NPORT-P false 0000810893 XXXXXXXX S000025202 C000075116 C000075114 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Long-Term Credit Bond Fund S000025202 ZCHOOW8186RO45QGKP62 2024-03-31 2024-03-31 N 4801583710.900000 1526768485.210000 3274815225.690000 0.000000 0.000000 595386984.870000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2000000.000000 0.000000 0.000000 16159339.990000 AUD USD GBP JPY MXN BRL EUR N Bloomberg US Long Credit Total Return Unhedged Index LULCTRUU ATMOS ENERGY CORPORATION QVLWEGTD2S8GJMO8D383 049560AM7 25000.000000 PA USD 21613.420000 0.00066 Long DBT CORP US N 2 2044-10-15 Fixed 4.125 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HR7 3100000.000000 PA USD 3036010.950000 0.0927079 Long DBT CORP US N 2 2052-06-01 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC 19290.510000 0.0005891 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1103000.000000 GBP 1411441.710000 USD 2024-04-02 19290.510000 N N N ROGERS COMMUNICATIONS INC 5493000M6Z4XFIP6PF03 775109CJ8 1800000.000000 PA USD 1564741.400000 0.0477811 Long DBT CORP CA N 2 2042-03-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -1380.790000 -0.0000422 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 40184729.630000 TRY 1161912.090000 USD 2024-05-28 -1380.790000 N N N CRH AMERICA FINANCE INC 549300WEVUODRJ4CWK56 12636YAD4 3800000.000000 PA USD 3312970.950000 0.101165 Long DBT CORP US N 2 2048-04-04 Fixed 4.5 N N N N N N ARES FINANCE CO IV LLC N/A 039936AA7 1900000.000000 PA USD 1342175.920000 0.0409848 Long DBT CORP US N 2 2052-02-01 Fixed 3.65 N N N N N N DTE ELECTRIC CO (AKA: DETROIT EDISON COMPANY) 9N0FWODEJVKHC2DYLO03 23338VAT3 3000000.000000 PA USD 3027649.950000 0.0924525 Long DBT CORP US N 2 2053-04-01 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC -5259.170000 -0.0001606 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1181859.000000 USD 40156023.240000 TRY 2024-05-17 -5259.170000 N N N SOUTHERN POWER COMPANY 5LADC78JBG2BMZD5XF57 843646AJ9 500000.000000 PA USD 473652.140000 0.0144635 Long DBT CORP US N 2 2043-07-15 Fixed 5.25 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AQ2 700000.000000 PA USD 618429.600000 0.0188844 Long DBT CORP US N 2 2049-04-15 Fixed 4.85 N N N N N N BERKSHIRE HATHAWAY FINANCE CORPORATION 549300RLHFT5RU20WM87 084664CR0 70000.000000 PA USD 62626.520000 0.0019124 Long DBT CORP US N 2 2049-01-15 Fixed 4.25 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2004-2 N/A 86359BLE9 5713.640000 PA USD 5216.850000 0.0001593 Long ABS-MBS CORP US N 3 2034-03-25 Floating 5.98369 N N N N N N JERSEY CENTRAL POWER & LIGHT COMPANY 549300W9UGH9ZPLNPF79 476556CX1 250000.000000 PA USD 259520.240000 0.0079247 Long DBT CORP US N 2 2037-06-01 Fixed 6.15 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2MLPN3 9230000.000000 PA 11571356.770000 0.353344 Long DBT NUSS GB N 2 2054-07-31 Fixed 4.375 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AE7 6800000.000000 PA USD 6441017.800000 0.196683 Long DBT CORP US N 2 2026-08-18 Fixed 3.5 N N N N N N CATALENT PHARMA SOLUTIONS INC 549300HALRZ339MSTH85 14880BAJ0 1600000.000000 PA USD 1606000.000000 0.0490409 Long LON CORP US N 3 2028-02-22 Floating 8.3288 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 25000.000000 PA USD 22212.100000 0.0006783 Long DBT CORP US N 2 2038-04-15 Fixed 4.5 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBT6 700000.000000 PA USD 615290.760000 0.0187886 Long DBT CORP US N 2 2052-03-14 Fixed 4.95 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94988U151 98700.000000 NS USD 2141790.000000 0.0654019 Long EP CORP US N 1 N N N OGLETHORPE POWER CORPORATION (AN ELECTRIC MEMBERSHIP CORPORATION) 3EERXCUSWMS9GV5D9M98 677050AS5 1000000.000000 PA USD 832567.230000 0.0254233 Long DBT CORP US N 2 2047-04-01 Fixed 4.5 N N N N N N BOSTON SCIENTIFIC CORPORATION Y6ZDD9FP4P8JSSJMW954 101137AU1 1516000.000000 PA USD 1405163.350000 0.0429082 Long DBT CORP US N 2 2049-03-01 Fixed 4.7 N N N N N N LOEWS CORPORATION R8V1FN4M5ITGZOG7BS19 540424AR9 40000.000000 PA USD 34113.040000 0.0010417 Long DBT CORP US N 2 2043-05-15 Fixed 4.125 N N N N N N VALE OVERSEAS LTD 254900BA3U6G5DNV5V04 91911TAK9 1300000.000000 PA USD 1390924.600000 0.0424734 Long DBT CORP KY N 2 2039-11-10 Fixed 6.875 N N N N N N UDR INC P3CH2EG5X6Z1XWU1OO74 90265EAP5 700000.000000 PA USD 676073.940000 0.0206446 Long DBT CORP US N 2 2029-01-26 Fixed 4.4 N N N N N N N/A N/A 000000000 -1800000.000000 NC -6698.100000 -0.0002045 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.48000 04/29/24-10Y LCH 2034-04-29 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.480000 EUR 2024-04-25 XXXX -1576.440000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128B549 111000.000000 NS USD 2417580.000000 0.0738234 Long EP CORP US N 1 N N N BANC OF AMERICA FUNDING CORP 2005-8 N/A 05946XZ48 47446.370000 PA USD 45114.640000 0.0013776 Long ABS-MBS CORP US N 3 2036-01-25 Fixed 5.5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2MY5W7 1000000.000000 PA 1077166.900000 0.0328924 Long DBT NUSS RO N 2 2036-02-22 Fixed 5.625 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DD7 6500000.000000 PA USD 6524232.200000 0.199224 Long DBT CORP US N 2 2034-02-15 Fixed 5.45 N N N N N N THE FORD FOUNDATION 54930013YZ3DULPNNT44 34531XAC8 1265000.000000 PA USD 779617.540000 0.0238065 Long DBT CORP US N 2 2070-06-01 Fixed 2.815 N N N N N N N/A N/A 000000000 1.000000 NC 102178.410000 0.0031201 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14071000.000000 GBP 17861887.810000 USD 2024-04-02 102178.410000 N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAS1 1600000.000000 PA USD 1563991.310000 0.0477582 Long DBT CORP US N 2 2036-01-15 Fixed 6.25 N N N N N N N/A N/A 000000000 100.000000 NC USD 49692.510000 0.0015174 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-18 11072656.200000 USD 49692.510000 N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AL3 3600000.000000 PA USD 3542648.400000 0.108179 Long DBT CORP US N 2 2029-01-15 Fixed 5.3 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAV5 1000000.000000 PA USD 749831.580000 0.0228969 Long DBT CORP US N 2 2046-09-16 Fixed 3.875 N N N N N N CONTINENTAL RESOURCES INC XXRTID9RYWOZ0UPIVR53 212015AT8 2200000.000000 PA USD 2188310.080000 0.0668224 Long DBT CORP US N 2 2031-01-15 Fixed 5.75 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAH4 1400000.000000 PA USD 1309371.830000 0.0399831 Long DBT CORP US N 2 2026-01-15 Fixed 1.57 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBD1 10900000.000000 PA USD 7250696.680000 0.221408 Long DBT CORP US N 2 2050-06-15 Fixed 3.1 N N N N N N N/A N/A 000000000 1.000000 NC -5784.540000 -0.0001766 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-29 0.000000 EUR -623.610000 EUR 300000.000000 EUR -5160.930000 N N N PIEDMONT NATURAL GAS COMPANY INC VXB4M3BDPKF3I2AZ3G89 720186AM7 2900000.000000 PA USD 1968782.770000 0.0601189 Long DBT CORP US N 2 2050-06-01 Fixed 3.35 N N N N N N N/A N/A 000000000 1.000000 NC USD 15830651.600000 0.483406 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-06-15 3988593.430000 USD 0.000000 USD 120700000.000000 USD 11842058.170000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEL5 4800000.000000 PA USD 4081013.950000 0.124618 Long DBT CORP US N 2 2033-01-21 Floating 2.943 N N N N N N N/A N/A 000000000 1.000000 NC -3879.000000 -0.0001184 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9915000.000000 MXN 590960.220000 USD 2024-04-19 -3879.000000 N N N FRANKLIN RESOURCES INC RIFQSET379FOGTEFKS80 354613AM3 900000.000000 PA USD 566552.760000 0.0173003 Long DBT CORP US N 2 2051-08-12 Fixed 2.95 N N N N N N PERUSAHAAN PERSEROAN (PERSERO) PT PERUSAHAAN LISTRIK NEGARA 254900OYVDRYS9J51J61 71568PAP4 4000000.000000 PA USD 2976818.800000 0.0909004 Long DBT CORP ID N 2 2050-06-30 Fixed 4 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPL005 4873000.000000 PA USD 560395.000000 0.0171123 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N NIAGARA MOHAWK POWER CORPORATION 3T97Y9RR5EN5Y18QHB56 65364UAS5 1050000.000000 PA USD 1055789.840000 0.0322397 Long DBT CORP US N 2 2052-09-16 Fixed 5.783 N N N N N N BACARDI LIMITED 549300R32WTQNHNN5055 067316AH2 3600000.000000 PA USD 3404477.700000 0.103959 Long DBT CORP BM N 2 2048-05-15 Fixed 5.3 N N N N N N FIRSTENERGY TRANSMISSION LLC (AKA: ALLEGHENY ENERGY TRANSMISSION LLC) 549300AINIIPOLYX2R63 33767BAA7 6330000.000000 PA USD 6043291.010000 0.184538 Long DBT CORP US N 2 2044-07-15 Fixed 5.45 N N N N N N VMWARE LLC 549300BUDHS3LRWBE814 928563AC9 400000.000000 PA USD 383242.250000 0.0117027 Long DBT CORP US N 2 2027-08-21 Fixed 3.9 N N N N N N STORE CAPITAL LLC 254900Z9PIEFQ6AYXK50 862121AC4 1400000.000000 PA USD 1127861.940000 0.0344405 Long DBT CORP US N 2 2030-11-18 Fixed 2.75 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440BM5 2700000.000000 PA USD 2423183.010000 0.0739945 Long DBT CORP US N 2 2040-08-15 Fixed 4.5 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 94973VBB2 1435000.000000 PA USD 1307636.700000 0.0399301 Long DBT CORP US N 2 2043-01-15 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC 8.120000 0.0000002 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 476900.000000 THB 13163.930000 USD 2024-06-20 8.120000 N N N COPT DEFENSE PROPERTIES LP H0TWO5VRNEP6CQAWPX27 22003BAP1 1100000.000000 PA USD 863216.830000 0.0263593 Long DBT CORP US N 2 2033-12-01 Fixed 2.9 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 ACI1FYG47 2100000.000000 PA 2291343.290000 0.0699686 Long DBT CORP GB N 2 2030-01-15 Fixed 4.25 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 238582.690000 PA USD 242870.240000 0.0074163 Long ABS-MBS CORP US N 2 2058-05-25 Floating 6.44389 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TM0 114100000.000000 PA USD 107512507.240000 3.28301 Long DBT UST US N 2 2042-11-15 Fixed 4 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAG7 205000.000000 PA USD 182989.790000 0.0055878 Long DBT CORP US N 2 2035-08-15 Fixed 4.25 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165B400 80000.000000 NS USD 2000800.000000 0.0610966 Long EP CORP US N 1 N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111FF5 40000.000000 PA USD 35039.220000 0.00107 Long DBT CORP US N 2 2054-12-01 Fixed 4.625 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 3337.480000 PA USD 3184.890000 0.0000973 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.42048 N N N N N N YARA INTERNATIONAL ASA 213800WKOUWXWFJ5Z514 984851AF2 1100000.000000 PA USD 1070357.170000 0.0326845 Long DBT CORP NO N 2 2028-06-01 Fixed 4.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834LB2 1500000.000000 PA USD 656248.400000 0.0200392 Long DBT UST US N 2 2042-02-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 16282.280000 0.0004972 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SAUDI ARABIA GOVT SAUDI INTERNATIONAL BOND Y Single Leg Swap 2026-12-20 21456.900000 USD 0.000000 USD 900000.000000 USD -5174.620000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308GY7 2900000.000000 PA USD 2343848.270000 0.0715719 Long DBT CORP US N 2 2041-12-15 Fixed 4.5 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PET5 300000.000000 PA USD 330251.890000 0.0100846 Long DBT CORP US N 2 2063-02-15 Fixed 6.05 N N N N N N BLACKSTONE HOLDINGS FINANCE CO LLC 549300D2L6J4NC1QVZ22 09261BAB6 350000.000000 PA USD 216289.640000 0.0066046 Long DBT CORP US N 2 2050-09-30 Fixed 2.8 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599DL6 900000.000000 PA USD 970544.700000 0.0296366 Long DBT CORP US N 2 2046-03-15 Fixed 6.6 N N N N N N N/A N/A 000000000 1.000000 NC USD 15376.570000 0.0004695 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2025-12-20 21115.780000 USD 0.000000 USD 1600000.000000 USD -5739.210000 N N N ACUSHNET COMPANY 549300H805O14KEFES79 005095AA2 300000.000000 PA USD 311142.900000 0.0095011 Long DBT CORP US N 2 2028-10-15 Fixed 7.375 N N N N N N METAL CAYMAN 2017-1 LLC N/A 59111RAA0 1764032.920000 PA USD 1120478.430000 0.034215 Long ABS-O CORP KY N 2 2042-10-15 Fixed 4.581 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAN3 2390000.000000 PA USD 2082166.760000 0.0635812 Long DBT CORP US N 2 2042-05-15 Fixed 4.75 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPGII8 1593000.000000 PA USD 183195.000000 0.0055941 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N KDAC AIRCRAFT FINANCE LTD 2017-1A N/A 48244XAA0 582365.660000 PA USD 502371.100000 0.0153404 Long ABS-O CORP KY N 2 2042-12-15 Fixed 4.212 N N N N N N N/A N/A 000000000 1.000000 NC -2271.720000 -0.0000694 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1914327.270000 USD 63940445.150000 TRY 2024-04-29 -2271.720000 N N N AON NORTH AMERICA INC N/A 03740MAF7 3100000.000000 PA USD 3181043.460000 0.0971366 Long DBT CORP US N 2 2054-03-01 Fixed 5.75 N N N N N N CONSUMERS ENERGY COMPANY 7NKTFWJ1G6MELP9TU740 210518DQ6 3100000.000000 PA USD 2617623.760000 0.079932 Long DBT CORP US N 2 2052-09-01 Fixed 4.2 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABY0 11300000.000000 PA USD 7930169.600000 0.242156 Long DBT CORP US N 2 2060-11-15 Fixed 3.6 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 F6628DAP9 1518212.910000 PA 1281683.600000 0.0391376 Long LON CORP FR N 2 2028-08-15 Floating 9.442 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBV2 5843000.000000 PA USD 5548331.430000 0.169424 Long DBT CORP US N 2 2037-05-15 Fixed 4.926 N N N N N N N/A N/A 000000000 1.000000 NC USD 350588.360000 0.0107056 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 TECK RESOURCES LIMITED TECK COMINCO LIMITED NT YANKEE Y Single Leg Swap 2026-06-20 610846.350000 USD 0.000000 USD 3600000.000000 USD -260257.990000 N N N VERISK ANALYTICS INC 549300I1YSWNIRKBWP67 92345YAG1 2000000.000000 PA USD 1489820.800000 0.0454933 Long DBT CORP US N 2 2050-05-15 Fixed 3.625 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAQ4 1650000.000000 PA USD 1560993.560000 0.0476666 Long DBT CORP US N 2 2030-11-15 Fixed 4.15 N N N N N N BLACKSTONE PRIVATE CREDIT FUND 549300ORP3TTCNXSYO43 09261HAT4 3700000.000000 PA USD 3654500.730000 0.111594 Long DBT CORP US N 2 2025-03-24 Fixed 4.7 N N N N N N AMERICAN AGCREDIT CORPORATION N/A 02369GAA3 11000000.000000 NS USD 10066710.500000 0.307398 Long EP CORP US N 2 N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAL9 5400000.000000 PA USD 4956163.200000 0.151342 Long DBT CORP KY N 2 2030-06-18 Variable 4.625 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AX4 7200000.000000 PA USD 6927146.780000 0.211528 Long DBT CORP US N 2 2030-05-15 Fixed 4.5 N N N N N N CHARLES SCHWAB CORP/THE 549300VSGCJ7E698NM85 808513BJ3 9000000.000000 NS USD 7606170.000000 0.232263 Long EP CORP US N 2 N N N N/A N/A 000000000 -1800000.000000 NC -789.590000 -0.0000241 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.81000 04/17/24-10Y LCH 2034-04-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.810000 EUR 2024-04-15 XXXX 4723.220000 N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 5000000.000000 PA USD 4906688.000000 0.149831 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 ACI0TF455 700000.000000 PA 882565.670000 0.0269501 Long DBT CORP GB N 2 2024-06-24 Floating 6.75 N N N N N N N/A N/A 000000000 1.000000 NC 1760.850000 0.0000538 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1628409.000000 USD 55574342.350000 TRY 2024-05-16 1760.850000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BM4 5000000.000000 PA USD 4964302.200000 0.15159 Long DBT CORP NL N 2 2035-03-19 Floating 5.55 N N N N N N PINE STREET TRUST II N/A 72284LAA7 3800000.000000 PA USD 3538318.430000 0.108046 Long DBT CORP US N 2 2049-02-15 Fixed 5.568 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAA6 1000000.000000 PA USD 878377.140000 0.0268222 Long DBT CORP NL N 2 2030-01-21 Fixed 3.68 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24703TAJ5 3128000.000000 PA USD 3783998.310000 0.115549 Long DBT CORP US N 2 2036-07-15 Fixed 8.1 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AS8 800000.000000 PA USD 616452.420000 0.018824 Long DBT CORP US N 2 2050-02-01 Fixed 4 N N N N N N N/A N/A 000000000 -3000000.000000 NC USD -0.300000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62400 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2024-04-01 XXXX 11099.700000 N N N COLUMBIA PIPELINES OPERATING COMPANY LLC N/A 19828TAD8 1200000.000000 PA USD 1317898.960000 0.0402435 Long DBT CORP US N 2 2063-08-15 Fixed 6.714 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPH004 1000000.000000 PA USD 115000.000000 0.0035116 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAW9 7000000.000000 PA USD 6290510.100000 0.192087 Long DBT CORP US N 2 2046-05-14 Fixed 4.45 N N N N N N ALFA BANK AO VIA ALFA BOND ISSUANCE PLC 54930015QM0G7XTNYR27 ACI1G2134 1200000.000000 PA USD 72000.000000 0.0021986 Long DBT CORP IE N 3 2030-04-15 Floating 5.95 Y Y N N N N N/A N/A 000000000 1.000000 NC USD 242041.700000 0.007391 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AES CORPORATION AES CORP/THE SR UNSEC Y Single Leg Swap 2028-12-20 186209.210000 USD 0.000000 USD 1500000.000000 USD 55832.490000 N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24703DBH3 2385000.000000 PA USD 1680372.880000 0.051312 Long DBT CORP US N 2 2051-12-15 Fixed 3.45 N N N N N N N/A N/A 000000000 1.000000 NC 14652.250000 0.0004474 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 750617.920000 USD 27147598.310000 TRY 2024-06-20 14652.250000 N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CW5 3640000.000000 PA USD 3247196.020000 0.0991566 Long DBT CORP US N 2 2036-07-01 Fixed 4.25 N N N N N N BGC GROUP INC 2549001IGRCG4F0RLD36 088929AB0 600000.000000 PA USD 583768.060000 0.017826 Long DBT CORP US N 2 2025-12-15 Fixed 4.375 N N N N N N FREEDOM MORTGAGE HOLDINGS LLC N/A 35641AAA6 600000.000000 PA USD 614608.200000 0.0187677 Long DBT CORP US N 2 2029-02-01 Fixed 9.25 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAX1 4100000.000000 PA USD 4126680.500000 0.126013 Long DBT CORP GB N 2 2035-01-05 Floating 5.679 N N N N N N N/A N/A 000000000 -69750000.000000 PA USD -69750000.000000 -2.12989 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-18 100000000.000000 USD 69867188.000000 USD UST N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135BU9 6400000.000000 PA USD 3971469.630000 0.121273 Long DBT CORP US N 2 2060-06-03 Fixed 2.7 N N N N N N PENNSYLVANIA ECONOMIC DEVELOPMENT FINANCING AUTHORITY N/A 70869PFT9 11500000.000000 PA USD 12846241.750000 0.392274 Long DBT MUN US N 2 2039-06-15 Fixed 6.532 N N N N N N TENNESSEE GAS PIPELINE COMPANY LLC N/A 880451AW9 1275000.000000 PA USD 1461552.950000 0.0446301 Long DBT CORP US N 2 2032-06-15 Fixed 8.375 N N N N N N AMERICAN FINANCIAL GROUP INC 549300AFOM7IVKIU1G39 025932AL8 7700000.000000 PA USD 6452258.040000 0.197027 Long DBT CORP US N 2 2047-06-15 Fixed 4.5 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599ED3 1800000.000000 PA USD 1909008.000000 0.0582936 Long DBT CORP US N 2 2030-09-01 Fixed 6.625 N N N N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CBL7 12500000.000000 PA USD 12450376.000000 0.380186 Long DBT CORP US N 2 2054-01-15 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC 120.880000 0.0000037 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3326522.700000 USD 16736401.010000 BRL 2024-05-03 120.880000 N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZZ4 2262000.000000 PA USD 2334422.450000 0.0712841 Long DBT CORP US N 2 2026-01-15 Fixed 7.375 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DW6 6200000.000000 PA USD 6653960.400000 0.203186 Long DBT CORP GB N 2 2044-03-09 Floating 6.332 N N N N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HAV0 4000000.000000 PA USD 3855670.000000 0.117737 Long DBT CORP NL N 2 2029-06-18 Fixed 4.3 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLU1 6300000.000000 PA USD 6536867.780000 0.19961 Long DBT CORP US N 2 2034-09-15 Floating 5.872 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SW9 112959000.000000 PA USD 78784490.320000 2.40577 Long DBT UST US N 2 2041-02-15 Fixed 1.875 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122DW5 1200000.000000 PA USD 922296.650000 0.0281633 Long DBT CORP US N 2 2052-03-15 Fixed 3.7 N N N N N N WEST VIRGINIA UNITED HEALTH SYSTEM OBLIGATED GROUP N/A 956708AB7 800000.000000 PA USD 526036.220000 0.0160631 Long DBT CORP US N 2 2050-06-01 Fixed 3.129 N N N N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 980236AN3 1300000.000000 PA USD 1244845.200000 0.0380127 Long DBT CORP AU N 2 2026-09-15 Fixed 3.7 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBJ7 2819000.000000 PA USD 2837056.770000 0.0866326 Long DBT CORP US N 2 2045-12-15 Fixed 6.125 N N N N N N EXPEDIA GROUP INC N/A 30212PAR6 900000.000000 PA USD 810433.070000 0.0247474 Long DBT CORP US N 2 2030-02-15 Fixed 3.25 N N N N N N VERTICAL BRIDGE HOLDINGS LLC 2020-2A N/A 92535VAF9 3200000.000000 PA USD 3032008.320000 0.0925856 Long ABS-O CORP US N 2 2050-09-15 Fixed 2.636 N N N N N N AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST N/A 023761AA7 2680475.000000 PA USD 2534333.360000 0.0773886 Long DBT CORP US N 2 2029-02-15 Fixed 3.65 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400EB5 1000000.000000 PA USD 1053297.860000 0.0321636 Long DBT CORP US N 2 2029-04-01 Fixed 6.65 N N N N N N N/A N/A 000000000 1.000000 NC USD 47675.750000 0.0014558 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2026-12-20 80003.520000 USD 0.000000 USD 3300000.000000 USD -32327.770000 N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CL0 90000.000000 PA USD 93560.670000 0.002857 Long DBT CORP US N 2 2039-01-15 Fixed 6 N N N N N N N/A N/A 000000000 -3000000.000000 NC USD -0.300000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.02400 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 4.020000 USD 2024-04-01 XXXX 11099.700000 N N N N/A N/A 000000000 12100000.000000 NC USD 118619.930000 0.0036222 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.50000 02/18/25-10Y LCH 2035-02-18 0.000000 USD 0.000000 USD N/A USD N/A 4.500000 USD 2025-02-13 XXXX -63567.570000 N N N N/A N/A 000000000 -3000000.000000 NC -4491.360000 -0.0001371 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.48000 05/02/24-5Y LCH 2029-05-02 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.480000 EUR 2024-04-29 XXXX -106.220000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAU4 2600000.000000 PA USD 2792705.500000 0.0852783 Long DBT CORP US N 2 2033-12-01 Fixed 6.55 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAW0 2500000.000000 PA USD 2496427.730000 0.0762311 Long DBT CORP US N 2 2054-05-15 Fixed 5.95 N N N N N N SUNAC SERVICES HOLDINGS LIMITED 549300K4OFRSVPWF2W77 BLN9QR902 1223339.000000 NS 290716.700000 0.0088773 Long EC CORP KY N 1 N N N GOODMAN US FINANCE THREE LLC N/A 38239KAA6 3600000.000000 PA USD 3077811.250000 0.0939843 Long DBT CORP US N 2 2037-10-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 15011.590000 0.0004584 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-03-05 0.000000 EUR -3169.970000 EUR 1000000.000000 EUR 18181.560000 N N N KKR GROUP FINANCE CO VIII LLC N/A 48252MAA3 1400000.000000 PA USD 984886.600000 0.0300746 Long DBT CORP US N 2 2050-08-25 Fixed 3.5 N N N N N N RBSSP RESECURITIZATION TRUST 2014-1 N/A 74932TAB0 163093.960000 PA USD 160123.840000 0.0048896 Long ABS-MBS CORP US N 2 2036-11-26 Floating 5.59551 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440BV5 1895000.000000 PA USD 1473875.440000 0.0450064 Long DBT CORP US N 2 2047-06-01 Fixed 3.75 N N N N N N PIONEER NATURAL RESOURCES COMPANY FY8JBF7CCL2VE4F1B628 723787AB3 17016000.000000 PA USD 18127739.000000 0.55355 Long DBT CORP US N 2 2028-01-15 Fixed 7.2 N N N N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CBK9 6800000.000000 PA USD 6714132.120000 0.205023 Long DBT CORP US N 2 2053-01-15 Fixed 5.35 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAY7 1500000.000000 PA USD 1241953.760000 0.0379244 Long DBT CORP US N 2 2031-07-15 Fixed 2.5 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 035240AG5 5600000.000000 PA USD 5442965.750000 0.166207 Long DBT CORP US N 2 2042-01-15 Fixed 4.95 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BS7 3900000.000000 PA USD 3612983.520000 0.110326 Long DBT CORP US N 2 2026-03-09 Fixed 2 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBC2 6500000.000000 PA USD 6583738.460000 0.201042 Long DBT CORP JP N 2 2029-07-06 Fixed 5.605 N N N N N N VIRGINIA ELECTRIC AND POWER COMPANY CQKUMNNZVDJLRYV2PT43 927804GD0 1850000.000000 PA USD 1088151.150000 0.0332279 Long DBT CORP US N 2 2050-12-15 Fixed 2.45 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HDA0 3400000.000000 PA USD 3533164.840000 0.107889 Long DBT CORP US N 2 2034-06-08 Floating 6.377 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CG7 1700000.000000 PA USD 1026935.320000 0.0313586 Long DBT CORP US N 2 2062-06-30 Fixed 3.