETI 7890005U0H950VH19H45 N/A 1330000.00000000 PA USD 1330829.92000000 0.144856332814 Long DBT NUSS TR N 2 2023-03-15 Fixed 5.25000000 N N N N N N Elastic N.V. 2549003I48WHHH937I59 28415LAA1 695000.00000000 PA USD 687619.10000000 0.074845011899 Long DBT NUSS US N 2 2029-07-15 Fixed 4.12500000 N N N N N N ELI LILLY AND COMPANY FRDRIPF3EKNDJ2CQJL29 532457108 1611.00000000 NS USD 444990.42000000 0.048435701219 Long EC US N 1 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 Y20721BB4 1000000.00000000 PA USD 1252267.68000000 0.136305098871 Long DBT NUSS ID N 2 2042-01-17 Fixed 5.25000000 N N N N N N CISCO SYSTEMS, INC. 549300LKFJ962MZ46593 17275R102 8570.00000000 NS USD 543080.90000000 0.059112517995 Long EC US N 1 N N N APPLE INC. HWUPKR0MPOU8FGXBT394 037833100 31544.00000000 NS USD 5601268.08000000 0.609679073925 Long EC US N 1 N N N BCPE EMPIRE TOPCO, INC. 254900WAPTMZOCP01B52 05552VAA0 990000.00000000 PA USD 1010859.30000000 0.110028613715 Long DBT CORP US N 2 2027-05-01 Fixed 7.62500000 N N N N N N CASTLE US HOLDING CORPORATION N/A 14852DAC5 365375.00000000 PA USD 361618.95000000 0.039360998866 Long LON US N 2 2027-01-29 Floating 3.88149840 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599ED3 700000.00000000 PA USD 866250.00000000 0.094288380817 Long DBT CORP US N 2 2030-09-01 Fixed 6.62500000 N N N N N N Republica Argentina 549300KPBYGYF7HCHO27 040114HX1 181039.00000000 PA USD 65628.45000000 0.007143434673 Long DBT NUSS AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N BANCO MERCANTIL DEL NORTE S.A. N/A 05971PAB4 250000.00000000 PA USD 266002.50000000 0.028953471882 Long DBT NUSS MX N 2 2170-09-27 Fixed 7.50000000 N N N N N N Ukraine 6354001WLTJXOMEXPY07 903724BY7 420000.00000000 PA USD 369600.00000000 0.040229709148 Long DBT NUSS UA N 2 2033-03-15 Fixed 7.25300000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -21392.36000000 -0.00232848598 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 721222.49000000 USD 80570000.00000000 JPY 2022-01-18 -21392.36000000 N N N SOUTHWESTERN ENERGY COMPANY EFWMP121W54QV9MGOP87 845467AT6 430000.00000000 PA USD 452835.15000000 0.049289573530 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 16932.73000000 0.001843070354 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 590000.00000000 EUR 688088.98000000 USD 2022-01-18 16932.73000000 N N N PPL CORPORATION 9N3UAJSNOUXFKQLF3V18 69351T106 1695.00000000 NS USD 50951.70000000 0.005545920107 Long EC US N 1 N N N ASURION, LLC N/A 04649VAX8 803691.47000000 PA USD 797663.78000000 0.086823002889 Long LON US N 2 2026-12-23 Floating 3.35424960 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00914AAB8 600000.00000000 PA USD 639447.62000000 0.069601709330 Long DBT CORP US N 2 2026-06-01 Fixed 3.75000000 N N N N N N COMMSCOPE, INC. N/A 20337EAQ4 940800.00000000 PA USD 927666.43000000 0.100973351369 Long LON US N 2 2026-04-06 Floating 3.34037880 N N N N N N Nationwide Building Society 549300XFX12G42QIKN82 63861VAE7 450000.00000000 PA USD 494388.05000000 0.053812466066 Long DBT NUSS GB N 2 2030-07-18 Fixed 3.96000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19621.39000000 0.002135721896 