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 1055.510000 0.0000322 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2024-06-20 0.000000 USD -5089.120000 USD 500000.000000 USD 6144.630000 N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBH1 3200000.000000 PA USD 2678628.130000 0.0817948 Long DBT CORP JP N 2 2031-07-10 Floating 2.201 N N N N N N KENVUE INC 5493008HSF8L4M2LIJ82 49177JAP7 2000000.000000 PA USD 1960205.700000 0.059857 Long DBT CORP US N 2 2053-03-22 Fixed 5.05 N N N N N N HELMERICH & PAYNE INC 254900NAOGHJ88RZ4C73 423452AG6 900000.000000 PA USD 756313.560000 0.0230948 Long DBT CORP US N 2 2031-09-29 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC -118340.700000 -0.0036137 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 74400000.000000 BRL -118340.700000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI23CJP6 400000.000000 PA 379776.740000 0.0115969 Long DBT NUSS RO N 2 2034-02-07 Fixed 3.75 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P N/A 17320QAA7 1315179.430000 PA USD 1266508.850000 0.0386742 Long ABS-MBS CORP US N 2 2035-05-10 Fixed 3.251 N N N N N N N/A N/A 000000000 1.000000 NC 75333.320000 0.0023004 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 202714130.670000 THB 5638787.560000 USD 2024-04-19 75333.320000 N N N N/A N/A 000000000 1.000000 NC USD 1237211.170000 0.0377796 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 72200000.000000 USD 1237211.170000 N N N N/A N/A 000000000 1.000000 NC -115100.350000 -0.0035147 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 37181488.460000 USD 34357317.000000 EUR 2024-04-02 -115100.350000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797FS1 1622000.000000 PA USD 1604862.370000 0.0490062 Long DBT UST US N 2 2024-06-13 None 0 N N N N N N WELLTOWER OP LLC T6IZ0MBEG5ACZDTR7D06 95040QAF1 2950000.000000 PA USD 2720615.580000 0.0830769 Long DBT CORP US N 2 2048-09-01 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 187741.150000 0.0057329 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-06-20 211527.950000 USD 0.000000 USD 11275000.000000 USD -23786.800000 N N N APTIV PLC / APTIV CORP N/A 00217GAC7 1500000.000000 PA USD 1150216.140000 0.0351231 Long DBT CORP JE N 2 2052-05-01 Fixed 4.15 N N N N N N N/A N/A 000000000 -2600000.000000 NC USD -6365.580000 -0.0001944 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 99.200000 USD 2024-06-06 XXXX 1657.860000 N N N CAESARS ENTERTAINMENT INC 549300FA4CTCW903Y781 12769GAB6 2700000.000000 PA USD 2773197.000000 0.0846825 Long DBT CORP US N 2 2030-02-15 Fixed 7 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DU1 4800000.000000 PA USD 4899582.910000 0.149614 Long DBT CORP US N 2 2063-03-02 Fixed 5.75 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAJ1 4000000.000000 PA USD 2860966.360000 0.0873627 Long DBT CORP US N 2 2041-10-01 Fixed 3.05 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAX9 9550000.000000 PA USD 9410057.640000 0.287346 Long DBT CORP US N 2 2033-06-01 Fixed 5.2 N N N N N N MF1 2024-FL14 LLC N/A 000000000 1000000.000000 PA USD 1002190.000000 0.0306029 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 7.06332 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3H4 2200000.000000 PA USD 2360702.590000 0.0720866 Long DBT CORP US N 2 2034-10-23 Floating 6.491 N N N N N N AETNA INC 549300QKBENKLBXQ8968 00817YAM0 25000.000000 PA USD 20440.390000 0.0006242 Long DBT CORP US N 2 2042-11-15 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC 3688.090000 0.0001126 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 958952.000000 AUD 628589.200000 USD 2024-04-02 3688.090000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAQ4 6400000.000000 NS USD 6638400.000000 0.202711 Long EP CORP US N 2 N N N N/A N/A 000000000 -3100000.000000 NC -257.520000 -0.0000079 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.85000 04/10/24-5Y LCH 2029-04-10 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.850000 EUR 2024-04-08 XXXX 5443.680000 N N N DISCOVER FINANCIAL SERVICES Z1YLO2USPORE63VVUL20 254709AN8 1500000.000000 NS USD 1291575.000000 0.0394396 Long EP CORP US N 2 N N N TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP N/A 87612BBU5 1475000.000000 PA USD 1328797.410000 0.0405763 Long DBT CORP US N 2 2032-01-15 Fixed 4 N N N N N N PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER N/A 70052LAC7 1150000.000000 PA USD 1070307.100000 0.032683 Long DBT CORP US N 2 2029-05-15 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 14262.370000 0.0004355 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2028-06-20 0.000000 USD -25141.660000 USD 1300000.000000 USD 39404.030000 N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZU5 3000000.000000 PA USD 2947302.600000 0.0899991 Long DBT CORP US N 2 2024-10-28 Fixed 2.9 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VBM4 1450000.000000 PA USD 1449760.000000 0.04427 Long DBT CORP US N 2 2077-08-16 Floating 8.57329 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RH3 8200000.000000 PA USD 6718394.560000 0.205153 Long DBT UST US N 2 2044-08-15 Fixed 3.125 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CC6 2374000.000000 PA USD 1552115.570000 0.0473955 Long DBT CORP US N 2 2061-12-01 Fixed 4.4 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111FQ1 5800000.000000 PA USD 4939358.420000 0.150829 Long DBT CORP US N 2 2058-05-15 Fixed 4.5 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBP4 60000.000000 PA USD 55210.950000 0.0016859 Long DBT CORP US N 2 2047-12-01 Fixed 5.2 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAW1 5800000.000000 PA USD 4697226.400000 0.143435 Long DBT CORP US N 2 2031-04-01 Fixed 2.1 N N N N N N LABRADOR AVIATION FINANCE LTD 2016-1A N/A 50543LAA0 1991672.020000 PA USD 1773838.070000 0.0541661 Long ABS-O CORP US N 2 2042-01-15 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC 16444.530000 0.0005022 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4387597.000000 AUD 2875622.300000 USD 2024-04-02 16444.530000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TS7 113142000.000000 PA USD 104457467.860000 3.18972 Long DBT UST US N 2 2043-05-15 Fixed 3.875 N N N N N N KEYSPAN GAS EAST CORPORATION K8TS3HOE1568DUBUJL44 49338CAC7 3000000.000000 PA USD 2041829.010000 0.0623494 Long DBT CORP US N 2 2052-01-18 Fixed 3.586 N N N N N N N/A N/A 000000000 1.000000 NC 6308950.500000 0.192651 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2053-03-17 1213688.780000 EUR 0.000000 EUR 12170000.000000 EUR 5095261.720000 N N N N/A N/A 000000000 1.000000 NC 1487.250000 0.0000454 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 84538.000000 USD 2913221.750000 TRY 2024-05-10 1487.250000 N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135CK0 1200000.000000 PA USD 1012534.660000 0.0309188 Long DBT CORP US N 2 2062-04-13 Fixed 4.1 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AL2 1400000.000000 PA USD 1024996.560000 0.0312994 Long DBT CORP CH N 2 2043-02-11 Floating 3.179 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 292480AJ9 4857000.000000 PA USD 4299178.990000 0.13128 Long DBT CORP US N 2 2044-05-15 Fixed 5 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BV3 630000.000000 PA USD 650371.320000 0.0198598 Long DBT CORP US N 2 2033-03-01 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC -70155.200000 -0.0021423 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5662247.720000 USD 202714130.670000 THB 2024-06-20 -70155.200000 N N N BP CAPITAL MARKETS AMERICA INC 5493009NTB34VXE1T760 10373QBR0 800000.000000 PA USD 607938.060000 0.018564 Long DBT CORP US N 2 2041-06-17 Fixed 3.06 N N N N N N NVR INC 529900RWXR4JI3JYTV70 62944TAF2 3600000.000000 PA USD 3198941.860000 0.0976831 Long DBT CORP US N 2 2030-05-15 Fixed 3 N N N N N N REXFORD INDUSTRIAL REALTY LP 549300028US163ELJN70 76169XAA2 1800000.000000 PA USD 1474477.670000 0.0450248 Long DBT CORP US N 2 2030-12-01 Fixed 2.125 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122EL8 5200000.000000 PA USD 5354421.900000 0.163503 Long DBT CORP US N 2 2064-02-22 Fixed 5.65 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAN3 1800000.000000 PA USD 1505415.740000 0.0459695 Long DBT CORP US N 2 2038-06-25 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 23655670.630000 0.722351 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.42 Y Single Leg Swap 2029-06-20 23099223.340000 USD 0.000000 USD 1032000000.000000 USD 556447.290000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 160500000.000000 PA USD 125321659.760000 3.82683 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BS8 9922276.670000 PA USD 10275798.950000 0.313783 Long DBT CORP US N 2 2032-01-10 Fixed 7.507 N N N N N N EMPRESA ELECTRICA COCHRANE SPA 5493000S11JF8TJHYT07 29246XAB6 2097200.000000 PA USD 2031691.040000 0.0620399 Long DBT CORP CL N 2 2027-05-14 Fixed 5.5 N N N N N N NORTHWOODS CAPITAL XI-B 2018-11BA N/A 66860JAA6 2043555.530000 PA USD 2047484.470000 0.0625221 Long ABS-CBDO CORP KY N 2 2031-04-19 Floating 6.67118 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAS5 1700000.000000 PA USD 1698143.960000 0.0518546 Long DBT CORP US N 2 2028-04-15 Fixed 4.875 N N N N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 G60744AG7 1300000.000000 PA USD 1239547.530000 0.0378509 Long DBT CORP KY N 2 2027-02-01 Fixed 4.75 N N N N N N OWENS CORNING INC JO5M6676RDJIZ2U8X907 690742AH4 700000.000000 PA USD 581622.460000 0.0177605 Long DBT CORP US N 2 2048-01-30 Fixed 4.4 N N N N N N JAB HOLDINGS BV 529900RRNKUM3INJGF98 46653KAB4 750000.000000 PA USD 490843.520000 0.0149884 Long DBT CORP NL N 2 2051-05-28 Fixed 3.75 N N N N N N N/A N/A 000000000 -139.000000 NC -55164.580000 -0.0016845 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2024-06-26 -17533355.460000 GBP -55164.580000 N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAA5 1800000.000000 PA USD 1729349.840000 0.0528076 Long DBT CORP US N 2 2028-02-15 Fixed 4.25 N N N N N N MARVELL TECHNOLOGY INC N/A 573874AJ3 4000000.000000 PA USD 3457302.560000 0.105572 Long DBT CORP US N 2 2031-04-15 Fixed 2.95 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA2 N/A 76110HT90 376809.630000 PA USD 324723.690000 0.0099158 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.75099 N N N N N N N/A N/A 000000000 1.000000 NC USD -10943.770000 -0.0003342 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-20 0.000000 USD -78154.000000 USD 2116000.000000 USD 67210.230000 N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAJ7 1400000.000000 PA USD 1324341.160000 0.0404402 Long DBT CORP US N 2 2037-05-01 Fixed 6.55 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAS4 2000000.000000 PA USD 1675940.400000 0.0511766 Long DBT CORP KY N 2 2031-08-08 Variable 3.25 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AF4 5800000.000000 PA USD 5282284.460000 0.1613 Long DBT CORP US N 2 2029-08-08 Fixed 3.9 N N N N N N N/A N/A 000000000 1.000000 NC -17158.560000 -0.000524 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1999783.450000 USD 9974619.880000 BRL 2024-05-03 -17158.560000 N N N NOMURA ASSET ACCEPTANCE CORP 2004-R3 N/A 62951MAZ3 773332.610000 PA USD 620049.430000 0.0189339 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.89389 N N N N N N BIOGEN INC W8J5WZB5IY3K0NDQT671 09062XAK9 1122000.000000 PA USD 776900.090000 0.0237235 Long DBT CORP US N 2 2051-02-15 Fixed 3.25 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAQ5 3400000.000000 PA USD 2562855.600000 0.0782595 Long DBT CORP US N 2 2032-11-15 Fixed 2.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 2200000.000000 PA USD 253000.000000 0.0077256 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAL5 605000.000000 PA USD 580294.780000 0.0177199 Long DBT CORP US N 2 2029-02-15 Fixed 4.3 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 05946KAQ4 3400000.000000 PA USD 3431566.250000 0.104787 Long DBT CORP ES N 2 2029-03-13 Fixed 5.381 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440BX1 1578000.000000 PA USD 1288144.500000 0.0393349 Long DBT CORP US N 2 2049-06-15 Fixed 4.1 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 6615000.000000 PA USD 4711861.460000 0.143882 Long DBT CORP US N 2 2060-04-01 Fixed 3.85 N N N N N N MASSACHUSETTS ELECTRICAL CO 549300XN8GZY5U5O1B96 575634AV2 500000.000000 PA USD 510977.160000 0.0156032 Long DBT CORP US N 2 2054-02-26 Fixed 5.867 N N N N N N CHENIERE ENERGY INC MIHC87W9WTYSYZWV1J40 16411RAL3 2000000.000000 PA USD 2015531.540000 0.0615464 Long DBT CORP US N 2 2034-04-15 Fixed 5.65 N N N N N N CHILDRENS HOSPITAL CORP/THE 549300NXFO6BISJLOS32 16876BAA0 25000.000000 PA USD 21704.170000 0.0006628 Long DBT CORP US N 2 2047-01-01 Fixed 4.115 N N N N N N N/A N/A 000000000 1.000000 NC -6797.500000 -0.0002076 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 1814825.960000 USD 2774539.000000 AUD 2024-04-02 -6797.500000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EG6 2600000.000000 PA USD 2663445.280000 0.0813312 Long DBT NUSS CO N 2 2034-02-02 Fixed 7.5 N N N N N N BLACKSTONE SECURED LENDING FUND 549300KM7KWQHVBNH962 09261XAG7 3000000.000000 PA USD 2646843.660000 0.0808242 Long DBT CORP US N 2 2028-09-30 Fixed 2.85 N N N N N N RTX CORPORATION I07WOS4YJ0N7YRFE7309 913017CP2 2705000.000000 PA USD 2208700.100000 0.067445 Long DBT CORP US N 2 2047-05-04 Fixed 4.05 N N N N N N ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC N/A 03522AAJ9 3400000.000000 PA USD 3233167.200000 0.0987282 Long DBT CORP US N 2 2046-02-01 Fixed 4.9 N N N N N N INVESCO FINANCE PLC 549300OYQ3LAJYXXO449 46132FAC4 55000.000000 PA USD 53728.470000 0.0016407 Long DBT CORP GB N 2 2043-11-30 Fixed 5.375 N N N N N N RELIANCE INDUSTRIES LIMITED 5493003UOETFYRONLG31 759470BD8 500000.000000 PA USD 361496.630000 0.0110387 Long DBT CORP IN N 2 2052-01-12 Fixed 3.625 N N N N N N KKR GROUP FINANCE CO XII LLC N/A 48255GAA3 7500000.000000 PA USD 7251989.550000 0.221447 Long DBT CORP US N 2 2032-05-17 Fixed 4.85 N N N N N N ALABAMA POWER COMPANY 0RL818ELFOHP5JHOFU19 010392FL7 35000.000000 PA USD 29703.030000 0.000907 Long DBT CORP US N 2 2044-08-15 Fixed 4.15 N N N N N N CALIBER COLLISION (WAND NEWCO 3 INC) 549300Y3VZEWMSQW8494 93369PAK0 1600000.000000 PA USD 1606376.000000 0.0490524 Long LON CORP US N 2 2031-01-30 Floating 9.0802 N N N N N N N/A N/A 000000000 1.000000 NC -4348.830000 -0.0001328 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2590548.420000 USD 389652159.000000 JPY 2024-05-02 -4348.830000 N N N N/A N/A 000000000 1.000000 NC USD 9561.510000 0.000292 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 TENCENT HOLDINGS LIMITED TENCENT HOLDINGS LTD SR UNSEC REGS Y Single Leg Swap 2024-12-20 18887.150000 USD 0.000000 USD 1700000.000000 USD -9325.640000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CR8 800000.000000 PA USD 805055.780000 0.0245832 Long DBT CORP US N 2 2053-06-01 Fixed 5.9 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BB1 1500000.000000 PA USD 1392798.390000 0.0425306 Long DBT CORP US N 2 2045-08-15 Fixed 5.85 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MDJ6 6200000.000000 PA USD 6505178.010000 0.198643 Long DBT CORP JP N 2 2033-09-14 Fixed 5.808 N N N N N N PECO ENERGY COMPANY YH65D4JBECK76IFEJ279 693304BE6 5700000.000000 PA USD 4957534.070000 0.151384 Long DBT CORP US N 2 2052-08-15 Fixed 4.375 N N N N N N COBANK ACB (AKA: COBANK AB) P0J8I7M2E0A77CKF1705 19075QAC6 3700000.000000 NS USD 3653528.000000 0.111564 Long EP CORP US N 2 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABN4 4700000.000000 PA USD 3288963.510000 0.100432 Long DBT CORP US N 2 2051-02-15 Fixed 3.3 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AJ1 900000.000000 PA USD 923632.660000 0.0282041 Long DBT CORP US N 2 2030-04-23 Variable 5.75 N N N N N N YANGO JUSTICE INTERNATIONAL LIMITED 3003007ELD2HAYCXPT77 ACI1SQBT0 300000.000000 PA USD 2250.000000 0.0000687 Long DBT CORP HK N 2 2025-02-17 Fixed 7.5 Y Y N N N N PFIZER INVESTMENT ENTERPRISES PTE LTD 5493000FQO8XF9C0RT95 716973AH5 1900000.000000 PA USD 1863279.100000 0.0568972 Long DBT CORP SG N 2 2063-05-19 Fixed 5.34 N N N N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 55300RAG6 3508000.000000 PA USD 3344871.330000 0.102139 Long DBT CORP KY N 2 2027-02-01 Fixed 4.75 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CD0 2610000.000000 PA USD 2302669.210000 0.0703145 Long DBT CORP US N 2 2048-06-15 Fixed 4.563 N N N N N N VICI PROPERTIES LP / VICI NOTE CO INC N/A 92564RAL9 2800000.000000 PA USD 2579383.520000 0.0787642 Long DBT CORP US N 2 2029-02-15 Fixed 3.875 N N N N N N LOCKHEED MARTIN CORPORATION DPRBOZP0K5RM2YE8UU08 539830CB3 6000000.000000 PA USD 5994679.800000 0.183054 Long DBT CORP US N 2 2055-02-15 Fixed 5.2 N N N N N N HEICO CORPORATION 529900O1DTDLCJ7L0I14 422806AB5 1600000.000000 PA USD 1606089.170000 0.0490437 Long DBT CORP US N 2 2033-08-01 Fixed 5.35 N N N N N N N/A N/A 000000000 1.000000 NC -12337.080000 -0.0003767 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3729501.470000 USD 310702902.710000 INR 2024-06-20 -12337.080000 N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NCE9 25000.000000 PA USD 20257.650000 0.0006186 Long DBT CORP US N 2 2049-11-01 Fixed 3.999 N N N N N N N/A N/A 000000000 1.000000 NC USD -3452.960000 -0.0001054 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.39 Y Single Leg Swap 2028-06-20 0.000000 USD -13630.000000 USD 200000.000000 USD 10177.040000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFV8 43800000.000000 PA USD 43508284.990000 1.32857 Long DBT UST US N 2 2032-11-15 Fixed 4.125 N N N N N N WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT N/A 93976AAH5 1015000.000000 PA USD 1106422.980000 0.0337858 Long DBT MUN US N 2 2040-07-01 Fixed 6.79 N N N N N N ARCH CAPITAL GROUP LTD 549300AYR4P8AFKDCE43 03939AAA5 2465000.000000 PA USD 1833725.900000 0.0559948 Long DBT CORP BM N 2 2050-06-30 Fixed 3.635 N N N N N N MF1 2022-FL8 LTD N/A 55284JAA7 2915419.240000 PA USD 2888123.630000 0.088192 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 6.67632 N N N N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 55300RAE1 1700000.000000 PA USD 1678329.590000 0.0512496 Long DBT CORP KY N 2 2025-06-18 Fixed 5.25 N N N N N N ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC N/A 03522AAH3 10000000.000000 PA USD 9673117.300000 0.295379 Long DBT CORP US N 2 2036-02-01 Fixed 4.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 43309.930000 0.0013225 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AMERICAN INTERNATIONAL GROUP INC AIG INC Y Single Leg Swap 2027-12-20 0.000000 USD -12003.970000 USD 2000000.000000 USD 55313.900000 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45866FAH7 185000.000000 PA USD 158045.960000 0.0048261 Long DBT CORP US N 2 2048-09-21 Fixed 4.25 N N N N N N BPCRE HOLDER LLC 2022-FL2 N/A 05602FAA5 1868437.470000 PA USD 1869476.620000 0.0570865 Long ABS-CBDO CORP BM N 2 2037-01-16 Floating 7.72667 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAV7 1600000.000000 PA USD 1608363.920000 0.0491131 Long DBT CORP FR N 2 2030-01-18 Floating 5.716 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AT4 1900000.000000 NS USD 1804734.000000 0.0551095 Long EP CORP US N 2 N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XBP5 2223000.000000 PA USD 1529526.720000 0.0467057 Long DBT CORP US N 2 2050-04-15 Fixed 3 N N N N N N N/A N/A 000000000 -95.000000 NC USD -14214.660000 -0.0004341 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 109.000000 USD 2024-04-26 XXXX 13419.690000 N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EW6 14200000.000000 PA USD 14119244.600000 0.431146 Long DBT CORP US N 2 2053-05-10 Fixed 4.85 N N N N N N N/A N/A 000000000 1.000000 NC USD 23262.360000 0.0007103 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CONSOLIDATED EDISON COMPANY OF NEW YORK INC CONSOLIDATED EDISON CO O SR UNSEC Y Single Leg Swap 2024-12-20 66280.110000 USD 0.000000 USD 3400000.000000 USD -43017.750000 N N N N/A N/A 000000000 1.000000 NC -1144728.110000 -0.0349555 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2054-09-18 0.000000 EUR -1068926.880000 EUR 22400000.000000 EUR -75801.230000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GR8 1000000.000000 PA USD 894645.780000 0.027319 Long DBT CORP US N 2 2049-03-01 Fixed 4.875 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRL3 9300000.000000 PA USD 9224205.000000 0.281671 Long DBT NUSS IL N 2 2034-03-12 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 8041.080000 0.0002455 N/A DCR JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A ITRAXX JAPAN SERIES 41 Y Single Leg Swap 2029-06-20 7926.430000 JPY 0.000000 JPY 43000000.000000 JPY 114.650000 N N N DOC DR LLC N/A 71951QAB8 1900000.000000 PA USD 1815678.630000 0.0554437 Long DBT CORP US N 2 2028-01-15 Fixed 3.95 N N N N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HAY4 1000000.000000 PA USD 908085.350000 0.0277294 Long DBT CORP NL N 2 2030-05-01 Fixed 3.4 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7N56 151652.000000 PA USD 17439.980000 0.0005325 Long DBT CORP KY N 2 2026-09-30 Fixed 6 N N Y N N N RGA GLOBAL FUNDING 549300Y22K5FOEBMSK42 76209PAD5 2900000.000000 PA USD 2909958.190000 0.0888587 Long DBT CORP US N 2 2031-01-11 Fixed 5.5 N N N N N N NEUBERGER BERMAN GROUP LLC / NEUBERGER BERMAN FINANCE CORP N/A 64128XAE0 2700000.000000 PA USD 2192841.420000 0.0669608 Long DBT CORP US N 2 2045-04-15 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 351356.150000 0.010729 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -149021.660000 AUD 21000000.000000 AUD 500377.810000 N N N PROTECTIVE LIFE GLOBAL FUNDING 635400EVYITCJYWL2I50 74368CBV5 1500000.000000 PA USD 1528260.120000 0.0466671 Long DBT CORP US N 2 2028-12-08 Fixed 5.467 N N N N N N N/A N/A 000000000 -2700000.000000 NC USD -3096.090000 -0.0000945 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08500 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2024-04-18 XXXX 7568.910000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AZ1 8700000.000000 PA USD 9178296.680000 0.280269 Long DBT CORP CH N 2 2033-08-12 Floating 6.537 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TT5 215000.000000 PA USD 206702.340000 0.0063119 Long DBT UST US N 2 2053-08-15 Fixed 4.125 N N N N N N BECTON DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 075887CS6 3600000.000000 PA USD 3574247.800000 0.109144 Long DBT CORP US N 2 2034-02-08 Fixed 5.11 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAW9 12000000.000000 PA USD 8002620.000000 0.244369 Long DBT NUSS SA N 2 2061-02-02 Fixed 3.45 N N N N N N N/A N/A 000000000 1.000000 NC -6676.080000 -0.0002039 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 485739.000000 USD 2410173.770000 BRL 2024-05-03 -6676.080000 N N N TAMPA ELECTRIC COMPANY WS423EPRKJIIJUITXD73 875127BL5 3900000.000000 PA USD 3601327.040000 0.10997 Long DBT CORP US N 2 2052-07-15 Fixed 5 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751CB5 2400000.000000 PA USD 2407886.420000 0.0735274 Long DBT CORP CA N 2 2031-07-01 Fixed 7.25 N N N N N N N/A N/A 000000000 1.000000 NC 37.020000 0.0000011 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1164355.100000 CNY 163786.060000 USD 2024-04-11 37.020000 N N N BRITISH AIRWAYS 2019-1 CLASS AA PASS THROUGH TRUST N/A 11043XAA1 2961310.620000 PA USD 2664195.510000 0.0813541 Long DBT CORP US N 2 2034-06-15 Fixed 3.3 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLJ9 15089000.000000 PA USD 10559159.980000 0.322435 Long DBT CORP US N 2 2055-09-15 Fixed 3.55 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFH2 25000.000000 PA USD 21946.730000 0.0006702 Long DBT CORP US N 2 2048-09-01 Fixed 4.45 N N N N N N N/A N/A 000000000 1.000000 NC 141907.480000 0.0043333 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 202714130.670000 THB 5734000.000000 USD 2024-06-20 141907.480000 N N N N/A N/A 000000000 1.000000 NC USD 12013.140000 0.0003668 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 NEXTERA ENERGY CAPITAL HOLDINGS INC NEXTERA ENERGY CAPITAL SR UNSEC Y Single Leg Swap 2025-12-20 21729.630000 USD 0.000000 USD 1000000.000000 USD -9716.490000 N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CZ9 8000000.000000 PA USD 7455445.520000 0.22766 Long DBT CORP US N 2 2053-12-01 Fixed 5.35 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31620MBY1 1500000.000000 PA USD 1500494.610000 0.0458192 Long DBT CORP US N 2 2032-07-15 Fixed 5.1 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACT0 10900000.000000 PA USD 7738161.680000 0.236293 Long DBT CORP US N 2 2052-10-15 Fixed 3.4 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NEG2 3800000.000000 PA USD 3807907.880000 0.116279 Long DBT CORP US N 2 2064-05-15 Fixed 5.5 N N N N N N N/A N/A 000000000 -3100000.000000 NC USD -1445.530000 -0.0000441 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.55000 04/16/24-10Y LCH 2034-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.550000 USD 2024-04-12 XXXX 9249.470000 N N N COLUMBIA PIPELINES OPERATING COMPANY LLC N/A 19828TAE6 1500000.000000 PA USD 1610709.290000 0.0491847 Long DBT CORP US N 2 2043-08-15 Fixed 6.497 N N N N N N GOODMAN US FINANCE FIVE LLC N/A 38239PAA5 2000000.000000 PA USD 1837319.500000 0.0561045 Long DBT CORP US N 2 2032-05-04 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -5300.000000 -0.0001618 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 852153.000000 USD 13470919839.000000 IDR 2024-06-20 -5300.000000 N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR14 N/A 45660LRX9 236279.010000 PA USD 186676.860000 0.0057004 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.04389 N N N N N N SOUTHERN POWER COMPANY 5LADC78JBG2BMZD5XF57 843646AH3 65000.000000 PA USD 60805.070000 0.0018567 Long DBT CORP US N 2 2041-09-15 Fixed 5.15 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SY5 6400000.000000 PA USD 4731000.000000 0.144466 Long DBT UST US N 2 2041-05-15 Fixed 2.25 N N N N N N ADANI TRANSMISSION STEP ONE LIMITED 335800Z8CGS7O7D72N41 00652XAB4 706500.000000 PA USD 599802.320000 0.0183156 Long DBT CORP IN N 2 2036-05-21 Fixed 4.25 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI1SQVK7 2500000.000000 PA 2917190.980000 0.0890796 Long DBT CORP GB N 2 2027-05-12 Floating 5.125 N N N N Y NATWEST GROUP PLC GBP XXXX N N N UNITED AIRLINES 2016-1 CLASS A PASS THROUGH TRUST N/A 90931MAA4 3219418.080000 PA USD 2925807.790000 0.0893427 Long DBT CORP US N 2 2030-01-07 Fixed 3.45 N N N N N N COLUMBIA PIPELINES OPERATING COMPANY LLC N/A 19828TAC0 2000000.000000 PA USD 2168667.460000 0.0662226 Long DBT CORP US N 2 2053-11-15 Fixed 6.544 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NBH5 75000.000000 PA USD 55088.070000 0.0016822 Long DBT CORP US N 2 2064-07-15 Fixed 4.7 N N N N N N MIDAMERICAN ENERGY COMPANY NINLOILYRTLIMK26MZ18 595620AS4 3575000.000000 PA USD 2750563.570000 0.0839914 Long DBT CORP US N 2 2048-08-01 Fixed 3.65 N N N N N N UNION ELECTRIC COMPANY QMPJLLDULY5C1M8PNY21 906548CX8 5000000.000000 PA USD 4809668.250000 0.146868 Long DBT CORP US N 2 2054-01-15 Fixed 5.25 N N N N N N PFIZER INVESTMENT ENTERPRISES PTE LTD 5493000FQO8XF9C0RT95 716973AG7 4200000.000000 PA USD 4178857.700000 0.127606 Long DBT CORP SG N 2 2053-05-19 Fixed 5.3 N N N N N N ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST N/A 01166VAA7 1451282.050000 PA USD 1417568.480000 0.043287 Long DBT CORP US N 2 2029-02-15 Fixed 4.8 N N N N N N ARIZONA PUBLIC SERVICE COMPANY YG6VT0TPHRH4TFVAQV64 040555DA9 1400000.000000 PA USD 987856.020000 0.0301652 Long DBT CORP US N 2 2049-12-01 Fixed 3.5 N N N N N N VIRGINIA ELECTRIC AND POWER COMPANY CQKUMNNZVDJLRYV2PT43 927804GQ1 3000000.000000 PA USD 2942806.920000 0.0898618 Long DBT CORP US N 2 2054-01-15 Fixed 5.35 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550AW6 270000.000000 PA USD 295729.190000 0.0090304 Long DBT CORP US N 2 2038-01-15 Fixed 6.95 N N N N N N GREENSAIF PIPELINES BIDCO SARL 549300YWDGUXPB8GRP47 39541EAC7 1900000.000000 PA USD 1976001.060000 0.0603393 Long DBT CORP LU N 2 2042-02-23 Fixed 6.51 N N N N N N CRH AMERICA INC 549300RN11MJ182CNF63 12626PAN3 30000.000000 PA USD 28620.700000 0.000874 Long DBT CORP US N 2 2045-05-18 Fixed 5.125 N N N N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAL6 4575000.000000 PA USD 4735987.340000 0.144619 Long DBT CORP CA N 2 2054-03-04 Fixed 5.968 N N N N N N AEP TRANSMISSION COMPANY LLC 549300X123Z1I0LA3Y84 00115AAJ8 300000.000000 PA USD 252082.140000 0.0076976 Long DBT CORP US N 2 2048-09-15 Fixed 4.25 N N N N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 55300RAB7 1538000.000000 PA USD 1519944.800000 0.0464131 Long DBT CORP KY N 2 2026-05-15 Fixed 5.875 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBZ7 4400000.000000 PA USD 4977081.910000 0.15198 Long DBT CORP CA N 2 2053-11-15 Fixed 6.7 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473QBG7 1245000.000000 PA USD 975597.950000 0.0297909 Long DBT CORP US N 2 2048-03-30 Fixed 3.95 N N N N N N N/A N/A 000000000 -54.000000 NC USD -20494.570000 -0.0006258 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 111.500000 USD 2024-04-26 XXXX -1181.470000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBT2 2500000.000000 PA USD 1751433.830000 0.0534819 Long DBT CORP US N 2 2052-02-15 Fixed 3.4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RX8 32300000.000000 PA USD 25383257.970000 0.775105 Long DBT UST US N 2 2047-05-15 Fixed 3 N N N N N N MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY R6ZXK5P01NP6HXSY1S07 575767AT5 2000000.000000 PA USD 2000017.380000 0.0610727 Long DBT CORP US N 2 2052-12-01 Fixed 5.672 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UAV1 35000.000000 PA USD 36074.420000 0.0011016 Long DBT CORP US N 2 2035-06-15 Fixed 5.95 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 6500000.000000 PA USD 6049272.390000 0.184721 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N N/A N/A 000000000 -6532093.700000 PA USD -6564844.890000 -0.200465 Short RA US N 2 Reverse repurchase N 4.750000 2026-02-22 7000000.000000 USD 6971103.930000 USD CDS N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7Q61 454957.000000 PA USD 34121.780000 0.0010419 Long DBT CORP KY N 2 2028-09-30 Fixed 6.75 N N Y N N N VENTURE GLOBAL CALCASIEU PASS LLC 549300GKHS6RS20NLH85 92328MAC7 5500000.000000 PA USD 4676994.850000 0.142817 Long DBT CORP US N 2 2033-11-01 Fixed 3.875 N N N N N N BRIGHTHOUSE FINANCIAL INC 5493003T8SZSHOGGAW52 10922NAH6 2800000.000000 PA USD 1841588.250000 0.0562349 Long DBT CORP US N 2 2051-12-22 Fixed 3.85 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JT5 1500000.000000 PA USD 1303110.110000 0.0397919 Long DBT CORP US N 2 2031-06-01 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC -1347.150000 -0.0000411 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1324417.000000 USD 44605702.350000 TRY 2024-05-06 -1347.150000 N N N PHILIPPINES GOVT 529900RAHBALMYIJ3T08 718286CX3 400000.000000 PA USD 407000.940000 0.0124282 Long DBT NUSS PH N 2 2048-01-17 Fixed 5.5 N N N N N N AGREE LIMITED PARTNERSHIP 549300DXY3G299V1BO77 008513AD5 700000.000000 PA USD 662603.370000 0.0202333 Long DBT CORP US N 2 2032-10-01 Fixed 4.8 N N N N N N DTE ELECTRIC CO (AKA: DETROIT EDISON COMPANY) 9N0FWODEJVKHC2DYLO03 23338VAH9 1600000.000000 PA USD 1314008.080000 0.0401246 Long DBT CORP US N 2 2048-05-15 Fixed 4.05 N N N N N N ACE SECURITIES CORP 2004-RM2 N/A 004421JX2 669857.510000 PA USD 619031.740000 0.0189028 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.23889 N N N N N N N/A N/A 000000000 1.000000 NC -3902.600000 -0.0001192 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9915000.000000 MXN 590936.620000 USD 2024-04-19 -3902.600000 N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AR0 2200000.000000 PA USD 1962813.120000 0.0599366 Long DBT CORP US N 2 2031-08-15 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC 6822.510000 0.0002083 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 2774539.000000 AUD 1816357.510000 USD 2024-05-02 6822.510000 N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAE7 1800000.000000 PA USD 1667406.020000 0.050916 Long DBT CORP GB N 2 2030-07-18 Floating 3.96 N N N N N N AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST N/A 023770AA8 2876312.410000 PA USD 2720625.960000 0.0830772 Long DBT CORP US N 2 2028-11-01 Fixed 3.375 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 200000.000000 PA USD 193919.890000 0.0059216 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2NBJY7 21346807.910000 PA 1190475.050000 0.0363524 Long DBT NUSS MX N 2 2034-08-24 Fixed 4 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2U7 3200000.000000 PA USD 2724834.430000 0.0832057 Long DBT CORP FR N 2 2033-01-20 Floating 3.132 N N N N N N ONEOK PARTNERS LP T4DHW82NMF6BXJT50795 68268NAG8 7125000.000000 PA USD 7379546.250000 0.225342 Long DBT CORP US N 2 2041-02-01 Fixed 6.125 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JC2 1300000.000000 PA USD 1257892.610000 0.0384111 Long DBT CORP US N 2 2028-08-01 Fixed 4.65 N N N N N N DUQUESNE LIGHT HOLDINGS INC 4CUJ1D8WDXK9X7QI6B93 266233AH8 700000.000000 PA USD 580850.800000 0.0177369 Long DBT CORP US N 2 2030-10-01 Fixed 2.532 N N N N N N N/A N/A 000000000 -1400000.000000 NC -50.600000 -0.0000015 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.81000 04/09/24-10Y LCH 2034-04-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.810000 EUR 2024-04-05 XXXX 4281.740000 N N N UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST N/A 90931LAA6 394212.870000 PA USD 362055.350000 0.0110557 Long DBT CORP US N 2 2030-01-07 Fixed 3.1 N N N N N N TUCSON ELECTRIC POWER COMPANY YLF139GXSRKPBBTNZL03 898813AV2 2100000.000000 PA USD 2087654.600000 0.0637488 Long DBT CORP US N 2 2053-04-15 Fixed 5.5 N N N N N N ADANI ELECTRICITY MUMBAI LIMITED 335800AIC1B5EBFVUC38 00654GAA1 1570000.000000 PA USD 1336247.880000 0.0408038 Long DBT CORP IN N 2 2030-02-12 Fixed 3.949 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAF0 2600000.000000 PA USD 2653550.900000 0.081029 Long DBT CORP GB N 2 2027-07-27 Fixed 6.125 N N N N N N N/A N/A 000000000 -2411057.220000 PA USD -2419328.490000 -0.0738768 Short RA US N 2 Reverse repurchase N 4.750000 2026-03-06 2544000.000000 USD 2533498.340000 USD CDS N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2Z5 11300000.000000 PA USD 9994540.720000 0.305194 Long DBT CORP US N 2 2053-04-25 Floating 4.611 N N N N N N N/A N/A 000000000 1.000000 NC -24381.680000 -0.0007445 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 16700000.000000 BRL -24381.680000 N N N N/A N/A 000000000 1.000000 NC -24960.190000 -0.0007622 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 34326404.470000 USD 27177000.000000 GBP 2024-04-02 -24960.190000 N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 428141.400000 PA USD 404502.000000 0.0123519 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.69241 N N N N N N AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST N/A 00908PAA5 1364959.980000 PA USD 1238196.690000 0.0378097 Long DBT CORP CA N 2 2031-07-15 Fixed 3.3 N N N N N N N/A N/A 000000000 2822000.000000 PA USD 2822000.000000 0.0861728 Long RA US N 2 Repurchase N 2.600000 2024-04-01 2800200.000000 USD 2878464.300000 USD UST N N N N/A N/A 000000000 -1600000.000000 NC USD -903.200000 -0.0000276 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 98.080000 USD 2024-04-04 XXXX 3846.800000 N N N FREEDOM MORTGAGE CORPORATION 549300LYRWPSYPK6S325 35640YAK3 1500000.000000 PA USD 1636582.500000 0.0499748 Long DBT CORP US N 2 2028-10-01 Fixed 12 N N N N N N N/A N/A 000000000 1.000000 NC 4397.220000 0.0001343 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 391431866.000000 JPY 2590548.420000 USD 2024-04-02 4397.220000 N N N N/A N/A 000000000 1.000000 NC USD 13453.250000 0.0004108 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BAIDU INC BAIDU INC Y Single Leg Swap 2024-12-20 0.000000 USD -15115.810000 USD 2600000.000000 USD 28569.060000 N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRU8 1000000.000000 PA USD 1003128.470000 0.0306316 Long DBT CORP US N 2 2026-12-08 Fixed 5.11 N N N N N N N/A N/A 000000000 1.000000 NC USD 3541.030000 0.0001081 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2025-12-20 0.000000 USD -4131.090000 USD 300000.000000 USD 7672.120000 N N N CREDIT ACCEP CORP MICH N/A 225310AQ4 1500000.000000 PA USD 1615246.500000 0.0493233 Long DBT CORP US N 2 2028-12-15 Fixed 9.25 N N N N N N BARINGS LOAN PARTNERS CLO LTD 3 N/A 06762QAL1 1500000.000000 PA USD 1499863.520000 0.0457999 Long ABS-CBDO CORP KY N 2 2033-07-20 Floating 6.83781 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2022-LP2 N/A 05610HAA1 2415246.420000 PA USD 2405072.440000 0.0734415 Long ABS-MBS CORP US N 2 2039-02-15 Floating 6.33823 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAT8 1900000.000000 PA USD 1805179.020000 0.0551231 Long DBT CORP US N 2 2029-12-15 Fixed 4.625 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NBF9 6000000.000000 PA USD 4598369.580000 0.140416 Long DBT CORP US N 2 2044-07-15 Fixed 4.4 N N N N N N TESCO PROPERTY FINANCE 3 PLC 213800HCQGDQGFP75D78 989XYDII0 89518.620000 PA 115606.650000 0.0035302 Long DBT CORP GB N 2 2040-04-13 Fixed 5.744 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62912XAC8 800000.000000 PA USD 894160.940000 0.0273042 Long DBT CORP US N 2 2037-12-15 Fixed 7.768 N N N N N N PUGET SOUND ENERGY INC 8MNFJR7KOMBQ7X62LK44 745332CH7 2700000.000000 PA USD 2218893.020000 0.0677563 Long DBT CORP US N 2 2048-06-15 Fixed 4.223 N N N N N N N/A N/A 000000000 1.000000 NC USD 31846.450000 0.0009725 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ALIBABA GROUP HOLDING LIMITED ALIBABA GROUP HOLDING SR UNSEC Y Single Leg Swap 2024-12-20 69885.060000 USD 0.000000 USD 5800000.000000 USD -38038.610000 N N N AMERIQUEST MTGE SEC INC 2004-R5 N/A 03072SRX5 77217.620000 PA USD 74401.670000 0.0022719 Long ABS-MBS CORP US N 3 2034-07-25 Floating 6.31389 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCB9 6400000.000000 PA USD 4809893.700000 0.146875 Long DBT CORP US Y 2 2061-03-25 Fixed 4.1 N N N N N N REGENERON PHARMACEUTICALS 549300RCBFWIRX3HYQ56 75886FAE7 900000.000000 PA USD 736941.220000 0.0225033 Long DBT CORP US N 2 2030-09-15 Fixed 1.75 N N N N N N NEW YORK & PRESBYTERIAN HOSPITAL 19EOSPKL8HML7MY3UE63 649322AD6 45000.000000 PA USD 37164.770000 0.0011349 Long DBT CORP US N 2 2056-08-01 Fixed 4.063 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 ACI1S61G3 100000.000000 PA 127792.660000 0.0039023 Long DBT CORP GB N 2 2027-10-15 Fixed 5.75 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAN0 1700000.000000 NS USD 1669944.000000 0.0509935 Long EP CORP US N 2 N N N N/A N/A 000000000 1.000000 NC -22737.300000 -0.0006943 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5746960.000000 USD 478464878.890000 INR 2024-06-20 -22737.300000 N N N WESTMORELAND MINING HOLDINGS LLC N/A 96106JAE9 1231271.600000 PA USD 800326.540000 0.0244388 Long LON CORP US N 3 2029-03-15 Fixed 8 N N Y N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KP5 3000000.000000 PA USD 2108694.420000 0.0643912 Long DBT CORP US N 2 2051-03-15 Fixed 3.25 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 5200000.000000 PA USD 5092080.970000 0.155492 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N DISCOVER FINANCIAL SERVICES Z1YLO2USPORE63VVUL20 254709AQ1 3100000.000000 NS USD 3120460.000000 0.0952866 Long EP CORP US N 2 N N N STELLANTIS FINANCE US INC 549300QZ0AI8Q7LNON33 85855CAB6 3100000.000000 PA USD 2609202.230000 0.0796748 Long DBT CORP US N 2 2031-09-15 Fixed 2.691 N N N N N N N/A N/A 000000000 1.000000 NC -2621.880000 -0.0000801 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 56127620.350000 TRY 1631119.000000 USD 2024-05-23 -2621.880000 N N N ALCON FINANCE CORPORATION 549300CUZUI9VU7XNK42 01400EAC7 2200000.000000 PA USD 1715669.470000 0.0523898 Long DBT CORP US N 2 2049-09-23 Fixed 3.8 N N N N N N UNITED AIRLINES 2013-1 CLASS A PASS THROUGH TRUST N/A 909319AA3 36454.200000 PA USD 35782.520000 0.0010927 Long DBT CORP US N 2 2027-02-15 Fixed 4.3 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAB8 1200000.000000 PA USD 1078645.180000 0.0329376 Long DBT CORP US N 2 2029-08-15 Fixed 3.2 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBS5 1750000.000000 PA USD 1306517.960000 0.0398959 Long DBT CORP IT N 2 2042-06-01 Floating 4.95 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 28336LBH1 2980000.000000 PA USD 3317672.000000 0.101309 Long DBT CORP US N 2 2037-02-15 Fixed 7.42 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CF5 5053000.000000 PA USD 4478715.180000 0.136762 Long DBT CORP US N 2 2051-06-15 Fixed 4.663 N N N N N N N/A N/A 000000000 1.000000 NC -18181.080000 -0.0005552 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-19 0.000000 EUR -5622.410000 EUR 3000000.000000 EUR -12558.670000 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023BV6 800000.000000 PA USD 562821.670000 0.0171864 Long DBT CORP US N 2 2047-03-01 Fixed 3.65 N N N N N N CAPITAL FARM CREDIT ACA 254900S6K5I3OISPS518 14019TAA4 6400000.000000 NS USD 6036992.000000 0.184346 Long EP CORP US N 2 N N N N/A N/A 000000000 1.000000 NC USD 19685.470000 0.0006011 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 TENCENT HOLDINGS LIMITED TENCENT HOLDINGS LTD SR UNSEC REGS Y Single Leg Swap 2024-12-20 33625.150000 USD 0.000000 USD 3500000.000000 USD -13939.680000 N N N BEAR STEARNS ALT-A TRUST-2004-11 N/A 07386HNB3 17499.380000 PA USD 15997.140000 0.0004885 Long ABS-MBS CORP US N 3 2034-11-25 Floating 4.91783 N N N N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AQ8 35000.000000 PA USD 32681.080000 0.000998 Long DBT CORP US N 2 2048-12-17 Fixed 4.875 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140CJ7 7000000.000000 PA USD 7241218.600000 0.221118 Long DBT CORP US N 2 2053-02-10 Fixed 5.7 N N N N N N ELECTRICITE DE FRANCE SA (EDF) 549300X3UK4GG3FNMO06 28504DAD5 1400000.000000 PA USD 1528132.270000 0.0466632 Long DBT CORP FR N 2 2053-05-23 Fixed 6.9 N N N N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 ACI2080P8 1400000.000000 PA 1242295.660000 0.0379348 Long DBT CORP ES N 2 2028-09-14 Floating 3.625 N N N N Y CAIXABANK SA (AKA: LA CAIXA) EUR XXXX N N N N/A N/A 000000000 -5800000.000000 NC USD -14.500000 -0.0000004 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 04/04/24-5Y LCH 2029-04-04 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2024-04-02 XXXX 13804.000000 N N N N/A N/A 000000000 1.000000 NC 983.060000 0.00003 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 16039.060000 USD 283730.970000 MXN 2024-04-19 983.060000 N N N N/A N/A 000000000 1.000000 NC -187.970000 -0.0000057 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1044281.000000 USD 35594317.890000 TRY 2024-05-16 -187.970000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJE0 19400000.000000 PA USD 13812103.350000 0.421767 Long DBT CORP US N 2 2041-06-19 Floating 2.676 N N N N N N ARES MANAGEMENT CORPORATION 529900JUV61FH7B8VW38 03990BAA9 4700000.000000 PA USD 4929993.750000 0.150543 Long DBT CORP US N 2 2028-11-10 Fixed 6.375 N N N N N N FARMERS INSURANCE EXCHANGE 549300UWG2TLX1GZVT44 309601AE2 7000000.000000 PA USD 5196873.500000 0.158692 Long DBT CORP US N 2 2057-11-01 Floating 4.747 N N N N N N MELCO RESORTS FINANCE LIMITED 5493000FQDBWKDBZEF60 58547DAA7 3280000.000000 PA USD 3203121.390000 0.0978108 Long DBT CORP KY N 2 2025-06-06 Fixed 4.875 N N N N N N LENOVO GROUP LIMITED 254900VUZRGD5U73RE46 526250AB1 1600000.000000 PA USD 1405248.140000 0.0429108 Long DBT CORP HK N 2 2030-11-02 Fixed 3.421 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBS8 1980000.000000 PA USD 1773934.270000 0.054169 Long DBT CORP GB N 2 2049-06-19 Fixed 4.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BU3 1300000.000000 PA USD 1092830.180000 0.0333707 Long DBT CORP GB N 2 2036-02-18 Floating 3.265 N N N N N N NORTHWELL HEALTHCARE INC 54930073NUTKK4QD3P47 667274AD6 2500000.000000 PA USD 1917540.880000 0.0585542 Long DBT CORP US N 2 2049-11-01 Fixed 3.809 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 ACI07BWB4 2785.000000 NS 476800.010000 0.0145596 Long EP CORP GB N 2 N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109BH6 2000000.000000 PA USD 1888416.300000 0.0576648 Long DBT CORP US N 2 2028-01-15 Fixed 3.4 N N N N N N BROOKFIELD CAPITAL FINANCE LLC N/A 11259NAA2 1200000.000000 PA USD 1257710.020000 0.0384055 Long DBT CORP US N 2 2033-06-14 Fixed 6.087 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AX5 1800000.000000 PA USD 1866049.200000 0.0569818 Long DBT CORP US N 2 2053-06-15 Floating 8.125 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550AJ5 100000.000000 PA USD 111381.410000 0.0034012 Long DBT CORP US N 2 2031-03-15 Fixed 7.4 N N N N N N N/A N/A 000000000 1.000000 NC 67818.360000 0.0020709 N/A DCR ES N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 TELEFONICA EMISIONES SAU TELEFONICA EMISIONES SAU CO GTD SR UNSEC Y Single Leg Swap 2028-06-20 12454.920000 EUR 0.000000 EUR 3200000.000000 EUR 55363.440000 N N N N/A N/A 000000000 1.000000 NC USD -8375.060000 -0.0002557 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 TOLL BROTHERS FINANCE CORP TOLL BROS FINANCE CORP Y Single Leg Swap 2024-06-20 4549.900000 USD 0.000000 USD 3800000.000000 USD -12924.960000 N N N SOUTHWESTERN ELECTRIC POWER COMPANY R64UBJHEC74EB3HGQ410 845437BT8 6760000.000000 PA USD 4492380.240000 0.13718 Long DBT CORP US N 2 2051-11-01 Fixed 3.25 N N N N N N VAR ENERGI ASA 549300LIVN3FFOJN2K47 92212WAE0 1200000.000000 PA USD 1348760.400000 0.0411858 Long DBT CORP NO N 2 2032-11-15 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC 304269.270000 0.0092912 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-09-18 225013.760000 EUR 0.000000 EUR 13400000.000000 EUR 79255.510000 N N N ODEBRECHT OIL & GAS FINANCE LIMITED N/A 67576JAB7 1253457.000000 PA USD 68940.140000 0.0021052 Long DBT CORP KY N 2 2024-05-07 None 0 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 3200000.000000 PA USD 2819948.580000 0.0861102 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N CELLNEX FINANCE COMPANY SA 549300OUROMFTRFA7T23 15118JAA3 600000.000000 PA USD 471311.640000 0.014392 Long DBT CORP ES N 2 2041-07-07 Fixed 3.875 N N N N N N VENTURE XIX CLO LTD 2014-19A N/A 92330EAP2 1000000.000000 PA USD 1001761.000000 0.0305898 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 6.8356 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XCD0 4000000.000000 PA USD 4032827.560000 0.123147 Long DBT CORP US N 2 2033-07-15 Fixed 5.55 N N N N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAJ1 1900000.000000 PA USD 1388102.570000 0.0423872 Long DBT CORP CA N 2 2052-02-15 Fixed 3.625 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CV8 200000.000000 PA USD 157473.530000 0.0048086 Long DBT CORP US N 2 2050-02-15 Fixed 4.15 N N N N N N N/A N/A 000000000 -5200000.000000 NC USD -7766.720000 -0.0002372 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% MAY 30YR N/A 95.660000 USD 2024-05-06 XXXX 17014.530000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GE7 1400000.000000 PA USD 1054699.420000 0.0322064 Long DBT CORP US N 2 2045-02-01 Fixed 3.6 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAJ4 271000.000000 PA USD 233566.440000 0.0071322 Long DBT CORP CA N 2 2044-06-10 Fixed 4.5 N N N N N N BLACKSTONE HOLDINGS FINANCE CO LLC 549300D2L6J4NC1QVZ22 09256BAM9 2500000.000000 PA USD 1801053.030000 0.0549971 Long DBT CORP US N 2 2049-09-10 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050643 25700000.000000 PA USD 25078559.350000 0.765801 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 5 N N N N N N NORTHERN STATES POWER COMPANY OF MINNESOTA 3S1GHB0TEH85KX44SB51 665772CX5 11600000.000000 PA USD 11183719.150000 0.341507 Long DBT CORP US N 2 2053-05-15 Fixed 5.1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TC2 142400000.000000 PA USD 99947000.000000 3.05199 Long DBT UST US N 2 2041-11-15 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -7094.750000 -0.0002166 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 881454.000000 USD 13908462666.000000 IDR 2024-06-20 -7094.750000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAH4 5800000.000000 NS USD 5653260.000000 0.172628 Long EP CORP US N 2 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCE4 18400000.000000 PA USD 13356441.870000 0.407853 Long DBT CORP US N 2 2052-04-22 Floating 3.328 N N N N N N TRAVEL + LEISURE CO (AKA: WYNDHAM DESTINATIONS INC/WYNDHAM WORLDWIDE CORP) T4VNTWMFQ7JQB65L7T35 98310WAQ1 2200000.000000 PA USD 2010103.920000 0.0613807 Long DBT CORP US N 2 2030-03-01 Fixed 4.625 N N N N N N UKRAINE GOVT 6354001WLTJXOMEXPY07 903724BM3 1000000.000000 PA USD 295250.000000 0.0090158 Long DBT NUSS UA N 2 2034-09-25 Fixed 7.375 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486M71 305000.000000 PA USD 305673.710000 0.0093341 Long DBT MUN US N 2 2029-01-01 Fixed 6.05 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 28622HAC5 8100000.000000 PA USD 7768489.760000 0.237219 Long DBT CORP US N 2 2053-02-15 Fixed 5.125 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CS6 2040000.000000 PA USD 1713102.810000 0.0523114 Long DBT CORP US N 2 2042-03-15 Fixed 4.375 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAD1 1167000.000000 PA USD 1111168.290000 0.0339307 Long DBT CORP US N 2 2027-06-01 Fixed 4.5 N N N N N N EMERA US FINANCE LP N/A 29103DAM8 2100000.000000 PA USD 1727906.690000 0.0527635 Long DBT CORP US N 2 2046-06-15 Fixed 4.75 N N N N N N ASSURED GUARANTY US HOLDINGS INC 5493007YCE0652G9TZ64 04621WAE0 1200000.000000 PA USD 870181.820000 0.0265719 Long DBT CORP US N 2 2051-09-15 Fixed 3.6 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BX9 2770000.000000 PA USD 2697155.200000 0.0823605 Long DBT CORP US N 2 2053-03-15 Fixed 5.5 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKA9 8300000.000000 PA USD 6098822.740000 0.186234 Long DBT CORP US N 2 2051-06-01 Fixed 3.65 N N N N N N N/A N/A 000000000 1.000000 NC 285345.690000 0.0087133 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 35380317.000000 EUR 38455397.250000 USD 2024-04-02 285345.690000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 4100000.000000 PA USD 4030356.010000 0.123071 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N MICROSOFT CORPORATION INR2EJN1ERAN0W5ZP974 594918CL6 6900000.000000 PA USD 4461018.360000 0.136222 Long DBT CORP US N 2 2050-09-15 Fixed 2.5 N N N N N N ONE GAS INC 549300HXDWI0LATTX840 68235PAG3 20000.000000 PA USD 17519.020000 0.000535 Long DBT CORP US N 2 2048-11-01 Fixed 4.5 N N N N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAE7 3700000.000000 PA USD 3254966.740000 0.0993939 Long DBT CORP US N 2 2032-04-15 Fixed 3.625 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 000000000 600000.000000 PA USD 475295.750000 0.0145137 Long DBT NUSS CL N 2 2052-01-31 Fixed 4 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DV9 8600000.000000 PA USD 8451680.620000 0.258081 Long DBT CORP US N 2 2053-02-21 Fixed 5.625 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JH1 2700000.000000 PA USD 1984506.290000 0.060599 Long DBT CORP US N 2 2040-08-01 Fixed 3.3 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PDU3 170000.000000 PA USD 133469.410000 0.0040756 Long DBT CORP US N 2 2049-08-15 Fixed 3.7 N N N N N N ASSURED GUARANTY US HOLDINGS INC 5493007YCE0652G9TZ64 04621WAD2 1950000.000000 PA USD 1716558.910000 0.052417 Long DBT CORP US N 2 2031-06-15 Fixed 3.15 N N N N N N ELECTRICITE DE FRANCE SA (EDF) 549300X3UK4GG3FNMO06 268317AQ7 2150000.000000 PA USD 1897283.840000 0.0579356 Long DBT CORP FR N 2 2045-10-13 Fixed 4.95 N N N N N N CARNIVAL CORPORATION F1OF2ZSX47CR0BCWA982 143658BW1 900000.000000 PA USD 939415.500000 0.0286861 Long DBT CORP PA N 2 2029-08-15 Fixed 7 N N N N N N LCM XVIII LP 18A N/A 50188GAT0 1166319.910000 PA USD 1167369.600000 0.0356469 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.59942 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBA6 200000.000000 PA USD 169034.220000 0.0051616 Long DBT CORP JP N 2 2032-01-22 Fixed 2.999 N N N N N N CHAMPION PATH HOLDINGS LIMITED 549300QWJFPV5413KI88 ACI1V8M31 2100000.000000 PA USD 1908931.840000 0.0582913 Long DBT CORP VG N 2 2028-01-27 Fixed 4.85 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 29452EAC5 5000000.000000 PA USD 5058286.650000 0.15446 Long DBT CORP US N 2 2033-01-11 Fixed 5.594 N N N N N N N/A N/A 000000000 -1800000.000000 NC -7700.140000 -0.0002351 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.55000 04/17/24-10Y LCH 2034-04-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.550000 EUR 2024-04-15 XXXX -2187.330000 N N N N/A N/A 000000000 1.000000 NC 63.410000 0.0000019 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 65842.000000 AUD 43005.100000 USD 2024-05-02 63.410000 N N N MARSH & MCLENNAN COMPANIES INC 549300XMP3KDCKJXIU47 571748BC5 200000.000000 PA USD 171834.970000 0.0052472 Long DBT CORP US N 2 2047-01-30 Fixed 4.35 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCA5 2900000.000000 PA USD 2583803.950000 0.0788992 Long DBT CORP US N 2 2039-11-21 Fixed 4.05 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TX6 15000000.000000 PA USD 14755078.200000 0.450562 Long DBT UST US N 2 2054-02-15 Fixed 4.25 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBZ2 1100000.000000 PA USD 1112857.810000 0.0339823 Long DBT CORP GB N 2 2063-02-10 Fixed 5.75 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAD8 4900000.000000 PA USD 4694227.930000 0.143343 Long DBT CORP KY N 2 2027-10-01 Fixed 5.5 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DC6 7900000.000000 PA USD 6958692.640000 0.212491 Long DBT CORP US N 2 2031-02-01 Fixed 3.625 N N N N N N OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A N/A 67592CAL0 3300000.000000 PA USD 3299163.780000 0.100744 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.48251 N N N N N N TRANSCANADA PIPELINES LIMITED 5BV01I6231JPDAPMGH09 8935268Z9 1925000.000000 PA USD 2283253.820000 0.0697216 Long DBT CORP CA N 2 2039-01-15 Fixed 7.625 N N N N N N N/A N/A 000000000 1.000000 NC 64029.260000 0.0019552 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5632000.000000 GBP 7172456.760000 USD 2024-04-02 64029.260000 N N N CARLYLE FINANCE LLC N/A 14314CAA3 3100000.000000 PA USD 3007623.440000 0.091841 Long DBT CORP US N 2 2048-09-15 Fixed 5.65 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CX1 9260000.000000 PA USD 8690346.650000 0.265369 Long DBT CORP US N 2 2060-05-01 Fixed 5.93 N N N N N N IRB INFRASTRUCTURE DEVELOPERS LIMITED 335800XGO3AITGW6AK27 ACI2N3K07 1600000.000000 PA USD 1624000.000000 0.0495906 Long DBT CORP IN N 2 2032-03-11 Fixed 7.11 N N N N N N UMBS PASS THRU POOLS N/A 01F060659 84800000.000000 PA USD 85562078.100000 2.61273 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -7180.150000 -0.0002193 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1619594.000000 USD 54969020.360000 TRY 2024-05-16 -7180.150000 N N N ATHENE HOLDING LTD 549300H316CT32FQXI76 04686JAH4 1200000.000000 PA USD 1219299.650000 0.0372326 Long DBT CORP US N 2 2054-04-01 Fixed 6.25 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CAY1 2300000.000000 PA USD 1787116.770000 0.0545715 Long DBT CORP US N 2 2047-08-15 Fixed 3.95 N N N N N N N/A N/A 000000000 1.000000 NC 40938.600000 0.0012501 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PLC BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-12-20 0.000000 EUR -11910.360000 EUR 2100000.000000 EUR 52848.960000 N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAJ7 400000.000000 PA USD 294488.900000 0.0089925 Long DBT CORP NL N 2 2052-01-19 Fixed 4.987 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKD0 6000000.000000 PA USD 4979759.520000 0.152062 Long DBT CORP US N 2 2032-10-20 Floating 2.572 N N N N N N ANTARES HOLDINGS LP 5493008EAIGV4283RM42 03666HAE1 3750000.000000 PA USD 3427047.560000 0.104649 Long DBT CORP US N 2 2027-07-15 Fixed 3.75 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 4500000.000000 PA USD 4280561.100000 0.130712 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N SAPPHIRE AVIATION FINANCE I LIMITED 2018-1A N/A 80306AAA8 688264.900000 PA USD 632480.000000 0.0193135 Long ABS-O CORP KY N 2 2040-03-15 Fixed 4.25 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NDU2 12149000.000000 PA USD 7655762.090000 0.233777 Long DBT CORP US N 2 2056-11-01 Fixed 2.937 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822CX0 4000000.000000 PA USD 4079454.400000 0.124571 Long DBT CORP JP N 2 2034-02-22 Floating 5.441 N N N N N N N/A N/A 000000000 1.000000 NC USD 4566.710000 0.0001394 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A BANCO DO BRASIL SA Y Single Leg Swap 2024-12-20 0.000000 USD -69567.640000 USD 3100000.000000 USD 74134.350000 N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 22535WAJ6 2700000.000000 PA USD 2800519.700000 0.0855169 Long DBT CORP FR N 2 2029-10-03 Floating 6.316 N N N N N N LOCKHEED MARTIN CORPORATION DPRBOZP0K5RM2YE8UU08 539830BT5 5000000.000000 PA USD 4257702.650000 0.130014 Long DBT CORP US N 2 2062-06-15 Fixed 4.3 N N N N N N MIDAMERICAN ENERGY COMPANY NINLOILYRTLIMK26MZ18 595620AP0 3450000.000000 PA USD 2941435.290000 0.0898199 Long DBT CORP US N 2 2046-05-01 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC 2065.540000 0.0000631 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1103852.880000 USD 1498000.000000 CAD 2024-04-02 2065.540000 N N N CHARLES SCHWAB CORP/THE 549300VSGCJ7E698NM85 808513AR6 2000000.000000 NS USD 1824720.000000 0.0557198 Long EP CORP US N 2 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAR3 300000.000000 PA USD 299697.430000 0.0091516 Long DBT CORP US N 2 2052-08-15 Fixed 5.95 N N N N N N FMR LLC 6X064LF7Y6B4DKF2GZ26 30251BAB4 4500000.000000 PA USD 4859517.470000 0.148391 Long DBT CORP US N 2 2039-11-15 Fixed 6.45 N N N N N N N/A N/A 000000000 1.000000 NC 4159.090000 0.000127 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 232404.000000 USD 8037924.740000 TRY 2024-05-13 4159.090000 N N N N/A N/A 000000000 1.000000 NC USD 47936.020000 0.0014638 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-20 63742.890000 USD 0.000000 USD 4200000.000000 USD -15806.870000 N N N NXP BV/NXP FUNDING LLC N/A 62947QBC1 600000.000000 PA USD 609654.970000 0.0186165 Long DBT CORP NL N 2 2028-12-01 Fixed 5.55 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3TC1 1100000.000000 PA 975567.290000 0.02979 Long DBT NUSS RO N 2 2030-07-13 Fixed 1.75 N N N N N N FIBRA UNO (TRUST F/1401) N/A 89834JAA1 1000000.000000 PA USD 999082.200000 0.030508 Long DBT CORP MX N 2 2034-02-13 Fixed 7.375 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDA4 3300000.000000 PA USD 3154627.440000 0.0963299 Long DBT CORP US N 2 2044-06-15 Fixed 4.85 N N N N N N JOHNSON CONTROLS INC 3LB2NG8VUULSCV2NO430 478366AW7 55000.000000 PA USD 51105.960000 0.0015606 Long DBT CORP US N 2 2041-03-01 Fixed 5.7 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAU2 4984000.000000 PA USD 4750672.100000 0.145067 Long DBT CORP US N 2 2039-06-15 Fixed 6.75 N N N N N N MARATHON PETROLEUM CORPORATION 3BNYRYQHD39K4LCKQF12 56585AAF9 1800000.000000 PA USD 1959036.520000 0.0598213 Long DBT CORP US N 2 2041-03-01 Fixed 6.5 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAS6 1800000.000000 PA USD 1792759.640000 0.0547438 Long DBT CORP US N 2 2034-02-01 Fixed 5.4 N N N N N N CLECO CORPORATE HOLDINGS LLC 5493002H80P81B3HXL31 18551PAD1 400000.000000 PA USD 334527.840000 0.0102152 Long DBT CORP US N 2 2046-05-01 Variable 4.973 N N N N N N N/A N/A 000000000 -1800000.000000 NC -2704.720000 -0.0000826 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.77000 04/29/24-10Y LCH 2034-04-29 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.770000 EUR 2024-04-25 XXXX 2416.940000 N N N N/A N/A 000000000 1.000000 NC -8317.470000 -0.000254 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 376527.970000 USD 12013313.150000 TRY 2024-04-09 -8317.470000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKB4 800000.000000 PA USD 538870.570000 0.016455 Long DBT CORP US N 2 2052-07-21 Floating 2.972 N N N N N N SOUTHERN COMPANY GAS CAPITAL CORPORATION E8CD46SWUD2TSN8PA636 8426EPAC2 3400000.000000 PA USD 2830388.310000 0.0864289 Long DBT CORP US N 2 2047-05-30 Fixed 4.4 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAF9 1900000.000000 PA USD 1682278.180000 0.0513702 Long DBT CORP IE N 2 2028-06-15 Fixed 2.3 N N N N N N N/A N/A 000000000 -2600000.000000 NC USD -651.300000 -0.0000199 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 96.770000 USD 2024-04-04 XXXX 6458.080000 N N N PPL ELECTRIC UTILITIES CORP (AKA: PP&L INC) 549300GCZLSGYEYPIR35 69351UBB8 3500000.000000 PA USD 3462427.610000 0.105729 Long DBT CORP US N 2 2053-05-15 Fixed 5.25 N N N N N N N/A N/A 000000000 -2800000.000000 NC USD -6283.200000 -0.0001919 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 04/10/24-10Y LCH 2034-04-10 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2024-04-08 XXXX 4216.800000 N N N NORTHERN NATURAL GAS COMPANY 5493007M02M6CT9EXE41 665501AL6 5000000.000000 PA USD 4157139.400000 0.126943 Long DBT CORP US N 2 2049-01-15 Fixed 4.3 N N N N N N CDW LLC / CDW FINANCE CORP N/A 12513GBJ7 1900000.000000 PA USD 1672121.600000 0.05106 Long DBT CORP US N 2 2031-12-01 Fixed 3.569 N N N N N N N/A N/A 000000000 1.000000 NC 30070.750000 0.0009182 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 25080901.190000 USD 34013572.000000 CAD 2024-04-02 30070.750000 N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 682691AE0 2500000.000000 PA USD 2581302.500000 0.0788228 Long DBT CORP US N 2 2030-03-15 Fixed 7.875 N N N N N N VIRGINIA ELECTRIC AND POWER COMPANY CQKUMNNZVDJLRYV2PT43 927804GF5 9900000.000000 PA USD 6416985.470000 0.19595 Long DBT CORP US N 2 2051-11-15 Fixed 2.95 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2M6 5000000.000000 PA USD 3269300.000000 0.0998316 Long DBT CORP SA N 2 2070-11-24 Fixed 3.5 N N N N N N JOHNSON CONTROLS INC 3LB2NG8VUULSCV2NO430 478373AE3 20000.000000 PA USD 18125.050000 0.0005535 Long DBT CORP US N 2 2064-07-02 Fixed 4.95 N N N N N N AMERICAN AIRLINES 2016-2 CLASS AA PASS THROUGH TRUST N/A 023765AA8 1956050.000000 PA USD 1799597.300000 0.0549526 Long DBT CORP US N 2 2029-12-15 Fixed 3.2 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BL4 4100000.000000 PA USD 3907655.350000 0.119325 Long DBT CORP GB N 2 2030-05-08 Floating 4.445 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 H42097ER4 1000000.000000 PA USD 1131037.000000 0.0345374 Long DBT CORP CH N 2 2033-11-13 Floating 9.25 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBZ2 2300000.000000 PA USD 2336962.860000 0.0713617 Long DBT CORP US N 2 2033-03-15 Fixed 5.65 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 1728000.000000 PA USD 1396704.820000 0.0426499 Long DBT CORP US N 2 2035-11-15 Fixed 3.137 N N N N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109BG8 1100000.000000 PA USD 1066657.720000 0.0325715 Long DBT CORP US N 2 2027-08-15 Fixed 3.95 N N N N N N N/A N/A 000000000 -2700000.000000 NC USD -10672.830000 -0.0003259 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2024-04-18 XXXX -1256.580000 N N N PFIZER INVESTMENT ENTERPRISES PTE LTD 5493000FQO8XF9C0RT95 716973AF9 10700000.000000 PA USD 10469455.550000 0.319696 Long DBT CORP SG N 2 2043-05-19 Fixed 5.11 N N N N N N CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 549300S8SEQBOJLKHW63 15189XAW8 2500000.000000 PA USD 1815412.000000 0.0554356 Long DBT CORP US N 2 2051-04-01 Fixed 3.35 N N N N N N UNIVERSITY OF CALIFORNIA N/A 91412GC86 835000.000000 PA USD 764763.470000 0.0233529 Long DBT MUN US N 2 2099-12-31 Fixed 4.767 N N N N N N BOOZ ALLEN HAMILTON INC 549300D7XCH2480XU542 09951LAC7 900000.000000 PA USD 932181.300000 0.0284652 Long DBT CORP US N 2 2033-08-04 Fixed 5.95 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FW8 8500000.000000 PA USD 6863736.060000 0.209592 Long DBT CORP US N 2 2043-03-15 Fixed 3.9 N N N N N N N/A N/A 000000000 -3100000.000000 NC -664.200000 -0.0000203 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.50000 04/10/24-5Y LCH 2029-04-10 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.500000 EUR 2024-04-08 XXXX 5037.000000 N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 1611000.000000 PA USD 1282752.110000 0.0391702 Long DBT CORP US N 2 2036-11-15 Fixed 3.187 N N N N N N AMERICAN INTERNATIONAL GROUP INC ODVCVCQG2BP6VHV36M30 026874DL8 600000.000000 PA USD 554945.050000 0.0169458 Long DBT CORP US N 2 2048-04-01 Fixed 4.75 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3F8 17700000.000000 PA USD 17776034.600000 0.54281 Long DBT CORP US N 2 2034-07-25 Floating 5.557 N N N N N N COLUMBIA PIPELINE GROUP INC 549300SRP1TQM9JJBG80 198280AH2 50000.000000 PA USD 49467.890000 0.0015106 Long DBT CORP US N 2 2045-06-01 Fixed 5.8 N N N N N N NORTHROP GRUMMAN CORPORATION RIMU48P07456QXSO0R61 666807CM2 700000.000000 PA USD 682288.990000 0.0208344 Long DBT CORP US N 2 2054-06-01 Fixed 5.2 N N N N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 14448CBD5 700000.000000 PA USD 771371.830000 0.0235547 Long DBT CORP US N 2 2054-03-15 Fixed 6.2 N N N N N N SOUTHWESTERN ELECTRIC POWER COMPANY R64UBJHEC74EB3HGQ410 845437BL5 8200000.000000 PA USD 8676739.470000 0.264954 Long DBT CORP US N 2 2040-03-15 Fixed 6.2 N N N N N N N/A N/A 000000000 1.000000 NC -237607.300000 -0.0072556 N/A DFE MX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 262745481.790000 MXN 15463348.250000 USD 2024-05-14 -237607.300000 N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06050TJZ6 1200000.000000 PA USD 1274204.350000 0.0389092 Long DBT CORP US N 2 2036-10-15 Fixed 6 N N N N N N CANADIAN PACIFIC RAILWAY COMPANY 54930036474DURYNB481 13648TAG2 4234000.000000 PA USD 3173096.650000 0.0968939 Long DBT CORP CA N 2 2050-05-01 Fixed 3.5 N N N N N N ELECTRICITE DE FRANCE SA (EDF) 549300X3UK4GG3FNMO06 28504KAA5 2000000.000000 PA USD 2208370.000000 0.0674349 Long DBT CORP FR N 2 2033-03-15 Floating 9.125 N N N N N N BLACK HILLS CORPORATION 3MGELCRSTNSAMJ962671 092113AS8 1900000.000000 PA USD 1392694.260000 0.0425274 Long DBT CORP US N 2 2049-10-15 Fixed 3.875 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VFW9 3887000.000000 PA USD 2488519.980000 0.0759896 Long DBT CORP US N 2 2056-10-30 Fixed 2.987 N N N N N N N/A N/A 000000000 -95.000000 NC USD -9566.880000 -0.0002921 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 113.000000 USD 2024-04-26 XXXX 42708.020000 N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334JS1 1000000.000000 PA USD 926282.660000 0.028285 Long DBT CORP US N 2 2040-09-01 Fixed 4.75 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CH1 3600000.000000 PA USD 3049009.960000 0.0931048 Long DBT CORP GB N 2 2033-01-12 Floating 3.603 N N N N N N N/A N/A 000000000 1.000000 NC 25106.910000 0.0007667 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1126000.000000 GBP 1446287.550000 USD 2024-04-02 25106.910000 N N N LAZARD GROUP LLC FI94J2CJ1D7BIGVMS874 52107QAL9 900000.000000 PA USD 909406.850000 0.0277697 Long DBT CORP US N 2 2031-03-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 25284.010000 0.0007721 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 27177000.000000 GBP 34332166.000000 USD 2024-05-02 25284.010000 N N N RAYONIER LP 5493004X96PV3VY6KB95 75508XAA4 1200000.000000 PA USD 991402.900000 0.0302736 Long DBT CORP US N 2 2031-05-17 Fixed 2.75 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABW4 200000.000000 PA USD 180797.420000 0.0055208 Long DBT CORP US N 2 2031-04-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 2190.240000 0.0000669 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 529049.000000 AUD 346945.040000 USD 2024-04-02 2190.240000 N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 59562VBD8 85000.000000 PA USD 83063.120000 0.0025364 Long DBT CORP US N 2 2043-11-15 Fixed 5.15 N N N N N N BAYVIEW FINANCIAL ACQUISITION TR 2007-A N/A 07325VAF1 1143.080000 PA USD 1099.840000 0.0000336 Long ABS-MBS CORP US N 3 2037-05-28 Variable 6.601 N N N N N N PACIFIC LIFECORP VFN8KLUEIK7XMVX1JM30 694476AE2 700000.000000 PA USD 492391.110000 0.0150357 Long DBT CORP US N 2 2050-09-15 Fixed 3.35 N N N N N N MARATHON CLO 14 LTD N/A 56578HAU0 3100000.000000 PA USD 3106133.780000 0.0948491 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 6.69781 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBK4 1100000.000000 PA USD 1166971.730000 0.0356347 Long DBT CORP JP N 2 2033-01-18 Fixed 6.181 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VBF9 830000.000000 PA USD 775419.340000 0.0236783 Long DBT CORP US N 2 2054-10-15 Fixed 4.95 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BU6 7300000.000000 PA USD 5204045.900000 0.158911 Long DBT CORP US N 2 2051-11-01 Fixed 3.477 N N N N N N BROOKFIELD PROPERTY REIT INC / BPR CUMULUS LLC / BPR NIMBUS LLC / GGSI SELLCO LL N/A 11284DAA3 700000.000000 PA USD 687802.640000 0.0210028 Long DBT CORP US N 2 2026-05-15 Fixed 5.75 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-5A N/A 14312JAY8 2491035.710000 PA USD 2495442.630000 0.076201 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 6.65942 N N N N N N KINETIK HOLDINGS LP 549300RD6AJIMYC0HY12 49461MAB6 700000.000000 PA USD 712875.800000 0.0217684 Long DBT CORP US N 2 2028-12-15 Fixed 6.625 N N N N N N ALABAMA POWER COMPANY 0RL818ELFOHP5JHOFU19 010392FT0 2100000.000000 PA USD 1559167.010000 0.0476108 Long DBT CORP US N 2 2049-10-01 Fixed 3.45 N N N N N N WASTE CONNECTIONS INC (AKA:PROGRESSIVE WASTE SOLUTIONS LTD) 549300HDLRTPBQU69P29 94106BAF8 4200000.000000 PA USD 3950796.780000 0.120642 Long DBT CORP CA N 2 2033-01-15 Fixed 4.2 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 5700000.000000 PA USD 5421143.690000 0.16554 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TK4 30000000.000000 PA USD 25922460.900000 0.79157 Long DBT UST US N 2 2042-08-15 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC -1846.180000 -0.0000564 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1303000.000000 GBP 1642734.970000 USD 2024-04-02 -1846.180000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 6398.000000 NS USD 154351.750000 0.0047133 Long EC CORP LU N 3 N N N CF INDUSTRIES INC 5FVKT86LAD2F40NPC183 12527GAE3 2800000.000000 PA USD 2637081.440000 0.0805261 Long DBT CORP US N 2 2044-03-15 Fixed 5.375 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0TJTX9 64933256.000000 PA 3729331.580000 0.113879 Long DBT NUSS MX N 2 2028-11-30 Fixed 4 N N N N N N DOCTORS CO/THE MKYKR1GWDRIJRLI1S211 256141AB8 4600000.000000 PA USD 3616612.780000 0.110437 Long DBT CORP US N 2 2032-01-18 Fixed 4.5 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAY5 1300000.000000 PA USD 1144785.380000 0.0349573 Long DBT CORP JP N 2 2028-07-14 Fixed 2.172 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3VF1 1100000.000000 PA 813839.060000 0.0248514 Long DBT NUSS RO N 2 2042-04-13 Fixed 2.875 N N N N N N N/A N/A 000000000 -1600000.000000 NC USD -82.080000 -0.0000025 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 96.180000 USD 2024-04-04 XXXX 6167.920000 N N N N/A N/A 000000000 1.000000 NC -1363.920000 -0.0000416 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 64140.000000 USD 2029582.020000 TRY 2024-03-29 -1363.920000 N N N SPECTRA ENERGY PARTNERS LP 2HKVXE7U4NF5B6UGSU72 84756NAG4 1675000.000000 PA USD 1422397.820000 0.0434344 Long DBT CORP US N 2 2045-03-15 Fixed 4.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BN3 1525000.000000 PA USD 1285181.640000 0.0392444 Long DBT CORP US N 2 2048-04-01 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 245207.800000 0.0074877 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 FORD MOTOR COMPANY FORD MOTOR COMPANY SR UNSEC Y Single Leg Swap 2024-12-20 722563.770000 USD 0.000000 USD 6800000.000000 USD -477355.970000 N N N UMBS PASS THRU POOLS N/A 01F062648 6800000.000000 PA USD 6948066.120000 0.212167 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 6.5 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BZ1 2600000.000000 PA USD 2374959.390000 0.0725219 Long DBT CORP US N 2 2049-06-15 Fixed 5.25 N N N N N N STIFEL FINANCIAL CORP 549300E5F07FE5GHJX84 860630AG7 1100000.000000 PA USD 1005845.370000 0.0307146 Long DBT CORP US N 2 2030-05-15 Fixed 4 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCP8 800000.000000 PA USD 783615.700000 0.0239285 Long DBT CORP US N 2 2033-02-06 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC USD 15394.130000 0.0004701 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 PT PERTAMINA (PERSERO) PT PERTAMINA (PERSERO) Y Single Leg Swap 2024-12-20 0.000000 USD -27364.560000 USD 2700000.000000 USD 42758.690000 N N N GGAM FINANCE LTD 254900X2QXEN0FVXRF65 36170JAC0 1400000.000000 PA USD 1446403.000000 0.0441675 Long DBT CORP KY N 2 2027-02-15 Fixed 8 N N N N N N TAPESTRY INC (AKA COACH INC) 549300LJNVY5SW3VTN33 876030AF4 1500000.000000 PA USD 1629253.430000 0.049751 Long DBT CORP US N 2 2033-11-27 Fixed 7.85 N N N N N N N/A N/A 000000000 1.000000 NC USD 7792.300000 0.0002379 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2024-12-20 5489.980000 USD 0.000000 USD 1400000.000000 USD 2302.320000 N N N FIBRA UNO (TRUST F/1401) N/A 898324AB4 2300000.000000 PA USD 2023728.370000 0.0617967 Long DBT CORP MX N 2 2044-01-30 Fixed 6.95 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BG6 1600000.000000 PA USD 1412504.210000 0.0431323 Long DBT CORP US N 2 2047-03-15 Fixed 4.8 N N N N N N N/A N/A 000000000 1.000000 NC -8725.970000 -0.0002665 N/A DFE NO N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 277705.000000 USD 2920170.800000 NOK 2024-04-02 -8725.970000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1VZWM8 162333140.000000 PA 8416188.960000 0.256997 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 15520.320000 0.0004739 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2024-12-20 0.000000 USD -21143.950000 USD 2400000.000000 USD 36664.270000 N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587DJ3 5000000.000000 PA USD 4680655.000000 0.142929 Long DBT CORP US N 2 2051-09-15 Floating 3.75 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 U6S771NR6 11300000.000000 PA USD 7097454.400000 0.216728 Long DBT CORP US Y 2 2032-04-02 Variable 0 N N N N N N N/A N/A 000000000 1.000000 NC 4583.120000 0.00014 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 668424052.000000 JPY 4420794.000000 USD 2024-04-02 4583.120000 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBL5 4600000.000000 PA USD 4613728.790000 0.140885 Long DBT CORP FR N 2 2033-06-15 Floating 6.221 N N N N N N OI SA (AKA: BRASIL TELECOM S/A) 254900YEMWCRRAGD4978 P7354PAA2 1400000.000000 PA USD 24500.000000 0.0007481 Long DBT CORP BR N 2 2025-07-27 Fixed 10 Y Y Y N N N N/A N/A 000000000 1.000000 NC -3990.820000 -0.0001219 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 192756.000000 USD 6204815.640000 TRY 2024-04-15 -3990.820000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MK4 4800000.000000 NS USD 4701696.000000 0.143571 Long EP CORP US N 2 N N N ULTIMATE KRONOS GROUP INC 529900FKHWSTQ1GXK240 90279XAA0 1000000.000000 PA USD 1019457.000000 0.0311302 Long DBT CORP US N 2 2031-02-01 Fixed 6.875 N N N N N N BOARD OF REGENTS OF THE UNIVERSITY OF TEXAS SYSTEM TEHUYFNKZR6XVWLGEU86 91514AGU3 45000.000000 PA USD 34597.730000 0.0010565 Long DBT MUN US N 2 2047-08-15 Fixed 3.354 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 92976GAJ0 3700000.000000 PA USD 4045099.590000 0.123522 Long DBT CORP US N 2 2038-01-15 Fixed 6.6 N N N N N N N/A N/A 000000000 1.000000 NC 151725.640000 0.0046331 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 14544216.000000 EUR 15854635.320000 USD 2024-04-22 151725.640000 N N N N/A N/A 000000000 1.000000 NC -3881.590000 -0.0001185 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 174387.000000 USD 5562945.300000 TRY 2024-04-09 -3881.590000 N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAM5 4300000.000000 PA USD 2964979.430000 0.0905388 Long DBT CORP GB N 2 2050-09-02 Fixed 3.55 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FV0 2000000.000000 PA USD 1658426.520000 0.0506418 Long DBT CORP US N 2 2042-03-15 Fixed 4.05 N N N N N N NEWMONT CORP / NEWCREST FINANCE PTY LTD N/A 65163LAC3 3225000.000000 PA USD 3317965.080000 0.101318 Long DBT CORP US N 2 2041-11-15 Fixed 5.75 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBJ4 3200000.000000 PA USD 2097369.020000 0.0640454 Long DBT CORP US N 2 2050-07-15 Fixed 3 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7QQ7 213715.000000 PA USD 14816.860000 0.0004524 Long DBT CORP KY N 2 2030-09-30 Fixed 7.25 N N Y N N N N/A N/A 000000000 1.000000 NC 1696.730000 0.0000518 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-03-20 0.000000 JPY -307.470000 JPY 33400000.000000 JPY 2004.200000 N N N NIAGARA MOHAWK POWER CORPORATION 3T97Y9RR5EN5Y18QHB56 65364UAQ9 2500000.000000 PA USD 2073077.880000 0.0633037 Long DBT CORP US N 2 2032-01-10 Fixed 2.759 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAS0 3500000.000000 PA USD 3289897.000000 0.10046 Long DBT CORP US N 2 2032-11-15 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC -6237.870000 -0.0001905 N/A DFE N/A N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2359209.510000 USD 2181000.000000 EUR 2024-04-02 -6237.870000 N N N DIRECTV FINANCING LLC N/A 25461LAB8 1500000.000000 PA USD 1497839.850000 0.0457381 Long DBT CORP US N 2 2030-02-01 Fixed 8.875 N N N N N N N/A N/A 000000000 -21.000000 NC -34747.360000 -0.001061 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2024-06-13 -20237019.420000 JPY -34747.360000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 8143616.250000 PA USD 6287366.960000 0.191992 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N ROGERS COMMUNICATIONS INC 5493000M6Z4XFIP6PF03 775109CH2 5400000.000000 PA USD 4855860.900000 0.148279 Long DBT CORP CA N 2 2032-03-15 Fixed 3.8 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 5300000.000000 PA USD 4543479.750000 0.13874 Long DBT CORP US N 2 2034-04-15 Fixed 3.469 N N N N N N ESSEX PORTFOLIO LP 5493003GN3O58H286O74 29717PBA4 1200000.000000 PA USD 1201882.520000 0.0367008 Long DBT CORP US N 2 2034-04-01 Fixed 5.5 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AG5 3000000.000000 PA USD 1864834.050000 0.0569447 Long DBT CORP US N 2 2051-02-10 Fixed 2.8 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FH1 1500000.000000 PA USD 1553920.130000 0.0474506 Long DBT CORP US N 2 2038-02-01 Fixed 5.95 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CY4 705000.000000 PA USD 651374.530000 0.0198904 Long DBT CORP US N 2 2038-03-25 Fixed 4.78 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAF8 2650000.000000 PA USD 2283867.940000 0.0697404 Long DBT CORP US N 2 2047-05-15 Fixed 4.75 N N N N N N ARES FINANCE CO II LLC 54930012GWL4VKKENG46 04015KAB6 1100000.000000 PA USD 971561.870000 0.0296677 Long DBT CORP US N 2 2030-06-15 Fixed 3.25 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CK8 1800000.000000 PA USD 1427115.710000 0.0435785 Long DBT CORP US N 2 2053-04-01 Fixed 5.25 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PEX6 8800000.000000 PA USD 8567018.420000 0.261603 Long DBT CORP US N 2 2063-04-15 Fixed 5.2 N N N N N N HIGH STREET FUNDING TRUST II N/A 42981DAA4 1500000.000000 PA USD 1249701.980000 0.038161 Long DBT CORP US N 2 2048-02-15 Fixed 4.682 N N N N N N NEWFOLD DIGITAL HOLDINGS GROUP INC 549300UTQC2651SB0W88 650929AA0 800000.000000 PA USD 866832.000000 0.0264696 Long DBT CORP US N 2 2028-10-15 Fixed 11.75 N N N N N N N/A N/A 000000000 1.000000 NC -50781.600000 -0.0015507 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2054-09-18 0.000000 GBP -39161.830000 GBP 1900000.000000 GBP -11619.770000 N N N N/A N/A 000000000 -1450046.210000 PA USD -1450053.290000 -0.0442789 Short RA US N 2 Reverse repurchase N 4.750000 2026-03-05 1530000.000000 USD 1523684.140000 USD CDS N N N N/A N/A 000000000 1.000000 NC -65722.640000 -0.0020069 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3394699.400000 USD 16696150.060000 BRL 2024-04-02 -65722.640000 N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBX7 3900000.000000 PA USD 2950255.230000 0.0900892 Long DBT CORP GB N 2 2081-06-04 Floating 5.125 N N N N N N ERSTE GROUP BANK AG PQOH26KWDF7CG10L6792 BN13P8II9 1200000.000000 PA 1168412.570000 0.0356787 Long DBT CORP AT N 2 2027-10-15 Floating 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -4519.710000 -0.000138 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1330544.000000 USD 21093114032.000000 IDR 2024-06-20 -4519.710000 N N N DUKE ENERGY FLORIDA LLC (AKA: PROGRESS ENERGY FLORIDA INC; FLORIDA POWER CORP) 7MOHLM3DKE63RX2ZCN83 26444HAA9 55000.000000 PA USD 40516.430000 0.0012372 Long DBT CORP US N 2 2046-10-01 Fixed 3.4 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AS8 1294000.000000 PA USD 1216364.760000 0.037143 Long DBT CORP IT N 2 2035-06-30 Floating 5.459 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 52532XAF2 250000.000000 PA USD 237054.250000 0.0072387 Long DBT CORP US N 2 2030-05-15 Fixed 4.375 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAQ2 2465000.000000 PA USD 2278673.900000 0.0695818 Long DBT CORP US N 2 2045-05-15 Fixed 5.35 N N N N N N N/A N/A 000000000 -2700000.000000 NC USD -6580.440000 -0.0002009 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68500 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-18 XXXX 4084.560000 N N N N/A N/A 000000000 -2600000.000000 NC USD -11109.020000 -0.0003392 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 96.200000 USD 2024-06-06 XXXX 1484.730000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GAW2 90000.000000 PA USD 77677.800000 0.002372 Long DBT CORP US N 2 2046-03-01 Fixed 4.114 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAH6 4500000.000000 PA USD 4419118.530000 0.134942 Long DBT CORP US N 2 2025-10-01 Fixed 4.875 N N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 5766.220000 PA USD 5235.310000 0.0001599 Long ABS-MBS CORP US N 3 2033-11-25 Floating 4.8716 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACQ6 1100000.000000 PA USD 925612.840000 0.0282646 Long DBT CORP US N 2 2032-03-15 Fixed 2.7 N N N N N N DAIMLER TRUCK FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853AH3 1200000.000000 PA USD 996289.150000 0.0304228 Long DBT CORP US N 2 2031-12-14 Fixed 2.5 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112CD3 1000000.000000 PA USD 1006150.650000 0.0307239 Long DBT CORP US N 2 2031-01-15 Fixed 5.3 N N N N N N TD SYNNEX CORPORATION 5493004HI6PFLF46NS53 87162WAK6 1500000.000000 PA USD 1211858.580000 0.0370054 Long DBT CORP US N 2 2031-08-09 Fixed 2.65 N N N N N N N/A N/A 000000000 1.000000 NC -24998.120000 -0.0007633 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1049102.380000 USD 16290461757.000000 IDR 2024-06-20 -24998.120000 N N N APPALACHIAN POWER COMPANY 3SCHO1ABYYIG382BEI70 037735DA2 3100000.000000 PA USD 2910240.350000 0.0888673 Long DBT CORP US N 2 2032-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 265.300000 0.0000081 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16682511.340000 BRL 3326522.700000 USD 2024-04-02 265.300000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBK5 8300000.000000 PA USD 5359480.320000 0.163658 Long DBT CORP US N 2 2051-01-15 Fixed 2.95 N N N N N N PIEDMONT NATURAL GAS COMPANY INC VXB4M3BDPKF3I2AZ3G89 720186AK1 1000000.000000 PA USD 725400.020000 0.0221509 Long DBT CORP US N 2 2046-11-01 Fixed 3.64 N N N N N N N/A N/A 000000000 1.000000 NC -7369.100000 -0.000225 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1656009.000000 USD 56266217.790000 TRY 2024-05-17 -7369.100000 N N N N/A N/A 000000000 -1600000.000000 NC USD -3.680000 -0.0000001 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 95.080000 USD 2024-04-04 XXXX 5996.320000 N N N READY CAPITAL MORTGAGE FINANCING 2023-FL11 LLC N/A 75575RAA5 4581517.760000 PA USD 4603590.830000 0.140576 Long ABS-MBS CORP US N 2 2039-10-25 Floating 7.70341 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AX6 500000.000000 PA USD 490721.680000 0.0149847 Long DBT CORP CH N 2 2025-03-26 Fixed 3.75 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 000000000 277000.000000 NS USD 276606.660000 0.0084465 Long EP CORP US N 2 N N N CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC) 549300CTE3HOMEUMM603 12505BAG5 3100000.000000 PA USD 3183046.610000 0.0971977 Long DBT CORP US N 2 2034-08-15 Fixed 5.95 N N N N N N TOPBUILD CORP 5493007YSKHOL4RWII46 89055FAC7 1600000.000000 PA USD 1417571.520000 0.0432871 Long DBT CORP US N 2 2032-02-15 Fixed 4.125 N N N N N N RAAC SERIES 2007-RP3 N/A 74978BAA6 61479.010000 PA USD 59038.090000 0.0018028 Long ABS-MBS CORP US N 2 2046-10-25 Floating 6.20389 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473QAZ6 300000.000000 PA USD 293884.690000 0.0089741 Long DBT CORP US N 2 2042-02-01 Fixed 5.8 N N N N N N SOUTHERN CALIFORNIA GAS COMPANY XY0N0J73VHV5F4CUJV89 842434CK6 1600000.000000 PA USD 1283843.420000 0.0392035 Long DBT CORP US N 2 2042-09-15 Fixed 3.75 N N N N N N GOODMAN US FINANCE THREE LLC N/A 38239JAA9 3700000.000000 PA USD 3436566.180000 0.104939 Long DBT CORP US N 2 2028-03-15 Fixed 3.7 N N N N N N N/A N/A 000000000 1.000000 NC -499.790000 -0.0000153 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2356204.990000 USD 2181000.000000 EUR 2024-05-02 -499.790000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KK2 5300000.000000 PA USD 5743441.200000 0.175382 Long DBT CORP US N 2 2053-04-01 Fixed 6.7 N N N N N N ANTARES HOLDINGS LP 5493008EAIGV4283RM42 03666HAF8 1600000.000000 PA USD 1664108.130000 0.0508153 Long DBT CORP US N 2 2028-08-11 Fixed 7.95 N N N N N N N/A N/A 000000000 1.000000 NC -30222.240000 -0.0009229 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 33998899.670000 CAD 25080901.190000 USD 2024-05-02 -30222.240000 N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CR0 85000.000000 PA USD 67514.600000 0.0020616 Long DBT CORP US N 2 2049-06-01 Fixed 4 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAM1 2970000.000000 PA USD 2697935.440000 0.0823844 Long DBT CORP US N 2 2042-11-06 Fixed 4.4 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMN9 30117000.000000 PA USD 21823083.590000 0.666391 Long DBT CORP US N 2 2057-12-01 Fixed 3.8 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBN5 6300000.000000 PA USD 4381420.550000 0.133791 Long DBT CORP US N 2 2051-04-22 Floating 3.109 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TP3 19813767.000000 PA USD 17317326.080000 0.528803 Long DBT UST US N 2 2053-02-15 Fixed 1.5 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAH9 3850000.000000 PA USD 3657580.080000 0.111688 Long DBT CORP KY N 2 2028-08-26 Fixed 5.625 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CA0 3400000.000000 PA USD 2164623.400000 0.0660991 Long DBT CORP US N 2 2052-06-01 Fixed 3.9 N N N N N N UNION PACIFIC CORPORATION 549300LMMRSZZCZ8CL11 907818EC8 35000.000000 PA USD 27645.810000 0.0008442 Long DBT CORP US N 2 2055-02-01 Fixed 3.875 N N N N N N KAISER FOUNDATION HOSPITALS DW4Z57L3G4IRMHYZYK62 48305QAD5 520000.000000 PA USD 447888.780000 0.0136768 Long DBT CORP US N 2 2047-05-01 Fixed 4.15 N N N N N N ALLSTATE CORP OBT0W1ED8G0NWVOLOJ77 020002AU5 1400000.000000 PA USD 1425929.400000 0.0435423 Long DBT CORP US N 2 2067-05-15 Floating 6.5 N N N N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMGX73II0 7750000.000000 PA 4104078.780000 0.125323 Long DBT NUSS AU N 2 2031-11-21 Fixed 1 N N N N N N ROGERS COMMUNICATIONS INC 5493000M6Z4XFIP6PF03 775109CK5 1800000.000000 PA USD 1515809.750000 0.0462869 Long DBT CORP CA N 2 2052-03-15 Fixed 4.55 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 462613AP5 1600000.000000 PA USD 1490799.150000 0.0455232 Long DBT CORP US N 2 2030-05-01 Fixed 4.25 N N N N N N CEDAR FUNDING XI CLO LTD 2019-11A N/A 15033LAQ5 3100000.000000 PA USD 3107714.780000 0.0948974 Long ABS-CBDO CORP KY N 2 2032-05-29 Floating 6.65477 N N N N N N VOYA FINANCIAL INC 549300T065Z4KJ686G75 929089AF7 500000.000000 PA USD 425995.250000 0.0130082 Long DBT CORP US N 2 2048-01-23 Floating 4.7 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AM3 1500000.000000 PA USD 1493540.810000 0.0456069 Long DBT CORP US N 2 2033-05-15 Fixed 5.35 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CPD2 1000000.000000 PA USD 939208.000000 0.0286797 Long DBT NUSS QA N 2 2049-03-14 Fixed 4.817 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CB3 4900000.000000 PA USD 3387451.490000 0.10344 Long DBT CORP US N 2 2051-07-15 Fixed 3.5 N N N N N N LABORATORY CORPORATION OF AMERICA HOLDINGS OZ7UA8IXAIFILY2VZH07 50540RAS1 1900000.000000 PA USD 1717904.360000 0.0524581 Long DBT CORP US N 2 2045-02-01 Fixed 4.7 N N N N N N SOUTHERN CALIFORNIA GAS COMPANY XY0N0J73VHV5F4CUJV89 842434CJ9 300000.000000 PA USD 290187.640000 0.0088612 Long DBT CORP US N 2 2040-11-15 Fixed 5.125 N N N N N N ARIZONA PUBLIC SERVICE COMPANY YG6VT0TPHRH4TFVAQV64 040555CN2 700000.000000 PA USD 602780.880000 0.0184066 Long DBT CORP US N 2 2042-04-01 Fixed 4.5 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAC6 1700000.000000 PA USD 1321359.340000 0.0403491 Long DBT CORP US N 2 2049-08-15 Fixed 4.15 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DT4 