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 3330000.00000000 NOK 397193.05000000 USD 2022-01-18 19621.39000000 N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369105 323.00000000 NS USD 126157.34000000 0.013731799499 Long EC US N 1 N N N IRON MOUNTAIN INFORMATION MANAGEMENT SERVICES, INC. N/A 46285MAA8 820000.00000000 PA USD 839245.40000000 0.091349021500 Long DBT CORP US N 2 2032-07-15 Fixed 5.00000000 N N N N N N THE AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCG8 340000.00000000 PA USD 331263.89000000 0.036056953317 Long DBT CORP US N 2 2031-01-15 Fixed 2.45000000 N N N N N N CUMBERLAND PARK CLO LTD. N/A 23076TAG2 600000.00000000 PA USD 600000.00000000 0.065307969397 Long ABS-CBDO CORP KY N 2 2028-07-20 Floating 5.78149920 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336V308 70655.00000000 NS USD 2472925.00000000 0.269169517036 Long EP US N 3 N N N TALEN ENERGY SUPPLY, LLC K5K33XN0PQAU1XF7NN66 87422VAJ7 70000.00000000 PA USD 62307.00000000 0.006781906082 Long DBT CORP US N 2 2028-06-01 Fixed 7.62500000 N N N N N N BBVA Bancomer SA (Houston Branch) N/A P16259AM8 200000.00000000 PA USD 205252.00000000 0.022340985557 Long DBT NUSS MX N 2 2033-01-18 Fixed 5.12500000 N N N N N N ACRISURE, LLC 549300R0Z1Q47XRTGO22 00489LAF0 975000.00000000 PA USD 948187.50000000 0.103207000388 Long DBT CORP US N 2 2029-02-15 Fixed 4.25000000 N N N N N N ROYAUME DU MAROC 529900F3MBW9XY5K1X07 617726AL8 730000.00000000 PA USD 695719.20000000 0.075726680371 Long DBT NUSS MA N 2 2032-12-15 Fixed 3.00000000 N N N N N N United States of America N/A N/A 16.00000000 NC USD 2343000.00000000 0.255027620497 N/A DIR US N 1 CITICORP SECURITY SERVICES INC. N/A Long U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Mar 2022 2022-03-25 2339574.29000000 USD 3425.71000000 N N N thermostat purch 08/31 TL N/A N/A 262631.58000000 PA USD 261975.00000000 0.028515092138 Long LON US N 2 2028-08-31 Floating 5.24999880 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 14379.99000000 0.001565213244 N/A DFE MX N 2 CITIGROUP GLOBAL MARKETS N/A 520630.28000000 USD 10980000.00000000 MXN 2022-01-18 14379.99000000 N N N SPIRIT IP CAYMAN LTD. N/A 84859BAA9 502651.00000000 PA USD 554969.43000000 0.060406544251 Long DBT NUSS US N 2 2025-09-20 Fixed 8.00000000 N N N N N N PARTICLE LUXEMBOURG S.A.R.L. N/A N/A 371296.28000000 PA USD 369903.92000000 0.040262789812 Long LON US N 2 2027-02-18 Floating 5.74999920 N N N N N N Freedom Acquirer 3/21 (DONLEN) N/A 35632UAB1 827919.80000000 PA USD 823780.20000000 0.089665686819 Long LON US N 2 2028-03-30 Floating 6.50000160 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -8368.48000000 -0.00091088072 N/A DFE NO N 2 BNP PARIBAS N/A 409750.97000000 USD 3540000.00000000 NOK 2022-01-18 -8368.48000000 N N N NEWS CORPORATION 549300ITS31QK8VRBQ14 65249B109 784.00000000 NS USD 17491.04000000 0.001903840508 Long EC US N 1 N N N BX TRUST N/A 12433RAA0 1100000.00000000 PA USD 1016998.18000000 0.110696810027 Long ABS-MBS US N 2 2037-05-15 Floating 5.59761840 N N N N N N N/A N/A N/A 109.00000000 NC USD 25933825.00000000 2.822809082431 N/A DE US N 1 BANK OF AMERICA N/A Long S&P 500 Future (e-Mini) Mar 2022 N/A N/A 2022-03-21 25610460.47000000 USD 323364.53000000 N N N VISTRA OPERATIONS COMPANY LLC 549300ZH5GKBTJZ7NM23 92840VAD4 1200000.00000000 PA USD 1235731.15000000 0.134505153546 Long DBT CORP US N 2 2024-07-15 Fixed 3.55000000 N N N N N N Kingdom of Saudi Arabia 635400FMICXSM3SI3H65 80413TAU3 1070000.00000000 PA USD 1315779.00000000 0.143218091109 Long DBT NUSS SA N 2 2060-04-22 Fixed 4.50000000 N N N N N N ALLIED UNIVERSAL HOLDCO LLC 98450038B4549046D794 019576AC1 680000.00000000 PA USD 661300.00000000 0.071980266937 Long DBT CORP US N 2 2029-06-01 Fixed 6.00000000 N N N N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -682.21000000 -0.00007425624 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 117535.11000000 USD 8770000.00000000 RUB 2022-01-18 -682.21000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4345.99000000 -0.00047304630 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 7690000.00000000 MXN 370356.10000000 USD 2022-01-18 -4345.99000000 N N N DRYDEN SENIOR LOAN FUND N/A 26245BAC9 330000.00000000 PA USD 327231.96000000 0.035618091382 Long ABS-CBDO CORP KY Y 2 2034-04-20 Floating 6.53150160 N N N N N N GRAB HOLDINGS N/A G4123KAB8 1318375.00000000 PA USD 1320022.97000000 0.143680032881 Long LON US N 2 2026-01-29 Floating 5.50000080 N N N N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 96424000000.00000000 PA 7252287.01000000 0.789386896851 Long DBT NUSS ID N 2 2027-05-15 Fixed 7.00000000 N N N N N N NUSTAR LOGISTICS, L.P. N62BF2PKP51FIIOIUN20 67059TAH8 670000.00000000 PA USD 743700.00000000 0.080949228068 Long DBT CORP US N 2 2030-10-01 Fixed 6.37500000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967HQ7 1250000.00000000 PA USD 1310162.50000000 0.142606754092 Long DBT CORP US N 2 2170-11-15 Fixed 6.30000000 N N N N N N BLUE RACER MIDSTREAM, LLC N/A 095796AH1 570000.00000000 PA USD 604200.00000000 0.065765125183 Long DBT CORP US N 2 2025-12-15 Fixed 7.62500000 N N N N N N VIPER ENERGY PARTNERS LP 5299009LINL232255G03 92763MAA3 500000.00000000 PA USD 516250.00000000 0.056192065335 Long DBT CORP US N 2 2027-11-01 Fixed 5.37500000 N N N N N N Ukraine 6354001WLTJXOMEXPY07 N/A 670000.00000000 PA USD 667752.82000000 0.072682634556 Long DBT NUSS UA N 2 2024-02-01 Fixed 8.99400000 N N N N N N ROYAUME DU MAROC 529900F3MBW9XY5K1X07 N/A 290000.00000000 PA 302581.45000000 0.032934966794 Long DBT NUSS MA N 2 2031-11-27 Fixed 1.50000000 N N N N N N TEXAS INSTRUMENTS INCORPORATED WDJNR2L6D8RWOEB8T652 882508104 1871.00000000 NS USD 352627.37000000 0.038382295814 Long EC US N 1 N N N BRISTOL PARK CLO, LTD. N/A 11015DAE1 500000.00000000 PA USD 498131.00000000 0.054219873506 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 7.12374840 N N N N N N IRB HOLDING CORP. 549300HVW4WNWYBXN830 44988MAA3 435000.00000000 PA USD 443156.26000000 0.048236059110 Long DBT CORP US N 2 2026-02-15 Fixed 6.75000000 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES, INC. MGCJBT4MKTQBVLNUIS88 015271AR0 375000.00000000 PA USD 403703.36000000 0.043941744467 Long DBT CORP US N 2 2031-08-15 Fixed 3.37500000 N N N N N N ROCKWELL AUTOMATION, INC. VH3R4HHBHH12O0EXZJ88 773903109 