6000000.000000 PA USD 6118073.460000 0.186822 Long DBT CORP US N 2 2053-03-02 Fixed 5.65 N N N N N N N/A N/A 000000000 1.000000 NC -101547.700000 -0.0031009 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 67700000.000000 BRL -101547.700000 N N N N/A N/A 000000000 1.000000 NC 232.320000 0.0000071 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 117268.650000 CNY 16387.000000 USD 2024-04-19 232.320000 N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523CW8 1500000.000000 PA USD 1506672.470000 0.0460079 Long DBT CORP US N 2 2054-02-15 Fixed 5.6 N N N N N N ARIZONA PUBLIC SERVICE COMPANY YG6VT0TPHRH4TFVAQV64 040555DB7 1500000.000000 PA USD 1031893.350000 0.03151 Long DBT CORP US N 2 2050-05-15 Fixed 3.35 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAN0 2000000.000000 PA USD 2184074.000000 0.066693 Long DBT CORP US N 2 2029-11-30 Fixed 9.375 N N N N N N CANADIAN PACIFIC RAILWAY COMPANY 54930036474DURYNB481 13645RBH6 1500000.000000 PA USD 1036244.390000 0.0316428 Long DBT CORP CA N 2 2051-12-02 Fixed 3.1 N N N N N N N/A N/A 000000000 1.000000 NC -518.450000 -0.0000158 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 426201.000000 AUD 277215.450000 USD 2024-04-02 -518.450000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BFM4XMII1 5178000.000000 PA 6290248.620000 0.192079 Long DBT CORP GB N 2 2026-09-28 Floating 5.875 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N VMWARE LLC 549300BUDHS3LRWBE814 928563AL9 5900000.000000 PA USD 4803757.460000 0.146688 Long DBT CORP US N 2 2031-08-15 Fixed 2.2 N N N N N N STARBUCKS CORPORATION OQSJ1DU9TAOC51A47K68 855244AS8 40000.000000 PA USD 35095.980000 0.0010717 Long DBT CORP US N 2 2048-11-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -680.570000 -0.0000208 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 27248.530000 USD 288435.070000 NOK 2024-04-02 -680.570000 N N N SANTOS FINANCE LTD 213800BKUBSWG53XNS94 803014AB5 2500000.000000 PA USD 2645567.500000 0.0807852 Long DBT CORP AU N 2 2033-09-19 Fixed 6.875 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDR4 5700000.000000 PA USD 5724044.200000 0.17479 Long DBT CORP US N 2 2034-06-01 Floating 5.35 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 202712BS3 1800000.000000 PA USD 1592878.820000 0.0486403 Long DBT CORP AU N 2 2032-03-14 Fixed 3.784 N N N N N N MELCO RESORTS FINANCE LIMITED 5493000FQDBWKDBZEF60 58547DAB5 800000.000000 PA USD 773024.000000 0.0236051 Long DBT CORP KY N 2 2026-04-26 Fixed 5.25 N N N N N N LIBERTY UTILITIES CO 549300UN1FEYPC5BKW09 531542AB4 2000000.000000 PA USD 2021785.200000 0.0617374 Long DBT CORP US N 2 2034-01-31 Fixed 5.869 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863EA2 33261.000000 PA USD 32033.430000 0.0009782 Long DBT NUSS CL N 2 2054-01-05 Fixed 5.33 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGF0 1000000.000000 PA USD 963413.130000 0.0294189 Long DBT CORP US N 2 2028-01-20 Floating 3.824 N N N N N N N/A N/A 000000000 -1400000.000000 NC USD -593.320000 -0.0000181 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 98.160000 USD 2024-04-04 XXXX 3016.060000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CJ7 2500000.000000 PA USD 2521375.130000 0.0769929 Long DBT NUSS BR N 2 2054-05-13 Fixed 7.125 N N N N N N NSTAR ELECTRIC COMPANY 54930080R72Y2Z31UR68 67021CAT4 1300000.000000 PA USD 1219202.340000 0.0372297 Long DBT CORP US N 2 2052-09-15 Fixed 4.95 N N N N N N CARLYLE HOLDINGS II FINANCE LLC N/A 14310FAA0 1100000.000000 PA USD 1073421.040000 0.0327781 Long DBT CORP US N 2 2043-03-30 Fixed 5.625 N N N N N N MARSH & MCLENNAN COMPANIES INC 549300XMP3KDCKJXIU47 571748BQ4 1300000.000000 PA USD 837753.160000 0.0255817 Long DBT CORP US N 2 2051-12-15 Fixed 2.9 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBJ9 5300000.000000 PA USD 4116107.730000 0.12569 Long DBT CORP US N 2 2041-02-15 Fixed 3.5 N N N N N N RIO OIL FINANCE TRUST SERIES 2018-1 N/A 76716XAC6 1443800.000000 PA USD 1475152.120000 0.0450454 Long DBT CORP US N 2 2028-04-06 Fixed 8.2 N N N N N N MASCO CORPORATION 5GCSNMQXHEYA1JO8QN11 574599BM7 2200000.000000 PA USD 1883111.230000 0.0575028 Long DBT CORP US N 2 2047-05-15 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TG3 9200000.000000 PA USD 6963968.700000 0.212652 Long DBT UST US N 2 2052-05-15 Fixed 2.875 N N N N N N COMMONWEALTH EDISON COMPANY D8YOXB8L2ZDC8P7Q0771 202795JM3 700000.000000 PA USD 568606.970000 0.017363 Long DBT CORP US N 2 2048-03-01 Fixed 4 N N N N N N NASDAQ INC (AKA: NASDAQ OMX GROUP INC) 549300L8X1Q78ERXFD06 63111XAE1 2000000.000000 PA USD 1358536.880000 0.0414844 Long DBT CORP US N 2 2040-12-21 Fixed 2.5 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BK5 4100000.000000 PA USD 3961351.450000 0.120964 Long DBT CORP US N 2 2028-01-15 Fixed 4.75 N N N N N N SOUTHERN COMPANY GAS CAPITAL CORPORATION E8CD46SWUD2TSN8PA636 8426EPAB4 50000.000000 PA USD 38804.940000 0.001185 Long DBT CORP US N 2 2046-10-01 Fixed 3.95 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEB8 7300000.000000 PA USD 7273109.790000 0.222092 Long DBT CORP US N 2 2030-01-23 Floating 5.012 N N N N N N VIRGIN AUSTRALIA HOLDINGS PTY LIMITED 254900SNPW6V9967CJ18 92765YAH0 746099.170000 PA USD 2145.040000 0.0000655 Long DBT CORP AU N 2 2024-11-15 Fixed 8.125 Y Y N N N N FIDELITY NATIONAL FINANCIAL INC 549300CAZYIH39SYQ287 31620RAL9 8100000.000000 PA USD 5174551.030000 0.158011 Long DBT CORP US N 2 2051-09-17 Fixed 3.2 N N N N N N N/A N/A 000000000 1.000000 NC USD 39675.480000 0.0012115 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2028-12-20 0.000000 USD -56985.900000 USD 5400000.000000 USD 96661.380000 N N N AT&T INC 549300Z40J86GGSTL398 00206RLV2 34318000.000000 PA USD 23912464.270000 0.730193 Long DBT CORP US N 2 2059-09-15 Fixed 3.65 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 200000.000000 PA USD 186890.590000 0.0057069 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N NEUBERGER BERMAN GROUP LLC / NEUBERGER BERMAN FINANCE CORP N/A 64128XAG5 400000.000000 PA USD 388179.890000 0.0118535 Long DBT CORP US N 2 2027-03-15 Fixed 4.5 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JBB3 6225000.000000 PA USD 5187192.960000 0.158397 Long DBT CORP US N 2 2041-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 224.440000 0.0000069 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 164444.780000 CNY 22878.000000 USD 2024-04-19 224.440000 N N N JEFFERIES FINANCIAL GROUP INC 549300HOF34RGOJ5YL07 472319AM4 2100000.000000 PA USD 2204697.390000 0.0673228 Long DBT CORP US N 2 2043-01-20 Fixed 6.5 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDL0 2700000.000000 PA USD 2211225.480000 0.0675221 Long DBT CORP US N 2 2031-08-15 Fixed 2.25 N N N N N N WESTMET GROUP HOLDINGS LLC N/A 952XGJII0 32413.630000 NS USD 85085.780000 0.0025982 Long EC CORP US Y 3 N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 303901BP6 1000000.000000 PA USD 1021115.500000 0.0311809 Long DBT CORP CA N 2 2054-03-22 Fixed 6.35 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523BK5 115000.000000 PA USD 90105.110000 0.0027515 Long DBT CORP US N 2 2047-10-15 Fixed 3.875 N N N N N N N/A N/A 000000000 -240528750.000000 PA USD -240674670.790000 -7.34926 Short RA US N 2 Reverse repurchase N 5.460000 2024-04-01 300000000.000000 USD 244255859.500000 USD UST N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TU2 72000000.000000 PA USD 71167500.000000 2.17318 Long DBT UST US N 2 2043-08-15 Fixed 4.375 N N N N N N OGLETHORPE POWER CORPORATION (AN ELECTRIC MEMBERSHIP CORPORATION) 3EERXCUSWMS9GV5D9M98 677050AT3 2700000.000000 PA USD 2840814.690000 0.0867473 Long DBT CORP US N 2 2053-12-01 Fixed 6.2 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JBC1 800000.000000 PA 858201.260000 0.0262061 Long DBT CORP US N 2 2042-07-15 Fixed 5.25 N N N N N N UNITED AIRLINES 2019-1 CLASS A PASS THROUGH TRUST N/A 90931EAA2 3104379.550000 PA USD 2858699.570000 0.0872935 Long DBT CORP US N 2 2031-08-25 Fixed 4.55 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440BW3 2795000.000000 PA USD 2339602.630000 0.0714423 Long DBT CORP US N 2 2048-05-15 Fixed 4.15 N N N N N N N/A N/A 000000000 1.000000 NC -4713.350000 -0.0001439 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 192784.000000 USD 6235598.480000 TRY 2024-04-22 -4713.350000 N N N MDC HOLDINGS INC 5299005FV4VNV75R8R35 552676AV0 500000.000000 PA USD 399393.620000 0.0121959 Long DBT CORP US N 2 2061-08-06 Fixed 3.966 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GMA4 6800000.000000 PA USD 6846900.280000 0.209078 Long DBT CORP US N 2 2035-01-23 Floating 5.468 N N N N N N ILLINOIS MUNICIPAL ELECTRIC AGENCY N/A 452024GT3 1870000.000000 PA USD 2011730.480000 0.0614304 Long DBT MUN US N 2 2035-02-01 Fixed 6.832 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAY4 3300000.000000 PA USD 3090634.470000 0.0943758 Long DBT CORP NL N 2 2052-06-15 Fixed 5.5 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HH3 1200000.000000 PA USD 1013780.260000 0.0309569 Long DBT CORP US N 2 2044-02-15 Fixed 4.75 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CD0 6700000.000000 PA USD 6366637.350000 0.194412 Long DBT CORP US N 2 2043-12-05 Fixed 5.3 N N N N N N MIDAMERICAN ENERGY COMPANY NINLOILYRTLIMK26MZ18 595620AY1 2100000.000000 PA USD 2242535.250000 0.0684782 Long DBT CORP US N 2 2054-09-15 Fixed 5.85 N N N N N N N/A N/A 000000000 1.000000 NC 117184.050000 0.0035783 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 34357317.000000 EUR 37226633.970000 USD 2024-05-02 117184.050000 N N N TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP N/A 87470LAL5 900000.000000 PA USD 906005.120000 0.0276658 Long DBT CORP US N 2 2029-02-15 Fixed 7.375 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7WC1 303304.000000 PA USD 27297.360000 0.0008336 Long DBT CORP KY N 2 2027-09-30 Fixed 6.5 N N Y N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903BF9 200000.000000 PA USD 175419.150000 0.0053566 Long DBT CORP US N 2 2032-10-15 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RK6 38400000.000000 PA USD 28092749.950000 0.857842 Long DBT UST US N 2 2045-02-15 Fixed 2.5 N N N N N N MELCO RESORTS FINANCE LIMITED 5493000FQDBWKDBZEF60 58547DAE9 1200000.000000 PA USD 1139265.960000 0.0347887 Long DBT CORP KY N 2 2028-07-21 Fixed 5.75 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BX1 6900000.000000 PA USD 6513903.950000 0.198909 Long DBT CORP US N 2 2029-11-15 Fixed 4 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 5200000.000000 PA USD 4488185.210000 0.137052 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N SEMPRA PBBKGKLRK5S5C0Y4T545 816851BJ7 925000.000000 PA USD 722270.540000 0.0220553 Long DBT CORP US N 2 2048-02-01 Fixed 4 N N N N N N ITC HOLDINGS CORP 549300HTO5U9D3SLE207 465685AS4 2300000.000000 PA USD 2302321.850000 0.0703039 Long DBT CORP US N 2 2033-06-01 Fixed 5.4 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AE3 2000000.000000 PA USD 1855647.000000 0.0566642 Long DBT CORP US N 2 2052-05-15 Fixed 5.625 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565A5R0 4200000.000000 PA USD 4400558.400000 0.134376 Long DBT CORP FR N 2 2028-08-14 Floating 8.5 N N N N Y BNP PARIBAS EUR XXXX N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FZ1 2300000.000000 PA USD 2038636.190000 0.0622519 Long DBT CORP US N 2 2043-10-01 Fixed 4.65 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AM9 4400000.000000 PA USD 4554781.660000 0.139085 Long DBT CORP US N 2 2028-12-12 Fixed 7.2 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAY7 1400000.000000 PA USD 1401541.970000 0.0427976 Long DBT CORP BM N 2 2029-02-15 Fixed 5.95 N N N N N N NASDAQ INC (AKA: NASDAQ OMX GROUP INC) 549300L8X1Q78ERXFD06 63111XAL5 800000.000000 PA USD 853823.990000 0.0260724 Long DBT CORP US N 2 2063-06-28 Fixed 6.1 N N N N N N ROCKIES EXPRESS PIPELINE LLC W2ZGZGZKY5GGNY6F3V51 77340RAT4 2200000.000000 PA USD 2035271.920000 0.0621492 Long DBT CORP US N 2 2030-05-15 Fixed 4.8 N N N N N N RTX CORPORATION I07WOS4YJ0N7YRFE7309 75513ECW9 5000000.000000 PA USD 5346911.950000 0.163274 Long DBT CORP US N 2 2034-03-15 Fixed 6.1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TF5 37400000.000000 PA USD 27829398.340000 0.849801 Long DBT UST US N 2 2042-02-15 Fixed 2.375 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CF4 2900000.000000 PA USD 2444533.630000 0.0746465 Long DBT CORP DE Y 2 2032-01-14 Floating 3.729 N N N N N N BURLINGTON NORTHERN SANTA FE LLC N/A 12189LBK6 12798000.000000 PA USD 12695988.170000 0.387686 Long DBT CORP US N 2 2054-04-15 Fixed 5.2 N N N N N N N/A N/A 000000000 1.000000 NC 353337.760000 0.0107895 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2043-09-20 171990.080000 JPY 0.000000 JPY 1180000000.000000 JPY 181347.680000 N N N N/A N/A 000000000 -3357266.320000 PA USD -3362208.960000 -0.102669 Short RA US N 2 Reverse repurchase N 5.300000 2024-05-03 3500000.000000 USD 3563615.880000 USD CDS N N N CVS PASS-THROUGH TRUST SERIES 2009 N/A 126659AA9 214027.990000 PA USD 230453.110000 0.0070371 Long DBT CORP US N 2 2031-07-10 Fixed 8.353 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CBN4 11400000.000000 PA USD 8014868.840000 0.244743 Long DBT CORP US N 2 2051-06-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -86244.230000 -0.0026336 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3459946.000000 USD 122926691.460000 THB 2024-04-19 -86244.230000 N N N N/A N/A 000000000 -1500000.000000 NC USD -337.650000 -0.0000103 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 04/15/24-10Y LCH 2034-04-15 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-04-11 XXXX 5324.850000 N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAB3 300000.000000 PA USD 294545.630000 0.0089943 Long DBT CORP US N 2 2029-02-15 Fixed 4.9 N N N N N N NEWMARK GROUP INC N/A 65158NAC6 3000000.000000 PA USD 3087996.000000 0.0942953 Long DBT CORP US N 2 2029-01-12 Fixed 7.5 N N N N N N MERX AVIATION FINANCE LLC 2018-1A N/A 56564RAA8 326454.290000 PA USD 301447.110000 0.009205 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.212 N N N N N N BURLINGTON NORTHERN SANTA FE LLC N/A 12189LBJ9 1002000.000000 PA USD 889363.180000 0.0271577 Long DBT CORP US N 2 2053-01-15 Fixed 4.45 N N N N N N N/A N/A 000000000 1.000000 NC 201.060000 0.0000061 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 54949.000000 AUD 36038.410000 USD 2024-05-02 201.060000 N N N UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST N/A 90932JAA0 5667599.350000 PA USD 4862605.840000 0.148485 Long DBT CORP US N 2 2033-11-01 Fixed 2.7 N N N N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AX3 4000000.000000 PA USD 2608990.160000 0.0796683 Long DBT CORP US N 2 2061-11-29 Fixed 3.1 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VFU3 3000000.000000 PA USD 1961109.900000 0.0598846 Long DBT CORP US N 2 2050-11-20 Fixed 2.875 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440CC6 2200000.000000 PA USD 1670495.730000 0.0510104 Long DBT CORP US N 2 2052-03-15 Fixed 3.7 N N N N N N HOWARD MIDSTREAM ENERGY PARTNERS LLC N/A 442722AB0 1600000.000000 PA USD 1689555.200000 0.0515924 Long DBT CORP US N 2 2028-07-15 Fixed 8.875 N N N N N N CLEVELAND CLINIC FOUNDATION 5493005LGDPOFHUC6Z36 18600TAA0 45000.000000 PA USD 41330.930000 0.0012621 Long DBT CORP US N 2 2114-01-01 Fixed 4.858 N N N N N N WIND RIVER CLO LTD 2014-1A N/A 88432CBB1 806394.070000 PA USD 806157.600000 0.0246169 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 6.60952 N N N N N N SAXON ASSET SECURITIES TRUST 2004-1 N/A 805564PN5 104036.630000 PA USD 93137.250000 0.002844 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.23889 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AH6 1400000.000000 PA USD 1231987.220000 0.0376201 Long DBT CORP US N 2 2048-03-01 Fixed 4.55 N N N N N N ARCH CAPITAL FINANCE LLC 549300XG4URFY0200M65 03939CAB9 500000.000000 PA USD 459974.380000 0.0140458 Long DBT CORP US N 2 2046-12-15 Fixed 5.031 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDY9 2200000.000000 PA USD 2351466.280000 0.0718045 Long DBT CORP US N 2 2034-10-23 Floating 6.254 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 262051AA3 658817.000000 PA USD 619797.380000 0.0189262 Long DBT CORP LU N 2 2030-06-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC -69.490000 -0.0000021 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 96748.820000 USD 687448.740000 CNY 2024-04-11 -69.490000 N N N N/A N/A 000000000 21100000.000000 NC USD 141253.950000 0.0043133 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Purchased Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.60000 12/17/24-10Y LCH 2034-12-17 0.000000 USD 0.000000 USD N/A USD N/A 4.600000 USD 2024-12-13 XXXX -98231.050000 N N N UNIVERSITY OF PITTSBURGH MEDICAL CENTER (UPMC) 5493001YCBUGKVU74S74 90320WAG8 1100000.000000 PA USD 1095258.370000 0.0334449 Long DBT CORP US N 2 2033-05-15 Fixed 5.035 N N N N N N N/A N/A 000000000 -17400000.000000 NC USD -1376.340000 -0.000042 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.19500 05/31/24-2Y LCH 2026-05-31 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2024-05-29 XXXX 36903.660000 N N N UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST N/A 90931GAA7 2156295.000000 PA USD 2151379.510000 0.0656947 Long DBT CORP US N 2 2029-04-15 Fixed 5.875 N N N N N N CANADIAN PACIFIC RAILWAY COMPANY 54930036474DURYNB481 13645RAX2 6470000.000000 PA USD 6872645.050000 0.209864 Long DBT CORP CA N 2 2115-09-15 Fixed 6.125 N N N N N N SOUTHERN CALIFORNIA GAS COMPANY XY0N0J73VHV5F4CUJV89 842434CT7 3500000.000000 PA USD 2744894.670000 0.0838183 Long DBT CORP US N 2 2050-02-15 Fixed 3.95 N N N N N N MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY R6ZXK5P01NP6HXSY1S07 575767AM0 2500000.000000 PA USD 2241566.250000 0.0684486 Long DBT CORP US N 2 2069-02-15 Floating 5.077 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MDD9 2600000.000000 PA USD 2710394.910000 0.0827648 Long DBT CORP JP N 2 2033-07-13 Fixed 5.776 N N N N N N N/A N/A 000000000 1.000000 NC -3016.240000 -0.0000921 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1172680.000000 USD 40051712.720000 TRY 2024-05-20 -3016.240000 N N N ONE GAS INC 549300HXDWI0LATTX840 68235PAF5 50000.000000 PA USD 45459.910000 0.0013882 Long DBT CORP US N 2 2044-02-01 Fixed 4.658 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCJ7 900000.000000 PA USD 736801.220000 0.022499 Long DBT CORP JP N 2 2031-09-17 Fixed 2.222 N N N N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CAU8 6000000.000000 PA USD 4791709.140000 0.14632 Long DBT CORP US N 2 2048-03-15 Fixed 3.95 N N N N N N DELTA AIR LINES INC / SKYMILES IP LTD N/A 830867AB3 2600000.000000 PA USD 2543812.180000 0.077678 Long DBT CORP US N 2 2028-10-20 Fixed 4.75 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAP0 1700000.000000 PA USD 1447502.110000 0.044201 Long DBT CORP GB N 2 2032-03-15 Floating 2.896 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JK4 2400000.000000 PA USD 2249458.010000 0.0686896 Long DBT CORP US N 2 2028-07-01 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 56258.050000 0.0017179 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2026-12-20 11256.740000 USD 0.000000 USD 4000000.000000 USD 45001.310000 N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CBM6 1900000.000000 PA USD 1416879.530000 0.0432659 Long DBT CORP US N 2 2041-06-15 Fixed 3.3 N N N N N N INDIANA FINANCE AUTHORITY 549300PS0PAS7NDSSI20 455057SV2 800000.000000 PA USD 896864.720000 0.0273867 Long DBT MUN US N 2 2039-02-01 Fixed 6.596 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CU3 2700000.000000 PA USD 1736537.640000 0.053027 Long DBT CORP US N 2 2051-10-01 Fixed 2.9 N N N N N N NEW YORK ST ELECTRIC & GAS CORP 549300GEC6J0YHUXA160 649840CR4 500000.000000 PA USD 335304.270000 0.0102389 Long DBT CORP US N 2 2049-09-15 Fixed 3.3 N N N N N N DUKE ENERGY PROGRESS LLC (AKA: PROGRESS ENERGY CAROLINAS INC) 0NIFZ782LS46WOC9QK20 26442UAE4 900000.000000 PA USD 674826.500000 0.0206066 Long DBT CORP US N 2 2047-09-15 Fixed 3.6 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBD9 3500000.000000 PA USD 3364330.340000 0.102733 Long DBT CORP US N 2 2048-11-15 Fixed 5.25 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AJ7 6400000.000000 PA USD 5892590.080000 0.179937 Long DBT CORP CH N 2 2027-02-12 Floating 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 21600.530000 0.0006596 N/A DCR NL N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VOLKSWAGEN INTERNATIONAL FINANCE NV VOLKSWAGEN INTL FIN NV CO GTD REGS Y Single Leg Swap 2028-06-20 0.000000 EUR -14351.130000 EUR 1500000.000000 EUR 35951.660000 N N N TRIMBLE INC 549300E2MI7NSZFQWS19 896239AE0 800000.000000 PA USD 836217.140000 0.0255348 Long DBT CORP US N 2 2033-03-15 Fixed 6.1 N N N N N N WASHINGTON GAS LIGHT COMPANY DL22T1SB4DUBS063O841 93884PDY3 900000.000000 PA USD 670884.440000 0.0204862 Long DBT CORP US N 2 2049-09-15 Fixed 3.65 N N N N N N TRANSCANADA PIPELINES LIMITED 5BV01I6231JPDAPMGH09 89352HAY5 4400000.000000 PA USD 3915467.820000 0.119563 Long DBT CORP CA N 2 2048-05-15 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC -63264.190000 -0.0019318 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2034-09-18 0.000000 GBP -54101.810000 GBP 3400000.000000 GBP -9162.380000 N N N AADVANTAGE LOYALTY IP LTD N/A 02376CBJ3 382500.000000 PA USD 397880.330000 0.0121497 Long LON CORP KY N 2 2028-04-20 Floating 10.3294 N N N N N N N/A N/A 000000000 1.000000 NC -3204.960000 -0.0000979 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 116258.000000 USD 3766759.200000 TRY 2024-04-26 -3204.960000 N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 G98149AD2 200000.000000 PA USD 191601.140000 0.0058507 Long DBT CORP KY N 2 2027-10-01 Fixed 5.5 N N N N N N SKYMILES IP LTD 2549008L7P4I8VB90936 24736CBS2 4125000.000000 PA USD 4259495.630000 0.130068 Long LON CORP US N 2 2027-10-20 Floating 9.0678 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AV0 1355000.000000 PA USD 1150826.660000 0.0351417 Long DBT CORP US N 2 2049-07-01 Fixed 4.4 N N N N N N N/A N/A 000000000 1.000000 NC USD 9955.140000 0.000304 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 BROOKFIELD CORPORATION BROOKFIELD ASSETS MGMNT YANK BD Y Single Leg Swap 2025-06-20 0.020000 USD 0.000000 USD 1100000.000000 USD 9955.120000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BY4 2400000.000000 PA USD 2267115.600000 0.0692288 Long DBT CORP US N 2 2039-06-15 Fixed 5.125 N N N N N N PENN MUTUAL LIFE INSURANCE COMPANY BIYXEJSLUQ3IWFUXX074 707567AC7 1000000.000000 PA USD 1135057.380000 0.0346602 Long DBT CORP US N 2 2040-06-15 Fixed 7.625 N N N N N N CI FINANCIAL CORP 549300M9W7JJQSVCEM78 125491AP5 1200000.000000 PA USD 750543.640000 0.0229187 Long DBT CORP CA N 2 2051-06-15 Fixed 4.1 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -4881.000000 -0.000149 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 04/15/24-10Y LCH 2034-04-15 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2024-04-11 XXXX 781.500000 N N N N/A N/A 000000000 1.000000 NC USD 6612.580000 0.0002019 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2028-12-20 0.000000 USD -9497.650000 USD 900000.000000 USD 16110.230000 N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1J7WJ1 1000000.000000 PA 1053901.500000 0.032182 Long DBT CORP IT N 2 2025-04-28 Fixed 2.625 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3K7 6300000.000000 PA USD 6317203.730000 0.192903 Long DBT CORP US N 2 2035-01-23 Floating 5.499 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24703TAD8 559000.000000 PA USD 566418.480000 0.0172962 Long DBT CORP US N 2 2026-06-15 Fixed 6.02 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 05946KAN1 1800000.000000 PA USD 1970859.560000 0.0601823 Long DBT CORP ES N 2 2034-11-15 Floating 7.883 N N N N N N NORFOLK SOUTHERN CORPORATION 54930036C8MWP850MI84 655844CU0 1500000.000000 PA USD 1603231.710000 0.0489564 Long DBT CORP US N 2 2064-03-15 Fixed 5.95 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122CR7 630000.000000 PA USD 538442.980000 0.0164419 Long DBT CORP US N 2 2049-10-26 Fixed 4.25 N N N N N N STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 857477CH4 5200000.000000 NS USD 5300360.000000 0.161852 Long EP CORP US N 2 N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAM5 800000.000000 PA USD 821450.080000 0.0250839 Long DBT CORP US N 2 2053-11-21 Fixed 6.875 N N N N N N SOUTHERN NATURAL GAS COMPANY N/A 843452AY9 1400000.000000 PA USD 1494099.170000 0.0456239 Long DBT CORP US N 2 2031-02-15 Fixed 7.35 N N N N N N N/A N/A 000000000 1.000000 NC USD 6251.100000 0.0001909 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 3483.550000 USD 0.000000 USD 300000.000000 USD 2767.550000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HW3 172490.000000 PA USD 77879.240000 0.0023781 Long DBT NUSS AR N 2 2046-07-09 Variable 3.625 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAH5 2397000.000000 PA USD 2156116.860000 0.0658393 Long DBT CORP US N 2 2045-08-15 Fixed 4.45 N N N N N N FIBRA UNO (TRUST F/1401) N/A 898339AB2 900000.000000 PA USD 730873.620000 0.022318 Long DBT CORP MX N 2 2050-01-15 Fixed 6.39 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAN7 1600000.000000 PA USD 1510479.360000 0.0461241 Long DBT CORP US N 2 2029-06-15 Fixed 4 N N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAN0 2900000.000000 PA USD 1711000.000000 0.0522472 Long DBT NUSS AE N 2 2070-09-02 Fixed 2.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 12448843.780000 0.380139 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 10437870.740000 USD 0.000000 USD 537500000.000000 USD 2010973.040000 N N N VISTRA OPERATIONS COMPANY LLC 549300ZH5GKBTJZ7NM23 92840VAE2 2000000.000000 PA USD 1877521.500000 0.0573321 Long DBT CORP US N 2 2029-07-15 Fixed 4.3 N N N N N N INDIANA MICHIGAN POWER COMPANY JHR9V15J0ZRG02MIRD06 454889AQ9 400000.000000 PA USD 342002.380000 0.0104434 Long DBT CORP US N 2 2046-03-15 Fixed 4.55 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903BE2 5300000.000000 PA USD 5158689.020000 0.157526 Long DBT CORP US N 2 2030-06-15 Fixed 4.625 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBZ7 5700000.000000 PA USD 4478405.700000 0.136753 Long DBT CORP US Y 2 2041-03-25 Fixed 3.65 N N N N N N N/A N/A 000000000 -3000000.000000 NC USD -0.300000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62700 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2024-04-01 XXXX 10949.700000 N N N ELECTRICITE DE FRANCE SA (EDF) 549300X3UK4GG3FNMO06 268317AV6 900000.000000 PA USD 805400.090000 0.0245938 Long DBT CORP FR N 2 2038-09-21 Fixed 4.875 N N N N N N INTEGRIS BAPTIST MEDICAL CENTER 549300S00ZKDLJSB3927 45834QAA7 1700000.000000 PA USD 1283625.680000 0.0391969 Long DBT CORP US N 2 2050-08-15 Fixed 3.875 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2U6 6600000.000000 PA USD 5728528.150000 0.174927 Long DBT CORP US N 2 2033-03-02 Floating 3.35 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FP4 1100000.000000 NS USD 1103366.000000 0.0336925 Long EP CORP US N 2 N N N N/A N/A 000000000 -1400000.000000 NC -1069.660000 -0.0000327 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.49000 04/09/24-10Y LCH 2034-04-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.490000 EUR 2024-04-05 XXXX 3262.680000 N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAL9 1300000.000000 PA USD 1053359.590000 0.0321655 Long DBT CORP US N 2 2039-12-31 Fixed 2.742 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBF5 11100000.000000 PA USD 10096737.490000 0.308315 Long DBT CORP US N 2 2045-03-15 Fixed 5.15 N N N N N N UMBS PASS THRU POOLS N/A 01F030645 5800000.000000 PA USD 4990584.070000 0.152393 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 3 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA38 2200000.000000 NS USD 2332418.000000 0.0712229 Long EP CORP US N 2 N N N N/A N/A 000000000 -2700000.000000 NC USD -1911.330000 -0.0000584 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.15000 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 4.150000 USD 2024-04-18 XXXX 7504.920000 N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 96949LAC9 400000.000000 PA USD 370374.230000 0.0113098 Long DBT CORP US N 2 2045-09-15 Fixed 5.1 N N N N N N INDIANA MICHIGAN POWER COMPANY JHR9V15J0ZRG02MIRD06 454889AT3 20000.000000 PA USD 16367.540000 0.0004998 Long DBT CORP US N 2 2048-08-15 Fixed 4.25 N N N N N N DEPOSITORY TRUST & CLEARING CORP (DTCC) MLDY5N6PZ58ZE60QU102 249670AB6 4500000.000000 NS USD 3996135.000000 0.122026 Long EP CORP US N 2 N N N N/A N/A 000000000 1.000000 NC 180.800000 0.0000055 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 20522.000000 USD 348473.820000 MXN 2024-06-20 180.800000 N N N N/A N/A 000000000 1.000000 NC 763.440000 0.0000233 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 251155.580000 USD 8730795.850000 TRY 2024-05-31 763.440000 N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAY4 4520000.000000 PA USD 3919097.280000 0.119674 Long DBT CORP US N 2 2040-11-15 Fixed 5.875 N N N N N N KENTUCKY UTILITIE CO. AGX0G2MXE54NFNNICD28 491674BL0 2300000.000000 PA USD 1980685.250000 0.0604824 Long DBT CORP US N 2 2045-10-01 Fixed 4.375 N N N N N N NOVARTIS CAPITAL CORPORATION 5493002KF87V5RSRQS84 66989HAH1 35000.000000 PA USD 32268.060000 0.0009853 Long DBT CORP US N 2 2044-05-06 Fixed 4.4 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAP6 2000000.000000 PA USD 1990073.920000 0.060769 Long DBT CORP US N 2 2034-01-15 Fixed 5.65 N N N N N N N/A N/A 000000000 -2700000.000000 NC USD -4891.050000 -0.0001494 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68000 04/17/24-10Y LCH 2034-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.680000 USD 2024-04-15 XXXX 4302.450000 N N N N/A N/A 000000000 1.000000 NC 555978.880000 0.0169774 N/A DCR ES N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 CELLNEX TELECOM SA CELLNEX TELECOM SAU SR UNSEC Y Single Leg Swap 2030-12-20 476649.150000 EUR 0.000000 EUR 2400000.000000 EUR 79329.730000 N N N N/A N/A 000000000 -2700000.000000 NC USD -2389.770000 -0.000073 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08000 04/17/24-10Y LCH 2034-04-17 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2024-04-15 XXXX 6803.730000 N N N AMERICAN MUNICIPAL POWER INC EARKGGZJJEMVD66XQ486 02765UEK6 1000000.000000 PA USD 1328613.700000 0.0405706 Long DBT MUN US N 2 2050-02-15 Fixed 8.084 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BE7 1000000.000000 PA USD 1131037.000000 0.0345374 Long DBT CORP CH N 2 2033-11-13 Floating 9.25 N N N N N N SOUTHERN POWER COMPANY 5LADC78JBG2BMZD5XF57 843646AU4 85000.000000 PA USD 75908.000000 0.0023179 Long DBT CORP US N 2 2046-12-15 Fixed 4.95 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JN8 4200000.000000 PA USD 3616409.030000 0.110431 Long DBT CORP US N 2 2050-07-01 Fixed 4.95 N N N N N N CONSUMERS ENERGY COMPANY 7NKTFWJ1G6MELP9TU740 210518DB9 2500000.000000 PA USD 2100528.000000 0.0641419 Long DBT CORP US N 2 2048-05-15 Fixed 4.05 N N N N N N N/A N/A 000000000 1.000000 NC 224.650000 0.0000069 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 165539.360000 CNY 23029.000000 USD 2024-04-19 224.650000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAU5 900000.000000 PA USD 616558.100000 0.0188273 Long DBT CORP US N 2 2051-01-15 Fixed 3.25 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI24R197 60874927.500000 PA 3399944.070000 0.103821 Long DBT NUSS MX N 2 2026-12-03 Fixed 3 N N N N N N SOUTHWEST GAS CORPORATION OQQR1IQTGBKH0UR88X59 845011AE5 1580000.000000 PA USD 1451236.270000 0.0443151 Long DBT CORP US N 2 2032-03-15 Fixed 4.05 N N N N N N NEW ENGLAND POWER COMPANY 549300DTVRGN9GYD5U85 644188BF0 6300000.000000 PA USD 4862861.960000 0.148493 Long DBT CORP US N 2 2047-12-05 Fixed 3.8 N N N N N N FORWARD AIR CORPORATION (CLUE OPCO LLC) N/A 953PDEII0 3065333.360000 PA USD 3026633.530000 0.0924215 Long LON CORP US N 2 2030-12-19 Floating 9.8273 N N N N N N ASHTEAD CAPITAL INC 213800J1134IW58IC398 045054AS2 1600000.000000 PA USD 1599109.310000 0.0488305 Long DBT CORP US N 2 2034-04-15 Fixed 5.8 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AZ2 2500000.000000 PA USD 1757320.980000 0.0536617 Long DBT CORP US N 2 2052-03-15 Fixed 3.55 N N N N N N THE TRUSTEES OF THE UNIVERSITY OF PENNSYLVANIA 549300FG60YK9HZ7DS75 91481CAA8 700000.000000 PA USD 663114.520000 0.0202489 Long DBT CORP US N 2 2112-09-01 Fixed 4.674 N N N N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAF9 8700000.000000 PA USD 6281005.630000 0.191797 Long DBT CORP CA N 2 2051-03-30 Fixed 3.5 N N N N N N AIM AVIATION FINANCE LIMITED 2015-1A N/A 001406AA5 1478859.980000 PA USD 994562.910000 0.03037 Long ABS-O CORP KY N 2 2040-02-15 Variable 6.213 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAH4 2000000.000000 PA USD 1946631.560000 0.0594425 Long DBT CORP KY N 2 2025-02-15 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 7478.590000 0.0002284 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-12-20 0.000000 USD -5980.970000 USD 1000000.000000 USD 13459.560000 N N N OZLM XX LTD 2018-20A N/A 67112MAA3 6032266.790000 PA USD 6042995.900000 0.184529 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.62942 N N N N N N N/A N/A 000000000 1.000000 NC USD 34214.820000 0.0010448 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-20 22349.260000 USD 0.000000 USD 1900000.000000 USD 11865.560000 N N N MANULIFE FINANCIAL CORPORATION 5493007GBX87QOZACS27 56501RAD8 7300000.000000 PA USD 7190548.550000 0.219571 Long DBT CORP CA N 2 2046-03-04 Fixed 5.375 N N N N N N FIBRA UNO (TRUST F/1401) N/A P9406GAB4 3000000.000000 PA USD 2639645.700000 0.0806044 Long DBT CORP MX N 2 2044-01-30 Fixed 6.95 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AV0 10650000.000000 PA USD 10968888.370000 0.334947 Long DBT CORP CH N 2 2028-08-11 Floating 6.442 N N N N N N TARGET CORPORATION 8WDDFXB5T1Z6J0XC1L66 87612EBP0 550000.000000 PA USD 539214.370000 0.0164655 Long DBT CORP US N 2 2032-09-15 Fixed 4.5 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAK1 2425000.000000 PA USD 2259921.300000 0.0690091 Long DBT CORP US N 2 2049-01-25 Fixed 5.576 N N N N N N N/A N/A 000000000 1.000000 NC -4713.350000 -0.0001439 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 192784.000000 USD 6235598.480000 TRY 2024-04-22 -4713.350000 N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111FT5 6900000.000000 PA USD 6141183.200000 0.187528 Long DBT CORP US N 2 2048-12-01 Fixed 4.65 N N N N N N AMEREN ILLINOIS COMPANY RC71E2BZ6UOMFPDJSE79 02361DAU4 1000000.000000 PA USD 712277.700000 0.0217502 Long DBT CORP US N 2 2050-03-15 Fixed 3.25 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AP4 5000000.000000 PA USD 4567912.500000 0.139486 Long DBT CORP US N 2 2030-01-15 Fixed 4 N N N N N N N/A N/A 000000000 -1400000.000000 NC USD -4.060000 -0.0000001 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 95.160000 USD 2024-04-04 XXXX 5355.320000 N N N S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC) Y6X4K52KMJMZE7I7MY94 78409VAQ7 3000000.000000 PA USD 2173946.760000 0.0663838 Long DBT CORP US N 2 2049-12-01 Fixed 3.25 N N N N N N SOUTHWESTERN PUBLIC SERVICE COMPANY OL6FE7QD5EQ3DOYEO258 845743BT9 1600000.000000 PA USD 1181603.280000 0.0360815 Long DBT CORP US N 2 2049-06-15 Fixed 3.75 N N N N N N LINCOLN NATIONAL CORPORATION EFQMQROEDSNBRIP7LE47 534187BG3 3000000.000000 PA USD 2373751.320000 0.072485 Long DBT CORP US N 2 2048-03-01 Fixed 4.35 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PDV1 7100000.000000 PA USD 5504780.450000 0.168094 Long DBT CORP US N 2 2059-08-15 Fixed 3.875 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECG8 4400000.000000 PA USD 4540553.510000 0.138651 Long DBT CORP GB N 2 2034-05-09 Floating 6.224 N N N N N N N/A N/A 000000000 -1800000.000000 NC -10025.410000 -0.0003061 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.56000 04/22/24-10Y LCH 2034-04-22 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.560000 EUR 2024-04-18 XXXX -4684.630000 N N N N/A N/A 000000000 1.000000 NC 101393.600000 0.0030962 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 35505193.930000 CAD 26313575.270000 USD 2024-04-02 101393.600000 N N N WASHINGTON MUTUAL 2001-AR3 N/A 929227EM4 128117.320000 PA USD 113695.650000 0.0034718 Long ABS-MBS CORP US N 2 2041-11-25 Floating 2.89059 N N N N N N VENTURE GLOBAL CALCASIEU PASS LLC 549300GKHS6RS20NLH85 92328MAA1 2400000.000000 PA USD 2162537.040000 0.0660354 Long DBT CORP US N 2 2029-08-15 Fixed 3.875 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 ACI14DZD4 4600000.000000 PA USD 2993616.980000 0.0914133 Long DBT CORP GB N 2 2032-04-02 Variable 0 N N N N N N N/A N/A 000000000 -2900000.000000 NC USD -10576.010000 -0.0003229 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.69000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-26 XXXX -2528.510000 N N N N/A N/A 000000000 1.000000 NC USD 22258.940000 0.0006797 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2026-06-20 0.000000 USD -12497.290000 USD 1600000.000000 USD 34756.230000 N N N CITIZENS FINANCIAL GROUP INC 2138004JDDA4ZQUPFW65 174610BD6 1100000.000000 NS USD 954162.000000 0.0291364 Long EP CORP US N 2 N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166AW4 16922000.000000 PA USD 17857355.600000 0.545293 Long DBT CORP US N 2 2027-10-01 Fixed 6.95 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AK6 40000.000000 PA USD 36462.020000 0.0011134 Long DBT CORP US N 2 2048-12-15 Fixed 4.9 N N N N N N BAPTIST HEALTHCARE SYSTEM OBLIGATED GROUP N/A 06684QAB8 300000.000000 PA USD 224638.600000 0.0068596 Long DBT CORP US N 2 2050-08-15 Fixed 3.54 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JG3 2400000.000000 PA USD 1997583.050000 0.0609983 Long DBT CORP US N 2 2031-02-01 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -45267.390000 -0.0013823 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2340435.000000 USD 83628423.420000 THB 2024-04-19 -45267.390000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAQ6 2500000.000000 PA USD 2126208.530000 0.0649261 Long DBT CORP US Y 2 2033-01-25 Floating 3.057 N N N N N N N/A N/A 000000000 1.000000 NC -2083.160000 -0.0000636 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-01-03 0.000000 EUR -4066.210000 EUR 2100000.000000 EUR 1983.050000 N N N PIEDMONT NATURAL GAS COMPANY INC VXB4M3BDPKF3I2AZ3G89 720186AQ8 700000.000000 PA USD 706387.930000 0.0215703 Long DBT CORP US N 2 2033-06-15 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC -8135.650000 -0.0002484 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1361759.000000 USD 21532133308.000000 IDR 2024-06-20 -8135.650000 N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887CD2 6500000.000000 PA USD 6194549.600000 0.189157 Long DBT CORP US N 2 2038-11-01 Fixed 5.3 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 1400000.000000 PA USD 1418967.650000 0.0433297 Long DBT CORP US N 2 2027-06-15 Fixed 5.75 N N N N N N NORFOLK SOUTHERN CORPORATION 54930036C8MWP850MI84 655844CH9 3600000.000000 PA USD 2396898.790000 0.0731919 Long DBT CORP US N 2 2055-05-15 Fixed 3.155 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AK7 725000.000000 PA USD 546083.850000 0.0166753 Long DBT CORP US N 2 2049-09-15 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC 40348.540000 0.0012321 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PLC BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-06-20 2021.640000 EUR 0.000000 EUR 1900000.000000 EUR 38326.900000 N N N CHASE MORTGAGE FINANCE CORP 2007-A3 N/A 161639BH1 138047.490000 PA USD 115697.770000 0.003533 Long ABS-MBS CORP US N 3 2037-12-25 Floating 4.65838 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBH1 6300000.000000 PA USD 6252750.000000 0.190934 Long DBT NUSS SA N 2 2054-01-16 Fixed 5.75 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7W15 456601.000000 PA USD 29679.070000 0.0009063 Long DBT CORP KY N 2 2032-09-30 Fixed 1 N N Y Y N SUNAC CHINA HOLDINGS LIMITED HKD XXXX N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AQ2 1400000.000000 PA USD 1440091.480000 0.0439747 Long DBT CORP IT N 2 2034-04-02 Floating 7.296 N N N N N N N/A N/A 000000000 1.000000 NC -112.070000 -0.0000034 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 163786.060000 USD 1166074.850000 CNY 2024-05-09 -112.070000 N N N AMERICAN MUNICIPAL POWER INC EARKGGZJJEMVD66XQ486 02765UEQ3 4635000.000000 PA USD 4937132.480000 0.150761 Long DBT MUN US N 2 2050-02-15 Fixed 6.27 N N N N N N N/A N/A 000000000 1.000000 NC -3519.280000 -0.0001075 N/A DFE NO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 252238.000000 USD 2698212.590000 NOK 2024-05-02 -3519.280000 N N N N/A N/A 000000000 1.000000 NC USD 39967.040000 0.0012204 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 CDX.EM.31 N/A N/A Y Single Leg Swap 2024-06-20 0.000000 USD -852328.800000 USD 18748000.000000 USD 892295.840000 N N N N/A N/A 000000000 1.000000 NC -200.560000 -0.0000061 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 36008.080000 USD 54949.000000 AUD 2024-04-02 -200.560000 N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DZ0 3200000.000000 PA USD 3257652.640000 0.0994759 Long DBT CORP US N 2 2053-06-01 Fixed 5.875 N N N N N N WESTMORELAND MINING HOLDINGS LLC N/A 935ZXN908 32130.660000 NS USD 96391.980000 0.0029434 Long EC CORP US Y 3 N N N N/A N/A 000000000 1.000000 NC -14708.080000 -0.0004491 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1489876.000000 USD 23465547000.000000 IDR 2024-06-20 -14708.080000 N N N N/A N/A 000000000 -2900000.000000 NC USD -5019.030000 -0.0001533 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2024-04-26 XXXX 3028.470000 N N N AVOLON TLB BORROWER 1 (US) LLC 635400O84AGITYFZQB55 05400KAJ9 2727886.960000 PA USD 2731733.280000 0.0834164 Long LON CORP US N 2 2028-06-22 Floating 7.3288 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VBA0 6579000.000000 PA USD 6154546.930000 0.187936 Long DBT CORP US N 2 2044-03-15 Fixed 4.85 N N N N N N VOYA FINANCIAL INC 549300T065Z4KJ686G75 45685EAJ5 630000.000000 PA USD 617499.840000 0.018856 Long DBT CORP US N 2 2043-07-15 Fixed 5.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 17299.530000 0.0005283 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2028-06-20 0.000000 USD -5822.980000 USD 1100000.000000 USD 23122.510000 N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98389BAN0 40000.000000 PA USD 34547.490000 0.0010549 Long DBT CORP US N 2 2041-09-15 Fixed 4.8 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFA7 85000.000000 PA USD 79385.410000 0.0024241 Long DBT CORP US N 2 2045-12-09 Fixed 4.875 N N N N N N UNIVERSITY OF CALIFORNIA N/A 91412GHA6 440000.000000 PA USD 410650.150000 0.0125396 Long DBT MUN US N 2 2112-05-15 Fixed 4.858 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CL1 3100000.000000 PA USD 2593836.340000 0.0792056 Long DBT CORP US N 2 2052-03-15 Fixed 4.625 N N N N N N SOUTHERN CALIFORNIA GAS COMPANY XY0N0J73VHV5F4CUJV89 842434CZ3 6400000.000000 PA USD 6411101.060000 0.19577 Long DBT CORP US N 2 2033-06-01 Fixed 5.2 N N N N N N N/A N/A 000000000 -2800000.000000 NC USD -4908.400000 -0.0001499 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07800 04/29/24-10Y LCH 2034-04-29 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2024-04-25 XXXX 3106.600000 N N N FLEX INTERMEDIATE HOLDCO LLC 549300290TQIGM30A243 33939HAA7 7300000.000000 PA USD 5896492.150000 0.180056 Long DBT CORP US N 2 2031-06-30 Fixed 3.363 N N N N N N COLT 2022-9 MORTGAGE LOAN TRUST N/A 19688PAA1 2146676.630000 PA USD 2156976.810000 0.0658656 Long ABS-MBS CORP US N 2 2067-12-25 Variable 6.79 N N N N N N UMBS PASS THRU POOLS N/A 01F052656 138900000.000000 PA USD 138221390.160000 4.22074 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5.5 N N N N N N TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AMERICA (TIAA-CREF) O06XD7BJ4EPXNABVFN69 878091BC0 371000.000000 PA USD 422219.620000 0.0128929 Long DBT CORP US N 2 2039-12-16 Fixed 6.85 N N N N N N JAB HOLDINGS BV 529900RRNKUM3INJGF98 46653KAC2 2100000.000000 PA USD 1584368.180000 0.0483804 Long DBT CORP NL N 2 2052-04-08 Fixed 4.5 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAE8 2700000.000000 PA USD 1663274.630000 0.0507899 Long DBT CORP NL N 2 2051-02-08 Fixed 3.832 N N N N N N N/A N/A 000000000 1.000000 NC -4781.270000 -0.000146 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 174387.000000 USD 5651010.740000 TRY 2024-04-26 -4781.270000 N N N N/A N/A 000000000 1.000000 NC 1745.590000 0.0000533 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 7304348.890000 THB 202212.180000 USD 2024-04-19 1745.590000 N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-OA3 N/A 25150WAA2 125064.840000 PA USD 114207.170000 0.0034874 Long ABS-MBS CORP US N 2 2047-07-25 Floating 5.58389 N N N N N N N/A N/A 000000000 1.000000 NC -4412.090000 -0.0001347 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1108075.540000 USD 1023000.000000 EUR 2024-04-02 -4412.090000 N N N N/A N/A 000000000 1.000000 NC -19339.950000 -0.0005906 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-29 0.000000 EUR -3063.990000 EUR 1900000.000000 EUR -16275.960000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKJ0 6630000.000000 PA USD 4681341.160000 0.14295 Long DBT CORP US N 2 2053-09-15 Fixed 3.5 N N N N N N DALLAS CONVENTION CENTER HOTEL DEVELOPMENT CORPORATION N/A 235417AA0 4000000.000000 PA USD 4570978.000000 0.13958 Long DBT MUN US N 2 2042-01-01 Fixed 7.088 N N N N N N SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A N/A 84858DAA6 901173.960000 PA USD 828089.650000 0.0252866 Long DBT CORP US N 2 2029-10-01 Fixed 4.1 N N N N N N ARCELORMITTAL SA 2EULGUTUI56JI9SAL165 03938LBF0 3100000.000000 PA USD 3317924.510000 0.101316 Long DBT CORP LU N 2 2032-11-29 Fixed 6.8 N N N N N N BROOKLYN UNION GAS CO/THE 83BQ1DXS6VA5GZFK8S35 114259AU8 1200000.000000 PA USD 939053.820000 0.028675 Long DBT CORP US N 2 2049-03-04 Fixed 4.487 N N N N N N N/A N/A 000000000 1.000000 NC 29030.500000 0.0008865 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2049000.000000 GBP 2615175.380000 USD 2024-04-02 29030.500000 N N N N/A N/A 000000000 1.000000 NC -1409.560000 -0.000043 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 96461.000000 USD 3463364.680000 THB 2024-04-19 -1409.560000 N N N N/A N/A 000000000 -3000000.000000 NC -4136.960000 -0.0001263 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.78000 05/02/24-5Y LCH 2029-05-02 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.780000 EUR 2024-04-29 XXXX 248.180000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AD0 5200000.000000 PA USD 4057438.320000 0.123898 Long DBT CORP GB N 2 2031-06-28 Floating 4.6 N N N N Y NATWEST GROUP PLC GBP XXXX N N N ECAF I LTD 2015-1A N/A 26827EAC9 1984968.830000 PA USD 1389382.900000 0.0424263 Long ABS-O CORP KY N 2 2040-06-15 Fixed 4.947 N N N N N N N/A N/A 000000000 1.000000 NC 1751.960000 0.0000535 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 97896.890000 USD 3385861.840000 TRY 2024-05-13 1751.960000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-ABF1 N/A 07384YLE4 3361.760000 PA USD 3149.340000 0.0000962 Long ABS-MBS CORP US N 3 2034-01-25 Floating 6.18389 N N N N N N SEMPRA PBBKGKLRK5S5C0Y4T545 816851BK4 3000000.000000 NS USD 2947860.000000 0.0900161 Long EP CORP US N 2 N N N OWENS CORNING INC JO5M6676RDJIZ2U8X907 690742AG6 1618000.000000 PA USD 1342114.560000 0.0409829 Long DBT CORP US N 2 2047-07-15 Fixed 4.3 N N N N N N EVEREST REINSURANCE HLDGS 254900P29PM5UJR3VU91 299808AH8 2000000.000000 PA USD 1404420.700000 0.0428855 Long DBT CORP US N 2 2050-10-15 Fixed 3.5 N N N N N N DUKE ENERGY PROGRESS LLC (AKA: PROGRESS ENERGY CAROLINAS INC) 0NIFZ782LS46WOC9QK20 26442UAM6 1100000.000000 PA USD 714050.180000 0.0218043 Long DBT CORP US N 2 2051-08-15 Fixed 2.9 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES 2018-2A N/A 14317PAJ2 5000000.000000 PA USD 5000000.000000 0.15268 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 6.4783 N N N N N N LEGG MASON INC OWUNCC6U1ZJXMZKFBJ36 524901AR6 1400000.000000 PA USD 1402113.150000 0.042815 Long DBT CORP US N 2 2044-01-15 Fixed 5.625 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 28336LBD0 3795000.000000 PA USD 4023889.470000 0.122874 Long DBT CORP US N 2 2028-06-01 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 7711.820000 0.0002355 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2027-06-20 0.000000 USD -65191.340000 USD 1100000.000000 USD 72903.160000 N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659BF7 1000000.000000 PA USD 866850.950000 0.0264702 Long DBT CORP US N 2 2053-05-01 Fixed 4.6 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAU0 700000.000000 PA USD 714540.830000 0.0218193 Long DBT CORP US N 2 2029-11-15 Fixed 5.375 N N N N N N BRITISH AIRWAYS 2018-1 CLASS A PASS THROUGH TRUST N/A 11043HAA6 1917338.030000 PA USD 1771428.410000 0.0540925 Long DBT CORP US N 2 2033-03-20 Fixed 4.125 N N N N N N NORTHWELL HEALTHCARE INC 54930073NUTKK4QD3P47 667274AC8 30000.000000 PA USD 24984.940000 0.0007629 Long DBT CORP US N 2 2047-11-01 Fixed 4.26 N N N N N N MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA JA0WNILDDF2KUPS83B16 626207YM0 9671000.000000 PA USD 11175279.560000 0.341249 Long DBT MUN US N 2 2057-04-01 Fixed 6.655 N N N N N N VIRGINIA ELECTRIC AND POWER COMPANY CQKUMNNZVDJLRYV2PT43 927804FY5 300000.000000 PA USD 232357.010000 0.0070953 Long DBT CORP US N 2 2047-09-15 Fixed 3.8 N N N N N N N/A N/A 000000000 -1415.000000 NC USD -274482.070000 -0.0083816 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-28 -151355254.260000 USD -274482.070000 N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PEW8 16900000.000000 PA USD 16425855.630000 0.501581 Long DBT CORP US N 2 2053-04-15 Fixed 5.05 N N N N N N N/A N/A 000000000 1.000000 NC -134603.300000 -0.0041103 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 117800000.000000 BRL -134603.300000 N N N CF INDUSTRIES INC 5FVKT86LAD2F40NPC183 12527GAF0 3200000.000000 PA USD 3151145.660000 0.0962236 Long DBT CORP US N 2 2034-03-15 Fixed 5.15 N N N N N N GE CAPITAL FUNDING LLC 549300XAGH9TOLX5XM67 36166NAK9 3992000.000000 PA USD 3874694.560000 0.118318 Long DBT CORP US N 2 2032-05-15 Fixed 4.55 N N N N N N TEXAS NATURAL GAS SECURITIZATION FINANCE CORP N/A 88258MAB1 5400000.000000 PA USD 5492014.380000 0.167705 Long DBT MUN US N 2 2041-04-01 Fixed 5.169 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AE9 3750000.000000 PA USD 3460764.750000 0.105678 Long DBT CORP CO N 2 2043-09-18 Fixed 7.375 N N N N N N ENTERGY LOUISIANA LLC 0V5453U14HDZO63CGH17 29364WBC1 4200000.000000 PA USD 3463574.020000 0.105764 Long DBT CORP US N 2 2050-04-01 Fixed 4.2 N N N N N N OPEN TRUST 2023-AIR N/A 68373BAA9 956862.210000 PA USD 969038.280000 0.0295906 Long ABS-MBS CORP US N 2 2028-10-15 Floating 8.41442 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AD0 3900000.000000 PA USD 3216803.070000 0.0982285 Long DBT CORP CH N 2 2031-02-10 Floating 4.375 N N N N N N N/A N/A 000000000 1.000000 NC -30043.800000 -0.0009174 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3046354.000000 USD 456539405.000000 JPY 2024-04-02 -30043.800000 N N N THE PROGRESSIVE CORPORATION 529900TACNVLY9DCR586 743315AS2 500000.000000 PA USD 423511.620000 0.0129324 Long DBT CORP US N 2 2047-04-15 Fixed 4.125 N N N N N N VICI PROPERTIES LP / VICI NOTE CO INC N/A 92564RAK1 400000.000000 PA USD 384237.240000 0.0117331 Long DBT CORP US N 2 2028-01-15 Fixed 4.5 N N N N N N DUKE ENERGY FLORIDA LLC (AKA: PROGRESS ENERGY FLORIDA INC; FLORIDA POWER CORP) 7MOHLM3DKE63RX2ZCN83 26444HAF8 25000.000000 PA USD 20843.950000 0.0006365 Long DBT CORP US N 2 2048-07-15 Fixed 4.2 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAP4 1400000.000000 PA USD 1288276.670000 0.0393389 Long DBT CORP US N 2 2044-04-01 Fixed 5.3 N N N N N N WORKDAY INC 549300J0DYC0N31V7G13 98138HAJ0 4500000.000000 PA USD 4099882.640000 0.125194 Long DBT CORP US N 2 2032-04-01 Fixed 3.8 N N N N N N REGENCY CENTERS LP 5493008PTR2GAOYBXW28 75884RAY9 500000.000000 PA USD 432004.330000 0.0131917 Long DBT CORP US N 2 2049-03-15 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC 28973.810000 0.0008847 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 TESCO PLC TESCO PLC SR UNSECURED EMTN REGS Y Single Leg Swap 2028-06-20 10614.260000 EUR 0.000000 EUR 1100000.000000 EUR 18359.550000 N N N WELLTOWER OP LLC T6IZ0MBEG5ACZDTR7D06 42217KAX4 925000.000000 PA USD 1013011.470000 0.0309334 Long DBT CORP US N 2 2041-03-15 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RZ3 5200000.000000 PA USD 3887203.110000 0.1187 Long DBT UST US N 2 2047-11-15 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -0.490000 0 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1193.410000 USD 8482.400000 CNY 2024-04-11 -0.490000 N N N PACIFIC LIFE INSURANCE COMPANY 8WC3XYHE06SQFW7CQK10 694475AA2 8800000.000000 PA USD 11709891.070000 0.357574 Long DBT CORP US N 2 2039-06-15 Fixed 9.25 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FT5 3800000.000000 PA USD 3058767.740000 0.0934028 Long DBT CORP US N 2 2041-12-01 Fixed 3.9 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBA6 2500000.000000 PA USD 2226133.650000 0.0679774 Long DBT CORP JP N 2 2030-09-13 Floating 2.869 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGE4 70000.000000 PA USD 61233.020000 0.0018698 Long DBT CORP US N 2 2044-11-04 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC USD 11131.500000 0.0003399 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 NEXTERA ENERGY CAPITAL HOLDINGS INC NEXTERA ENERGY CAPITAL SR UNSEC Y Single Leg Swap 2024-12-20 23461.320000 USD 0.000000 USD 1700000.000000 USD -12329.820000 N N N N/A N/A 000000000 -5200000.000000 NC USD -32057.480000 -0.0009789 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% MAY 30YR N/A 97.660000 USD 2024-05-06 XXXX -14182.480000 N N N SEQUOIA MORTGAGE TRUST 2004-4 N/A 81744FBF3 282027.760000 PA USD 264924.240000 0.0080897 Long ABS-MBS CORP US N 2 2034-05-20 Floating 6.43652 N N N N N N STICHTING AK RABOBANK CERTIFICATEN N/A BJBQCWII7 1822950.000000 NS 2086677.150000 0.0637189 Long EP CORP NL N 2 N N N YARA INTERNATIONAL ASA 213800WKOUWXWFJ5Z514 984851AG0 100000.000000 PA USD 87317.760000 0.0026663 Long DBT CORP NO N 2 2030-06-04 Fixed 3.148 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACW3 4200000.000000 PA USD 4291808.770000 0.131055 Long DBT CORP US N 2 2053-01-15 Fixed 5.65 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 21000000.000000 PA USD 18203191.440000 0.555854 Long DBT CORP US N 2 2049-11-21 Fixed 4.25 N N N N N N FLORIDA POWER & LIGHT COMPANY A89MY1K3YLIGJMYWVX50 402479CE7 4000000.000000 PA USD 3500541.040000 0.106893 Long DBT CORP US N 2 2044-10-01 Fixed 4.55 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECA1 4200000.000000 PA USD 4220486.300000 0.128877 Long DBT CORP GB N 2 2033-08-09 Floating 5.746 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BV5 11000000.000000 PA USD 6810497.760000 0.207966 Long DBT CORP US N 2 2051-04-01 Fixed 3.7 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AG7 800000.000000 PA USD 776469.960000 0.0237103 Long DBT CORP US N 2 2028-09-15 Fixed 4.375 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 57586.000000 NS USD 1389262.250000 0.0424226 Long EC CORP LU N 3 N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822CK8 5200000.000000 PA USD 5212873.430000 0.159181 Long DBT CORP JP N 2 2033-07-20 Floating 5.133 N N N N N N N/A N/A 000000000 1.000000 NC USD 90057.500000 0.00275 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 COMCAST CORPORATION COMCAST CORP SR UNSEC Y Single Leg Swap 2026-12-20 118642.550000 USD 0.000000 USD 4500000.000000 USD -28585.050000 N N N ROYAL CARIBBEAN CRUISES LTD K2NEH8QNVW44JIWK7Z55 780153BG6 2000000.000000 PA USD 1978057.800000 0.0604021 Long DBT CORP LR N 2 2028-04-01 Fixed 5.5 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 902973AZ9 1000000.000000 NS USD 959930.000000 0.0293125 Long EP CORP US N 2 N N N ONE TORONTO GAMING (ONTARIO GAMING GTA LP) 894500EC9KLZLOC3V025 C6907UAB7 1900000.000000 PA USD 1908825.500000 0.058288 Long LON CORP CA N 2 2030-08-01 Floating 9.5594 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 303901BM3 2700000.000000 PA USD 2756037.120000 0.0841586 Long DBT CORP CA N 2 2033-12-07 Fixed 6 N N N N N N CONSTELLATION INSURANCE INC 549300K609B872PZT291 67740QAH9 3000000.000000 PA USD 2933753.310000 0.0895853 Long DBT CORP US N 2 2030-01-24 Variable 6.8 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAB7 200000.000000 PA USD 206378.800000 0.006302 Long DBT CORP US N 2 2031-06-01 Fixed 8.375 N N N N N N NEVADA POWER COMPANY MJZFGXRJ52U8U4MKJ519 641423CE6 5300000.000000 PA USD 3549240.190000 0.10838 Long DBT CORP US N 2 2050-08-01 Fixed 3.125 N N N N N N BX TRUST 2021-ARIA N/A 05608RAA3 5000000.000000 PA USD 4954160.500000 0.151281 Long ABS-MBS CORP US N 2 2036-10-15 Floating 6.33858 N N N N N N N/A N/A 000000000 -870114.000000 PA USD -870748.460000 -0.0265892 Short RA US N 2 Reverse repurchase N 5.250000 2024-05-03 800000.000000 USD 906984.650000 USD CDS N N N N/A N/A 000000000 1.000000 NC -7783.760000 -0.0002377 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1215861.000000 USD 19216926277.000000 IDR 2024-06-20 -7783.760000 N N N CHENIERE ENERGY PARTNERS LP 5493005UEC8AZ34LDV29 16411QAN1 2100000.000000 PA USD 1790511.450000 0.0546752 Long DBT CORP US N 2 2032-01-31 Fixed 3.25 N N N N N N N/A N/A 000000000 -5800000.000000 NC USD -37.120000 -0.0000011 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 04/04/24-5Y LCH 2029-04-04 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2024-04-02 XXXX 13781.380000 N N N VENTURE GLOBAL CALCASIEU PASS LLC 549300GKHS6RS20NLH85 92328MAB9 1200000.000000 PA USD 1067945.520000 0.0326109 Long DBT CORP US N 2 2031-08-15 Fixed 4.125 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 15900000.000000 PA USD 12123762.880000 0.370212 Long DBT CORP US Y 2 2051-03-25 Fixed 3.95 N N N N N N CSX CORPORATION 549300JVQR4N1MMP3Q88 126408HG1 20000.000000 PA USD 16182.750000 0.0004942 Long DBT CORP US N 2 2066-11-01 Fixed 4.25 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 28368EAA4 3825000.000000 PA USD 4362500.510000 0.133214 Long DBT CORP US N 2 2030-10-15 Fixed 8.05 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA1 N/A 76111XG72 181363.810000 PA USD 158799.090000 0.0048491 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.09689 N N N N N N RELIANCE INDUSTRIES LIMITED 5493003UOETFYRONLG31 759470BC0 2900000.000000 PA USD 2071950.530000 0.0632692 Long DBT CORP IN N 2 2062-01-12 Fixed 3.75 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CAP0 85000.000000 PA USD 75859.430000 0.0023164 Long DBT CORP US N 2 2045-12-15 Fixed 4.8 N N N N N N WASHINGTON MUTUAL 2004-AR10 N/A 92922FXJ2 124611.350000 PA USD 115348.550000 0.0035223 Long ABS-MBS CORP US N 2 2044-07-25 Floating 6.32389 N N N N N N RTX CORPORATION I07WOS4YJ0N7YRFE7309 913017CW7 800000.000000 PA USD 723303.010000 0.0220868 Long DBT CORP US N 2 2038-11-16 Fixed 4.45 N N N N N N PANAMA GOVT 549300SHS4T08CL0LP14 698299BG8 35000.000000 PA USD 24257.590000 0.0007407 Long DBT NUSS PA N 2 2047-05-15 Fixed 4.5 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1T7K79 2120000.000000 PA 2174788.960000 0.0664095 Long DBT CORP IT N 2 2026-01-09 Fixed 1.875 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DBL2 3000000.000000 PA USD 2054762.460000 0.0627444 Long DBT CORP US N 2 2055-09-15 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 8041.300000 0.0002455 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 NEXTERA ENERGY CAPITAL HOLDINGS INC NEXTERA ENERGY CAPITAL SR UNSEC Y Single Leg Swap 2024-06-20 46607.370000 USD 0.000000 USD 3400000.000000 USD -38566.070000 N N N ELI LILLY AND COMPANY FRDRIPF3EKNDJ2CQJL29 532457CH9 5100000.000000 PA USD 4965089.240000 0.151614 Long DBT CORP US N 2 2063-02-27 Fixed 4.95 N N N N N N TELEFONICA EMISIONES SAU 549300Y5MFC4SW5Z3K71 87938WAW3 3500000.000000 PA USD 3080392.700000 0.0940631 Long DBT CORP ES N 2 2048-03-06 Fixed 4.895 N N N N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QDP4 3300000.000000 PA USD 3288679.680000 0.100423 Long DBT CORP MX N 2 2033-02-07 Fixed 10 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAD8 1200000.000000 PA USD 1109990.160000 0.0338947 Long DBT CORP US N 2 2028-02-15 Fixed 5.95 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAC0 300000.000000 PA USD 231356.730000 0.0070647 Long DBT CORP US N 2 2030-01-15 Fixed 3.25 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAJ2 400000.000000 PA USD 294824.790000 0.0090028 Long DBT CORP US N 2 2050-08-15 Fixed 3.361 N N N N N N N/A N/A 000000000 -1800000.000000 NC -870.760000 -0.0000266 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.85000 04/22/24-10Y LCH 2034-04-22 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.850000 EUR 2024-04-18 XXXX 4470.020000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBG4 1300000.000000 PA USD 1054955.660000 0.0322142 Long DBT CORP US N 2 2030-10-15 Fixed 1.875 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBJ2 900000.000000 PA USD 677704.780000 0.0206944 Long DBT CORP US N 2 2050-10-15 Fixed 3.951 N N N N N N HILTON DOMESTIC OPERATING COMPANY INC 5493003EG7H0N1E4XV50 432833AQ4 1700000.000000 PA USD 1708319.990000 0.0521654 Long DBT CORP US N 2 2032-04-01 Fixed 6.125 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EL0 4000000.000000 PA USD 2763021.440000 0.0843718 Long DBT CORP US N 2 2049-09-15 Fixed 3.2 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDB2 3000000.000000 PA USD 2827543.500000 0.0863421 Long DBT CORP US N 2 2045-03-15 Fixed 4.75 N N N N N N ENTERGY LOUISIANA LLC 0V5453U14HDZO63CGH17 29364WBB3 5000000.000000 PA USD 4072938.350000 0.124372 Long DBT CORP US N 2 2048-09-01 Fixed 4.2 N N N N N N JETBLUE 2019-1 CLASS AA PASS THROUGH TRUST N/A 477143AH4 1143950.010000 PA USD 987683.810000 0.03016 Long DBT CORP US N 2 2033-11-15 Fixed 2.75 N N N N N N ONCOR ELECTRIC DELIVERY COMPANY LLC 549300SP2X2BS1KERD24 68233JBP8 110000.000000 PA USD 87466.290000 0.0026709 Long DBT CORP US N 2 2049-06-01 Fixed 3.8 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140BX7 5000000.000000 PA USD 3259530.500000 0.0995333 Long DBT CORP US N 2 2061-08-12 Fixed 3.2 N N N N N N BON SECOURS MERCY HEALTH INC 5493006NA7JSVYYYF398 09778PAC9 1500000.000000 PA USD 1067106.270000 0.0325852 Long DBT CORP US N 2 2050-06-01 Fixed 3.205 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAN8 6900000.000000 PA USD 6974988.860000 0.212989 Long DBT CORP US N 2 2038-07-01 Fixed 7.3 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAH6 1200000.000000 PA USD 1131962.660000 0.0345657 Long DBT CORP US N 2 2029-05-15 Fixed 4.125 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111FW8 1700000.000000 PA USD 1251651.010000 0.0382205 Long DBT CORP US N 2 2059-11-15 Fixed 3.7 N N N N N N GAIF BOND ISSUER PTY LIMITED 2138007UNQRHCRSBNZ86 361435AA8 5000000.000000 PA USD 4770819.450000 0.145682 Long DBT CORP AU N 2 2026-09-30 Fixed 3.4 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AU0 800000.000000 PA USD 774931.890000 0.0236634 Long DBT CORP US N 2 2028-03-15 Fixed 4.2 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FL2 4500000.000000 PA USD 4711700.120000 0.143877 Long DBT CORP US N 2 2039-03-15 Fixed 6.05 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BZ6 2500000.000000 PA USD 1679942.950000 0.0512989 Long DBT CORP US N 2 2041-06-01 Fixed 3.5 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAS8 6200000.000000 PA USD 5316651.960000 0.16235 Long DBT CORP JP N 2 2030-07-16 Fixed 2.679 N N N N N N COMISION FEDERAL DE ELECTRICIDAD (CFE) 4469000001BFPONMPF32 200447AC4 55000.000000 PA USD 50189.040000 0.0015326 Long DBT CORP MX N 2 2042-02-14 Fixed 5.75 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BR4 681000.000000 PA USD 774137.430000 0.0236391 Long DBT CORP US N 2 2032-03-15 Fixed 7.375 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJW0 12200000.000000 PA USD 9403542.470000 0.287147 Long DBT CORP US N 2 2042-04-22 Floating 3.311 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95002YAA1 2300000.000000 NS USD 2458654.000000 0.0750776 Long EP CORP US N 2 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GG2 8938000.000000 PA USD 7082121.550000 0.21626 Long DBT CORP US N 2 2047-04-01 Fixed 4 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29364GAK9 4000000.000000 PA USD 2939573.440000 0.089763 Long DBT CORP US N 2 2050-06-15 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 18433.690000 0.0005629 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2024-12-20 10577.350000 USD 0.000000 USD 3300000.000000 USD 7856.340000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TV0 80700000.000000 PA USD 86166164.470000 2.63118 Long DBT UST US N 2 2053-11-15 Fixed 4.75 N N N N N N JAB HOLDINGS BV 529900RRNKUM3INJGF98 46653KAA6 585000.000000 PA USD 469737.390000 0.0143439 Long DBT CORP NL N 2 2030-11-23 Fixed 2.2 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AX7 1500000.000000 PA USD 953214.990000 0.0291074 Long DBT CORP US N 2 2051-05-18 Fixed 3 N N N N N N ASTRAZENECA FINANCE LLC 549300C3HATU4Q460S18 04636NAN3 2700000.000000 PA USD 2712458.230000 0.0828278 Long DBT CORP US N 2 2034-02-26 Fixed 5 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AG2 200000.000000 PA USD 197928.280000 0.006044 Long DBT CORP US N 2 2024-08-08 Fixed 3.2 N N N N N N CALIFORNIA INFRASTRUCTURE AND ECONOMIC DEVELOPMENT BANK 549300C1OG9RDIM8ET06 13033W3Y7 2300000.000000 PA USD 2584488.150000 0.0789201 Long DBT MUN US N 2 2049-05-15 Fixed 6.486 N N N N N N SOUTHERN NATURAL GAS COMPANY N/A 84346LAA8 65000.000000 PA USD 53769.760000 0.0016419 Long DBT CORP US N 2 2047-03-15 Fixed 4.8 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KD8 2700000.000000 PA USD 2412601.500000 0.0736714 Long DBT CORP US N 2 2052-03-01 Fixed 5.25 N N N N N N RTX CORPORATION I07WOS4YJ0N7YRFE7309 75513ECK5 700000.000000 PA USD 596647.780000 0.0182193 Long DBT CORP US N 2 2047-04-15 Fixed 4.35 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859CB6 1500000.000000 PA USD 1510844.540000 0.0461353 Long DBT CORP US N 2 2054-04-15 Fixed 5.75 N N N N N N CSX CORPORATION 549300JVQR4N1MMP3Q88 126408HF3 75000.000000 PA USD 59724.780000 0.0018238 Long DBT CORP US N 2 2046-11-01 Fixed 3.8 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AV0 7200000.000000 PA USD 7390441.300000 0.225675 Long DBT CORP CH N 2 2034-01-12 Floating 5.959 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HR1 100000.000000 PA USD 75045.770000 0.0022916 Long DBT CORP US N 2 2046-12-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -20.240000 -0.0000006 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 582000.000000 CNY 80154.840000 USD 2024-04-19 -20.240000 N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBG9 1100000.000000 PA USD 886258.360000 0.0270629 Long DBT CORP US N 2 2055-05-15 Fixed 4.375 N N N N N N METLIFE INC C4BXATY60WC6XEOZDX54 59156RCC0 500000.000000 PA USD 471204.870000 0.0143887 Long DBT CORP US N 2 2052-07-15 Fixed 5 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111GB3 9880000.000000 PA USD 7214592.370000 0.220305 Long DBT CORP US N 2 2061-06-15 Fixed 3.6 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808H1 200000.000000 PA 251136.250000 0.0076687 Long DBT CORP GB N 2 2029-06-27 Floating 7.875 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N TESCO PROPERTY FINANCE 5 PLC 213800BN1HYPUZMXAF92 ACI01EQ39 46750.070000 PA 59893.650000 0.0018289 Long DBT CORP GB N 2 2041-10-13 Fixed 5.6611 N N N N N N SANTOS FINANCE LTD 213800BKUBSWG53XNS94 803014AA7 4500000.000000 PA USD 3923964.450000 0.119823 Long DBT CORP AU N 2 2031-04-29 Fixed 3.649 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HV5 16047518.000000 PA USD 6491221.030000 0.198216 Long DBT NUSS AR N 2 2041-07-09 Variable 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F052649 29900000.000000 PA USD 29756256.350000 0.908639 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 5.5 N N N N N N N/A N/A 000000000 -101341015.000000 PA USD -101539361.890000 -3.10061 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-02 119442000.000000 USD 102505600.830000 USD UST N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BK8 3465000.000000 PA USD 2913197.020000 0.0889576 Long DBT CORP US N 2 2047-03-01 Fixed 4.15 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HL4 1600000.000000 PA USD 1266259.870000 0.0386666 Long DBT CORP US N 2 2045-03-15 Fixed 4.3 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BY9 9600000.000000 PA USD 5702402.110000 0.174129 Long DBT CORP US N 2 2061-04-01 Fixed 3.85 N N N N N N N/A N/A 000000000 -48.000000 NC USD -121946.540000 -0.0037238 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-18 -5772750.000000 USD -121946.540000 N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BL7 5100000.000000 PA USD 4112767.960000 0.125588 Long DBT CORP US N 2 2047-05-01 Fixed 5.375 N N N N N N MIDAMERICAN ENERGY COMPANY NINLOILYRTLIMK26MZ18 595620AU9 14325000.000000 PA USD 12206591.070000 0.372741 Long DBT CORP US N 2 2049-07-15 Fixed 4.25 N N N N N N OHIO NATIONAL LIFE INSURANCE CO 549300WW3O2Q3BIJEF68 677412AF5 500000.000000 PA USD 465146.080000 0.0142037 Long DBT CORP US N 2 2042-06-15 Fixed 6.875 N N N N N N N/A N/A 000000000 1.000000 NC -4457.800000 -0.0001361 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 4420794.000000 USD 665391388.000000 JPY 2024-05-02 -4457.800000 N N N N/A N/A 000000000 -2800000.000000 NC USD -150.640000 -0.0000046 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 04/10/24-10Y LCH 2034-04-10 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-04-08 XXXX 10349.360000 N N N FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC 529900E7PUVK6BC8PE80 34960PAE1 1200000.000000 PA USD 1261382.400000 0.0385177 Long DBT CORP US N 2 2030-12-01 Fixed 7.875 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAP1 3100000.000000 PA USD 2510565.320000 0.0766628 Long DBT CORP US N 2 2049-12-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -5160.500000 -0.0001576 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 2174794.780000 USD 3329447.000000 AUD 2024-04-02 -5160.500000 N N N CALIFORNIA STATE UNIVERSITY N/A 13077CTL8 700000.000000 PA USD 775374.040000 0.0236769 Long DBT MUN US N 2 2041-11-01 Fixed 6.484 N N N N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAN1 1000000.000000 PA USD 808184.890000 0.0246788 Long DBT CORP US N 2 2052-03-24 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -50885.110000 -0.0015538 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4047377.450000 USD 604896749.000000 JPY 2024-04-02 -50885.110000 N N N AMERICAN MUNICIPAL POWER INC EARKGGZJJEMVD66XQ486 02765UEJ9 4990000.000000 PA USD 6113563.870000 0.186684 Long DBT MUN US N 2 2041-02-15 Fixed 7.834 N N N N N N N/A N/A 000000000 1.000000 NC -7020.210000 -0.0002144 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 763641.000000 USD 12035593073.000000 IDR 2024-06-20 -7020.210000 N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AU8 3300000.000000 PA USD 3328175.400000 0.101629 Long DBT CORP US N 2 2032-02-15 Fixed 6.25 N N N N N N UMBS PASS THRU POOLS N/A 01F042657 30400000.000000 PA USD 28962997.780000 0.884416 Long ABS-MBS USGSE US N 2 2054-05-13 Fixed 4.5 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGG8 100000.000000 PA USD 87822.150000 0.0026817 Long DBT CORP US N 2 2048-01-20 Floating 4.443 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 6695000.000000 PA USD 6273729.580000 0.191575 Long DBT CORP US N 2 2030-04-15 Fixed 3.875 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 30161MAN3 2195000.000000 PA USD 2170888.820000 0.0662904 Long DBT CORP US N 2 2042-06-15 Fixed 5.6 N N N N N N N/A N/A 000000000 -3000000.000000 NC USD -0.300000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68800 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-01 XXXX 10949.700000 N N N ENTERGY ARKANSAS LLC 549300A0I5ONUIFMLP35 29366MAD0 2800000.000000 PA USD 2809819.070000 0.0858008 Long DBT CORP US N 2 2033-01-15 Fixed 5.15 N N N N N N COBANK ACB (AKA: COBANK AB) P0J8I7M2E0A77CKF1705 19075QAD4 3500000.000000 NS USD 2883965.000000 0.088065 Long EP CORP US N 2 N N N DIAMOND SPORTS GROUP LLC 5493002K6DHWNZH8YA34 25277BAE8 385739.290000 PA USD 371274.070000 0.0113373 Long LON CORP US N 2 2026-05-25 Floating 15.4201 N N N N N N TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AMERICA (TIAA-CREF) O06XD7BJ4EPXNABVFN69 878091BF3 400000.000000 PA USD 331971.940000 0.0101371 Long DBT CORP US N 2 2047-05-15 Fixed 4.27 N N N N N N ENBRIDGE ENERGY PARTNERS LP CZ6VG2MNE1J6YDI02G48 29250RAT3 500000.000000 PA USD 492896.990000 0.0150511 Long DBT CORP US N 2 2040-09-15 Fixed 5.5 N N N N N N AXIS SPECIALTY FINANCE LLC N/A 05463HAB7 4000000.000000 PA USD 3803120.440000 0.116132 Long DBT CORP US N 2 2029-07-15 Fixed 3.9 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CV5 6400000.000000 PA USD 6130402.430000 0.187198 Long DBT CORP US N 2 2040-05-01 Fixed 5.705 N N N N N N E.ON INTERNATIONAL FINANCE BV 549300TG53AWJ719M814 268789AB0 600000.000000 PA USD 654543.950000 0.0199872 Long DBT CORP NL N 2 2038-04-30 Fixed 6.65 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 28370TAF6 40000.000000 PA USD 34174.570000 0.0010436 Long DBT CORP US N 2 2042-11-01 Fixed 4.7 N N N N N N UMBS PASS THRU POOLS N/A 01F032641 22000000.000000 PA USD 19690739.420000 0.601278 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 3.5 N N N N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109CD4 4300000.000000 PA USD 3816333.720000 0.116536 Long DBT CORP US N 2 2031-02-15 Fixed 3.2 N N N N N N VISTRA ZERO OPERATING COMPANY LLC N/A 92841DAB7 1000000.000000 PA USD 1001250.000000 0.0305742 Long LON CORP US N 2 2031-03-20 Floating 8.06983 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYB4 8700000.000000 PA USD 7304163.210000 0.223041 Long DBT CORP US N 2 2032-04-22 Floating 2.615 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65559CAD3 1400000.000000 PA USD 1156703.660000 0.0353212 Long DBT CORP FI N 2 2029-03-01 Floating 3.75 N N N N Y NORDEA BANK ABP EUR XXXX N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HY6 4800000.000000 PA USD 3594602.260000 0.109765 Long DBT CORP US N 2 2047-12-01 Fixed 3.95 N N N N N N WELLTOWER OP LLC T6IZ0MBEG5ACZDTR7D06 42217KBB1 800000.000000 PA USD 728624.020000 0.0222493 Long DBT CORP US N 2 2043-03-15 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC 4730.120000 0.0001444 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 227000.000000 GBP 291238.120000 USD 2024-04-02 4730.120000 N N N CELEO REDES OPERACION CHILE SA 959800U0HC7MFYWVH407 15103JAA0 470419.760000 PA USD 422418.130000 0.012899 Long DBT CORP CL N 2 2047-06-22 Fixed 5.2 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BB7 40000.000000 PA USD 35050.150000 0.0010703 Long DBT CORP US N 2 2042-12-01 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 9313.780000 0.0002844 N/A DCR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 BAIDU INC BAIDU INC Y Single Leg Swap 2024-12-20 0.000000 USD -426.990000 USD 1800000.000000 USD 9740.770000 N N N LAZARD GROUP LLC FI94J2CJ1D7BIGVMS874 52107QAK1 209000.000000 PA USD 200557.910000 0.0061243 Long DBT CORP US N 2 2029-03-11 Fixed 4.375 N N N N N N DELOS AIRCRAFT LEASING DESIGNATED ACTIVITY COMPANY N/A L2324EAF8 3600000.000000 PA USD 3613500.000000 0.110342 Long LON CORP IE N 2 2027-10-31 Floating 7.3019 N N N N N N LOWE`S COMPANIES INC WAFCR4OKGSC504WU3E95 548661EE3 2700000.000000 PA USD 1921058.150000 0.0586616 Long DBT CORP US N 2 2041-09-15 Fixed 2.8 N N N N N N N/A N/A 000000000 1.000000 NC -30.000000 -0.0000009 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 68666.280000 USD 488045.590000 CNY 2024-04-11 -30.000000 N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YCM9 700000.000000 PA USD 715888.700000 0.0218604 Long DBT CORP JP N 2 2033-09-13 Floating 5.669 N N N N N N GATX CORPORATION 549300IHYHCQP2PIR591 361448AX1 1038000.000000 PA USD 852312.910000 0.0260263 Long DBT CORP US N 2 2045-03-30 Fixed 4.5 N N N N N N REGENCY CENTERS LP 5493008PTR2GAOYBXW28 75884RAW3 1100000.000000 PA USD 904051.180000 0.0276062 Long DBT CORP US N 2 2047-02-01 Fixed 4.4 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822BE3 2200000.000000 PA USD 1997649.190000 0.0610004 Long DBT CORP JP N 2 2039-03-07 Fixed 4.153 N N N N N N N/A N/A 000000000 1.000000 NC 6216.210000 0.0001898 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 363856.000000 USD 12588253.260000 TRY 2024-05-14 6216.210000 N N N INVITATION HOMES OPERATING PARTNERSHIP LP 549300147YMUQB3GW319 46188BAA0 4000000.000000 PA USD 3180480.360000 0.0971194 Long DBT CORP US N 2 2031-08-15 Fixed 2 N N N N N N ENEL FINANCE AMERICA LLC 549300EGNLVUJX1DEC60 29280HAB8 9750000.000000 PA USD 6629064.490000 0.202426 Long DBT CORP US N 2 2041-07-12 Fixed 2.875 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAH6 350000.000000 PA USD 273583.390000 0.0083542 Long DBT CORP US N 2 2040-08-15 Fixed 3.161 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAQ6 3400000.000000 PA USD 2734844.980000 0.0835114 Long DBT CORP US N 2 2048-06-25 Fixed 4.875 N N N N N N RENEW PRIVATE LIMITED 335800BITJZHVZ1CN475 75975AAA8 1077000.000000 PA USD 1052767.500000 0.0321474 Long DBT CORP IN N 2 2027-03-05 Fixed 5.875 N N N N N N PUGET ENERGY INC SYBSJ96YIDMIUY7WDR33 745310AK8 500000.000000 PA USD 457501.840000 0.0139703 Long DBT CORP US N 2 2030-06-15 Fixed 4.1 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PAT5 1200000.000000 PA USD 1031776.900000 0.0315064 Long DBT CORP US N 2 2047-05-09 Fixed 4.5 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 600000.000000 PA USD 557502.080000 0.0170239 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VFV1 21700000.000000 PA USD 13544352.290000 0.413591 Long DBT CORP US N 2 2060-11-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 7375.430000 0.0002252 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2024-09-15 0.000000 JPY -18100.370000 JPY 2666300000.000000 JPY 25475.800000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GK3 700000.000000 PA USD 565923.240000 0.0172811 Long DBT CORP US N 2 2048-03-01 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC 31784.830000 0.0009706 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1666000.000000 GBP 2134526.350000 USD 2024-04-02 31784.830000 N N N WEA FINANCE LLC / WESTFIELD UK & EUROPE FINANCE PLC N/A 92890HAC6 900000.000000 PA USD 888337.860000 0.0271264 Long DBT CORP US N 2 2024-09-17 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 18107.030000 0.0005529 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2024-12-20 0.000000 USD -23305.520000 USD 2800000.000000 USD 41412.550000 N N N CSL FINANCE PLC 2549007CCNBNAF4HBC02 12661PAD1 900000.000000 PA USD 832976.860000 0.0254358 Long DBT CORP GB N 2 2042-04-27 Fixed 4.625 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBE2 5300000.000000 PA USD 4402420.830000 0.134433 Long DBT CORP US N 2 2052-03-15 Fixed 5.141 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 7649000.000000 PA USD 6633415.730000 0.202559 Long DBT CORP US N 2 2033-04-15 Fixed 3.419 N N N N N N SEADRILL FINANCE LIMITED 213800WMN3OHFUDHD642 81172QAA2 400000.000000 PA USD 420017.600000 0.0128257 Long DBT CORP BM N 2 2030-08-01 Fixed 8.375 N N N N N N N/A N/A 000000000 1.000000 NC 201.870000 0.0000062 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 118578.560000 CNY 16537.000000 USD 2024-04-19 201.870000 N N N SBA TOWER TRUST N/A 78403DAR1 200000.000000 PA USD 176012.940000 0.0053747 Long DBT CORP US N 2 2052-07-15 Fixed 2.328 N N N N N N N/A N/A 000000000 -6000000.000000 NC USD -21881.400000 -0.0006682 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.69000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-26 XXXX -4931.400000 N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 04273WAC5 1500000.000000 PA USD 1260015.630000 0.0384759 Long DBT CORP US N 2 2032-02-15 Fixed 2.95 N N N N N N COSTAR GROUP INC N/A 22160NAA7 800000.000000 PA USD 682738.170000 0.0208481 Long DBT CORP US N 2 2030-07-15 Fixed 2.8 N N N N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 26884LAR0 1600000.000000 PA USD 1595719.680000 0.048727 Long DBT CORP US N 2 2034-02-01 Fixed 5.75 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FC2 2879000.000000 PA USD 2915795.000000 0.0890369 Long DBT CORP US N 2 2036-02-01 Fixed 5.625 N N N N N N STATION CASINOS LLC 5493004E7Q60TX54WL62 BA00027J4 1600000.000000 PA USD 1599816.000000 0.0488521 Long LON CORP US N 2 2031-03-07 Floating 7.5754 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280EE5 4300000.000000 PA USD 4353518.660000 0.132939 Long DBT CORP GB N 2 2035-03-04 Floating 5.719 N N N N N N TRANSCONTINENTAL GAS PIPE LINE COMPANY LLC N/A 893574AM5 4440000.000000 PA USD 3934486.860000 0.120144 Long DBT CORP US N 2 2048-03-15 Fixed 4.6 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903BJ1 8800000.000000 PA USD 8776597.540000 0.268003 Long DBT CORP US N 2 2027-10-15 Fixed 5 N N N N N N NIAGARA MOHAWK POWER CORPORATION 3T97Y9RR5EN5Y18QHB56 65364UAU0 1200000.000000 PA USD 1194925.740000 0.0364883 Long DBT CORP US N 2 2054-01-17 Fixed 5.664 N N N N N N FORTUNE STAR (BVI) LIMITED 2549008CU8NYQQRSNU62 ACI1NB4T6 2300000.000000 PA USD 2267343.890000 0.0692358 Long DBT CORP VG N 2 2024-07-02 Fixed 6.85 N N N N N N ANGLOGOLD ASHANTI HOLDINGS PLC 213800745ZIXC4L6A131 03512TAE1 600000.000000 PA USD 524754.890000 0.016024 Long DBT CORP IM N 2 2030-10-01 Fixed 3.75 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2L8 3700000.000000 PA USD 3716651.670000 0.113492 Long DBT CORP US N 2 2029-01-08 Fixed 5.5 N N N N N N WESTERN MIDSTREAM OPERATING LP L6D8A6MLSY454J2JXJ60 958254AJ3 1500000.000000 PA USD 1317098.550000 0.040219 Long DBT CORP US N 2 2048-03-01 Fixed 5.3 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAR3 1000000.000000 PA USD 741688.150000 0.0226482 Long DBT CORP US N 2 2033-11-15 Fixed 2.65 N N N N N N ELMWOOD CLO X LTD 2021-3A N/A 29002VAA6 3000000.000000 PA USD 3000791.160000 0.0916324 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 6.61942 N N N N N N STUDIO CITY CO LTD N/A 86400GAC3 4800000.000000 PA USD 4808030.400000 0.146818 Long DBT CORP VG N 2 2027-02-15 Fixed 7 N N N N N N N/A N/A 000000000 -3000000.000000 NC USD -0.300000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.02700 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 4.030000 USD 2024-04-01 XXXX 10949.700000 N N N TENNESSEE GAS PIPELINE COMPANY LLC N/A 880451AZ2 3500000.000000 PA USD 3066810.150000 0.0936483 Long DBT CORP US N 2 2030-03-01 Fixed 2.9 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAK6 8800000.000000 PA USD 8257881.280000 0.252163 Long DBT CORP US N 2 2028-06-15 Fixed 4.6 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PG0 5200000.000000 PA USD 5150426.530000 0.157274 Long DBT CORP US N 2 2035-02-13 Floating 5.827 N N N N N N CVS PASS-THROUGH TRUST SERIES 2013 N/A 12665UAA2 1257530.680000 PA USD 1150963.750000 0.0351459 Long DBT CORP US N 2 2036-01-10 Fixed 4.704 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7QV6 454957.000000 PA USD 31846.990000 0.0009725 Long DBT CORP KY N 2 2029-09-30 Fixed 7 N N Y N N N BOARDWALK PIPELINES LP 549300W6AQ2GHHCGL606 096630AH1 2100000.000000 PA USD 1863829.490000 0.056914 Long DBT CORP US N 2 2031-02-15 Fixed 3.4 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAB2 900000.000000 PA USD 767624.040000 0.0234402 Long DBT CORP US N 2 2029-04-01 Fixed 4.65 N N N N N N ESTEE LAUDER COMPANIES INC 549300VFZ8XJ9NUPU221 29736RAU4 1000000.000000 PA USD 973210.080000 0.029718 Long DBT CORP US N 2 2053-05-15 Fixed 5.15 N N N N N N N/A N/A 000000000 -79212499.000000 PA USD -79331537.790000 -2.42247 Short RA US N 2 Reverse repurchase N 5.410000 2024-04-04 112959000.000000 USD 78921276.890000 USD UST N N N COMMONWEALTH EDISON COMPANY D8YOXB8L2ZDC8P7Q0771 202795JJ0 55000.000000 PA USD 42390.280000 0.0012944 Long DBT CORP US N 2 2046-06-15 Fixed 3.65 N N N N N N BLUE OWL CAPITAL CORPORATION 2549000BD79OOCPF2L94 69121KAG9 200000.000000 PA USD 176895.610000 0.0054017 Long DBT CORP US N 2 2028-06-11 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TN8 15400000.000000 PA USD 13526734.450000 0.413053 Long DBT UST US N 2 2053-02-15 Fixed 3.625 N N N N N N AERCAP (SETANTA AIRCRAFT LEASING DESIGNATED ACTIVITY COMPANY) N/A G8057JAB2 4500000.000000 PA USD 4514377.500000 0.137851 Long LON CORP IE N 2 2028-11-05 Floating 7.5635 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 253239.000000 PA USD 135641.140000 0.0041419 Long DBT NUSS AR N 2 2029-07-09 Fixed 1 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680AV5 9862000.000000 PA USD 9060902.340000 0.276684 Long DBT CORP US N 2 2048-07-15 Fixed 5.2 N N N N N N HOAG MEMORIAL HOSPITAL PRESBYTERIAN FZFVQHQN7LISVXIZDB30 43371HAA1 1100000.000000 PA USD 895732.610000 0.0273522 Long DBT CORP US N 2 2052-07-15 Fixed 3.803 N N N N N N RAYMOND JAMES FINANCIAL INC RGUZHJ05YTITL6D76949 754730AF6 25000.000000 PA USD 23017.730000 0.0007029 Long DBT CORP US N 2 2046-07-15 Fixed 4.95 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HJW1 6877000.000000 NS USD 6878306.630000 0.210036 Long EP CORP US N 2 N N N FERGUSON FINANCE PLC 2138003A7ZEU931DZL61 314890AB0 700000.000000 PA USD 626677.000000 0.0191363 Long DBT CORP GB N 2 2030-06-02 Fixed 3.25 N N N N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334JW2 80000.000000 PA USD 69787.180000 0.002131 Long DBT CORP US N 2 2042-03-15 Fixed 4.3 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAX6 2000000.000000 PA USD 1939288.580000 0.0592183 Long