229.00000000 NS USD 79886.65000000 0.008695391489 Long EC US N 1 N N N IHS Holding Limited 213800CLGMKL63VKTD94 44963HAA3 440000.00000000 PA USD 443740.00000000 0.048299597234 Long DBT NUSS NG N 2 2026-11-29 Fixed 5.62500000 N N N N N N CHEVRON CORPORATION N/A 166764100 3913.00000000 NS USD 459190.55000000 0.049981337311 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3206.98000000 -0.00034906891 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A 750000.00000000 EUR 849957.75000000 USD 2022-01-18 -3206.98000000 N N N Chamberlain/Chariot Buyer 10/21 Cov-Lite N/A N/A 575000.00000000 PA USD 574281.25000000 0.062508570500 Long LON US N 2 2028-10-22 Floating 3.99999960 N N N N N N Republic of Zambia 213800DMLAZ6LGMMD849 N/A 760000.00000000 PA USD 567276.16000000 0.061746090161 Long DBT NUSS ZM N 2 2022-09-20 Fixed 5.37500000 Y N N N N N Republique du Senegal 549300NP14ZLQGWIUZ97 N/A 510000.00000000 PA 587907.89000000 0.063991784147 Long DBT NUSS SN N 2 2028-03-13 Fixed 4.75000000 N N N N N N CHAMPIONX HOLDING INC. N/A 15872EAB8 1538461.54000000 PA USD 1557092.31000000 0.169484228217 Long LON US N 2 2027-06-03 Floating 6.00000120 N N N N N N PAYPAL HOLDINGS, INC. 5493005X2GO78EFZ3E94 70450Y103 2385.00000000 NS USD 449763.30000000 0.048955213054 Long EC US N 1 N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 726503AE5 250000.00000000 PA USD 212187.50000000 0.023095891260 Long DBT CORP US N 2 2170-11-15 Fixed 6.12500000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 500000.00000000 PA USD 461250.00000000 0.050205501474 Long DBT NUSS GH N 2 2026-01-18 Fixed 8.12500000 N N N N N N AUTODESK, INC. FRKKVKAIQEF3FCSTPG55 052769106 439.00000000 NS USD 123442.41000000 0.013436288557 Long EC US N 1 N N N LUMEN TECHNOLOGIES, INC. 8M3THTGWLTYZVE6BBY25 550241103 2009.00000000 NS USD 25212.95000000 0.002744344278 Long EC US N 1 N N N United States of America N/A N/A 69.00000000 NC USD 13601625.00000000 1.480490848759 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Mar 2022 2022-03-25 13298163.63000000 USD 303461.37000000 N N N US FOODS, INC. 5493000JOOFAOUY1JZ87 90290MAE1 580000.00000000 PA USD 586467.00000000 0.063834948147 Long DBT CORP US N 2 2030-06-01 Fixed 4.62500000 N N N N N N BALL CORPORATION 0BGI85ALH27ZJP15DY16 058498106 702.00000000 NS USD 67581.54000000 0.007356021910 Long EC US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JX62 710000.00000000 PA USD 643529.80000000 0.070046040807 Long DBT NUSS EG N 2 2050-05-29 Fixed 8.87500000 N N N N N N BOSTON PROPERTIES, INC. 549300OF70FSEUQBT254 101121101 252.00000000 NS USD 29025.36000000 0.003159312204 Long EC US N 1 N N N AT&T INC. 549300Z40J86GGSTL398 00206RJX1 1050000.00000000 PA USD 1068221.43000000 0.116272287433 Long DBT CORP US N 2 2027-06-01 Fixed 2.30000000 N N N N N N OCEAN TRAILS CLO N/A 67516BAE1 590000.00000000 PA USD 564932.08000000 0.061490944987 Long ABS-CBDO CORP KY Y 2 2034-10-15 Floating 0.00000000 N N N N N N AMERIPRISE FINANCIAL, INC. 6ZLKQF7QB6JAEKQS5388 03076C106 219.00000000 NS USD 66063.54000000 0.007190792747 Long EC US N 1 N N N 2021-12-31 SEI INSTITUTIONAL MANAGED TRUST Peter Rodriguez Peter Rodriguez CFO XXXX