DBT CORP NL N 2 2032-06-15 Fixed 5 N N N N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161NAC5 200000.000000 PA USD 203393.130000 0.0062108 Long DBT CORP US N 2 2035-06-15 Fixed 5.625 N N N N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 718172AU3 2600000.000000 PA USD 2084123.370000 0.0636409 Long DBT CORP US N 2 2042-08-21 Fixed 3.875 N N N N N N UNIGEL LUXEMBOURG SA N/A 904752AB8 2200000.000000 PA USD 685741.630000 0.0209399 Long DBT CORP LU N 2 2026-10-01 Fixed 8.75 Y Y N N N N BANC OF AMERICA FUND CORP 2006-3 N/A 058931BC9 72270.930000 PA USD 53997.320000 0.0016489 Long ABS-MBS CORP US N 3 2036-03-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 176.260000 0.0000054 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 116492.380000 CNY 16224.000000 USD 2024-04-19 176.260000 N N N N/A N/A 000000000 1.000000 NC USD 127742.400000 0.0039008 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-06-20 0.000000 USD -11337.000000 USD 27000000.000000 USD 139079.400000 N N N UMBS PASS THRU POOLS N/A 01F040651 128800000.000000 PA USD 119339448.090000 3.64416 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 4 N N N N N N TRAVELERS COMPANIES INC 549300Y650407RU8B149 89417EAN9 1000000.000000 PA USD 846187.080000 0.0258392 Long DBT CORP US N 2 2048-03-07 Fixed 4.05 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDP6 1000000.000000 PA USD 892831.860000 0.0272636 Long DBT CORP NL N 2 2033-04-06 Floating 3.758 N N N N N N N/A N/A 000000000 1.000000 NC -4091.760000 -0.0001249 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 192420.000000 USD 6088746.060000 TRY 2024-03-29 -4091.760000 N N N SVB FINANCIAL GROUP 549300D2KJ20JMXE7542 78486QAS0 3200000.000000 PA USD 2030000.000000 0.0619882 Long DBT CORP US N 2 2033-04-29 Floating 4.57 Y Y N N N N UNITED AIRLINES 2014-1 CLASS A PASS THROUGH TRUST N/A 90932PAA6 428044.620000 PA USD 415037.110000 0.0126736 Long DBT CORP US N 2 2027-10-11 Fixed 4 N N N N N N BLUE OWL FINANCE LLC 254900OF2NO2GYFV5T41 09581JAG1 3700000.000000 PA USD 3262098.230000 0.0996117 Long DBT CORP US N 2 2032-02-15 Fixed 4.375 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JJ7 7850000.000000 PA USD 5370518.080000 0.163994 Long DBT CORP US N 2 2050-08-01 Fixed 3.5 N N N N N N ABU DHABI CRUDE OIL PIPELINE LLC 549300DONDFW2383FV66 M0R52WAB9 1400000.000000 PA USD 1259297.200000 0.038454 Long DBT CORP AE N 2 2047-11-02 Fixed 4.6 N N N N N N HOLCIM FINANCE US LLC 529900FB2F1WKLFNGY62 50587KAB7 1421000.000000 PA USD 1261052.890000 0.0385076 Long DBT CORP US N 2 2046-09-22 Fixed 4.75 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PJ4 3200000.000000 NS USD 3279328.000000 0.100138 Long EP CORP US N 2 N N N CALIFORNIA STATE PUBLIC WORKS BOARD N/A 130685C81 2600000.000000 PA USD 2996761.560000 0.0915093 Long DBT MUN US N 2 2035-03-01 Fixed 7.804 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RY6 25300000.000000 PA USD 18942386.780000 0.578426 Long DBT UST US N 2 2047-08-15 Fixed 2.75 N N N N N N DRSLF-2017-54A N/A 26244RAF8 3000000.000000 PA USD 3000000.000000 0.0916082 Long ABS-CBDO CORP KY N 2 2029-10-19 Floating 6.47852 N N N N N N SAUDI ELECTRICITY GLOBAL SUKUK COMPANY - 3 549300BJ6IA5S2UFVN71 80413MAB0 5100000.000000 PA USD 5065422.000000 0.154678 Long DBT CORP KY N 2 2044-04-08 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 5207.150000 0.000159 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 3329447.000000 AUD 2176649.280000 USD 2024-05-02 5207.150000 N N N N/A N/A 000000000 1.000000 NC -7701.260000 -0.0002352 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 270560.000000 USD 8736652.960000 TRY 2024-04-24 -7701.260000 N N N AEP TEXAS INC (AKA: CENTRAL & SOUTH WEST CORP) 5493001L78U618KXNZ75 00108WAJ9 1600000.000000 PA USD 1270851.180000 0.0388068 Long DBT CORP US N 2 2049-05-01 Fixed 4.15 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2X1 4100000.000000 PA USD 4130432.870000 0.126127 Long DBT CORP FR N 2 2035-02-20 Floating 5.738 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR1 N/A 65535VJB5 253060.290000 PA USD 245732.650000 0.0075037 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.51389 N N N N N N UNIVERSITY OF SOUTHERN CALIFORNIA 0GMCSQ6M60R4T46U5511 914886AA4 40000.000000 PA USD 41755.140000 0.001275 Long DBT CORP US N 2 2111-10-01 Fixed 5.25 N N N N N N CREDIT SUISSE AG/NEW YORK BRANCH 549300D0YARF5HYP1809 22550L2M2 2050000.000000 PA USD 2211419.300000 0.0675281 Long DBT CORP CH N 2 2028-02-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC -258.020000 -0.0000079 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 50449.410000 USD 77022.000000 AUD 2024-04-02 -258.020000 N N N AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST N/A 02376UAA3 643150.180000 PA USD 603216.730000 0.0184199 Long DBT CORP US N 2 2029-07-15 Fixed 3.575 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAL4 900000.000000 PA USD 823997.620000 0.0251617 Long DBT CORP US N 2 2047-03-01 Fixed 5.2 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHA0 265000.000000 PA USD 217225.880000 0.0066332 Long DBT CORP US N 2 2049-01-23 Floating 3.946 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AK3 2700000.000000 PA USD 2360323.990000 0.072075 Long DBT CORP US N 2 2028-10-12 Fixed 3.125 N N N N N N N/A N/A 000000000 -2800000.000000 NC USD -8990.520000 -0.0002745 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67800 04/29/24-10Y LCH 2034-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.680000 USD 2024-04-25 XXXX -975.520000 N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 94973VBF3 500000.000000 PA USD 476076.690000 0.0145375 Long DBT CORP US N 2 2044-01-15 Fixed 5.1 N N N N N N ABU DHABI GOVT 213800FER4348CINTA77 ACI1LP9H8 3400000.000000 PA USD 2726103.000000 0.0832445 Long DBT NUSS AE N 2 2050-04-16 Fixed 3.875 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VGL2 6750000.000000 PA USD 4863150.230000 0.148502 Long DBT CORP US N 2 2041-09-03 Fixed 2.85 N N N N N N GSMPS MORTGAGE LOAN TRUST 2005-RP2 N/A 36242DT52 559187.840000 PA USD 509883.630000 0.0155698 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.79389 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473QBF9 1800000.000000 PA USD 1510176.200000 0.0461149 Long DBT CORP US N 2 2047-05-15 Fixed 4.375 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JQ1 4200000.000000 PA USD 3589665.450000 0.109614 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N REXFORD INDUSTRIAL REALTY LP 549300028US163ELJN70 76169XAB0 1500000.000000 PA USD 1203612.050000 0.0367536 Long DBT CORP US N 2 2031-09-01 Fixed 2.15 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GY3 900000.000000 PA USD 585465.430000 0.0178778 Long DBT CORP US N 2 2051-02-01 Fixed 2.95 N N N N N N EMBOTELLADORA ANDINA SA 254900NNPKP1J9XTSA53 29081PAF2 800000.000000 PA USD 605085.260000 0.0184769 Long DBT CORP CL N 2 2050-01-21 Fixed 3.95 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AH0 2400000.000000 PA USD 2310588.000000 0.0705563 Long DBT CORP US N 2 2025-06-25 Fixed 2.9 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 ACI1FL2Y4 2200000.000000 PA 1714898.380000 0.0523663 Long DBT CORP FR N 2 2028-01-15 Fixed 3.375 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAG2 1000000.000000 PA USD 826628.020000 0.025242 Long DBT CORP DE N 2 2033-01-07 Floating 3.742 N N N N N N N/A N/A 000000000 34800000.000000 NC USD 25484.040000 0.0007782 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.97500 05/31/24-1Y LCH 2025-05-31 0.000000 USD 0.000000 USD N/A USD N/A 4.970000 USD 2024-05-29 XXXX -12795.960000 N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BT0 4900000.000000 PA USD 3630253.100000 0.110854 Long DBT CORP US N 2 2050-03-01 Fixed 4.8 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAR4 3800000.000000 PA USD 3034900.320000 0.0926739 Long DBT CORP US N 2 2031-10-28 Fixed 2.875 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 03523TBT4 4100000.000000 PA USD 3651753.070000 0.11151 Long DBT CORP US N 2 2048-10-06 Fixed 4.439 N N N N N N N/A N/A 000000000 1.000000 NC 201.630000 0.0000062 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 287000.000000 CAD 212083.200000 USD 2024-04-02 201.630000 N N N UNION ELECTRIC COMPANY QMPJLLDULY5C1M8PNY21 906548CW0 2800000.000000 PA USD 2781750.050000 0.0849437 Long DBT CORP US N 2 2053-03-15 Fixed 5.45 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBF7 2000000.000000 PA USD 1624943.260000 0.0496194 Long DBT CORP US N 2 2033-02-15 Fixed 2.6 N N N N N N N/A N/A 000000000 1.000000 NC USD 41217.080000 0.0012586 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2027-06-20 0.000000 USD -9811.650000 USD 2900000.000000 USD 51028.730000 N N N NEUBERGER BERMAN LOAN ADVISERS CLO 31 LTD N/A 64132JAN5 3400000.000000 PA USD 3400077.110000 0.103825 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.61942 N N N N N N NIPPON LIFE INSURANCE COMPANY 549300Y0HHMFW3EVWY08 654579AM3 4500000.000000 PA USD 4708347.170000 0.143774 Long DBT CORP JP N 2 2053-09-13 Floating 6.25 N N N N N N BANCO INBURSA SA 9598007PWYZP4GP23S45 05969LAB7 200000.000000 PA USD 192910.180000 0.0058907 Long DBT CORP MX N 2 2027-04-11 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 6678.960000 0.0002039 N/A DCR US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2024-06-20 0.000000 USD -37426.340000 USD 2800000.000000 USD 44105.300000 N N N SELECTIVE INSURANCE GROUP INC 549300R3WGJWLE40R258 816300AH0 1700000.000000 PA USD 1627213.940000 0.0496887 Long DBT CORP US N 2 2049-03-01 Fixed 5.375 N N N N N N HIGHWOODS REALTY LP JUJNVZX73BIYHLR58F51 431282AS1 2600000.000000 PA USD 2196315.730000 0.0670669 Long DBT CORP US N 2 2030-02-15 Fixed 3.05 N N N N N N UMBS PASS THRU POOLS N/A 01F050650 10300000.000000 PA USD 10053354.240000 0.30699 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CS7 10700000.000000 PA USD 7815888.940000 0.238667 Long DBT CORP US N 2 2050-02-21 Fixed 3.375 N N N N N N AMERICAN WATER CAPITAL CORP 5IDHQUFVC8Q2KIBBFF06 03040WBC8 3400000.000000 PA USD 3432256.140000 0.104808 Long DBT CORP US N 2 2054-03-01 Fixed 5.45 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 06423AAJ2 275000.000000 PA USD 328456.550000 0.0100298 Long DBT CORP US N 2 2030-09-01 Fixed 8.75 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBD1 400000.000000 PA USD 345937.290000 0.0105636 Long DBT CORP GB N 2 2043-02-19 Fixed 4.375 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AM9 1000000.000000 PA USD 1045974.650000 0.03194 Long DBT CORP US N 2 2029-01-15 Fixed 7.875 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 36186CBY8 2250000.000000 PA USD 2508524.350000 0.0766005 Long DBT CORP US N 2 2031-11-01 Fixed 8 N N N N N N MELCO RESORTS FINANCE LIMITED 5493000FQDBWKDBZEF60 58547DAD1 1500000.000000 PA USD 1374975.000000 0.0419863 Long DBT CORP KY N 2 2029-12-04 Fixed 5.375 N N N N N N DUKE ENERGY OHIO INC L6KC0HABGHNFU1Z6QY21 26442EAK6 1300000.000000 PA USD 1325136.240000 0.0404645 Long DBT CORP US N 2 2053-04-01 Fixed 5.65 N N N N N N VICI PROPERTIES LP / VICI NOTE CO INC N/A 92564RAJ4 1900000.000000 PA USD 1899025.680000 0.0579888 Long DBT CORP US N 2 2027-02-01 Fixed 5.75 N N N N N N SEMPRA PBBKGKLRK5S5C0Y4T545 816851AP4 3635000.000000 PA USD 3717581.420000 0.11352 Long DBT CORP US N 2 2039-10-15 Fixed 6 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAX9 2300000.000000 PA USD 1627975.240000 0.049712 Long DBT CORP US N 2 2041-04-01 Fixed 2.9 N N N N N N MONONGAHELA POWER COMPANY N/A 610202BP7 4224000.000000 PA USD 4054208.460000 0.1238 Long DBT CORP US N 2 2043-12-15 Fixed 5.4 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YCT4 700000.000000 PA USD 718265.420000 0.021933 Long DBT CORP JP N 2 2034-05-27 Floating 5.754 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DE5 5000000.000000 PA USD 4935444.450000 0.150709 Long DBT CORP US N 2 2055-01-15 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC -2236.570000 -0.0000683 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 382827.760000 USD 12525741.480000 TRY 2024-04-16 -2236.570000 N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAF6 2450000.000000 PA USD 2166097.040000 0.0661441 Long DBT CORP US N 2 2029-08-15 Fixed 3.75 N N N N N N N/A N/A 000000000 -3100000.000000 NC USD -7233.540000 -0.0002209 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.95000 04/16/24-10Y LCH 2034-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.950000 USD 2024-04-12 XXXX 3461.460000 N N N ROCKIES EXPRESS PIPELINE LLC W2ZGZGZKY5GGNY6F3V51 77340RAR8 3000000.000000 PA USD 2805998.700000 0.0856842 Long DBT CORP US N 2 2029-07-15 Fixed 4.95 N N N N N N COMM MORTGAGE TRUST 2015-3BP N/A 12592TAA3 3100000.000000 PA USD 2905931.630000 0.0887357 Long ABS-MBS CORP US N 2 2035-02-10 Fixed 3.178 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JBD9 820000.000000 PA USD 607318.970000 0.0185451 Long DBT CORP US N 2 2042-09-15 Fixed 4.5 N N N N N N CHROMALLOY CORPORATION N/A BA0002LM1 3200000.000000 PA USD 3194656.000000 0.0975523 Long LON CORP US N 2 2031-03-21 Floating 9.07544 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAC2 3000000.000000 PA USD 2568619.770000 0.0784356 Long DBT CORP NL N 2 2047-05-25 Fixed 4.75 N N N N N N MUTUAL OF OMAHA COMPANIES GLOBAL FUNDING 635400AL5J3F1ZPTAN95 62829D2B5 1500000.000000 PA USD 1530599.540000 0.0467385 Long DBT CORP US N 2 2028-12-12 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC USD 3184.830000 0.0000973 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -2860.180000 USD 400000.000000 USD 6045.010000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAY6 10000000.000000 PA USD 7442086.300000 0.227252 Long DBT CORP US N 2 2049-10-15 Fixed 3.7 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VAY9 5697000.000000 PA USD 5086023.130000 0.155307 Long DBT CORP US N 2 2043-02-15 Fixed 4.45 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEU5 800000.000000 PA USD 776212.310000 0.0237025 Long DBT CORP US N 2 2033-07-20 Floating 4.889 N N N N N N KAISA GROUP HOLDINGS LTD 254900N8L3L7NRJT0120 BYW5T4II1 6400000.000000 PA USD 184000.000000 0.0056186 Long DBT CORP KY N 2 2024-06-30 Fixed 0 Y Y N N N N AMERICAN AIRLINES 2013-1 CLASS A PASS THROUGH TRUST N/A 023772AB2 294750.080000 PA USD 285850.930000 0.0087288 Long DBT CORP US N 2 2027-01-15 Fixed 4 N N N N N N NORFOLK SOUTHERN CORPORATION 54930036C8MWP850MI84 655844CP1 1300000.000000 PA USD 1140032.230000 0.0348121 Long DBT CORP US N 2 2053-06-01 Fixed 4.55 N N N N N N AEP TEXAS INC (AKA: CENTRAL & SOUTH WEST CORP) 5493001L78U618KXNZ75 00108WAM2 700000.000000 PA USD 583389.620000 0.0178144 Long DBT CORP US N 2 2030-07-01 Fixed 2.1 N N N N N N NATIONWIDE MUTUAL INSURANCE COMPANY Z7LVXXWM8HZPKF5T2355 638671AK3 2500000.000000 PA USD 3254267.550000 0.0993726 Long DBT CORP US N 2 2039-08-15 Fixed 9.375 N N N N N N FLEX LTD (AKA: FLEXTRONICS INTERNATIONAL LTD) 549300EAQH74YHD07T53 33938XAA3 2000000.000000 PA USD 1962365.340000 0.0599229 Long DBT CORP SG N 2 2029-06-15 Fixed 4.875 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 2100000.000000 PA USD 2024960.360000 0.0618343 Long DBT CORP GB N 2 2028-03-13 Floating 4.041 N N N N N N EASTERN GAS TRANSMISSION AND STORAGE INC H2VQBNB3NSKRM5QWBI71 276480AD2 1200000.000000 PA USD 1032043.960000 0.0315146 Long DBT CORP US N 2 2044-12-15 Fixed 4.6 N N N N N N TESCO PROPERTY FINANCE 6 PLC 213800FORYFOB97FHO66 B9JST3II3 711955.470000 PA 889811.610000 0.0271714 Long DBT CORP GB N 2 2044-07-13 Fixed 5.4111 N N N N N N N/A N/A 000000000 1.000000 NC -11335.150000 -0.0003461 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 404569.000000 USD 13101967.070000 TRY 2024-04-26 -11335.150000 N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 980236AM5 100000.000000 PA USD 98096.180000 0.0029955 Long DBT CORP AU N 2 2025-03-05 Fixed 3.65 N N N N N N N/A N/A 000000000 -4100000.000000 NC USD -4875.310000 -0.0001489 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.10500 04/24/24-10Y LCH 2034-04-24 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2024-04-22 XXXX 8757.190000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38144GAG6 4400000.000000 NS USD 4028992.000000 0.12303 Long EP CORP US N 2 N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAS4 3000000.000000 PA USD 3267674.250000 0.0997819 Long DBT CORP FR N 2 2034-10-19 Floating 7.003 N N N N N N N/A N/A 000000000 -3000000.000000 NC USD -0.300000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08800 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2024-04-01 XXXX 10949.700000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148YAA6 5100000.000000 PA USD 4393778.620000 0.134169 Long DBT CORP US N 2 2038-10-31 Floating 4.017 N N N N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAD9 2000000.000000 PA USD 1333538.780000 0.040721 Long DBT CORP US N 2 2051-07-15 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -35904.960000 -0.0010964 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.40 Y Single Leg Swap 2028-12-20 0.000000 USD -71880.000000 USD 1500000.000000 USD 35975.040000 N N N CARNIVAL CORPORATION F1OF2ZSX47CR0BCWA982 P2121YAU2 2481250.010000 PA USD 2487974.200000 0.075973 Long LON CORP US N 2 2027-08-08 Floating 8.3187 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 303901BB7 2500000.000000 PA USD 2470298.680000 0.0754332 Long DBT CORP CA N 2 2028-04-17 Fixed 4.85 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 4767889.500000 PA USD 3663976.370000 0.111884 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAS8 900000.000000 PA USD 842263.340000 0.0257194 Long DBT CORP US N 2 2045-05-14 Fixed 4.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 84502.280000 0.0025804 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AES CORPORATION AES CORP/THE SR UNSEC Y Single Leg Swap 2025-12-20 217710.900000 USD 0.000000 USD 1100000.000000 USD -133208.620000 N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 88339WAA4 3500000.000000 PA USD 2490142.970000 0.0760392 Long DBT CORP US N 2 2051-10-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -24793.530000 -0.0007571 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-13 0.000000 EUR -6251.730000 EUR 3300000.000000 EUR -18541.800000 N N N BGC GROUP INC 2549001IGRCG4F0RLD36 088929AC8 2100000.000000 PA USD 2232679.450000 0.0681773 Long DBT CORP US N 2 2028-05-25 Fixed 8 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAP5 1900000.000000 PA USD 1592921.090000 0.0486416 Long DBT CORP US N 2 2058-04-15 Fixed 4.9 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBF9 11000000.000000 PA USD 9137316.540000 0.279018 Long DBT CORP US N 2 2062-03-15 Fixed 5.391 N N N N N N DT MIDSTREAM INC N/A 23345MAC1 2900000.000000 PA USD 2637284.940000 0.0805323 Long DBT CORP US N 2 2032-04-15 Fixed 4.3 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 94973VBL0 85000.000000 PA USD 73605.450000 0.0022476 Long DBT CORP US N 2 2054-08-15 Fixed 4.85 N N N N N N BLACKSTONE HOLDINGS FINANCE CO LLC 549300D2L6J4NC1QVZ22 09261BAH3 10000000.000000 PA USD 6845859.200000 0.209046 Long DBT CORP US N 2 2052-01-30 Fixed 3.2 N N N N N N N/A N/A 000000000 1.000000 NC -120.920000 -0.0000037 N/A DFE TH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13276.730000 USD 476900.000000 THB 2024-06-20 -120.920000 N N N START IRELAND 2019-1 N/A 85573LAA9 555337.840000 PA USD 514361.290000 0.0157066 Long ABS-O CORP BM N 2 2044-03-15 Fixed 4.089 N N N N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109BY9 1300000.000000 PA USD 1273192.700000 0.0388783 Long DBT CORP US N 2 2026-09-15 Fixed 4.45 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 8391000.000000 PA USD 6067094.430000 0.185265 Long DBT CORP US N 2 2050-04-01 Fixed 3.6 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFB6 1100000.000000 PA USD 1103124.640000 0.0336851 Long DBT CORP US N 2 2038-01-19 Floating 5.948 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0RSP49 4610000.000000 PA 5166847.760000 0.157775 Long DBT CORP IT N 2 2027-01-11 Floating 7.75 N N N N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953CJ8 2000000.000000 PA USD 1995027.700000 0.0609203 Long DBT CORP US N 2 2032-04-15 Fixed 6.5 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBT6 2100000.000000 PA USD 2178637.290000 0.066527 Long DBT CORP US N 2 2029-06-13 Floating 6.992 N N N N N N N/A N/A 000000000 1.000000 NC -378.710000 -0.0000116 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 47109.340000 USD 506954.900000 NOK 2024-05-02 -378.710000 N N N FLORIDA POWER & LIGHT COMPANY A89MY1K3YLIGJMYWVX50 341081FR3 120000.000000 PA USD 101662.560000 0.0031044 Long DBT CORP US N 2 2048-06-01 Fixed 4.125 N N N N N N N/A N/A 000000000 -3000000.000000 NC -858.660000 -0.0000262 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.43000 04/16/24-5Y LCH 2029-04-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.430000 EUR 2024-04-12 XXXX 4139.760000 N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAW6 1900000.000000 PA USD 1861810.550000 0.0568524 Long DBT CORP US N 2 2026-02-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -6000000.000000 NC USD -10384.200000 -0.0003171 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2024-04-26 XXXX 6565.800000 N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 980236AP8 1126000.000000 PA USD 1060759.290000 0.0323914 Long DBT CORP AU N 2 2028-03-15 Fixed 3.7 N N N N N N N/A N/A 000000000 -4100000.000000 NC USD -13245.460000 -0.0004045 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.70500 04/24/24-10Y LCH 2034-04-24 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2024-04-22 XXXX 387.040000 N N N N/A N/A 000000000 1.000000 NC 4862.020000 0.0001485 N/A DCR JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ITRAXX JAPAN SERIES 41 Y Single Leg Swap 2029-06-20 4893.290000 JPY 0.000000 JPY 26000000.000000 JPY -31.270000 N N N N/A N/A 000000000 1.000000 NC USD -35993.360000 -0.0010991 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.34 Y Single Leg Swap 2025-12-20 0.000000 USD -122718.800000 USD 3404000.000000 USD 86725.440000 N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DK3 5400000.000000 PA USD 4920300.770000 0.150247 Long DBT CORP US N 2 2053-03-01 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC -370857.890000 -0.0113245 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -20041.870000 EUR 5500000.000000 EUR -350816.020000 N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAC7 3800000.000000 PA USD 3566568.700000 0.108909 Long DBT CORP GB N 2 2029-07-26 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 72851.710000 0.0022246 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -300182.260000 USD 19300000.000000 USD 373033.970000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 000000000 4000000.000000 NS USD 3798160.000000 0.115981 Long EP CORP US N 2 N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41 N/A 12667GR62 167195.880000 PA USD 126604.260000 0.003866 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.10389 N N N N N N BAE SYSTEMS PLC 8SVCSVKSGDWMW2QHOH83 05523RAE7 1800000.000000 PA USD 1217362.480000 0.0371735 Long DBT CORP GB N 2 2050-09-15 Fixed 3 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BN2 4700000.000000 PA USD 5183383.770000 0.15828 Long DBT CORP US N 2 2053-09-01 Fixed 6.625 N N N N N N MISSISSIPPI POWER COMPANY LNZ0J6YZ5SC6ILIRU850 605417BZ6 1700000.000000 PA USD 1449627.880000 0.0442659 Long DBT CORP US N 2 2042-03-15 Fixed 4.25 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAB7 500000.000000 PA USD 438491.060000 0.0133898 Long DBT CORP US N 2 2052-04-15 Fixed 4.95 N N N N N N YELLOWSTONE ENERGY LP N/A 98580LAA3 615006.810000 PA USD 600068.870000 0.0183237 Long DBT CORP US N 3 2026-12-31 Fixed 5.75 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CW3 7400000.000000 PA USD 7008222.020000 0.214004 Long DBT CORP US N 2 2050-05-01 Fixed 5.805 N N N N N N N/A N/A 000000000 -3000000.000000 NC -2094.370000 -0.000064 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.77000 04/16/24-5Y LCH 2029-04-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.770000 EUR 2024-04-12 XXXX 2904.050000 N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7PT2 151652.000000 PA USD 16158.520000 0.0004934 Long DBT CORP KY N 2 2027-09-30 Fixed 6.25 N N Y N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2Q5 2500000.000000 PA USD 1871644.500000 0.0571527 Long DBT CORP US N 2 2041-04-30 Floating 3.068 N N N N N N SEMPRA PBBKGKLRK5S5C0Y4T545 816851BR9 1300000.000000 PA USD 1304353.620000 0.0398298 Long DBT CORP US N 2 2033-08-01 Fixed 5.5 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAD3 1000000.000000 PA USD 1078369.000000 0.0329292 Long DBT CORP US N 2 2032-02-01 Fixed 9.875 N N N N N N UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST N/A 90931CAA6 1759583.270000 PA USD 1650477.670000 0.0503991 Long DBT CORP US N 2 2033-02-25 Fixed 4.15 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAL0 110000.000000 PA USD 90027.240000 0.0027491 Long DBT CORP US N 2 2048-11-15 Floating 3.964 N N N N N N MEMORIAL SLOAN-KETTERING CANCER CENTER 549300IZ71UAMEHWL382 586054AB4 40000.000000 PA USD 34266.070000 0.0010464 Long DBT CORP US N 2 2052-07-01 Fixed 4.125 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 5387229.430000 PA USD 52401580.630000 1.60014 Long STIV RF US N 1 N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 210385AC4 3800000.000000 PA USD 3918648.690000 0.11966 Long DBT CORP US N 2 2033-03-01 Fixed 5.8 N N N N N N BROOKFIELD FINANCE LLC / BROOKFIELD FINANCE INC N/A 11271RAB5 2000000.000000 PA USD 1403686.820000 0.0428631 Long DBT CORP US N 2 2050-04-15 Fixed 3.45 N N N N N N STRYKER CORPORATION 5493002F0SC4JTBU5137 863667BC4 400000.000000 PA USD 400319.170000 0.0122242 Long DBT CORP US N 2 2028-12-08 Fixed 4.85 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DA5 100000.000000 PA USD 72517.720000 0.0022144 Long DBT CORP US N 2 2041-08-15 Fixed 2.8 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABG5 3200000.000000 PA USD 3207841.220000 0.0979549 Long DBT CORP DK N 2 2028-03-01 Floating 5.427 N N N N N N N/A N/A 000000000 1.000000 NC USD 54933.850000 0.0016775 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 ENBRIDGE INC ENBRIDGE INC SR UNSEC Y Single Leg Swap 2026-12-20 35585.190000 USD 0.000000 USD 3700000.000000 USD 19348.660000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECS2 200000.000000 PA USD 208389.650000 0.0063634 Long DBT CORP GB N 2 2055-03-12 Floating 6.036 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CS7 1500000.000000 PA USD 1543409.300000 0.0471297 Long DBT CORP GB N 2 2029-01-09 Floating 6.301 N N N N N N N/A N/A 000000000 1.000000 NC 556196.850000 0.0169841 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2034-03-20 0.000000 AUD -168144.270000 AUD 33900000.000000 AUD 724341.120000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61762V853 99100.000000 NS USD 2607321.000000 0.0796173 Long EP CORP US N 1 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLG2 6600000.000000 PA USD 6608281.090000 0.201791 Long DBT CORP US N 2 2029-04-25 Floating 5.202 N N N N N N N/A N/A 000000000 -54.000000 NC USD -5381.210000 -0.0001643 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 108.500000 USD 2024-04-26 XXXX 13134.310000 N N N VMWARE LLC 549300BUDHS3LRWBE814 928563AF2 2100000.000000 PA USD 2044892.470000 0.062443 Long DBT CORP US N 2 2030-05-15 Fixed 4.7 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 5120721.620000 PA USD 4789503.620000 0.146253 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N CAESARS ENTERTAINMENT INC 549300FA4CTCW903Y781 12768EAH9 1000000.000000 PA USD 1002030.000000 0.0305981 Long LON CORP US N 2 2031-02-06 Floating 8.0405 N N N N N N PACIFIC NATIONAL FINANCE PTY LTD 213800SSTRDXLWWVF948 BYVTPZII5 6600000.000000 PA USD 6297126.000000 0.19229 Long DBT CORP AU N 2 2028-03-22 Fixed 4.75 N N N N N N EQM MIDSTREAM PARTNERS LP (AKA: EQT MIDSTREAM PARTNERS LP) 549300NELT611CL6XM83 26885BAE0 1600000.000000 PA USD 1605931.200000 0.0490388 Long DBT CORP US N 2 2048-07-15 Fixed 6.5 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128B523 75000.000000 NS USD 1512000.000000 0.0461705 Long EP CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 258.560000 0.0000079 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 77022.000000 AUD 50491.770000 USD 2024-05-02 258.560000 N N N YANGO JUSTICE INTERNATIONAL LIMITED 3003007ELD2HAYCXPT77 ACI1NX2H6 1600000.000000 PA USD 8800.000000 0.0002687 Long DBT CORP HK N 2 2024-04-15 Fixed 7.5 Y Y N N N N 2024-05-28 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer