0001752724-20-162022.txt : 20200820
0001752724-20-162022.hdr.sgml : 20200820
20200820083844
ACCESSION NUMBER: 0001752724-20-162022
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200630
FILED AS OF DATE: 20200820
PERIOD START: 20201231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Variable Insurance Products Fund V
CENTRAL INDEX KEY: 0000823535
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05361
FILM NUMBER: 201118807
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY BOSTON STREET TRUST
DATE OF NAME CHANGE: 19951101
FORMER COMPANY:
FORMER CONFORMED NAME: SPARTAN U S TREASURY MONEY MARKET FUND
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY U S TREASURY MONEY MARKET FUND L P
DATE OF NAME CHANGE: 19900828
0000823535
S000017666
Strategic Income Portfolio
C000048809
Initial Class
C000048810
Investor Class
C000048811
Service Class
C000048812
Service Class 2
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000823535
XXXXXXXX
S000017666
C000048809
C000048812
C000048810
C000048811
Variable Insurance Products Fund V
811-05361
0000823535
S8GYVGVVOPTJ8G3T5C60
245 Summer Street
Boston
02210
1-800-FIDELITY
VIP Strategic Income Portfolio
S000017666
2LHPYWL1SMRRXBXA3E96
2020-12-31
2020-06-30
N
1468873385.72
14208446.65
1454664939.07
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
6720000.00000000
0.00000000
0.00000000
4904489.11000000
CAD
USD
JPY
EUR
N
MTN MAURITIUS INVESTMENTS LTD
2549009PQD415OQIR074
MTN MAURITIUS INVSTMENTS 6.5% 10/13/2026 144A
55377XAB2
230000.00000000
PA
USD
242578.13000000
0.016675876587
Long
DBT
CORP
MU
N
2
2026-10-13
Fixed
0.06500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.5% MAC 09/16/2022
N/A
5652000.00000000
NC
USD
4937.93000000
0.000339454802
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2022-09-16
0.00000000
USD
0.00000000
USD
5680384.34000000
USD
4937.93000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/AUD settle 2020-08-13
N/A
1.00000000
NC
N/A
-1296.50000000
-0.00008912705
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
314000.00000000
AUD
215439.80000000
USD
2020-08-13
-1296.50000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #888544
31410GER0
45700.58790000
PA
USD
52964.12000000
0.003640984159
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 4.95/VAR PERP
38144GAB7
710000.00000000
PA
USD
674500.00000000
0.046368066066
Long
EP
CORP
US
N
2
N
N
N
BTA BANK JSC
N/A
JSC HALYK BANK 5.5% 12/21/2022 144A
05574YAD2
697458.79200000
PA
USD
693099.67000000
0.047646688346
Long
DBT
CORP
KZ
N
2
2022-12-21
Fixed
0.05500000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
419.36000000
0.000028828631
N/A
DFE
CORP
FR
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
307000.00000000
EUR
345663.58000000
USD
2020-08-13
419.36000000
N
N
N
GHANA REP
213800PP4399SNNXZ126
GHANA REP 9.25% 09/15/2022 144A
374422AF0
45000.00000000
PA
USD
44999.98000000
0.003093494508
Long
DBT
NUSS
GH
N
2
2022-09-15
Fixed
0.09250000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
ALCOA NEDERLAND HOLDING 6.125% 05/15/2028 144A
013822AC5
200000.00000000
PA
USD
204876.00000000
0.014084068055
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
0.06125000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12M+1.75 9/1/41 #1B8787
3128UHEK7
48210.93200000
PA
USD
49999.71000000
0.003437197711
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04008000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 4/35 #735503
31402RDG1
39727.03430000
PA
USD
46593.50000000
0.003203040009
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-14 ZB 5% 3/35
31394CXY3
57380.66300000
PA
USD
65434.98000000
0.004498285360
Long
ABS-CBDO
USGSE
US
N
2
2035-03-25
Fixed
0.05000000
N
N
N
N
N
N
TELEFONICA CELULAR DEL PARAGUAY SA
254900R8A8IKGF4THL54
TELEFONICA CELULAR PARAGUAY SA 5.875% 04/15/2027 144A
87936VAB3
220000.00000000
PA
USD
228800.00000000
0.015728707955
Long
DBT
CORP
PY
N
2
2027-04-15
Fixed
0.05875000
N
N
N
N
N
N
BCP RAPTOR LLC
549300T77NXSQHG00684
EAGLECLAW TERM B 1LN 06/24/2024
05549KAB8
446200.00000000
PA
USD
319033.00000000
0.021931717155
Long
LON
CORP
US
N
2
2024-06-24
Variable
0.05250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 01/31/2021
9128285X4
2753000.00000000
PA
USD
2790423.59000000
0.191825864159
Long
DBT
UST
US
N
2
2021-01-31
Fixed
0.02500000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 5.375% 08/15/2026 144A
15135BAM3
385000.00000000
PA
USD
400480.85000000
0.027530796903
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.05375000
N
N
N
N
N
N
EGYPT, (ARAB) REP OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF 6.125% 01/31/2022 144A
038461AK5
835000.00000000
PA
USD
855092.19000000
0.058782759316
Long
DBT
NUSS
EG
N
2
2022-01-31
Fixed
0.06125000
N
N
N
N
N
N
Studio City International Holdings Ltd
N/A
STUDIO CITY INTERNATIONAL HOLDINGS LTD ADR
86389T106
11100.00000000
NS
USD
176488.89000000
0.012132614546
Long
EC
CORP
VG
N
1
N
N
N
TESLA INC
54930043XZGB27CTOV49
TESLA INC 5.3% 08/15/2025 144A
88160RAE1
80000.00000000
PA
USD
79916.80000000
0.005493828706
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.05300000
N
N
N
N
N
N
PROVINCE CORDOBA
5299006CLM2Z97AATT29
PROVINCE CORDOBA 7.45% 09/01/2024 144A
74408DAD6
880000.00000000
PA
USD
517000.00000000
0.035540830476
Long
DBT
CORP
AR
N
2
2024-09-01
Fixed
0.07450000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 4.75% 04/27/2032
91087BAK6
200000.00000000
PA
USD
220300.00000000
0.015144380955
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
0.04750000
N
N
N
N
N
N
SABIC CAPITAL II BV
2138005PCUTH59D4RJ83
SABIC CAPITAL II BV 4% 10/10/2023 144A
78520LAA8
560000.00000000
PA
USD
597100.00000000
0.041047253148
Long
DBT
CORP
NL
N
2
2023-10-10
Fixed
0.04000000
N
N
N
N
N
N
ESKOM HLDGS LTD
3789001900ED06F65111
ESKOM HLDGS LTD 5.75 1/21 144A
296464AA8
5696000.00000000
PA
USD
5425440.00000000
0.372968362286
Long
DBT
CORP
ZA
N
2
2021-01-26
Fixed
0.05750000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV SA NV
5493008H3828EMEXB082
ANHEUSER BUSCH INBEV SA NV 3.7% 04/02/2040 REGS
N/A
830000.00000000
PA
1129263.55000000
0.077630492058
Long
DBT
CORP
BE
N
2
2040-04-02
Fixed
0.03700000
N
N
N
N
N
N
WEB COM GROUP INC
254900QSA9ZIGO5F5S30
WEB COM TERM 2LN 10/11/2026
94732YAV5
767513.22100000
PA
USD
649316.18000000
0.044636820656
Long
LON
CORP
US
N
2
2026-10-11
Variable
0.07940130
N
N
N
N
N
N
OMAN SULTANATE
549300SZ20F0QTKNQC75
OMAN SULTANATE 6.75% 01/17/2048 144A
682051AJ6
140000.00000000
PA
USD
120618.75000000
0.008291857922
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
0.06750000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2877 ZD 5% 10/34
31395HNX4
170999.04220000
PA
USD
194990.34000000
0.013404484755
Long
ABS-CBDO
USGSE
US
N
2
2034-10-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90806
3132J23P6
166689.36700000
PA
USD
176992.47000000
0.012167232827
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
CITGO PETROLEUM CORP
YX52P86PXMLYDOTUQ225
CITGO PETROLEUM CORP 7% 06/15/2025 144A
17302XAK2
1340000.00000000
PA
USD
1341675.00000000
0.092232579748
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.07000000
N
N
N
N
N
N
EXIDE TECHNOLOGIES
549300KITCGPNNNXQP63
EXIDE TECHNOLOGIES PIK 11% 10/31/2024 144A
302051BA4
468000.00000000
PA
USD
304200.00000000
0.020912032168
Long
DBT
CORP
US
N
3
2024-10-31
Variable
0.11000000
Y
Y
N
N
N
N
GEORGIAN OIL and GAS CORP JSC
5493001K58EJICR6I331
GEORGIAN OIL and GAS CORP JSC 6.75% 4/26/21 144A
37363CAB2
390000.00000000
PA
USD
379274.84000000
0.026073003467
Long
DBT
CORP
GE
N
2
2021-04-26
Fixed
0.06750000
N
N
N
N
N
N
INFRABUILD AUSTRALIA PTY LTD
549300W2CPB5W6GFH859
INFRABUILD AUSTRALIA PTY LTD 12% 10/01/2024 144A
45682RAA8
485000.00000000
PA
USD
437712.50000000
0.030090262592
Long
DBT
CORP
AU
N
2
2024-10-01
Fixed
0.12000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 6.9% 03/19/2049
71647NBD0
215000.00000000
PA
USD
226287.50000000
0.015555987768
Long
DBT
CORP
NL
N
2
2049-03-19
Fixed
0.06900000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC
11135F101
2100.00000000
NS
USD
662781.00000000
0.045562450994
Long
EC
CORP
US
N
1
N
N
N
DEVELOPMENT BANK OF THE REPUBLIC OF BELARUS JSC
253400D4JRB0M70A0687
DEVELOPMENT BANK OF THE REPUBLIC OF BELARUS JSC 6.75% 05/02/2024 144A
25161EAA9
105000.00000000
PA
USD
100078.13000000
0.006879806291
Long
DBT
CORP
BY
N
2
2024-05-02
Fixed
0.06750000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 3.75% 04/16/2030 144A
74727PBD2
1920000.00000000
PA
USD
2190600.00000000
0.150591379579
Long
DBT
NUSS
QA
N
2
2030-04-16
Fixed
0.03750000
N
N
N
N
N
N
SCIENTIFIC GAMES INTL INC
RLTHESQ0RNFQJWPBJN60
SCIENTIFIC GAMES INTL INC 7% 05/15/2028 144A
80874YBC3
445000.00000000
PA
USD
356000.00000000
0.024472989651
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
ASSUREDPARTNERS INC
549300HNDSDQWQ3L2P80
ASSUREDPARTNERS INC 7% 08/15/2025 144A
04624VAA7
245000.00000000
PA
USD
245000.00000000
0.016842366473
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.07000000
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOC(UNGTD) 2%/VAR 07/25/2029 REGS
N/A
1905000.00000000
PA
2138033.05000000
0.146977698614
Long
DBT
CORP
GB
N
2
2029-07-25
Variable
0.02000000
N
N
N
N
N
N
CHS/CMNTY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/CMNTY HEALTH SYSTEMS INC 8% 03/15/2026 144A
12543DBC3
3270000.00000000
PA
USD
3090804.00000000
0.212475321085
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H05 FA 1ML+50 12/60
38375BKD3
189232.60900000
PA
USD
189092.07000000
0.012999012000
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Variable
0.00803380
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H21 FA 1ML+60 10/61
38375BNE8
239140.96110000
PA
USD
239516.03000000
0.016465374504
Long
ABS-CBDO
USGA
US
N
2
2061-10-20
Variable
0.00903380
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 5.103% 04/23/2048 144A
74727PAY7
640000.00000000
PA
USD
870200.00000000
0.059821335939
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
0.05103000
N
N
N
N
N
N
ALTICE FING SA
549300DIYGW8HVDF7Q17
ALTICE FING SA 5% 01/15/2028 144A
02154CAF0
2250000.00000000
PA
USD
2235060.00000000
0.153647753511
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 07/31/2021
912828WY2
1379000.00000000
PA
USD
1409812.03000000
0.096916615787
Long
DBT
UST
US
N
2
2021-07-31
Fixed
0.02250000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK AS (UNGTD) 2.5%/VAR 06/21/2029 REGS
N/A
1905000.00000000
PA
2183552.26000000
0.150106887253
Long
DBT
CORP
DK
N
2
2029-06-21
Variable
0.02500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.464% 5/1/41#1B8304
3128UGTL1
5765.27180000
PA
USD
6055.97000000
0.000416313739
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.04420000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #888034
31410FSX4
9717.00110000
PA
USD
11199.52000000
0.000769903755
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 5.25% 05/15/2027
451102BZ9
1570000.00000000
PA
USD
1515050.00000000
0.104151131941
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.05250000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H17 FA 1ML+53 6/61
38375BML3
206377.28680000
PA
USD
206363.03000000
0.014186292970
Long
ABS-CBDO
USGA
US
N
2
2061-06-20
Variable
0.00833380
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN 1.625% 11/15/22
912828TY6
3584000.00000000
PA
USD
3707339.99000000
0.254858688789
Long
DBT
UST
US
N
2
2022-11-15
Fixed
0.01625000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 7% 10/01/2024
165167DA2
360000.00000000
PA
USD
9000.00000000
0.000618699176
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.07000000
N
N
N
N
N
N
REALOGY GROUP LLC / REALOGY CO-ISSUER CORP
N/A
REALOGY GROUP LLC / REALOGY CO-ISSUER CORP 7.625% 06/15/2025 144A
75606DAJ0
2000000.00000000
PA
USD
1995000.00000000
0.137144984141
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.07625000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2047#MA4322
36179SYT8
1045039.66400000
PA
USD
1126145.09000000
0.077416115543
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
N
N
N
N
N
N
JAZZ PHARMACEUTICALS PLC
635400GAUMJCLEZRRV50
JAZZ PHARMA PLC
N/A
5000.00000000
NS
USD
551700.00000000
0.037926259524
Long
EC
CORP
IE
N
1
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
SOUTHWESTERN ENERGY CO 7.5% 04/01/2026
845467AM1
1090000.00000000
PA
USD
954077.00000000
0.065587406032
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
0.07500000
N
N
N
N
N
N
EXIDE TECHNOLOGIES
549300KITCGPNNNXQP63
EXIDE TECHNOLOGIES PIK 11% 10/31/2024 144A
302051BC0
185848.00000000
PA
USD
83631.60000000
0.005749200228
Long
DBT
CORP
US
N
3
2024-10-31
Variable
0.11000000
Y
Y
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC
444859102
3200.00000000
NS
USD
1240800.00000000
0.085297993144
Long
EC
CORP
US
N
1
N
N
N
WOLVERINE ESCROW LLC
N/A
WOLVERINE ESCROW LLC 9% 11/15/2026 144A
97789LAB2
1245000.00000000
PA
USD
815475.00000000
0.056059301224
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
0.09000000
N
N
N
N
N
N
TEVA PHARMACEUTICAL FIN CO BV
549300Q840R30TDKVK53
TEVA PHARMACEUT 2.95% 12/22
88165FAG7
250000.00000000
PA
USD
241250.00000000
0.016584575149
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
0.02950000
N
N
N
N
N
N
FORBES ENERGY SERVICES LLC
N/A
FORBES ENERGY SERVICES LLC TERM 16% PIK 04/13/2021
N/A
67429.72000000
PA
USD
67935.44000000
0.004670177865
Long
LON
CORP
US
N
3
2021-04-13
Variable
0.18000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
UBER TECHNOLOGIES INC 8% 11/01/2026 144A
90353TAC4
4260000.00000000
PA
USD
4336680.00000000
0.298122260564
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
0.08000000
N
N
N
N
N
N
TRI POINTE HLDGS INC
N/A
WEYERHAEUSER REAL ESTATE CO 5.875% 06/15/2024
962178AN9
780000.00000000
PA
USD
804936.60000000
0.055334845735
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.05875000
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 2.9% 10/22/2025 144A
80413TAS8
405000.00000000
PA
USD
429300.00000000
0.029511950722
Long
DBT
NUSS
SA
N
2
2025-10-22
Fixed
0.02900000
N
N
N
N
N
N
TURK SISE VE CAM FABRIKALARI
789000KWOK751Q6R8875
TURK SISE VE CAM FABRIKALARI 6.95% 03/14/2026 144A
90016AAB6
120000.00000000
PA
USD
123900.00000000
0.008517425330
Long
DBT
CORP
TR
N
2
2026-03-14
Fixed
0.06950000
N
N
N
N
N
N
COMCEL TRUST
549300W3HHHYJSCDBJ77
COMCEL TRUST 6.875% 02/06/2024 144A
200303AA3
900000.00000000
PA
USD
920403.00000000
0.063272508691
Long
DBT
CORP
KY
N
2
2024-02-06
Fixed
0.06875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545762
31385JJF6
5817.27900000
PA
USD
6721.09000000
0.000462036983
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
PBF LOGISTICS LP/PBF LOGISTICS FIN CORP
N/A
PBF LOGISTICS LP/PBF LOGISTICS FIN CORP 6.875% 05/15/2023
69318UAB1
435000.00000000
PA
USD
418939.80000000
0.028799745477
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.06875000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-7546.57000000
-0.00051878407
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
189000.00000000
EUR
204997.91000000
USD
2020-08-13
-7546.57000000
N
N
N
IRON MTN INC
SQL3F6CKNNBM3SQGHX24
IRON MTN INC 5.25% 07/15/2030 144A
46284VAJ0
585000.00000000
PA
USD
572832.00000000
0.039378965190
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.05250000
N
N
N
N
N
N
MCAFEE LLC
549300713UKUTLV9T378
MCAFEE TERM B 09/29/2024
57906PAG4
235636.20000000
PA
USD
228894.65000000
0.015735214608
Long
LON
CORP
US
N
2
2024-09-29
Variable
0.03933630
N
N
N
N
N
N
PATTERN ENERGY GROUP INC
549300YTEUCT3H1Y2T51
PATTERN ENERGY GROUP INC 5.875% 02/01/2024 144A
70338PAC4
295000.00000000
PA
USD
296475.00000000
0.020380982041
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.05875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.66% 4/36 #868559
31409D5U3
6493.81990000
PA
USD
6864.02000000
0.000471862613
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Variable
0.03889000
N
N
N
N
N
N
BERRY GLOBAL GROUP INC
549300G6KKUMMXM8NH73
BERRY GLOBAL GROUP INC
08579W103
24200.00000000
NS
USD
1072544.00000000
0.073731343293
Long
EC
CORP
US
N
1
N
N
N
NEXSTAR MEDIA GROUP INC
52990083ZRR5UT591988
NEXSTAR MEDIA GROUP INC A
65336K103
12200.00000000
NS
USD
1021018.00000000
0.070189221763
Long
EC
CORP
US
N
1
N
N
N
KAISER ALUMINUM CORP
N/A
KAISER ALUMINUM CORP 4.625% 03/01/2028 144A
483007AJ9
595000.00000000
PA
USD
569010.40000000
0.039116251771
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04625000
N
N
N
N
N
N
BBA US HOLDINGS INC
213800CSNQ87U1MC8N11
BBA US HOLDINGS INC 5.375% 05/01/2026 144A
05545MAA0
225000.00000000
PA
USD
225157.50000000
0.015478306650
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.05375000
N
N
N
N
N
N
NIGERIA REPUBLIC OF
549300GSBZD84TNEQ285
NIGERIA GOVT 6.75 1/28/21 144A
65412AAA0
240000.00000000
PA
USD
243225.00000000
0.016720345247
Long
DBT
NUSS
NG
N
2
2021-01-28
Fixed
0.06750000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-118 PB 4.5% 10/40
31398NUY8
145665.88300000
PA
USD
163333.51000000
0.011228256460
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2711 FC 1ML+90 2/33
31394LYV8
49561.27580000
PA
USD
50306.23000000
0.003458269230
Long
ABS-CBDO
USGSE
US
N
2
2033-02-15
Variable
0.01084750
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.27 03/18/2025
N/A
-4100000.00000000
NC
USD
-148491.30000000
-0.01020793833
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 03/20/30 1.27%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-03-20
0.00000000
USD
0.00000000
USD
-4100000.00000000
USD
1.00000000
1.27000000
USD
2025-03-18
XXXX
-31231.30000000
N
N
N
GOODRICH PETROLEUM CORP
5493000G2GU65EVWSF15
GOODRICH PETE CORP
382410843
4211.00000000
NS
USD
30319.20000000
0.002084273786
Long
EC
CORP
US
N
1
N
N
N
IAA INC
549300PZCOPC5178W747
IAA SPINCO INC 5.5% 06/15/2027 144A
449253AB9
250000.00000000
PA
USD
258445.00000000
0.017766634298
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.05500000
N
N
N
N
N
N
SOTHEBYS
549300P5BAAMQQ7VL735
SOTHEBYS TERM B 1LN 01/03/2027
08883CAB4
603569.72600000
PA
USD
562327.81000000
0.038656861446
Long
LON
CORP
US
N
2
2027-01-03
Variable
0.06500000
N
N
N
N
N
N
ARGENTINA REPUBLIC OF
549300KPBYGYF7HCHO27
ARGENTINA REPUBLIC OF 5.625% 01/26/2022
040114HK9
2015000.00000000
PA
USD
831187.50000000
0.057139446870
Long
DBT
NUSS
AR
N
2
2022-01-26
Fixed
0.05625000
Y
Y
N
N
N
N
QUEBECOR MEDIA INC
5493006O1E1TBNKPQW25
QUEBECOR MEDIA 5.75 1/23 WI
74819RAP1
790000.00000000
PA
USD
827525.00000000
0.056887670677
Long
DBT
CORP
CA
N
2
2023-01-15
Fixed
0.05750000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.27 03/18/2025
N/A
-4100000.00000000
NC
USD
-78123.04000000
-0.00537051783
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 03/20/30 3MLV1.27%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-03-20
0.00000000
USD
0.00000000
USD
-4100000.00000000
USD
1.00000000
1.27000000
USD
2025-03-18
XXXX
39136.96000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.45 09/04/2024
N/A
-2100000.00000000
NC
USD
-89004.95000000
-0.00611858769
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/06/29 1.45V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-06
0.00000000
USD
0.00000000
USD
-2100000.00000000
USD
1.00000000
1.45000000
USD
2024-09-04
XXXX
-27474.95000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 9/42 #MA0392
36179MNH9
139201.69300000
PA
USD
151683.21000000
0.010427364125
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 05/01/2041#1B8124
3128UGMY0
7646.26870000
PA
USD
8003.94000000
0.000550225676
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.04284000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 6.625% 01/15/2027
629377CC4
1345000.00000000
PA
USD
1405525.00000000
0.096621906684
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.06625000
N
N
N
N
N
N
CARRIZO OIL and GAS INC
6X88M1NLGKDIRGWMPT94
CARRIZO OIL and GAS INC 6.25% 04/15/2023
144577AH6
380000.00000000
PA
USD
143932.60000000
0.009894553455
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.06250000
N
N
N
N
N
N
BRINKS CO
XFP140TFNOQMIVFTVQ13
BRINKS CO 4.625% 10/15/2027 144A
109696AA2
620000.00000000
PA
USD
595200.00000000
0.040916638877
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.04625000
N
N
N
N
N
N
COLOMBIA TELECOMUNICACIONES S A ESP
549300CK4YN0V1C3MN55
COLOMBIA TELECOMUNICACINES SA 5.375% 09/27/2022 144A
19533PAA8
585000.00000000
PA
USD
584771.15000000
0.040199714332
Long
DBT
CORP
CO
N
2
2022-09-27
Fixed
0.05375000
N
N
N
N
N
N
ACPRODUCTS INC
N/A
ACPRODUCTS TERM 1LN 08/13/2025
N/A
241937.50000000
PA
USD
236041.48000000
0.016226518812
Long
LON
CORP
US
N
2
2025-08-13
Variable
0.07500000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SOCIEDAD ANONIMA 8.5% 06/27/2029 144A 144A
984245AS9
215000.00000000
PA
USD
157285.94000000
0.010812520173
Long
DBT
CORP
AR
N
2
2029-06-27
Fixed
0.08500000
N
N
N
N
N
N
RADIOLOGY PARTNERS INC
549300SFTAG2177WUZ08
RADIOLOGY PARTNERS INC 9.25% 02/01/2028 144A
75041VAA2
2690000.00000000
PA
USD
2535325.00000000
0.174289276650
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.09250000
N
N
N
N
N
N
ACRISURE LLC / ACRISURE FINANCE INC
N/A
ACRISURE LLC / ACRISURE FINANCE INC 7% 11/15/2025 144A
00489LAA1
1805000.00000000
PA
USD
1726031.25000000
0.118654901458
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.07000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.6%/VAR PERP
48128BAG6
1225000.00000000
PA
USD
1092210.00000000
0.075083269738
Long
EP
CORP
US
N
2
N
N
N
MELCO RESORTS FIN LTD
529900NRV6LBR3T6B421
MELCO RESORTS FIN LTD 5.25% 04/26/2026 144A
58547DAB5
640000.00000000
PA
USD
644382.32000000
0.044297645642
Long
DBT
CORP
KY
N
2
2026-04-26
Fixed
0.05250000
N
N
N
N
N
N
HONDURAS, REPUBLIC OF
5493002DW1JNBNG17615
REPUBLIC OF HONDURAS 8.75% 12/16/2020 144A
N/A
400000.00000000
PA
USD
406875.00000000
0.027970358607
Long
DBT
NUSS
HN
N
2
2020-12-16
Fixed
0.08750000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEX 6.5% 6/02/41
71654QAZ5
220000.00000000
PA
USD
168128.14000000
0.011557860197
Long
DBT
CORP
MX
N
2
2041-06-02
Fixed
0.06500000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 4.625% 07/15/2024
88033GCS7
305000.00000000
PA
USD
298878.65000000
0.020546219405
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.04625000
N
N
N
N
N
N
KONDOR FINANCE PLC
N/A
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 7.375% 07/19/2022 REGS
N/A
1000000.00000000
PA
USD
994687.50000000
0.068379148578
Long
DBT
CORP
GB
N
2
2022-07-19
Fixed
0.07375000
N
N
N
N
N
N
BRAZIL, FEDERATIVE REPUBLIC OF
254900ZFY40OYEADAP90
BRAZIL GLBL 7.125% 1/20/37
105756BK5
390000.00000000
PA
USD
468853.13000000
0.032231005051
Long
DBT
NUSS
BR
N
2
2037-01-20
Fixed
0.07125000
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US RENAL CARE TERM B 1LN 06/13/2026
90290PAN4
2342300.00000000
PA
USD
2248280.08000000
0.154556559357
Long
LON
CORP
US
N
2
2026-06-13
Variable
0.05178250
N
N
N
N
N
N
LABL ESCROW ISSUER LLC
N/A
LABL ESCROW ISSUER LLC 6.75% 07/15/2026 144A
50168AAB6
975000.00000000
PA
USD
1014302.25000000
0.069727551875
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.06750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 01/15/2022
9128285V8
22856000.00000000
PA
USD
23671137.76000000
1.627257048976
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.02500000
N
N
N
N
N
N
VIETNAM SOCIALIST REP
5493008AE7RS4XK4BZ08
VIETNAM SOCIALIST REP STEP 03/12/2028
N/A
1934999.99550000
PA
USD
1921696.87000000
0.132105807900
Long
DBT
NUSS
VN
N
2
2028-03-12
Variable
0.05500000
N
N
N
N
N
N
ALLISON TRANSMISSION INC
MWKQ3I0U1GXP2YDSZW75
ALLISON TRANSMISSION INC 5.875% 06/01/2029 144A
019736AF4
420000.00000000
PA
USD
436800.00000000
0.030027533369
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
0.05875000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
UNITED MEX 5.75 10/12/2110
91086QAZ1
1805000.00000000
PA
USD
2004678.13000000
0.137810300926
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
0.05750000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
CLEVELAND-CLIFFS INC 5.75% 03/01/2025
18683KAM3
160000.00000000
PA
USD
136208.00000000
0.009363530827
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
0.05750000
N
N
N
N
N
N
CONTINENTAL RESOURCES INC OKLA
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC OKLA 4.375% 01/15/2028
212015AS0
295000.00000000
PA
USD
259664.90000000
0.017850495535
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.04375000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A3 PP
N/A
16755.00000000
NS
USD
18.62000000
0.000001280019
Long
EC
CORP
LU
Y
3
N
N
N
USIMINAS INTERNATIONAL SARL
529900KLYX6QPXVIVP43
USIMINAS INTERNATIONAL SARL 5.875% 07/18/2026 144A
91734JAA8
110000.00000000
PA
USD
100237.50000000
0.006890762079
Long
DBT
CORP
LU
N
2
2026-07-18
Fixed
0.05875000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.2% 08/15/2026
674599CR4
50000.00000000
PA
USD
40361.50000000
0.002774625201
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03200000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.72% 8/37 #1N1651
3128QHZQ6
2660.37580000
PA
USD
2765.18000000
0.000190090509
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Variable
0.03595000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 04/48#784805
3622AAGN8
881799.58000000
PA
USD
975506.31000000
0.067060550082
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2009-116 KF 1ML+53 12/39
38376PA42
30102.24720000
PA
USD
30352.19000000
0.002086541662
Long
ABS-CBDO
USGA
US
N
2
2039-12-16
Variable
0.00725130
N
N
N
N
N
N
TRIVIUM PACKAGING FINANCE BV
724500GMZWW3PVYET548
TRIVIUM PACKAGING FINANCE BV 5.5% 08/15/2026 144A
89686QAA4
375000.00000000
PA
USD
378281.25000000
0.026004699765
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
0.05500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H01 FA 1ML+70 11/61
38375BNX6
225228.89990000
PA
USD
226114.64000000
0.015544104620
Long
ABS-CBDO
USGA
US
N
2
2061-11-20
Variable
0.01003380
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 9.75% 6/15/30 144A
74727PAE1
375000.00000000
PA
USD
621914.06000000
0.042753079647
Long
DBT
NUSS
QA
N
2
2030-06-15
Fixed
0.09750000
N
N
N
N
N
N
OPEN TEXT CORPORATION
549300UQROQS42RKHM85
OPEN TEXT CORPORATION 3.875% 02/15/2028 144A
683715AC0
300000.00000000
PA
USD
288843.00000000
0.019856325140
Long
DBT
CORP
CA
N
2
2028-02-15
Fixed
0.03875000
N
N
N
N
N
N
ENDEAVOR ENERGY RES L P / EER FIN INC
N/A
ENDEAVOR ENERGY RES L P / EER FIN INC 5.5% 01/30/2026 144A
29260FAD2
505000.00000000
PA
USD
483537.50000000
0.033240472566
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
0.05500000
N
N
N
N
N
N
COVANTA HLDG CORP
40XIFLS8XDQGGHGPGC04
COVANTA HLDG CORP 5.875% 03/01/2024
22282EAF9
1870000.00000000
PA
USD
1886362.50000000
0.129676769497
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
0.05875000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
SOUTHWESTERN ENERGY CO 4.95%/VAR 01/23/2025
845467AL3
100000.00000000
PA
USD
85625.00000000
0.005886235221
Long
DBT
CORP
US
N
2
2025-01-23
Variable
0.06200000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
BAUSCH HEALTH COS INC
071734107
23200.00000000
NS
424490.28000000
0.029181309633
Long
EC
CORP
CA
N
1
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2044#MA1600
36179NX52
6592.22400000
PA
USD
7121.51000000
0.000489563596
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03500000
N
N
N
N
N
N
BUONI DEL TESORO POLIENNALI
815600DE60799F5A9309
BUONI DEL TESORO POLIENNALI 2.45% 09/01/2050 144A REGS
N/A
1427000.00000000
PA
1677533.54000000
0.115320957764
Long
DBT
NUSS
IT
N
2
2050-09-01
Fixed
0.02450000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
QORVO INC 5.5% 07/15/2026
74736KAF8
300000.00000000
PA
USD
312000.00000000
0.021448238121
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.05500000
N
N
N
N
N
N
SUMMIT MATLS LLC / SUMMIT MATLS FIN CORP
N/A
SUMMIT MATLS LLC / FIN CORP 5.125% 06/01/2025 144A
86614RAL1
260000.00000000
PA
USD
256750.00000000
0.017650112620
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.05125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.375% 04/30/2025
912828ZL7
1541000.00000000
PA
USD
1547982.66000000
0.106415066344
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.00375000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2013-H26 HA 3.5% 9/63
38375UCB4
241850.95060000
PA
USD
244969.18000000
0.016840247772
Long
ABS-CBDO
USGA
US
N
2
2063-09-20
Fixed
0.03500000
N
N
N
N
N
N
DYNASTY ACQUISITION CO INC
549300L1RCRPOAUCB870
STANDARDAERO TERM B-1 04/08/2026
26812CAE6
138962.53000000
PA
USD
118291.85000000
0.008131896687
Long
LON
CORP
US
N
2
2026-04-08
Variable
0.03807880
N
N
N
N
N
N
BERMUDA GOVERNMENT OF
549300FP5PUZXX9FVJ40
BERMUDA GOVERNMENT OF 4.75% 02/15/2029 144A
085209AF1
550000.00000000
PA
USD
619437.50000000
0.042582830132
Long
DBT
NUSS
BM
N
2
2029-02-15
Fixed
0.04750000
N
N
N
N
N
N
GEO GROUP INC NEW
5493003VOR6NTY465495
GEO GROUP INC 5.875% 10/15/2024
36162JAA4
765000.00000000
PA
USD
601060.50000000
0.041319515158
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.05875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 10/31/2024
912828YM6
280000.00000000
PA
USD
295148.44000000
0.020289788532
Long
DBT
UST
US
N
2
2024-10-31
Fixed
0.01500000
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 4.625% 10/04/2047 144A
80413TAF6
660000.00000000
PA
USD
768900.00000000
0.052857532985
Long
DBT
NUSS
SA
N
2
2047-10-04
Fixed
0.04625000
N
N
N
N
N
N
TRANSDIGM UK HOLDINGS PLC
549300JTYP71LZZSE903
TRANSDIGM UK HOLDINGS PLC 6.875% 05/15/2026
89365DAB9
1805000.00000000
PA
USD
1678650.00000000
0.115397708084
Long
DBT
CORP
GB
N
2
2026-05-15
Fixed
0.06875000
N
N
N
N
N
N
CHARLES RIVER LABS INTL INC
549300BSQ0R4UZ5KX287
CHARLES RIVER LABS INTL INC
159864107
6000.00000000
NS
USD
1046100.00000000
0.071913467624
Long
EC
CORP
US
N
1
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO 4% 08/01/2023 144A
693483AD1
145000.00000000
PA
USD
154996.30000000
0.010655120353
Long
DBT
CORP
KR
N
2
2023-08-01
Fixed
0.04000000
N
N
N
N
N
N
GERMANY FEDERAL REPUBLIC OF
529900AQBND3S6YJLY83
GERMANY FEDERAL REPUBLIC OF 0% 02/15/2030 REGS
N/A
4420000.00000000
PA
5196039.91000000
0.357198401531
Long
DBT
NUSS
DE
N
2
2030-02-15
Fixed
0.00000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 18-77 FA 1ML+30 06/20/2048
38380XLH8
507257.31000000
PA
USD
505341.30000000
0.034739360689
Long
ABS-CBDO
USGA
US
N
2
2048-06-20
Variable
0.00490000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1.75% 03/20/2063
38375BR38
195824.59980000
PA
USD
196176.16000000
0.013486003184
Long
ABS-CBDO
USGA
US
N
2
2063-03-20
Fixed
0.01750000
N
N
N
N
N
N
RUSSIAN FEDN
5493004EHVGF71PDBU58
RUSSIAN FEDN 8.15% 2/03/27
N/A
35170000.00000000
PA
569386.57000000
0.039142111334
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
0.08150000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
AMAZON.COM INC
023135106
400.00000000
NS
USD
1103528.00000000
0.075861318325
Long
EC
CORP
US
N
1
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 5.125% 05/01/2025
88033GCU2
305000.00000000
PA
USD
294389.05000000
0.020237584758
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.05125000
N
N
N
N
N
N
TERRIER MEDIA BUYER INC
N/A
TERRIER MEDIA BUYER INC 8.875% 12/15/2027 144A
88146LAA1
2160000.00000000
PA
USD
2070900.00000000
0.142362680530
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.08875000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO
46625H100
10000.00000000
NS
USD
940600.00000000
0.064660938387
Long
EC
CORP
US
N
1
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.68% 2/62 #765177
36176F2J6
376.08600000
PA
USD
378.75000000
0.000026036923
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Variable
0.04940000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA REPUBLIC OF 3.125% 04/15/2031
195325DS1
250000.00000000
PA
USD
248250.00000000
0.017065785620
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
0.03125000
N
N
N
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FIN CRP MED TRM NTS 6.875% 03/15/2025
85172FAM1
2580000.00000000
PA
USD
2646918.75000000
0.181960716788
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.06875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 11/36 #995606
31416CAF3
763.71750000
PA
USD
798.04000000
0.000054860743
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.03744000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 06/01/2042#AO2244
3138LSP61
6344.39670000
PA
USD
6599.07000000
0.000453648797
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Variable
0.03051000
N
N
N
N
N
N
ROTECH HEALTHCARE INC
549300N0KGF3DQ2YCT10
ROTECH HEALTHCARE INC
778669200
6069.00000000
NS
USD
63178.29000000
0.004343150666
Long
EC
CORP
US
N
3
N
N
N
UNITED RENTALS INC
5323X5O7RN0NKFCDRY08
UNITED RENTALS INC
911363109
14763.00000000
NS
USD
2200277.52000000
0.151256654429
Long
EC
CORP
US
N
1
N
N
N
AMERICA MOVIL SAB DE CV
5493000FNR3UCEAONM59
AMERICA MOVIL SAB 6.45 12/22
N/A
18930000.00000000
PA
834408.24000000
0.057360854557
Long
DBT
CORP
MX
N
2
2022-12-05
Fixed
0.06450000
N
N
N
N
N
N
OSCHADBANK (SSB #1 PLC)
213800X3YF17XQS13O34
SSB NO.1 PLC STEP 03/10/2023 144A
N/A
240000.00000000
PA
USD
245775.00000000
0.016895643347
Long
DBT
CORP
GB
N
2
2023-03-10
Variable
0.09375000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 4.875% 01/01/2026 144A
88033GCY4
1625000.00000000
PA
USD
1591622.50000000
0.109415058908
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
0.04875000
N
N
N
N
N
N
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
N/A
UNITI GRP/UNITI HLD/CSL 7.875% 02/15/2025 144A
91327AAA0
920000.00000000
PA
USD
932208.40000000
0.064084063275
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.07875000
N
N
N
N
N
N
KOSMOS ENERGY LTD
213800YDFJ3OT9B5P157
KOSMOS ENERGY LTD 7.125% 04/04/2026 144A
500688AC0
1610000.00000000
PA
USD
1434912.50000000
0.098642131356
Long
DBT
CORP
US
N
2
2026-04-04
Fixed
0.07125000
N
N
N
N
N
N
HESS MIDSTREAM PARTNERS LP
N/A
HESS INFRASTRUCTURE PARTNERS LP / HESS INFRASTRUCTURE PARTNERS FIN CORP 5.625% 02/15/2026 144A
428102AC1
795000.00000000
PA
USD
786644.55000000
0.054077370593
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05625000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2004-91 Z 5 12/34
31394BZJ6
137793.23740000
PA
USD
157088.04000000
0.010798915666
Long
ABS-CBDO
USGSE
US
N
2
2034-12-25
Fixed
0.05000000
N
N
N
N
N
N
ULTRA PETROLEUM CORP
N/A
ULTRA PETROLEUM CORP WT 07/14/25
903914117
10710.00000000
NS
USD
0.11000000
0.000000007561
Long
EC
CORP
CA
N
2
N
N
N
LEBANON REPUBLIC OF
529900QPC4K9S1KHL354
LEBANON REPUBLIC OF 6.375% 12/31/2049
N/A
895000.00000000
PA
USD
165575.00000000
0.011382346240
Long
DBT
NUSS
LB
N
2
2049-12-31
Fixed
0.06375000
Y
Y
N
N
N
N
EQM MIDSTREAM PARTNERS LP
549300NELT611CL6XM83
EQM MIDSTREAM PARTNERS LP 6.5% 07/01/2027 144A
26885BAH3
670000.00000000
PA
USD
686301.10000000
0.047179325050
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
0.06500000
N
N
N
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
BOYD GAMING CORP
103304101
41400.00000000
NS
USD
865260.00000000
0.059481738836
Long
EC
CORP
US
N
1
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 6.25%/VAR PERP
060505EH3
1410000.00000000
PA
USD
1459448.70000000
0.100328856549
Long
EP
CORP
US
N
2
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 5.875% 11/15/2028
64110LAT3
3265000.00000000
PA
USD
3718018.75000000
0.255592793236
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.05875000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC 8.0% 11/01/2031
36186CBY8
16143000.00000000
PA
USD
20824957.36000000
1.431598218990
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
0.08000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 7.25% 05/15/22 144A
335934AH8
405000.00000000
PA
USD
388901.25000000
0.026734764793
Long
DBT
CORP
CA
N
2
2022-05-15
Fixed
0.07250000
N
N
N
N
N
N
CONTINENTAL RESOURCES INC OKLA
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC OKLA 4.9% 06/01/2044
212015AQ4
745000.00000000
PA
USD
593206.25000000
0.040779579824
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
0.04900000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 03/31/2026
9128286L9
3329000.00000000
PA
USD
3684136.69000000
0.253263592945
Long
DBT
UST
US
N
2
2026-03-31
Fixed
0.02250000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.7%/VAR PERP
172967MK4
3805000.00000000
PA
USD
3373322.75000000
0.231896889750
Long
EP
CORP
US
N
2
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H12 FA 1ML+49 5/61
38375BLS9
426495.23480000
PA
USD
426180.91000000
0.029297530898
Long
ABS-CBDO
USGA
US
N
2
2061-02-20
Variable
0.00793380
N
N
N
N
N
N
CATALENT PHARMA SOLUTIONS
549300HALRZ339MSTH85
CATALENT PHARMA SOLUTIONS INC 4.875% 01/15/2026 144A
14879EAD0
205000.00000000
PA
USD
208116.00000000
0.014306799759
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.04875000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 5.375% 06/01/2026 144A
15137TAA8
1545000.00000000
PA
USD
1601639.70000000
0.110103684840
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.05375000
N
N
N
N
N
N
MOTORS LIQUIDATION COMPANY GUC TRUST
N/A
MOTORS LIQ CO GUC TR
62010U101
137.00000000
NS
USD
206.87000000
0.000014221144
Long
EC
CORP
US
N
1
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 07/47#MA4587
36179TCY9
430128.73300000
PA
USD
462435.66000000
0.031789840229
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.04000000
N
N
N
N
N
N
NEON HOLDINGS INC
N/A
NEON HOLDINGS INC 10.125% 04/01/2026 144A
64051NAA1
635000.00000000
PA
USD
630237.50000000
0.043325269144
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
0.10125000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042
3137AWAE5
49788.43040000
PA
USD
51108.24000000
0.003513402889
Long
ABS-CBDO
USGSE
US
N
2
2042-06-15
Fixed
0.01750000
N
N
N
N
N
N
OMAN SULTANATE
549300SZ20F0QTKNQC75
OMAN GOVT 4.125% 01/17/2023 144A
682051AG2
180000.00000000
PA
USD
176512.50000000
0.012134237600
Long
DBT
NUSS
OM
N
2
2023-01-17
Fixed
0.04125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 02/28/2026
9128286F2
7215000.00000000
PA
USD
8078263.49000000
0.555334996605
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.02500000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
LENNAR CORP 4.75% 11/29/2027
526057CD4
620000.00000000
PA
USD
672700.00000000
0.046244326231
Long
DBT
CORP
US
N
2
2027-11-29
Fixed
0.04750000
N
N
N
N
N
N
ALFA BD ISSUANCE PLC
253400QWEQNERA6RJS29
ALFA BD ISSUANCE PLC 5.95%/VAR 04/15/2030 144A
01538RAF6
205000.00000000
PA
USD
203206.25000000
0.013969282172
Long
DBT
CORP
IE
N
2
2030-04-15
Variable
0.05950000
N
N
N
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
VIRGIN MEDIA FINANCE PLC 5% 07/15/2030 144A
92769VAJ8
1385000.00000000
PA
USD
1354128.35000000
0.093088677236
Long
DBT
CORP
GB
N
2
2030-07-15
Fixed
0.05000000
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC
K5K33XN0PQAU1XF7NN66
TALEN ENERGY SUPPLY LLC 7.625% 06/01/2028 144A
87422VAJ7
675000.00000000
PA
USD
675000.00000000
0.046402438243
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
0.07625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 01/01/2035#787546
31405E5F8
21529.63130000
PA
USD
25456.70000000
0.001750004369
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.06000000
N
N
N
N
N
N
GOLD FIELDS OROGEN HLDG BVI LTD
213800CLGJ2E9KGU2F20
GOLD FLD OR 4.875% 10/20 144A
38060AAA2
665000.00000000
PA
USD
666330.00000000
0.045806424703
Long
DBT
CORP
VG
N
2
2020-10-07
Fixed
0.04875000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 4.25% 03/13/2025
900123CX6
415000.00000000
PA
USD
386728.13000000
0.026585375065
Long
DBT
NUSS
TR
N
2
2025-03-13
Fixed
0.04250000
N
N
N
N
N
N
CLEARWAY ENERGY OPERATING LLC
549300Z3NFMM54NWBB87
CLEARWAY ENERGY OPER LLC 4.75% 03/15/2028 144A
18539UAC9
365000.00000000
PA
USD
372278.10000000
0.025592017103
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
0.04750000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 4.4%/VAR PERP
38144GAC5
420000.00000000
PA
USD
373800.00000000
0.025696639133
Long
EP
CORP
US
N
2
N
N
N
EMBRAER S A
549300EM51WYXFHUY333
EMBRAER 5.15 6/15/22
29082AAA5
275000.00000000
PA
USD
266835.94000000
0.018343464039
Long
DBT
CORP
BR
N
2
2022-06-15
Fixed
0.05150000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: CAD/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-1732.88000000
-0.00011912571
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
167484.11000000
USD
225000.00000000
CAD
2020-08-13
-1732.88000000
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042
3136AA2T1
66363.67470000
PA
USD
68112.79000000
0.004682369676
Long
ABS-CBDO
USGSE
US
N
2
2042-06-25
Fixed
0.01750000
N
N
N
N
N
N
LSB INDUSTRIES INC
5493001H215A0HG0MI71
LSB INDUSTRIES INC 9.625% 05/01/2023 144A
502160AM6
310000.00000000
PA
USD
298440.10000000
0.020516071569
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.09625000
N
N
N
N
N
N
JAMAICA GOVT OF
N/A
JAMAICA GOVT OF 7.875% 07/28/2045
470160CB6
160000.00000000
PA
USD
195400.00000000
0.013432646567
Long
DBT
NUSS
JM
N
2
2045-07-28
Fixed
0.07875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 07/01/2033#MA1490
31418AUQ9
377938.03600000
PA
USD
401191.24000000
0.027579632204
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.242% 9/1/41#1B8659
3128UHAK1
4799.80450000
PA
USD
4964.68000000
0.000341293714
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04130000
N
N
N
N
N
N
METINVEST BV
635400TMCKVEU87EJ582
METINVEST BV 7.75% 04/23/2023 144A
591555AD9
1581000.00000000
PA
USD
1563213.75000000
0.107462117771
Long
DBT
CORP
NL
N
2
2023-04-23
Fixed
0.07750000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
SPRINT CAPITAL CORP 8.75% 03/15/2032
852060AT9
3506000.00000000
PA
USD
5017962.50000000
0.344956585205
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
0.08750000
N
N
N
N
N
N
SCIENTIFIC GAMES INTL INC
RLTHESQ0RNFQJWPBJN60
SCIENTIFIC GAMES INTL INC 7.25% 11/15/2029 144A
80874YBE9
445000.00000000
PA
USD
356000.00000000
0.024472989651
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.07250000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 4.625% 05/15/2023 144A
82967NAL2
260000.00000000
PA
USD
261430.00000000
0.017971836192
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.04625000
N
N
N
N
N
N
GODADDY INC
N/A
GODADDY INC CL A
380237107
10100.00000000
NS
USD
740633.00000000
0.050914336360
Long
EC
CORP
US
N
1
N
N
N
TENNESSEE GAS PIPELINE CO
N/A
TENN GAS PIPELI 7.625% 4/01/37
880451AU3
50000.00000000
PA
USD
66354.33000000
0.004561485481
Long
DBT
CORP
US
N
2
2037-04-01
Fixed
0.07625000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.182% 6/37 #848188
31300LCZ6
1354.90050000
PA
USD
1416.01000000
0.000097342691
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Variable
0.03995000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 5.0% 04/15/2041
3137A9MV5
177050.20070000
PA
USD
216551.91000000
0.014886720933
Long
ABS-CBDO
USGSE
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
EG GLOBAL FINANCE PLC 8.5% 10/30/2025 144A
28228PAB7
855000.00000000
PA
USD
876375.00000000
0.060245832319
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
0.08500000
N
N
N
N
N
N
GETTY IMAGES INC
5493005NV20IG4VEKZ40
GETTY IMAGES INC 9.75% 03/01/2027 144A
374276AJ2
535000.00000000
PA
USD
504050.25000000
0.034650608292
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
0.09750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2038#G31067
3132J4MR7
305397.58000000
PA
USD
326324.43000000
0.022432961793
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
ZIGGO BV 5.5% 01/15/2027 144A
98954NAA7
1142000.00000000
PA
USD
1156343.52000000
0.079492087073
Long
DBT
CORP
NL
N
2
2027-01-15
Fixed
0.05500000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA 2.731%/VAR 01/15/2032 REGS
N/A
1046000.00000000
PA
1061305.96000000
0.072958791505
Long
DBT
CORP
IT
N
2
2032-01-15
Variable
0.02731000
N
N
N
N
N
N
TRONOX INC
549300EPZ4YXC7E5P181
TRONOX INC 6.5% 05/01/2025 144A
897051AB4
530000.00000000
PA
USD
535300.00000000
0.036798852135
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06500000
N
N
N
N
N
N
TELECOM ARGENTINA SA
549300MKPIRSJD8SB782
CABLEVISION SA 6.5% 06/15/2021 144A
12686NAT2
200000.00000000
PA
USD
183812.50000000
0.012636071377
Long
DBT
CORP
AR
N
2
2021-06-15
Fixed
0.06500000
N
N
N
N
N
N
REGENERON PHARMACEUTICALS INC
549300RCBFWIRX3HYQ56
REGENERON PHARMACEUTICALS INC
75886F107
100.00000000
NS
USD
62365.00000000
0.004287241571
Long
EC
CORP
US
N
1
N
N
N
PTC INC
54930050SSMU8SKDJ030
PTC INC 3.625% 02/15/2025 144A
69370CAB6
350000.00000000
PA
USD
347375.00000000
0.023880069607
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.03625000
N
N
N
N
N
N
EGYPT, (ARAB) REP OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF GLOBAL MTN BE 144A 8.7002% 03/01/2049 144A
03846JW89
100000.00000000
PA
USD
97968.75000000
0.006734798328
Long
DBT
NUSS
EG
N
2
2049-03-01
Fixed
0.08700200
N
N
N
N
N
N
NCUA GTD NTS MASTER TR
N/A
NCUA GTD NTS MA 3.45% 6/12/21
62889KAE1
3400000.00000000
PA
USD
3498597.28000000
0.240508806257
Long
DBT
USGA
US
N
2
2021-06-12
Fixed
0.03450000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.36% 7/36 #1B7105
3128QPH96
2718.25880000
PA
USD
2840.42000000
0.000195262835
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
0.04784000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.5% 05/20/2065
38376REN2
77882.97690000
PA
USD
78046.34000000
0.005365245143
Long
ABS-CBDO
USGA
US
N
2
2065-05-20
Fixed
0.02500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.2% 03/15/2029
674599DT9
240000.00000000
PA
USD
213600.00000000
0.014683793790
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.07200000
N
N
N
N
N
N
TV AZTECA SAB DE CV
549300H2ZXE4KL0NUV88
TV AZTECA SAB DE CV 8.25% 08/09/2024 REGS
N/A
2300000.00000000
PA
USD
1045781.25000000
0.071891555361
Long
DBT
CORP
MX
N
2
2024-08-09
Fixed
0.08250000
N
N
N
N
N
N
PETROBRAS INTL FIN CO LTD
N/A
PETROBRAS INTL 6.875% 1/20/40
71645WAQ4
569000.00000000
PA
USD
595334.06000000
0.040925854745
Long
DBT
CORP
LU
N
2
2040-01-20
Fixed
0.06875000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TVA 5.375% 4/01/56
880591DZ2
302000.00000000
PA
USD
518352.80000000
0.035633827837
Long
DBT
USGSE
US
N
2
2056-04-01
Fixed
0.05375000
N
N
N
N
N
N
VOLKSWAGEN FIN SERV AG
529900USFSZYPS075O24
VOLKSWAGEN FIN SERV AG 3.375% 04/06/2028 REGS
N/A
1779000.00000000
PA
2228919.63000000
0.153225637748
Long
DBT
CORP
DE
N
2
2028-04-06
Fixed
0.03375000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI PROPERTIES / NOTE 4.25% 12/01/2026 144A
92564RAA3
1140000.00000000
PA
USD
1093932.60000000
0.075201688761
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
0.04250000
N
N
N
N
N
N
LABL ESCROW ISSUER LLC
N/A
LABL ESCROW ISSUER LLC 10.5% 07/15/2027 144A
50168AAA8
650000.00000000
PA
USD
690625.00000000
0.047476568758
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.10500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-10917.14000000
-0.00075049172
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1204000.00000000
EUR
1343069.95000000
USD
2020-08-13
-10917.14000000
N
N
N
TINKOFF CREDIT SYSTEMS VIA TCS FINANCE LTD
2534000KL0PLD6KG7T76
TINKOFF CREDIT SYSTEMS VIA TCS FINANCE LTD 9.25/VAR PERP REGS
N/A
1005000.00000000
PA
USD
1017876.56000000
0.069973265503
Long
EP
CORP
IE
N
2
N
N
N
LGI HOMES INC
549300W02B4WNV8CV109
LGI HOMES INC 6.875% 07/15/2026 144A
50187TAE6
605000.00000000
PA
USD
615587.50000000
0.042318164373
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.06875000
N
N
N
N
N
N
EL SALVADOR REPUBLIC OF
529900AKDMUSFSDOM949
EL SALVADOR REPUBLIC OF 7.1246% 01/20/2050 144A
283875BZ4
195000.00000000
PA
USD
158925.00000000
0.010925196293
Long
DBT
NUSS
SV
N
2
2050-01-20
Fixed
0.07124600
N
N
N
N
N
N
BANCO MERCANTIL DEL NORTE SA GRAND CAYMAN BRH
549300QTVYRPFHS0J362
BANCO MERCANTIL DEL NORTE SA GRAND CAYMAN BRH 7.625%/VAR PERP 144A
05962GAJ8
210000.00000000
PA
USD
200218.20000000
0.013763870608
Long
EP
CORP
KY
N
2
N
N
N
PRIVATE EXPORT FUNDING CORP
CYQE6SAYPFKNQJ6FMH60
PRIVATE EXPORT FUNDING CORP 1.75% 11/15/2024
742651DX7
1030000.00000000
PA
USD
1085192.85000000
0.074600880302
Long
DBT
USGSE
US
N
2
2024-11-15
Fixed
0.01750000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 5%/VAR PERP
38148BAD0
4331000.00000000
PA
USD
4006175.00000000
0.275401908192
Long
EP
CORP
US
N
2
N
N
N
MGM RESORTS INTERNATIONAL
54930066VBP7DZEGGJ87
MGM RESORTS INTERNATIONAL 6.75% 05/01/2025
552953CG4
1485000.00000000
PA
USD
1470268.80000000
0.101072677323
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06750000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
SENSATA TECHNOLOGIES BV 5.0% 10/01/2025 144A
81725WAJ2
575000.00000000
PA
USD
612202.50000000
0.042085464738
Long
DBT
CORP
NL
N
2
2025-10-01
Fixed
0.05000000
N
N
N
N
N
N
CHARLES RIVER LABS INTL INC
549300BSQ0R4UZ5KX287
CHARLES RIVER LABS INTL INC 4.25% 05/01/2028 144A
159864AE7
185000.00000000
PA
USD
184905.65000000
0.012711219266
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.60% 8/35 #735810
31402RN39
3017.60250000
PA
USD
3169.96000000
0.000217916849
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Variable
0.03416000
N
N
N
N
N
N
JORDAN KINGDOM OF
5493000JZ4MYPVMBVN50
JORDAN KINGDOM OF 6.125% 01/29/2026 144A
418097AG6
470000.00000000
PA
USD
494528.13000000
0.033996016313
Long
DBT
NUSS
JO
N
2
2026-01-29
Fixed
0.06125000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 4.375% 11/15/2026
64110LAN6
320000.00000000
PA
USD
332854.40000000
0.022881860355
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
0.04375000
N
N
N
N
N
N
MERLIN ENTERTAINMENTS PLC
549300ZTI0VEFO6WV007
MERLIN ENTERTAINMENTS PLC 5.75% 06/15/2026 144A
59010QAB2
395000.00000000
PA
USD
380456.10000000
0.026154208421
Long
DBT
CORP
GB
N
2
2026-06-15
Fixed
0.05750000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.625% 12/15/2029
15135BAT8
2150000.00000000
PA
USD
2276355.50000000
0.156486585938
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.04625000
N
N
N
N
N
N
CHOICE HOTELS INTL INC (NEW)
5493003CYRY5RFGTIR97
CHOICE HOTELS 5.75% 7/01/22
169905AE6
145000.00000000
PA
USD
154271.30000000
0.010605280697
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.05750000
N
N
N
N
N
N
CBOM FIN PLC
2534000R9X3PNNE57C55
CBOM FINANCE PLC 5.55% 02/14/2023 144A
12504PAF7
370000.00000000
PA
USD
379481.25000000
0.026087192989
Long
DBT
CORP
IE
N
2
2023-02-14
Fixed
0.05550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.22% 3/37 #910296
31411KKH5
1367.71980000
PA
USD
1430.77000000
0.000098357357
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
0.03565000
N
N
N
N
N
N
STARFRUIT FINCO B V / STARFRUIT US HOLDCO LLC
549300K7VB5G6LULFT41
STARFRUIT FINCO B V / STARFRUIT US HOLDCO LLC 8% 10/01/2026 144A
85529VAA2
414000.00000000
PA
USD
423807.66000000
0.029134383363
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
0.08000000
N
N
N
N
N
N
U.S AWYS 2011-1 PASS THRU TR
N/A
US AWYS PTC 2 11-1 7.125 04/25
903436AA1
226263.37600000
PA
USD
188605.73000000
0.012965578872
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
0.07125000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP
125523100
5300.00000000
NS
USD
994545.00000000
0.068369352507
Long
EC
CORP
US
N
1
N
N
N
UNITED KINGDOM,G.B. and N.IRELAND
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM G.B. and N.IRELAND 2.0% 07/22/2020 REGS
N/A
2270000.00000000
PA
2815679.40000000
0.193562058476
Long
DBT
NUSS
GB
N
2
2020-07-22
Fixed
0.02000000
N
N
N
N
N
N
DELTA AIR INC DEL PASS THRU TR
N/A
DELTA AIR PTC 8.021% 2/24
247367BJ3
74454.15290000
PA
USD
69862.95000000
0.004802683293
Long
DBT
CORP
US
N
2
2024-02-10
Fixed
0.08021000
N
N
N
N
N
N
PAKISTAN, ISLAMIC REP OF
529900LOP29R5WKHOD86
PAKISTAN GOVT 8.25% 04/15/24 144A
695847AK9
95000.00000000
PA
USD
98978.13000000
0.006804187503
Long
DBT
NUSS
PK
N
2
2024-04-15
Fixed
0.08250000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.12% 7/35 #1L0109
3128Q2DN0
4252.08540000
PA
USD
4432.14000000
0.000304684596
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04956000
N
N
N
N
N
N
JAMAICA GOVT OF
N/A
JAMAICA 8% 3/14/39
470160AV4
50000.00000000
PA
USD
61671.88000000
0.004239593486
Long
DBT
NUSS
JM
N
2
2039-03-15
Fixed
0.08000000
N
N
N
N
N
N
CALIFORNIA RESOURCES CORPORATION
5493003Q8F0T4F4YMR48
CALIFORNIA RESOURCES TERM 1 1/2LN 12/31/21
N/A
5365000.00000000
PA
USD
241425.00000000
0.016596605411
Long
LON
CORP
US
N
2
2021-12-31
Variable
0.11375000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.4% 08/15/2049
674599CY9
1455000.00000000
PA
USD
1011530.55000000
0.069537013152
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
0.04400000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: USD/JPY settle 2020-08-13
N/A
1.00000000
NC
N/A
225474.58000000
0.015500104109
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
1889283000.00000000
JPY
17732443.71000000
USD
2020-08-13
225474.58000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.228% 7/41#AI3469
3138AG2B3
5226.50210000
PA
USD
5450.14000000
0.000374666347
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.04270000
N
N
N
N
N
N
CASCADES INC/USA INC
FPD41G4F3GH7OJ38TS94
CASCADES INC/USA INC 5.375% 01/15/2028 144A
14739LAB8
300000.00000000
PA
USD
304500.00000000
0.020932655474
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
0.05375000
N
N
N
N
N
N
CONNECT FINCO SARL
2594001KNYIQ456J2792
INMARSAT TERM B 1LN 12/11/2026
N/A
483787.50000000
PA
USD
453855.57000000
0.031200007493
Long
LON
CORP
LU
N
2
2026-12-11
Variable
0.05500000
N
N
N
N
N
N
VIETNAM SOCIALIST REP
5493008AE7RS4XK4BZ08
VIETNAM SOCIALIST FRN 3/13/28
N/A
75000.00000000
PA
USD
67324.84000000
0.004628202563
Long
DBT
NUSS
VN
N
2
2028-03-13
Variable
0.02625000
N
N
N
N
N
N
TRIVIUM PACKAGING FINANCE BV
724500GMZWW3PVYET548
TRIVIUM PACKAGING FINANCE BV 8.5% 08/15/2027 144A
89686QAB2
645000.00000000
PA
USD
689343.75000000
0.047388490056
Long
DBT
CORP
NL
N
2
2027-08-15
Fixed
0.08500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: AUD/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-344.63000000
-0.00002369136
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
164622.46000000
USD
238000.00000000
AUD
2020-08-13
-344.63000000
N
N
N
DTEK FINANCE PLC
549300VBCR9V58ZYQ356
DTEK FINANCE PLC PIK VAR 12/31/2024
N/A
1350000.00000000
PA
USD
796078.13000000
0.054725875947
Long
DBT
CORP
GB
N
2
2024-12-31
Variable
0.10750000
N
N
Y
N
N
N
NGL ENERGY PARTNERS LP / NGL ENERGY FIN CORP
N/A
NGL ENERGY PARTNERS LP / NGL ENERGY FINANCE CORP 6.125% 03/01/2025
62913TAM4
630000.00000000
PA
USD
475650.00000000
0.032698251482
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
0.06125000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H07 FA 1ML+63 3/20/62
38375BQA3
134917.36210000
PA
USD
135146.09000000
0.009290530511
Long
ABS-CBDO
USGA
US
N
2
2062-03-20
Variable
0.00933380
N
N
N
N
N
N
TURK TELEKOMUNIKASYON
789000A2TXOI10JZLF90
TURK TELEKOMUNIKASYON 6.875% 02/28/2025 144A
90011QAC4
220000.00000000
PA
USD
231412.50000000
0.015908302577
Long
DBT
CORP
TR
N
2
2025-02-28
Fixed
0.06875000
N
N
N
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT TERM DIP DD 1LN 07/13/2021
N/A
312002.90000000
PA
USD
316099.50000000
0.021730055596
Long
LON
CORP
LU
N
2
2021-07-13
Variable
0.05050000
N
N
N
N
N
N
SABRE GLBL INC
F2TJC7HPPHLHU1AQMP98
SABRE GLBL INC 9.25% 04/15/2025 144A
78573NAC6
500000.00000000
PA
USD
526875.00000000
0.036219680962
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.09250000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 8% 06/15/2027
165167CZ8
115000.00000000
PA
USD
2587.50000000
0.000177876013
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.08000000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO (PVT BACKSTOP) RT 8/29/2020
N/A
600000.00000000
NS
USD
36000.00000000
0.002474796706
Long
EC
CORP
US
N
3
N
N
N
HEINEKEN NV
724500K5PTPSST86UQ23
HEINEKEN NV 1.75% 05/07/2040 REGS
N/A
1400000.00000000
PA
1576275.44000000
0.108360035198
Long
DBT
CORP
NL
N
2
2040-05-07
Fixed
0.01750000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6.625/VAR PERP
29278NAB9
1370000.00000000
PA
USD
1048317.15000000
0.072065884166
Long
EP
CORP
US
N
2
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.82% 6/37 #1N1614
3128QHYK0
1035.37950000
PA
USD
1083.90000000
0.000074512004
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Variable
0.03978000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: NOK/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
127526.64000000
0.008766736351
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
1933848.69000000
USD
19838000.00000000
NOK
2020-08-13
127526.64000000
N
N
N
NORTHWEST FIBER LLC/NORTHWEST FIBER FINANCE SUB INC
N/A
NORTHWEST FIBER LLC/NORTHWEST FIBER FINANCE SUB INC 10.75% 06/01/2028 144A
667449AA0
365000.00000000
PA
USD
379600.00000000
0.026095356381
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
0.10750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 09/30/2026
912828YG9
4153000.00000000
PA
USD
4459932.66000000
0.306595184926
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.01625000
N
N
N
N
N
N
US WEST COMMUNICATIONS
N/A
US WEST COMMUNICATIONS 7.25% 09/15/2025
912920AK1
35000.00000000
PA
USD
39704.87000000
0.002729485597
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
0.07250000
N
N
N
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
HERTZ CORP 5.5% 10/15/2024 144A
428040CS6
590000.00000000
PA
USD
183490.00000000
0.012613901323
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.05500000
Y
Y
N
N
N
N
CURIE MERGER SUB LLC
549300RZMZYU7GPVZ531
COLE-PARMER TERM 1LN 11/04/2026
12594WAJ5
29925.00000000
PA
USD
28728.00000000
0.001974887771
Long
LON
CORP
US
N
2
2026-11-04
Variable
0.05943390
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELEC 5.8% 3/1/37
694308GJ0
2163000.00000000
PA
USD
2579377.50000000
0.177317637259
Long
DBT
CORP
US
N
2
2037-03-01
Fixed
0.05800000
Y
Y
N
N
N
N
DP WORLD CRESCENT LTD
21380096JRTWB8TL9236
DP WORLD CRESCENT LTD 3.875% 07/18/2029 REGS
N/A
200000.00000000
PA
USD
196250.00000000
0.013491079267
Long
DBT
CORP
KY
N
2
2029-07-18
Fixed
0.03875000
N
N
N
N
N
N
COMMERCIAL METALS CO
549300OQS2LO07ZJ7N73
COMMERCIAL METALS CO 5.75% 04/15/2026
201723AN3
460000.00000000
PA
USD
471500.00000000
0.032412962417
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.05750000
N
N
N
N
N
N
GENESIS ENERGY LP/ FIN CORP
N/A
GENESIS ENERGY LP/ FIN CORP 6.25% 05/15/2026
37185LAK8
465000.00000000
PA
USD
398914.20000000
0.027423098562
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.06250000
N
N
N
N
N
N
TERRAFORM POWER OPERATING LLC
5493000S2OLR3UT5BE13
TERRAFORM POWER OPERATING LLC 5% 01/31/2028 144A
88104LAE3
320000.00000000
PA
USD
334400.00000000
0.022988111627
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
0.05000000
N
N
N
N
N
N
REPUBLIC OF ARMENIA
5299000H77JSW90G7935
REPUBLIC OF ARMENIA 7.15% 03/26/2025 144A
042207AB6
62000.00000000
PA
USD
69498.13000000
0.004777603978
Long
DBT
NUSS
AM
N
2
2025-03-26
Fixed
0.07150000
N
N
N
N
N
N
TURKIYE GARANTI BANKASI AS
5493002XSS7K7RHN1V37
TURKIYE GARANTI BANKASI AS 6.125%/VAR 05/24/2027
900148AE7
315000.00000000
PA
USD
294131.25000000
0.020219862464
Long
DBT
CORP
TR
N
2
2027-05-24
Variable
0.06125000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI INC 4% 11/15/2029 144A
55354GAH3
340000.00000000
PA
USD
346800.00000000
0.023840541604
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/44#MA1760
36179N5V6
6288.32700000
PA
USD
6793.22000000
0.000466995513
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 07/01/2033#C91714
3128P73X9
389432.00000000
PA
USD
413502.87000000
0.028425987242
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTGE 2016-H04 1ML+65 11/20/2065
38376RQU3
9331.81140000
PA
USD
9333.97000000
0.000641657728
Long
ABS-CBDO
USGA
US
N
2
2065-11-20
Variable
0.00953380
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
31323.28000000
0.002153298615
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
951554.39000000
USD
874000.00000000
EUR
2020-08-13
31323.28000000
N
N
N
GOLD FIELDS OROGEN HLDG BVI LTD
213800CLGJ2E9KGU2F20
GOLD FIELDS OROGEN HLDG BVI LTD 5.125% 05/15/2024 144A
38060AAB0
160000.00000000
PA
USD
171700.00000000
0.011803405402
Long
DBT
CORP
VG
N
2
2024-05-15
Fixed
0.05125000
N
N
N
N
N
N
ANTERO RESOURCES CORPORATION
APVBKPOULHUX7YZLKU17
ANTERO RES CORP 5.625% 06/01/2023
03674XAF3
115000.00000000
PA
USD
73600.00000000
0.005059584377
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
0.05625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 09/01/2041#AI9813
3138AP3X4
3336.36490000
PA
USD
3481.96000000
0.000239365087
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04068000
N
N
N
N
N
N
ODEBRECHT FINANCE LTD
N/A
ODEBRECHT FIN 7.5% PERP 144A
675758AF3
1975000.00000000
PA
USD
111710.94000000
0.007679496288
Long
EP
CORP
KY
N
2
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 4.5% 04/23/2028 144A
74727PAX9
100000.00000000
PA
USD
117875.00000000
0.008103240604
Long
DBT
NUSS
QA
N
2
2028-04-23
Fixed
0.04500000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
93390.68800000
NS
USD
93400.03000000
0.006420724628
Long
STIV
RF
US
N
1
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+30 05/20/2048
38380WJ75
427771.07200000
PA
USD
426092.11000000
0.029291426400
Long
ABS-CBDO
USGA
US
N
2
2048-05-20
Variable
0.00490000
N
N
N
N
N
N
JONAH ENERGY LLC / JONAH ENERGY FINANCE CORP
N/A
JONAH ENERGY LLC / JONAH ENERGY FINANCE CORP 7.25% 10/15/2025 144A
47987LAA9
930000.00000000
PA
USD
113925.00000000
0.007831700410
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
0.07250000
N
N
N
N
N
N
FORBES ENERGY SVCS LTD
5493000KNGZL65YWY755
FORBES ENERGY SVCS LTD NEW
345143200
6562.00000000
NS
USD
524.96000000
0.000036088035
Long
EC
CORP
US
N
1
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 11/01/2033#G30872
3132J4FN4
572522.66000000
PA
USD
611846.49000000
0.042060991061
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
JAMES HARDIE INTL FIN LTD
635400G32A4Q1LVQ8M88
JAMES HARDIE INTL FIN LTD 5% 01/15/2028 144A
47032FAB5
455000.00000000
PA
USD
464100.00000000
0.031904254205
Long
DBT
CORP
IE
N
2
2028-01-15
Fixed
0.05000000
N
N
N
N
N
N
ESKOM HLDGS LTD
3789001900ED06F65111
ESKOM HLDGS LTD 6.75% 08/06/2023 144A
29646AAA4
755000.00000000
PA
USD
713475.00000000
0.049047377223
Long
DBT
CORP
ZA
N
2
2023-08-06
Fixed
0.06750000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: AUD/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-1795.20000000
-0.00012340986
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
142604.77000000
USD
204000.00000000
AUD
2020-08-13
-1795.20000000
N
N
N
ODEBRECHT FINANCE LTD
N/A
ODEBRECHT FINANCE LTD 4.375% 4/25/25 144A
675758AL0
1530000.00000000
PA
USD
82715.63000000
0.005686232463
Long
DBT
CORP
KY
N
2
2025-04-25
Fixed
0.04375000
Y
Y
N
N
N
N
SOUTHERN GAS CORRIDOR CJSC
213800DG58KG59XY6318
SOUTHERN GAS CORRIDOR CJSC 6.875% 03/24/2026 144A
84302LAA0
90000.00000000
PA
USD
103263.19000000
0.007098761180
Long
DBT
CORP
AZ
N
2
2026-03-24
Fixed
0.06875000
N
N
N
N
N
N
ESAL GMBH
529900RVHZ2M1RC3JM20
ESAL GMBH 6.25% 02/05/23 144A
29605YAA1
395000.00000000
PA
USD
392037.50000000
0.026950364270
Long
DBT
CORP
AT
N
2
2023-02-05
Fixed
0.06250000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
352.03090000
PA
USD
368.15000000
0.000025308233
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.04294000
N
N
N
N
N
N
HOLLY EN PART LP/ HOL FIN CORP
N/A
HOLLY EN PART LP/ HOL FIN CORP 5% 02/01/2028 144A
435765AH5
400000.00000000
PA
USD
381000.00000000
0.026191598475
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.05000000
N
N
N
N
N
N
ARGENTINA REPUBLIC OF
549300KPBYGYF7HCHO27
ARGENTINA GOVT 8.28% 12/31/33
040114GL8
897304.32000000
PA
USD
400422.05000000
0.027526754735
Long
DBT
NUSS
AR
N
2
2033-12-31
Fixed
0.08280000
Y
Y
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.87% 1/35 #735833
31402RPS2
3253.21810000
PA
USD
3380.42000000
0.000232384785
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.03548000
N
N
N
N
N
N
BRAZIL, FEDERATIVE REPUBLIC OF
254900ZFY40OYEADAP90
BRAZIL FEDERATIVE REPUBLIC OF 2.875% 06/06/2025
105756CD0
200000.00000000
PA
USD
197200.00000000
0.013556386402
Long
DBT
NUSS
BR
N
2
2025-06-06
Fixed
0.02875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 09/30/2024
912828YH7
1995000.00000000
PA
USD
2101296.09000000
0.144452240070
Long
DBT
UST
US
N
2
2024-09-30
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FHR 2014-4335 AL 4.25% 03/40
3137BAPM8
118203.98210000
PA
USD
121481.41000000
0.008351160926
Long
ABS-CBDO
USGSE
US
N
2
2040-03-15
Fixed
0.04250000
N
N
N
N
N
N
JAMES HARDIE INTL FIN LTD
635400G32A4Q1LVQ8M88
JAMES HARDIE INTL FIN LTD 4.75% 01/15/2025 144A
47032FAA7
450000.00000000
PA
USD
457875.00000000
0.031476320608
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
0.04750000
N
N
N
N
N
N
DYNASTY ACQUISITION CO INC
549300L1RCRPOAUCB870
STANDARDAERO TERM B-2 1LN 04/08/2026
26812CAF3
74899.22000000
PA
USD
63757.96000000
0.004382999705
Long
LON
CORP
US
N
2
2026-04-08
Variable
0.04950130
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 6.5% 03/01/2024 144A
335934AP0
610000.00000000
PA
USD
573400.00000000
0.039418011983
Long
DBT
CORP
CA
N
2
2024-03-01
Fixed
0.06500000
N
N
N
N
N
N
WEB COM GROUP INC
254900QSA9ZIGO5F5S30
WEB COM GROUP INC TERM B 1LN 10/11/2025
94732YAS2
545205.36000000
PA
USD
514308.57000000
0.035355809862
Long
LON
CORP
US
N
2
2025-10-11
Variable
0.03940130
N
N
N
N
N
N
US SHIPPING PARTNERS CORP
N/A
US SHIPPING CORP
N/A
644.00000000
NS
USD
0.01000000
0.000000000687
Long
EC
CORP
US
N
3
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 5.75% 03/01/2027 144A
737446AM6
405000.00000000
PA
USD
419175.00000000
0.028815914149
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
0.05750000
N
N
N
N
N
N
SABERT CORPORATION
54930029JPYBTHDWT603
SABERT TERM B 1LN 12/10/2026
78516EAB8
438900.00000000
PA
USD
426465.96000000
0.029317126476
Long
LON
CORP
US
N
2
2026-12-10
Variable
0.05500000
N
N
N
N
N
N
VALEANT PHARMACEUTICALS INTL INC
KOO0397YRO83WY5MGD97
VALEANT PHARMACEUTICALS TERM B INCR 06/1/2025
N/A
91948.52000000
PA
USD
89225.00000000
0.006133714892
Long
LON
CORP
US
N
2
2025-06-01
Variable
0.03190000
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION 11.5% 04/01/2023 144A
143658BC5
1990000.00000000
PA
USD
2159150.00000000
0.148429369678
Long
DBT
CORP
PA
N
2
2023-04-01
Fixed
0.11500000
N
N
N
N
N
N
ASGN INC
LZBNYYCBUKY537072438
ASGN INC 4.625% 05/15/2028 144A
00191UAA0
510000.00000000
PA
USD
498076.20000000
0.034239926090
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
0.04625000
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC 7.5% 01/15/2026 144A
893830BF5
645000.00000000
PA
USD
351525.00000000
0.024165358671
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
0.07500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 04/30/2021
912828WG1
1350000.00000000
PA
USD
1373255.86000000
0.094403585534
Long
DBT
UST
US
N
2
2021-04-30
Fixed
0.02250000
N
N
N
N
N
N
SAUDI ARABIAN OIL COMPANY
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO 4.25% 04/16/2039 144A
80414L2E4
930000.00000000
PA
USD
1039275.00000000
0.071444287415
Long
DBT
CORP
SA
N
2
2039-04-16
Fixed
0.04250000
N
N
N
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 6.25% 05/15/2026
451102BT3
1290000.00000000
PA
USD
1291780.20000000
0.088802594006
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.06250000
N
N
N
N
N
N
JBS USA LLC / JBS USA FIN INC
N/A
JBS USA LLC / JBS USA FIN INC 6.75% 02/15/2028 144A
472141AA8
925000.00000000
PA
USD
977040.50000000
0.067166016981
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.06750000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 6.25% 8/15/23
912810EQ7
2249000.00000000
PA
USD
2674552.97000000
0.183860413361
Long
DBT
UST
US
N
2
2023-08-15
Fixed
0.06250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 05/31/2022
912828ZR4
7475000.00000000
PA
USD
7469452.13000000
0.513482653591
Long
DBT
UST
US
N
2
2022-05-31
Fixed
0.00125000
N
N
N
N
N
N
ALLISON TRANSMISSION INC
MWKQ3I0U1GXP2YDSZW75
ALLISON TRANSMISSION INC 5% 10/01/2024 144A
019736AD9
635000.00000000
PA
USD
633412.50000000
0.043543532464
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.05000000
N
N
N
N
N
N
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC
N/A
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.625% 01/15/2027 144A
013092AC5
865000.00000000
PA
USD
865000.00000000
0.059463865304
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.04625000
N
N
N
N
N
N
SS and C TECHNOLOGIES HLDGS INC
529900POY8H7NPPNKK71
SS and C TECHNOLOGIES HOLDINGS INC
78467J100
17308.00000000
NS
USD
977555.84000000
0.067201443696
Long
EC
CORP
US
N
1
N
N
N
CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP
N/A
CRESTWOOD MIDSTRM PTN/FIN CORP 5.75% 04/01/2025
226373AP3
250000.00000000
PA
USD
215942.50000000
0.014844827437
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.05750000
N
N
N
N
N
N
LAM RESEARCH CORP
549300I4GMO6D34U1T02
LAM RESEARCH CORP
512807108
5500.00000000
NS
USD
1779030.00000000
0.122298266234
Long
EC
CORP
US
N
1
N
N
N
DELTA MERLIN DUNIA TEKSTIL PT
2549006VVY3FDMC5ZG55
DELTA MERLIN DUNIA TEKSTIL PT 8.625% 03/12/2024 144A
69374VAA2
200000.00000000
PA
USD
22062.50000000
0.001516672287
Long
DBT
CORP
ID
N
2
2024-03-12
Fixed
0.08625000
Y
Y
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)SEP20 TYU0
N/A
150.00000000
NC
USD
41870.25000000
0.002878343244
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UNDERLYING TREASURY 10 YR NOTEGENERIC IV FOR FUTURES TRADING
2020-09-21
20833911.00000000
USD
41870.25000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.92 01/08/25
N/A
-5000000.00000000
NC
USD
-47194.40000000
-0.00324434849
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 01/10/30 3MLV1.92%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-10
0.00000000
USD
0.00000000
USD
-5000000.00000000
USD
1.00000000
1.92000000
USD
2025-01-08
XXXX
92305.60000000
N
N
N
TAYLOR MORRISON CMNTYS INC / MONARCH CMNTYS INC
549300O1Z08HI2MRK572
TAYLOR MORRISON CMNTY/ MONARCH 5.625% 03/01/2024 144A
877249AD4
65000.00000000
PA
USD
66625.00000000
0.004580092515
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
0.05625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.47% 8/59 #725598
3620ACDB7
422.04000000
PA
USD
439.93000000
0.000030242703
Long
ABS-MBS
USGA
US
N
2
2059-08-20
Variable
0.05470000
N
N
N
N
N
N
JBS SA
529900RM0MTMZL9O5050
JBS SA
N/A
447600.00000000
NS
1740817.56000000
0.119671376771
Long
EC
CORP
BR
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 06/01/2033#AT6090
3138WTXU5
76632.71600000
PA
USD
81347.66000000
0.005592192250
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX TECHNOLOGIES INC 4.125% 06/30/2028 144A
05605HAB6
630000.00000000
PA
USD
628425.00000000
0.043200670004
Long
DBT
CORP
US
N
2
2028-06-30
Fixed
0.04125000
N
N
N
N
N
N
SENEGAL REPUBLIC OF
549300NP14ZLQGWIUZ97
SENEGAL GOVT 8.75% 5/21 144A
81720TAA3
75000.00000000
PA
USD
77601.56000000
0.005334669030
Long
DBT
NUSS
SN
N
2
2021-05-13
Fixed
0.08750000
N
N
N
N
N
N
1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC
N/A
1011778 BC ULC/NEW RED FIN INC 5% 10/15/2025 144A
68245XAE9
2876000.00000000
PA
USD
2861620.00000000
0.196720215297
Long
DBT
CORP
CA
N
2
2025-10-15
Fixed
0.05000000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 6.35% 08/10/2024
900123CV0
270000.00000000
PA
USD
273121.88000000
0.018775586917
Long
DBT
NUSS
TR
N
2
2024-08-10
Fixed
0.06350000
N
N
N
N
N
N
AZUL INVESTMENTS LLP
549300C6XNC8IDH04C74
AZUL INVESTMENTS LLP 5.875% 10/26/2027 144A
05502FAA6
945000.00000000
PA
USD
411075.00000000
0.028259084890
Long
DBT
CORP
US
N
2
2024-10-26
Fixed
0.05875000
N
N
N
N
N
N
VERTIV GROUP CORP
549300ZT8RQ5VK10E643
VERTIV TERM B 1LN 03/02/2027
92537EAB4
1780537.50000000
PA
USD
1678156.59000000
0.115363788933
Long
LON
CORP
US
N
2
2027-03-02
Variable
0.03182500
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 3.625% 03/04/2028 144A
80413TAE9
480000.00000000
PA
USD
527700.00000000
0.036276395053
Long
DBT
NUSS
SA
N
2
2028-03-04
Fixed
0.03625000
N
N
N
N
N
N
NAGACORP LTD
549300MMNKN0RBJELS20
NAGACORP LTD 9.375% 05/21/2021 144A
629721AA9
395000.00000000
PA
USD
400925.00000000
0.027561329707
Long
DBT
CORP
KY
N
2
2021-05-21
Fixed
0.09375000
N
N
N
N
N
N
CHAPARRAL ENERGY INC-NEW
V5IUQSDP5WPR92NJWH73
CHAPARRAL ENERGY INC CL A
15942R208
5029.00000000
NS
USD
3259.80000000
0.000224092841
Long
EC
CORP
US
N
1
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 5.375% 11/15/2029 144A
64110LAU0
590000.00000000
PA
USD
648020.60000000
0.044547756847
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.05375000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SOCIEDAD ANONIMA 8.75% 04/04/2024 144A
984245AK6
2590000.00000000
PA
USD
2086245.00000000
0.143417562626
Long
DBT
CORP
AR
N
2
2024-04-04
Fixed
0.08750000
N
N
N
N
N
N
KAZMUAIGAZ NATIONAL CO JSC
2138001H1M69RFJCSH88
KAZMUNAIGAZ FINANCE SUB BV 3.875% 04/19/2022 144A
48667QAM7
340000.00000000
PA
USD
345950.00000000
0.023782108904
Long
DBT
CORP
KZ
N
2
2022-04-19
Fixed
0.03875000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 5.25% 03/13/2030
900123CY4
225000.00000000
PA
USD
201445.31000000
0.013848227491
Long
DBT
NUSS
TR
N
2
2030-03-13
Fixed
0.05250000
N
N
N
N
N
N
SENSATA TECHNOLOGIES UK FINANCING CO PLC
635400EUADS212PJER83
SENSATA TECHNOLOGIES UK FINANCING CO PLC 6.25% 02/15/2026 144A
81727TAA6
585000.00000000
PA
USD
606937.50000000
0.041723525720
Long
DBT
CORP
GB
N
2
2026-02-15
Fixed
0.06250000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-12346.74000000
-0.00084876865
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
1885887.01000000
USD
1666000.00000000
EUR
2020-08-13
-12346.74000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 08/31/2021
912828YC8
2000000.00000000
PA
USD
2030703.12000000
0.139599372024
Long
DBT
UST
US
N
2
2021-08-31
Fixed
0.01500000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
CEMEX SAB DE CV 7.75% 04/16/2026 144A
151290BU6
215000.00000000
PA
USD
218798.79000000
0.015041181245
Long
DBT
CORP
MX
N
2
2026-04-16
Fixed
0.07750000
N
N
N
N
N
N
SRI LANKA GOVT DEMOCRATIC SOCIALIST REP
254900HXCCIOHM74FA02
SRI LANKA GOV 6.25 10/4/20 144
85227SAH9
675000.00000000
PA
USD
638718.75000000
0.043908307187
Long
DBT
NUSS
LK
N
2
2020-10-04
Fixed
0.06250000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS CORP
549300ZCZ76HYCS0H445
FRONTIER COMMUNICATIONS CORP 8.5% 04/01/2026 144A
35906ABA5
2195000.00000000
PA
USD
2075372.50000000
0.142670139649
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
0.08500000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO GOV 6.05% 1/11/40
91086QAV0
1330000.00000000
PA
USD
1623015.63000000
0.111573159317
Long
DBT
NUSS
MX
N
2
2040-01-11
Fixed
0.06050000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.69% 01/23/2050 144A
71654QCW0
4303000.00000000
PA
USD
3589777.75000000
0.246776948669
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
0.07690000
N
N
N
N
N
N
PAPUA NEW GUINEA
254900NKI6OC90ZW9W36
PAPUA NEW GUINEA 8.375% 10/04/2028 144A
69888UAB1
300000.00000000
PA
USD
288000.00000000
0.019798373650
Long
DBT
NUSS
PG
N
2
2028-10-04
Fixed
0.08375000
N
N
N
N
N
N
JAGUAR HOLDING CO II / PHARMACEUTICAL PRODUCT DEVELOPMENT LLC
N/A
JAGUAR HOLDING CO II / PHARMACEUTICAL PRODUCT DEVELOPMENT LLC 5% 06/15/2028 144A
47010LAA0
715000.00000000
PA
USD
731981.25000000
0.050319577405
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H14 FC 1ML+50 5/61
38375BMB5
177362.22690000
PA
USD
177220.23000000
0.012182890041
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.00803380
N
N
N
N
N
N
BCP RAPTOR II LLC
254900ZZQV4TQNP45753
CAPROCK MIDSTREAM TERM B 11/03/2025
05550DAB0
287100.00000000
PA
USD
185179.50000000
0.012730044907
Long
LON
CORP
US
N
2
2025-11-03
Variable
0.04928250
N
N
N
N
N
N
CITGO HLDG INC
549300NYHOALWZ2BSL72
CITGO HLDG INC 9.25% 08/01/2024 144A
17302WAB4
6505000.00000000
PA
USD
6472475.00000000
0.444946105880
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
0.09250000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
FISERV INC
337738108
9726.00000000
NS
USD
949452.12000000
0.065269471649
Long
EC
CORP
US
N
1
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043
3136AA4A0
62090.41070000
PA
USD
63828.81000000
0.004387870243
Long
ABS-CBDO
USGSE
US
N
2
2043-01-25
Fixed
0.01750000
N
N
N
N
N
N
ONEMAIN HLDGS INC
549300E3VEW8SMS5XW09
ONEMAIN HOLDINGS INC
68268W103
21400.00000000
NS
USD
525156.00000000
0.036101509419
Long
EC
CORP
US
N
1
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
HERTZ CORP 6% 01/15/2028 144A
428040CZ0
340000.00000000
PA
USD
106250.00000000
0.007304087501
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.06000000
Y
Y
N
N
N
N
UZBEKISTAN REPUBLIC OF
213800L6VDKUM3TCM927
UZBEKISTAN REP GLOBAL MED TERM NT BOOK ENTRY 144A 4.75% 02/20/2024 144A
91822Q2B2
200000.00000000
PA
USD
210187.50000000
0.014449203686
Long
DBT
NUSS
UZ
N
2
2024-02-20
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/26 #256310
31371MVB0
980.51060000
PA
USD
1078.91000000
0.000074168969
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.75% 05/20/2064
38375UJP6
228349.11220000
PA
USD
233491.63000000
0.016051231024
Long
ABS-CBDO
USGA
US
N
2
2064-05-20
Fixed
0.02750000
N
N
N
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
FX Forward: JPY/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-2375.54000000
-0.00016330496
N/A
DFE
CORP
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
407014.14000000
USD
43667000.00000000
JPY
2020-08-13
-2375.54000000
N
N
N
EMIRATE OF ABU DHABI
213800FER4348CINTA77
EMIRATE OF ABU DHABI 2.5% 04/16/2025 144A
29135LAG5
215000.00000000
PA
USD
223331.25000000
0.015352762275
Long
DBT
NUSS
AE
N
2
2025-04-16
Fixed
0.02500000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 3.95% 12/01/2047
694308HY6
2880000.00000000
PA
USD
3012480.00000000
0.207090988384
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
0.03950000
Y
Y
N
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
HERTZ CORP 7.125% 08/01/2026 144A
428040CY3
620000.00000000
PA
USD
193750.00000000
0.013319218384
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
0.07125000
Y
Y
N
N
N
N
PROVINCE OF SANTA FE
N/A
PROVINCE OF SANTA FE 7% 03/23/2023 144A
74409AAC3
1175000.00000000
PA
USD
765218.75000000
0.052604467836
Long
DBT
NUSS
AR
N
2
2023-03-23
Fixed
0.07000000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV 5.25% 11/01/2024 144A
67091GAC7
895000.00000000
PA
USD
859200.00000000
0.059065148057
Long
DBT
CORP
NL
N
2
2024-11-01
Fixed
0.05250000
N
N
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
HEALTHSOUTH CORP 5.125% 03/15/2023
421924BN0
330000.00000000
PA
USD
331650.00000000
0.022799064656
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.05125000
N
N
N
N
N
N
MURRAY ENERGY CORP
549300WM5IIFYHZYTT63
MURRAY ENERGY CORP PIK VAR 04/15/2024 144A
62704PAM5
548100.00000000
PA
USD
5.48000000
0.000000376719
Long
DBT
CORP
US
N
2
2024-04-15
Variable
0.12000000
Y
Y
Y
N
N
N
HEINEKEN NV
724500K5PTPSST86UQ23
HEINEKEN NV 1.25% 05/07/2033 REGS
N/A
900000.00000000
PA
1015128.43000000
0.069784347084
Long
DBT
CORP
NL
N
2
2033-05-07
Fixed
0.01250000
N
N
N
N
N
N
NINE ENERGY SERVICE INC
549300KRLJCZBPZMKT65
NINE ENERGY SERVICE INC 8.75% 11/01/2023 144A
65441VAA9
300000.00000000
PA
USD
146250.00000000
0.010053861619
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
0.08750000
N
N
N
N
N
N
ODEBRECHT FINANCE LTD
N/A
ODEBRECHT FINANCE LTD 5.25% 06/27/2029 144A
675758AM8
580000.00000000
PA
USD
23200.00000000
0.001594868988
Long
DBT
CORP
KY
N
2
2029-06-27
Fixed
0.05250000
Y
Y
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.95% 01/25/27 144A
25714PDT2
445000.00000000
PA
USD
447642.19000000
0.030772872706
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
0.05950000
N
N
N
N
N
N
COMPASS MINERALS INTL INC
2549008X9G8XP7YJGC47
COMPASS MINERALS INTL INC 6.75% 12/01/2027 144A
20451NAG6
1305000.00000000
PA
USD
1370250.00000000
0.094196949634
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.06750000
N
N
N
N
N
N
EXIDE TECHNOLOGIES
549300KITCGPNNNXQP63
EXIDE TECHNOLOGIES
302051305
2115.00000000
NS
USD
2115.00000000
0.000145394306
Long
EC
CORP
US
N
3
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-2216.73000000
-0.00015238766
N/A
DFE
CORP
US
N
2
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
759055.03000000
USD
673000.00000000
EUR
2020-08-13
-2216.73000000
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A8 PP
N/A
16755.00000000
NS
USD
18.62000000
0.000001280019
Long
EC
CORP
LU
Y
3
N
N
N
AEROVIAS DE MEXICO SA DE CV
549300TK6ZHQ3FJ26B03
AEROVIAS DE MEXICO SA DE CV 7% 02/05/2025 144A
008065AD6
135000.00000000
PA
USD
31218.75000000
0.002146112768
Long
DBT
CORP
MX
N
2
2025-02-05
Fixed
0.07000000
N
N
N
N
N
N
KAZMUAIGAZ NATIONAL CO JSC
2138001H1M69RFJCSH88
KAZMUNAIGAZ FINANCE SUB BV 4.75% 04/24/2025 144A
48667QAR6
105000.00000000
PA
USD
112809.38000000
0.007755007835
Long
DBT
CORP
KZ
N
2
2025-04-24
Fixed
0.04750000
N
N
N
N
N
N
TEMPUR SEALY INTERNATIONAL INC
549300HFEKVR3US71V91
TEMPUR SEALY INTERNATIONAL INC
88023U101
18000.00000000
NS
USD
1295100.00000000
0.089030811509
Long
EC
CORP
US
N
1
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 5.75% 01/15/2028
629377CE0
1740000.00000000
PA
USD
1835700.00000000
0.126194008716
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.05750000
N
N
N
N
N
N
UC HOLDINGS INC
N/A
UC HOLDINGS INC
N/A
33750.00000000
NS
USD
1321987.50000000
0.090879175299
Long
EC
CORP
US
N
3
N
N
N
NAVIOS SOUTH AMERICAN LOGISTIC S INC/ NAVIOS LOGISTICS FIN US INC
N/A
NAVIOS SOUTH AMERN LOG/FIN US 7.25% 05/01/2022 144A
63938NAE4
490000.00000000
PA
USD
489846.88000000
0.033674206811
Long
DBT
CORP
MH
N
2
2022-05-01
Fixed
0.07250000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036
674599DF9
1171000.00000000
PA
USD
1002270.61000000
0.068900444568
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
0.06450000
N
N
N
N
N
N
MTN MAURITIUS INVESTMENTS LTD
2549009PQD415OQIR074
MTN MAURITIUS INVSTMENTS 5.373% 02/13/2022 144A
55377XAC0
100000.00000000
PA
USD
101468.75000000
0.006975403563
Long
DBT
CORP
MU
N
2
2022-02-13
Fixed
0.05373000
N
N
N
N
N
N
WHITING PETROLEUM CORP NEW
52990028CHK9KUB1B293
WHITING PETROLEUM CORP NEW 6.625% 01/15/2026
966387BG6
425000.00000000
PA
USD
75437.50000000
0.005185902125
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.06625000
Y
Y
N
N
N
N
CANADA, GOVERNMENT OF
4BFD7AQU0A75QLAHK410
CANADA GOVERNMENT OF 1.25% 06/01/2030
135087K37
3390000.00000000
PA
2670998.38000000
0.183616055372
Long
DBT
NUSS
CA
N
2
2030-06-01
Fixed
0.01250000
N
N
N
N
N
N
BAHAMAS COMWLTH
549300W13SXC7EKNJC20
BAHAMAS COMWLTH 6% 11/21/2028 144A
056732AJ9
100000.00000000
PA
USD
86000.00000000
0.005912014353
Long
DBT
NUSS
BS
N
2
2028-11-21
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 07/01/2041#AI6050
3138AKWL9
6631.38000000
PA
USD
6911.29000000
0.000475112159
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.04501000
N
N
N
N
N
N
PENSON WORLDWIDE INC
N/A
PENSON WORLDWIDE INC CL A
N/A
314563.00000000
NS
USD
3.15000000
0.000000216544
Long
EC
CORP
US
N
3
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 6.75% 02/01/2024
451102BM8
535000.00000000
PA
USD
539012.50000000
0.037054065546
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.06750000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY
595017104
6800.00000000
NS
USD
716108.00000000
0.049228381104
Long
EC
CORP
US
N
1
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMWARE INC CL A
928563402
3800.00000000
NS
USD
588468.00000000
0.040453851893
Long
EC
CORP
US
N
1
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PIPECO LLC 4.375% 08/15/2022 144A
62912XAE4
150000.00000000
PA
USD
154712.99000000
0.010635644390
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.04375000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.5% 11/15/2031
3137BAMN9
276005.96540000
PA
USD
298374.76000000
0.020511579813
Long
ABS-CBDO
USGSE
US
N
2
2031-11-15
Fixed
0.03500000
N
N
N
N
N
N
PALO ALTO NETWORKS INC
549300QXR2YVZV231H43
PALO ALTO NETWORKS INC
697435105
3800.00000000
NS
USD
872746.00000000
0.059996359062
Long
EC
CORP
US
N
1
N
N
N
JSC GEORGIAN RAILWAY
2138005UZV4ZT2B2ZO19
GEORGIAN RAIL 7.75 7/11/22 144
37363BAA6
100000.00000000
PA
USD
101343.75000000
0.006966810519
Long
DBT
CORP
GE
N
2
2022-07-11
Fixed
0.07750000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS FRN 3ML+ 03/11/2022
71654QCF7
325000.00000000
PA
USD
313300.00000000
0.021537605780
Long
DBT
CORP
MX
N
2
2022-03-11
Variable
0.03964630
N
N
N
N
N
N
TBG GLOBAL PTE LTD
N/A
TBG GLOBAL PTE LTD 5.25% 02/10/2022 REGS
N/A
400000.00000000
PA
USD
398964.00000000
0.027426522031
Long
DBT
CORP
SG
N
2
2022-02-10
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 01/01/2042#AJ8357
3138E1JB4
20229.09820000
PA
USD
21077.34000000
0.001448948100
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Variable
0.03814000
N
N
N
N
N
N
BARBADOS GOVT OF
529900UD1KUUS4SFD905
BARBADOS GOVT OF 6.5% 10/01/2029 144A
067070AH5
705000.00000000
PA
USD
635160.94000000
0.043663727841
Long
DBT
NUSS
BB
N
2
2029-10-01
Fixed
0.06500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 05/31/2023
912828R69
760000.00000000
PA
USD
792003.13000000
0.054445742708
Long
DBT
UST
US
N
2
2023-05-31
Fixed
0.01625000
N
N
N
N
N
N
PG and E CORP
8YQ2GSDWYZXO2EDN3511
PG and E CORP 5.25% 07/01/2030
69331CAJ7
510000.00000000
PA
USD
512550.00000000
0.035234918106
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.05250000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.56% 6/33 #780605
31342AU64
5781.68570000
PA
USD
6063.56000000
0.000416835508
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
0.03926000
N
N
N
N
N
N
JAMAICA GOVT OF
N/A
JAMAICA GOVT OF 6.75% 04/28/2028
470160CA8
130000.00000000
PA
USD
146412.50000000
0.010065032576
Long
DBT
NUSS
JM
N
2
2028-04-28
Fixed
0.06750000
N
N
N
N
N
N
ASCEND LEARNING LLC
549300T466HKRLVCD610
ASCEND LEARNING LLC 6.875% 08/01/2025 144A
043502AB9
630000.00000000
PA
USD
633150.00000000
0.043525487072
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
0.06875000
N
N
N
N
N
N
CONSOLIDATED ENERGY FINANCE SA
549300PUNIS0USNSL750
CONSOLIDATED ENERGY FINANCE SA FRN 3ML+375 06/15/2022 144A
20914UAC0
155000.00000000
PA
USD
137972.72000000
0.009484845361
Long
DBT
CORP
LU
N
2
2022-06-15
Variable
0.04063380
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 4.5% 08/15/2030 144A
1248EPCE1
4690000.00000000
PA
USD
4786145.00000000
0.329020441164
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
0.04500000
N
N
N
N
N
N
ENERGIAS DE PORTUGAL SA
529900CLC3WDMGI9VH80
ENERGIAS DE PORTUGAL SA 1.625% 04/15/2027 REGS
N/A
1500000.00000000
PA
1786672.05000000
0.122823614016
Long
DBT
CORP
PT
N
2
2027-04-15
Fixed
0.01625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 28YR 6.00% 6/36 #889046
31410GWF6
65422.34210000
PA
USD
77023.87000000
0.005294956105
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.06000000
N
N
N
N
N
N
UNITED KINGDOM,G.B. and N.IRELAND
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM G.B. and N.IRELAND 0.875% 10/22/2029 REGS
N/A
7780000.00000000
PA
10299112.44000000
0.708005820679
Long
DBT
NUSS
GB
N
2
2029-10-22
Fixed
0.00875000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H28 KA 3.75% 12/20/2060
38375BJA1
537.89040000
PA
USD
540.50000000
0.000037156322
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Fixed
0.03750000
N
N
N
N
N
N
VERITAS US INC / VERITAS BERMUDA LTD
N/A
VERITAS US INC / VERITAS BERMUDA LTD 7.5% 02/01/2023 144A
92346LAB9
875000.00000000
PA
USD
861875.00000000
0.059249039201
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.07500000
N
N
N
N
N
N
PDC ENERGY INC
5493008W8H2T511J5Y59
PDC ENERGY INC 6.125% 09/15/2024
69327RAG6
200000.00000000
PA
USD
186000.00000000
0.012786449649
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.06125000
N
N
N
N
N
N
METALSA S A DE C V
549300F2FONGJR575V67
METALSA SA DE CV 4.9% 04/24/2023 144A
59132VAA6
780000.00000000
PA
USD
764400.00000000
0.052548183397
Long
DBT
CORP
MX
N
2
2023-04-24
Fixed
0.04900000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.625% 06/15/2045
674599CF0
475000.00000000
PA
USD
332500.00000000
0.022857497356
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
0.04625000
N
N
N
N
N
N
BUENOS AIRES CITY ARGENTINA
5299007MC8RF52X0ON96
BUENOS AIRES CITY ARGENTINA 7.5% 06/01/2027 RGS
N/A
400000.00000000
PA
USD
308000.00000000
0.021173260709
Long
DBT
CORP
AR
N
2
2027-06-01
Fixed
0.07500000
N
N
N
N
N
N
EXIDE TECHNOLOGIES
549300KITCGPNNNXQP63
EXIDE TECHNOLOGIES (PAR SHARE)
302051404
124905.00000000
NS
USD
1.25000000
0.000000085930
Long
EC
CORP
US
N
3
N
N
N
ARGENTINA REPUBLIC OF
549300KPBYGYF7HCHO27
ARGENTINA REPUBLIC 7.5% 04/22/2026
040114GX2
4155000.00000000
PA
USD
1669790.63000000
0.114788676426
Long
DBT
NUSS
AR
N
2
2026-04-22
Fixed
0.07500000
Y
Y
N
N
N
N
TURKIYE VAKIFLAR BANKASI TAO
789000KAIHOLSQKQ9858
TURKIYE VAKIFLAR BANKASI TAO 5.75% 01/30/2023 144A
90015WAG8
565000.00000000
PA
USD
549285.94000000
0.037760306531
Long
DBT
CORP
TR
N
2
2023-01-30
Fixed
0.05750000
N
N
N
N
N
N
VAIL RESORTS INC
529900PSZHRNU9HKH870
VAIL RESORTS INC 6.25% 05/15/2025 144A
91879QAL3
380000.00000000
PA
USD
397575.00000000
0.027331036125
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.06250000
N
N
N
N
N
N
TAYLOR MORRISON CMNTYS INC / MONARCH CMNTYS INC
549300O1Z08HI2MRK572
TAYLOR MORRISON CMNTY/ MONARCH 5.875% 01/31/2025 144A
87724RAE2
380000.00000000
PA
USD
385700.00000000
0.026514696934
Long
DBT
CORP
US
N
2
2025-01-31
Fixed
0.05875000
N
N
N
N
N
N
ACRISURE LLC / ACRISURE FINANCE INC
N/A
ACRISURE LLC 8.125% 02/15/2024 144A
00489LAC7
685000.00000000
PA
USD
712194.50000000
0.048959350079
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.08125000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.25% 12/15/2027
15135BAR2
615000.00000000
PA
USD
634624.65000000
0.043626860932
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.04250000
N
N
N
N
N
N
ZIGGO BOND CO
213800JYI4P7V5QDOG59
ZIGGO BOND CO 5.125% 02/28/2030 144A
98953GAD7
315000.00000000
PA
USD
312543.00000000
0.021485566305
Long
DBT
CORP
NL
N
2
2030-02-28
Fixed
0.05125000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H17 XP 5.3019% 7/60
38375BED0
10934.47390000
PA
USD
10936.32000000
0.000751810242
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Variable
0.05310000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 7.25% 12/23/2023
900123CR9
245000.00000000
PA
USD
254417.19000000
0.017489745106
Long
DBT
NUSS
TR
N
2
2023-12-23
Fixed
0.07250000
N
N
N
N
N
N
VFU FUNDING (VF UKRAINE)
N/A
VFU FUNDING (VF UKRAINE) 6.2% 02/11/2025 144A
918212AA9
200000.00000000
PA
USD
197810.00000000
0.013598320457
Long
DBT
CORP
UA
N
2
2025-02-11
Fixed
0.06200000
N
N
N
N
N
N
ACRISURE LLC / ACRISURE FINANCE INC
N/A
ACRISURE LLC 10.125% 08/01/2026 144A
00489LAD5
605000.00000000
PA
USD
650375.00000000
0.044709608551
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
0.10125000
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM ENERGY CO 5.625% 06/01/2025
78454LAL4
380000.00000000
PA
USD
201400.00000000
0.013845112684
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.05625000
N
N
N
N
N
N
MARRIOTT OWNERSHIP RESORTS INC / ILG LLC
N/A
MARRIOTT OWNERSHIP RESORTS INC / ILG LLC 6.5% 09/15/2026
57165PAB1
400000.00000000
PA
USD
403000.00000000
0.027703974240
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
0.06500000
N
N
N
N
N
N
RUSSIAN FEDN
5493004EHVGF71PDBU58
RUSSIAN FEDN 5.25% 06/23/2047 REGS
N/A
600000.00000000
PA
USD
792600.00000000
0.054486774150
Long
DBT
NUSS
RU
N
2
2047-06-23
Fixed
0.05250000
N
N
N
N
N
N
SASOL FING INTL PLC
N/A
SASOL FING INTL PLC 4.5% 11/14/2022
803865AA2
380000.00000000
PA
USD
343026.00000000
0.023581100416
Long
DBT
CORP
IM
N
2
2022-11-14
Fixed
0.04500000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A. PREF PP
N/A
8042141.00000000
NS
USD
2715.83000000
0.000186697976
Long
EP
CORP
LU
Y
3
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2004-22 AZ 5.5% 04/20/2034
38374GDS8
55847.77740000
PA
USD
76466.24000000
0.005256622191
Long
ABS-CBDO
USGA
US
N
2
2034-04-20
Fixed
0.05500000
N
N
N
N
N
N
OPEN TEXT HOLDINGS INC
N/A
OPEN TEXT HOLDINGS INC 4.125% 02/15/2030 144A
683720AA4
300000.00000000
PA
USD
294750.00000000
0.020262398032
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 3/22 #G18186
3128MMF40
395.60220000
PA
USD
408.16000000
0.000028058695
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
0.06500000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 9.125% 06/15/2023 144A
780153BC5
975000.00000000
PA
USD
966461.67000000
0.066438782158
Long
DBT
CORP
LR
N
2
2023-06-15
Fixed
0.09125000
N
N
N
N
N
N
VERITAS US INC / VERITAS BERMUDA LTD
N/A
VERITAS US INC / VERITAS BERMUDA LTD 10.5% 02/01/2024 144A
92346LAA1
762000.00000000
PA
USD
681990.00000000
0.046882961270
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.10500000
N
N
N
N
N
N
PORTLAND GENERAL ELECTRIC CO
GJOUP9M7C39GLSK9R870
PORTLAND GENERAL ELECTRIC CO
736508847
140.00000000
NS
USD
5853.40000000
0.000402388195
Long
EC
CORP
US
N
1
N
N
N
ULTRA RESOURCES INC
VZ4O3I6KP00FINKB5W86
ULTRA RESOURCES INC PIK STEP 07/12/2024
90400GAE1
543409.00000000
PA
USD
28528.97000000
0.001961205583
Long
DBT
CORP
US
N
2
2024-07-12
Variable
0.11000000
Y
Y
Y
N
N
N
PARSLEY ENERGY LLC / PARSLEY FINANCE CORP
N/A
PARSLEY ENERGY LLC / PARSLEY FINANCE CORP 5.375% 01/15/2025 144A
701885AD7
65000.00000000
PA
USD
63152.70000000
0.004341391498
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.05375000
N
N
N
N
N
N
CALIFORNIA RESOURCES CORPORATION
5493003Q8F0T4F4YMR48
CALIFORNIA RESOURCES TERM 1 1/4LN 12/31/2022
13057LAB4
8185000.00000000
PA
USD
2793131.25000000
0.192012000494
Long
LON
CORP
US
N
2
2022-12-31
Variable
0.05750000
N
N
N
N
N
N
DENBURY RESOURCES INC
549300KCWA5W52MS5559
DENBURY RESOURCES INC CONV 6.375% 12/31/2024
247916AN9
1966000.00000000
PA
USD
196600.00000000
0.013515139790
Long
DBT
CORP
US
N
2
2024-12-31
Fixed
0.06375000
N
N
N
N
N
DENBURY RESOURCES INC
DENBURY RESOURCES INC
USD
XXXX
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 4.75% 2/15/37
912810PT9
8126000.00000000
PA
USD
12956526.05000000
0.890687999827
Long
DBT
UST
US
N
2
2037-02-15
Fixed
0.04750000
N
N
N
N
N
N
CANADA, GOVERNMENT OF
4BFD7AQU0A75QLAHK410
CANADA, GOVERNMENT OF 1.25% 03/01/2025
135087K52
8000000.00000000
PA
6135945.79000000
0.421811623089
Long
DBT
NUSS
CA
N
2
2025-03-01
Fixed
0.01250000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 4.5%/VAR 03/18/2030 REGS
N/A
1037000.00000000
PA
1256865.35000000
0.086402395234
Long
DBT
CORP
GB
N
2
2030-03-18
Variable
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 8/42 #MA0318
36179MK74
1666025.35700000
PA
USD
1815409.52000000
0.124799152797
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03500000
N
N
N
N
N
N
SOUTHRN NAT GAS
N/A
SOUTHRN NAT GAS CO 7.35% 02/15/2031
843452AY9
175000.00000000
PA
USD
225123.34000000
0.015475958342
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.07350000
N
N
N
N
N
N
TEINE ENERGY LTD
5493002EE80G6ER7SM91
TEINE ENERGY LTD 6.875% 09/30/22 144A
879068AA2
590000.00000000
PA
USD
582625.00000000
0.040052178639
Long
DBT
CORP
CA
N
2
2022-09-30
Fixed
0.06875000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H13 FA 1ML+50 4/61
38375BLW0
154004.63190000
PA
USD
153882.17000000
0.010578530207
Long
ABS-CBDO
USGA
US
N
2
2061-04-20
Variable
0.00803380
N
N
N
N
N
N
TRAVERSE MIDSTREAM PARTNERS LLC
549300DHTM8B2X5QMJ22
TRAVERSE MIDSTREAM TERM B 09/27/2024
89435TAB0
152287.50000000
PA
USD
126208.27000000
0.008676105858
Long
LON
CORP
US
N
2
2024-09-27
Variable
0.05000000
N
N
N
N
N
N
AKBANK TURK ANONIM SIRKETI
789000TUMN63Z28TJ497
AKBANK TURK ANONIM SIRKETI 5.125% 03/31/2025 144A
00971YAF7
125000.00000000
PA
USD
117460.94000000
0.008074776317
Long
DBT
CORP
TR
N
2
2025-03-31
Fixed
0.05125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.375% 08/31/2023
9128282D1
500000.00000000
PA
USD
518847.66000000
0.035667846667
Long
DBT
UST
US
N
2
2023-08-31
Fixed
0.01375000
N
N
N
N
N
N
MINERAL RES LTD
5299007V1ACKFFX2P066
MINERAL RES LTD 8.125% 05/01/2027 144A
603051AA1
960000.00000000
PA
USD
1020000.00000000
0.070119240012
Long
DBT
CORP
AU
N
2
2027-05-01
Fixed
0.08125000
N
N
N
N
N
N
GOLDEN NUGGET INC NEW
91D14OD6M4H1RVBN7R43
GOLDEN NUGGET INC NEW 6.75% 10/15/24 144A
38113YAE9
1200000.00000000
PA
USD
862500.00000000
0.059292004422
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.06750000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 13-H08 MA 3% 03/20/2063
38375BN40
211737.52800000
PA
USD
213392.66000000
0.014669540336
Long
ABS-CBDO
USGA
US
N
2
2063-03-20
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.86% 5/37 #1A1192
3128NFKD8
1230.94850000
PA
USD
1286.74000000
0.000088456108
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
0.03385000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 6.3/VAR PERP
172967HQ7
270000.00000000
PA
USD
270469.80000000
0.018593271394
Long
EP
CORP
US
N
2
N
N
N
BANCO DO BRASIL SA GRAND CAYMAN BRANCH
QE0Q0253K88YAGNPE356
BANCO DO BRASIL GR CAYMAN BRH STEP PERP 144A
05958AAK4
325000.00000000
PA
USD
285025.00000000
0.019593859200
Long
EP
CORP
KY
N
2
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.5% 02/15/2048 REGS
N/A
150000.00000000
PA
USD
138046.88000000
0.009489943442
Long
DBT
NUSS
DO
N
2
2048-02-15
Fixed
0.06500000
N
N
N
N
N
N
IVORY COAST (COTE D'IVOIRE)
254900ICW11T82O6H590
IVORY COAST GOV STEP 12/32 RGS
N/A
743525.00000000
PA
USD
730978.02000000
0.050250611007
Long
DBT
NUSS
CI
N
2
2032-12-31
Variable
0.05750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2101 PD 6% 11/28
3133TGPD5
1024.13070000
PA
USD
1139.20000000
0.000078313566
Long
ABS-CBDO
USGSE
US
N
2
2028-11-15
Fixed
0.06000000
N
N
N
N
N
N
SHRIRAM TRANSPORT FIN CO LTD
335800TM2YO24B76XL26
SHRIRAM TRANSPORT FIN CO LTD 5.1% 07/16/2023 144A
825547AC6
150000.00000000
PA
USD
131906.25000000
0.009067809806
Long
DBT
CORP
IN
N
2
2023-07-16
Fixed
0.05100000
N
N
N
N
N
N
GTT COMMUNICATIONS INC
549300ETSL7K1ZX05H30
GTT COMMUNICATIONS TERM B 05/31/2025
36250LAP9
1351573.40000000
PA
USD
990595.18000000
0.068097824687
Long
LON
CORP
US
N
2
2025-05-31
Variable
0.02930000
N
N
N
N
N
N
EPIC CRUDE SERVICES LP
549300FRS682IQ7J9S42
PROJECT EPIC CRUDE TERM B 1LN 03/01/2026
29428XAB6
1900000.00000000
PA
USD
1450327.00000000
0.099701791185
Long
LON
CORP
US
N
2
2026-03-01
Variable
0.05370000
N
N
N
N
N
N
GLOBO COMUNICACOES E PARTICIPA COES SA
52990054HEKS017PVR75
GLOBO COMUNICACOES E PARTIC SA STEP 06/08/2025 144A
37957TAK7
235000.00000000
PA
USD
233898.44000000
0.016079196914
Long
DBT
CORP
BR
N
2
2025-06-08
Fixed
0.04843000
N
N
N
N
N
N
STEVENS HOLDING CO INC
N/A
STEVENS HOLDING CO INC 6.125% 10/01/2026 144A
86024TAA5
155000.00000000
PA
USD
161975.00000000
0.011134866569
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
0.06125000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-67 AI IO 4% 7/26
31397U4B2
17341.73250000
PA
USD
1051.49000000
0.000072283999
Long
ABS-CBDO
USGSE
US
N
2
2026-07-25
Fixed
0.04000000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A7 PP
N/A
16755.00000000
NS
USD
18.62000000
0.000001280019
Long
EC
CORP
LU
Y
3
N
N
N
MGM RESORTS INTERNATIONAL
54930066VBP7DZEGGJ87
MGM RESORTS INTERNATIONAL
552953101
21600.00000000
NS
USD
362880.00000000
0.024945950799
Long
EC
CORP
US
N
1
N
N
N
ALGOMA STEEL SCA
N/A
ALGOMA STEEL SCA
N/A
10220.00000000
NS
USD
1430.80000000
0.000098359420
Long
EC
CORP
LU
N
3
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025 144A
780153AZ5
1230000.00000000
PA
USD
1283443.92000000
0.088229521832
Long
DBT
CORP
LR
N
2
2025-06-01
Fixed
0.11500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNII RVM 1ML+70 1/20/62
38375BPJ5
145456.95430000
PA
USD
146013.28000000
0.010037588456
Long
ABS-CBDO
USGA
US
N
2
2062-01-20
Variable
0.01003380
N
N
N
N
N
N
EGYPT, (ARAB) REP OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF GLOBAL MTN BE 144A 7.903% 02/21/2048 144A
03846JW55
335000.00000000
PA
USD
309770.31000000
0.021294959525
Long
DBT
NUSS
EG
N
2
2048-02-21
Fixed
0.07903000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
109348104.03700000
NS
USD
109369973.66000000
7.518568071759
Long
STIV
RF
US
N
1
N
N
N
GEORGIA BK JT STK CO
549300RPLD8RXL49Z691
GEORGIA BK JT STK CO 6% 07/26/2023 144A
47973XAA9
910000.00000000
PA
USD
890662.50000000
0.061228017262
Long
DBT
CORP
GE
N
2
2023-07-26
Fixed
0.06000000
N
N
N
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA 4.375% 8/22/23 144A
77586RAB6
210000.00000000
PA
USD
223387.50000000
0.015356629145
Long
DBT
NUSS
RO
N
2
2023-08-22
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.0% 01/01/2024#G14293
3128MC7E9
20780.21280000
PA
USD
21895.69000000
0.001505205041
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.06000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REP 7.5 5/06/21 144A
25714PAK4
289999.99800000
PA
USD
299334.37000000
0.020577547582
Long
DBT
NUSS
DO
N
2
2021-05-06
Fixed
0.07500000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 7.75% 09/01/2022 144A
903724AP7
81000.00000000
PA
USD
84442.50000000
0.005804945024
Long
DBT
NUSS
UA
N
2
2022-09-01
Fixed
0.07750000
N
N
N
N
N
N
SESI LLC
XDZ56K6RXS5J1ESBZS35
SESI LLC 7.75% 09/15/2024
78412FAU8
365000.00000000
PA
USD
133225.00000000
0.009158466422
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.07750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.81% 1/36 #1J1262
3128NHMK6
1667.47220000
PA
USD
1725.96000000
0.000118650003
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Variable
0.03412000
N
N
N
N
N
N
ISRAEL, STATE OF
213800T8ZHTFZIBYPE21
ISRAEL GLBL 5.5% 12/4/23
46513EGV8
1628000.00000000
PA
USD
1916506.35000000
0.131748988961
Long
DBT
NUSS
IL
N
2
2023-12-04
Fixed
0.05500000
N
N
N
N
N
N
HORIZON PHARMA USA INC
N/A
HORIZON PHARMA USA INC 5.5% 08/01/2027 144A
44055PAA4
650000.00000000
PA
USD
676240.50000000
0.046487715613
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.55% 4/37 #847748
3128JRTD8
414.52430000
PA
USD
435.57000000
0.000029942977
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Variable
0.03793000
N
N
N
N
N
N
TERRAFORM POWER OPERATING LLC
5493000S2OLR3UT5BE13
TERRAFORM POWER OPERATING LLC 4.25% 01/31/2023 144A
88104LAC7
320000.00000000
PA
USD
321600.00000000
0.022108183909
Long
DBT
CORP
US
N
2
2023-01-31
Fixed
0.04250000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG 2010-169 Z 4.5% 12/20/2040
38377RM51
441949.40070000
PA
USD
488062.80000000
0.033551561386
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04500000
N
N
N
N
N
N
BARBADOS GOVT OF
529900UD1KUUS4SFD905
BARBADOS GOVT OF 6.5% 02/01/2021 144A
067070AJ1
260500.00000000
PA
USD
258057.81000000
0.017740017172
Long
DBT
NUSS
BB
N
2
2021-02-01
Fixed
0.06500000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
CLEVELAND-CLIFFS INC 4.875% 01/15/2024 144A
185899AB7
620000.00000000
PA
USD
582800.00000000
0.040064208901
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.04875000
N
N
N
N
N
N
CROWN CORK and SEAL INC
7HLDMDH0ZXNUH6PT7Z42
CROWN CORK and SE 7.5% 12/15/96
228255AJ4
160000.00000000
PA
USD
169600.00000000
0.011659042260
Long
DBT
CORP
US
N
2
2096-12-15
Fixed
0.07500000
N
N
N
N
N
N
HOWARD HUGHES CORP
549300BVHY25JZC1KI49
HOWARD HUGHES CORP 5.375% 03/15/2025 144A
44267DAB3
665000.00000000
PA
USD
618849.00000000
0.042542374080
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.05375000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 6.25% 03/17/24
71647NAM1
1245000.00000000
PA
USD
1318532.81000000
0.090641684870
Long
DBT
CORP
NL
N
2
2024-03-17
Fixed
0.06250000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
ALTICE FRANCE SA 8.125% 02/01/2027 144A
02156LAA9
370000.00000000
PA
USD
404687.50000000
0.027819980335
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
0.08125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 07/31/2024
9128282N9
9671000.00000000
PA
USD
10414835.87000000
0.715961152996
Long
DBT
UST
US
N
2
2024-07-31
Fixed
0.02125000
N
N
N
N
N
N
AUSTRALIA, COMMONWEALTH OF
213800J6B7JSBDETCB42
AUSTRALIA GOVT 3% 3/21/47 RGS
N/A
5760000.00000000
PA
5056248.84000000
0.347588554875
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2770 FH 1ML+40 3/34
31394TZB4
69388.65140000
PA
USD
69569.67000000
0.004782521949
Long
ABS-CBDO
USGSE
US
N
2
2034-03-15
Variable
0.00584750
N
N
N
N
N
N
ELDORADO RESORTS INC
5299000BKFWWVND5L441
ELDORADO RESORTS INC 8.125% 07/01/2027 144A
28470RAK8
3360000.00000000
PA
USD
3267600.00000000
0.224629047709
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
0.08125000
N
N
N
N
N
N
PAMPA ENERGIA S.A
254900QNIK0CVURGML24
PAMPA ENERGIA S.A 7.375% 07/21/2023 144A
71647XAA5
385000.00000000
PA
USD
327284.65000000
0.022498971495
Long
DBT
CORP
AR
N
2
2023-07-21
Fixed
0.07375000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.45 09/04/24
N/A
-2100000.00000000
NC
USD
-28161.90000000
-0.00193597159
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/06/29 3MLV1.45
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-06
0.00000000
USD
0.00000000
USD
-2100000.00000000
USD
1.00000000
1.45000000
USD
2024-09-04
XXXX
33368.10000000
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
VALVOLINE INC 4.25% 02/15/2030 144A
92047WAD3
435000.00000000
PA
USD
428475.00000000
0.029455236631
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04250000
N
N
N
N
N
N
CARGO AIRCRAFT MANAGEMENT INC
549300GH5J7LOMV44F11
CARGO AIRCRAFT MANAGEMENT INC 4.75% 02/01/2028 144A
14180LAA4
365000.00000000
PA
USD
361806.25000000
0.024872136550
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.04750000
N
N
N
N
N
N
LAREDO PETE INC NEW
549300X0PTWU2QSLSL14
LAREDO PETE INC 10.125% 01/15/2028
516806AG1
445000.00000000
PA
USD
307050.00000000
0.021107953574
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.10125000
N
N
N
N
N
N
PG and E CORP
8YQ2GSDWYZXO2EDN3511
PG and E CORP
69331C108
77900.00000000
NS
USD
690973.00000000
0.047500491793
Long
EC
CORP
US
N
1
N
N
N
PAYPAL HLDGS INC
5493005X2GO78EFZ3E94
PAYPAL HLDGS INC
70450Y103
11500.00000000
NS
USD
2003645.00000000
0.137739279072
Long
EC
CORP
US
N
1
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 1.57125 09/05/2024
N/A
2600000.00000000
NC
USD
121492.90000000
0.008351950798
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 9/29 3MLV1.57125
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-09
0.00000000
USD
0.00000000
USD
2600000.00000000
USD
1.00000000
1.57125000
USD
2024-09-05
XXXX
46824.15000000
N
N
N
BRAZIL, FEDERATIVE REPUBLIC OF
254900ZFY40OYEADAP90
BRAZIL FEDERATIVE REPUBLIC OF 4.5% 05/30/2029
105756CA6
405000.00000000
PA
USD
416517.19000000
0.028633204720
Long
DBT
NUSS
BR
N
2
2029-05-30
Fixed
0.04500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 5.875%/VAR PERP
060505FL3
5125000.00000000
PA
USD
5235411.77000000
0.359904994571
Long
EP
CORP
US
N
2
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 7.75% 09/01/2023 144A
903724AQ5
120000.00000000
PA
USD
125700.00000000
0.008641165166
Long
DBT
NUSS
UA
N
2
2023-09-01
Fixed
0.07750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.08% 7/35 #1G0277
3128NCJW5
1475.17730000
PA
USD
1527.77000000
0.000105025560
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04350000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC
883556102
3500.00000000
NS
USD
1268190.00000000
0.087180900971
Long
EC
CORP
US
N
1
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 5.3% VAR PERP
46625HKK5
865000.00000000
PA
USD
820409.25000000
0.056398503048
Long
EP
CORP
US
N
2
N
N
N
CF INDS INC
5FVKT86LAD2F40NPC183
CF INDUSTRIES INC 5.15% 03/15/2034
12527GAF0
1719000.00000000
PA
USD
1838143.89000000
0.126362012352
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
0.05150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #AE0746
31419AZL4
38130.90750000
PA
USD
44138.23000000
0.003034254061
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
GLOBAL PARTNERS LP / GLP FIN CORP
N/A
GLOBAL PARTNERS LP / GLP FIN CORP 7.0% 06/15/2023
37954FAD6
580000.00000000
PA
USD
557525.00000000
0.038326695380
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.07000000
N
N
N
N
N
N
T-MOBILE US INC
549300QHIJYOHPACPG31
T-MOBILE US INC RT 07/28/20
872590112
30200.00000000
NS
USD
5073.60000000
0.000348781349
Long
EC
CORP
US
N
1
N
N
N
DIAMOND OFFSHORE DRILLING INC
F14FQJ2EEHW5VPYUHL14
DIAMOND OFFSHORE 4.875% 11/43
25271CAN2
25000.00000000
PA
USD
2847.75000000
0.000195766731
Long
DBT
CORP
US
N
2
2043-11-01
Fixed
0.04875000
Y
Y
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY GOVT 3.25% 3/23/23
900123CA6
3635000.00000000
PA
USD
3436210.94000000
0.236220097680
Long
DBT
NUSS
TR
N
2
2023-03-23
Fixed
0.03250000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5% 07/31/2027 144A
92840VAF9
1220000.00000000
PA
USD
1240435.00000000
0.085272901455
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
0.05000000
N
N
N
N
N
N
BANQUE CENTRALE DE TUNISIE
254900B5LFB16S9T2T11
BANQUE CENTRALE DE TUNISIE 5.75% 01/30/2025 144A
066716AH4
620000.00000000
PA
USD
574468.75000000
0.039491482510
Long
DBT
CORP
TN
N
2
2025-01-30
Fixed
0.05750000
N
N
N
N
N
N
EGYPT, (ARAB) REP OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF 7.5% 01/31/2027 144A
038461AL3
2900000.00000000
PA
USD
3033218.75000000
0.208516660334
Long
DBT
NUSS
EG
N
2
2027-01-31
Fixed
0.07500000
N
N
N
N
N
N
CASCADES INC/USA INC
FPD41G4F3GH7OJ38TS94
CASCADES INC/USA INC 5.125% 01/15/2026 144A
14739LAA0
300000.00000000
PA
USD
304500.00000000
0.020932655474
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
0.05125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90684
3132J2XM0
108103.07100000
PA
USD
114784.94000000
0.007890816429
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 10/01/2034#FM1579
3140X4XH4
298548.86800000
PA
USD
317212.17000000
0.021806545375
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.75% 09/21/2047
71654QCC4
798000.00000000
PA
USD
612664.50000000
0.042117224629
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
0.06750000
N
N
N
N
N
N
AIR CANADA INC
4B4HI3CGXMBDC0G6BM51
AIR CANADA VTG
008911877
145200.00000000
NS
1812860.93000000
0.124623951626
Long
EC
CORP
CA
N
1
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-2 FD 1ML+48 1/38
38374DMX4
8891.84750000
PA
USD
8949.38000000
0.000615219337
Long
ABS-CBDO
USGA
US
N
2
2038-01-20
Variable
0.00670000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
BOXER PARENT CO INC 7.125% 10/02/2025 144A
103186AB8
340000.00000000
PA
USD
357102.00000000
0.024548745928
Long
DBT
CORP
US
N
2
2025-10-02
Fixed
0.07125000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 4.625% 09/01/2024 144A
88033GDC1
650000.00000000
PA
USD
635375.00000000
0.043678443257
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.04625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.44% 2/37 #888171
31410FW84
8325.94970000
PA
USD
8740.35000000
0.000600849705
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.03784000
N
N
N
N
N
N
VOC ESCROW LTD
N/A
VOC CRUISE LTD 5% 02/15/2028 144A
91832VAA2
545000.00000000
PA
USD
404662.50000000
0.027818261726
Long
DBT
CORP
BM
N
2
2028-02-15
Fixed
0.05000000
N
N
N
N
N
N
CANADA, GOVERNMENT OF
4BFD7AQU0A75QLAHK410
CANADA GOVT 1.75% 08/01/2020
135087J21
12170000.00000000
PA
8975554.29000000
0.617018672061
Long
DBT
NUSS
CA
N
2
2020-08-01
Fixed
0.01750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/29#FM2692
3140X57E7
1218481.53000000
PA
USD
1275870.91000000
0.087708920159
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.02500000
N
N
N
N
N
N
SAUDI ARABIAN OIL COMPANY
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO 3.5% 04/16/2029 144A
80414L2D6
2545000.00000000
PA
USD
2747009.38000000
0.188841382384
Long
DBT
CORP
SA
N
2
2029-04-16
Fixed
0.03500000
N
N
N
N
N
N
CITADEL SECS LP
549300NV5RXBUS3X7L47
CITADEL TERM B 1LN 02/27/2026
17288YAC6
192831.00000000
PA
USD
187206.12000000
0.012869363588
Long
LON
CORP
US
N
2
2026-02-27
Variable
0.02928250
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 10.875% 06/01/2023 144A
780153AY8
845000.00000000
PA
USD
868289.80000000
0.059690020476
Long
DBT
CORP
LR
N
2
2023-06-01
Fixed
0.10875000
N
N
N
N
N
N
FMG RESOURCES AUG'06 PTY LTD
549300EFD6S2NFE9D745
FMG RES AUGUST 2006 PTY LTD 5.125% 05/15/2024 144A
30251GAW7
495000.00000000
PA
USD
509850.00000000
0.035049308353
Long
DBT
CORP
AU
N
2
2024-05-15
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.25% 6/36 #886983
31410EM88
373.30230000
PA
USD
389.61000000
0.000026783487
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.04303000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 5.5% 12/15/2029 144A
737446AP9
810000.00000000
PA
USD
837637.20000000
0.057582827323
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.05500000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI PROPERTIES / NOTE 4.625% 12/01/2029 144A
92564RAB1
650000.00000000
PA
USD
633750.00000000
0.043566733684
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
0.04625000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PG and E 6.05% 3/01/34
694308GE1
8515000.00000000
PA
USD
10154137.50000000
0.698039612234
Long
DBT
CORP
US
N
2
2034-03-01
Fixed
0.06050000
Y
Y
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 17-161 DF 1ML+25 10/20/2047
38380HZJ4
364365.93700000
PA
USD
362362.54000000
0.024910378346
Long
ABS-CBDO
USGA
US
N
2
2047-10-20
Variable
0.00440000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 3.75% 01/11/2028
91087BAE0
590000.00000000
PA
USD
615812.50000000
0.042333631852
Long
DBT
NUSS
MX
N
2
2028-01-11
Fixed
0.03750000
N
N
N
N
N
N
DARLING INGREDIENTS INC
L1N0SPPKS7EXZYUMZ898
DARLING INGREDIENTS INC
237266101
40100.00000000
NS
USD
987262.00000000
0.067868687385
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.4025 02/26/2025
N/A
1900000.00000000
NC
USD
76901.44000000
0.005286539733
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 3MLV1.40250003%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
1900000.00000000
USD
1.00000000
1.40250000
USD
2025-02-26
XXXX
23321.44000000
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT SEP20 TUU0
N/A
6.00000000
NC
USD
129.33000000
0.000008890707
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UNDERLYING TREASURY 2 YR NOTE GENERIC IV FOR FUTURES TRADING
2020-09-30
1324839.42000000
USD
129.33000000
N
N
N
CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP
N/A
CRESTWOOD MIDSTRM PTN/FIN CORP 6.25% 04/01/2023
226373AL2
345000.00000000
PA
USD
307050.00000000
0.021107953574
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
0.06250000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
CHEMOURS CO 5.375% 05/15/2027
163851AE8
1700000.00000000
PA
USD
1536273.00000000
0.105610093344
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.05375000
N
N
N
N
N
N
NEW COTAI LLC / NEW COTAI CAP CORP
N/A
NEW COTAI LLC / NEW COTAI CAP CORP 10.625% PIK 05/01/2019 144A
643639AA5
2098525.00000000
PA
USD
944336.25000000
0.064917784476
Long
DBT
CORP
US
N
2
2019-05-01
Variable
0.10625000
Y
Y
Y
N
N
N
SOUTHRN NAT GAS
N/A
SOUTHRN NAT GAS 8% 3/01/32
843452AZ6
335000.00000000
PA
USD
485579.45000000
0.033380845097
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
485299.62800000
PA
USD
527297.46000000
0.036248722701
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
BANCO DE RESERVAS DE LA REPUBLICA DOMINICANA
549300CKQT0JZ2EGNC56
BANCO DE RESERVAS 7% 02/01/2023 144A
059566AA7
90000.00000000
PA
USD
87075.00000000
0.005985914533
Long
DBT
CORP
DO
N
2
2023-02-01
Fixed
0.07000000
N
N
N
N
N
N
REDDY ICE HOLDINGS INC
7Z0MRIY211ZHEWECBM22
REDDY ICE HOLDINGS INC NEW
75734R303
5683.00000000
NS
USD
0.06000000
0.000000004124
Long
EC
CORP
US
N
3
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
11958.39000000
0.000822071782
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
345656.14000000
USD
318000.00000000
EUR
2020-08-13
11958.39000000
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 6.375% 06/15/2026
893647BB2
3145000.00000000
PA
USD
2869812.50000000
0.197283403409
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.06375000
N
N
N
N
N
N
W and T OFFSHORE INC
549300Q7EOY2YIO3YK85
W and T OFFSHORE INC 9.75% 11/01/2023 144A
92922PAL0
2005000.00000000
PA
USD
1255130.00000000
0.086283099722
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
0.09750000
N
N
N
N
N
N
MCAFEE LLC
549300713UKUTLV9T378
MCAFEE TERM 2LN 09/29/2025
57906PAF6
1264375.00000000
PA
USD
1255524.38000000
0.086310211120
Long
LON
CORP
US
N
2
2025-09-29
Variable
0.09500000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5.75% 02/15/2026 144A
1248EPBM4
1030000.00000000
PA
USD
1065370.20000000
0.073238185054
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 11/01/2025#AL8242
3138ETEQ5
80019.63550000
PA
USD
83881.33000000
0.005766367755
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
0.04500000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA GOVT 6.75% 01/15/44 144A
455780BR6
330000.00000000
PA
USD
481040.67000000
0.033068829603
Long
DBT
NUSS
ID
N
2
2044-01-15
Fixed
0.06750000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 6.25% 03/15/2026 144A
893647BE6
955000.00000000
PA
USD
954403.13000000
0.065609825628
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.06250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 03/31/2024
912828W71
5843000.00000000
PA
USD
6260454.95000000
0.430370924730
Long
DBT
UST
US
N
2
2024-03-31
Fixed
0.02125000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REP 6.25% 9/26/22
900123BZ2
2865000.00000000
PA
USD
2900812.50000000
0.199414478350
Long
DBT
NUSS
TR
N
2
2022-09-26
Fixed
0.06250000
N
N
N
N
N
N
TURKIYE SINAI KALKINMA BANK AS
549300MFCXK5HOOEWP84
TURKIYE SINAI KALKINMA BANK AS 6% 01/23/2025 144A
90015YAA7
325000.00000000
PA
USD
308953.13000000
0.021238783014
Long
DBT
CORP
TR
N
2
2025-01-23
Fixed
0.06000000
N
N
N
N
N
N
ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER
N/A
ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 6.75% 10/15/2027 144A
01883LAA1
300000.00000000
PA
USD
298986.00000000
0.020553599112
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.06750000
N
N
N
N
N
N
CITGO HLDG INC
549300NYHOALWZ2BSL72
CITGO HOLDING TERM B 1LN 08/01/2023
17304YAD4
74437.50000000
PA
USD
70560.80000000
0.004850656539
Long
LON
CORP
US
N
2
2023-08-01
Variable
0.08000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 06/30/2022
912828ZX1
575000.00000000
PA
USD
574663.08000000
0.039504841600
Long
DBT
UST
US
N
2
2022-06-30
Fixed
0.00125000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA 1ML+20 04/63
38376RFZ4
14509.23220000
PA
USD
14411.21000000
0.000990689306
Long
ABS-CBDO
USGA
US
N
2
2063-04-20
Variable
0.00503380
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2009-108 CF 1ML+60 11/39
38376ENU5
39596.09140000
PA
USD
39997.16000000
0.002749578884
Long
ABS-CBDO
USGA
US
N
2
2039-11-16
Variable
0.00795130
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H15 TP 5.15% 8/20/60
38375BDS8
883.94860000
PA
USD
904.21000000
0.000062159331
Long
ABS-CBDO
USGA
US
N
2
2060-08-20
Fixed
0.05150000
N
N
N
N
N
N
MPT OPER PARTNERSHIP LP / MPT FIN CORP
N/A
MPT OPER PARTNERSHIP LP/CORP 5% 10/15/2027
55342UAH7
1295000.00000000
PA
USD
1330612.50000000
0.091472095343
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2013-H06 HA 1.65% 01/20/2063
38375BJ60
16007.48830000
PA
USD
16048.23000000
0.001103225187
Long
ABS-CBDO
USGA
US
N
2
2063-01-20
Fixed
0.01650000
N
N
N
N
N
N
CHASSIX HLDGS INC
5493006KCRRSI22YAP66
UC HOLDINGS INC WT 7/29/20
N/A
1921.00000000
NS
USD
45470.07000000
0.003125810540
Long
EC
CORP
US
N
3
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-4927.99000000
-0.00033877148
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
228000.00000000
EUR
251474.88000000
USD
2020-08-13
-4927.99000000
N
N
N
MAVERICK PURCHASER SUB LLC
N/A
AECOM TERM B 1LN 01/23/27
57776DAB9
115000.00000000
PA
USD
112651.70000000
0.007744168225
Long
LON
CORP
US
N
2
2027-01-23
Variable
0.04178250
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-69 GX 4.5% 5/40
38377VH66
470000.00000000
PA
USD
504126.56000000
0.034655854173
Long
ABS-CBDO
USGA
US
N
2
2040-05-16
Fixed
0.04500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.75% MAC 09/16/2050
N/A
145000.00000000
NC
USD
20840.57000000
0.001432671499
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2050-09-16
0.00000000
USD
0.00000000
USD
117271.19000000
USD
20840.57000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 4.1% 04/24/2028
455780CF1
630000.00000000
PA
USD
698709.38000000
0.048032324230
Long
DBT
NUSS
ID
N
2
2028-04-24
Fixed
0.04100000
N
N
N
N
N
N
TEVA PHARMACEUTICAL FIN CO BV
549300Q840R30TDKVK53
TEVA PHRM FN BV 3.65% 11/10/21
88165FAF9
75000.00000000
PA
USD
74490.00000000
0.005120766851
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
0.03650000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA SA
549300YWR8TN1OFD4P06
PDVSA PETR VENZ 5.375% 4/12/27
N/A
480000.00000000
PA
USD
12720.00000000
0.000874428169
Long
DBT
CORP
VE
N
2
2027-04-12
Fixed
0.05375000
Y
Y
N
N
N
N
SANCHEZ ENERGY CORP
549300SB0HTIM17TVR61
SANCHEZ ENERGY CORP 7.25% 02/15/2023 144A
79970YAE5
1063000.00000000
PA
USD
10630.00000000
0.000730752471
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.07250000
Y
Y
N
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS SA 9.75% 07/15/2025 144A
45824TAY1
1950000.00000000
PA
USD
1197885.00000000
0.082347829237
Long
DBT
CORP
LU
N
2
2025-07-15
Fixed
0.09750000
Y
Y
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 6.5% 05/15/2025
893647AZ0
835000.00000000
PA
USD
780800.15000000
0.053675601097
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.06500000
N
N
N
N
N
N
PBF HLDG CO LLC / PBF FIN CORP
N/A
PBF HLDG CO LLC / PBF FIN CORP 6% 02/15/2028 144A
69318FAH1
1445000.00000000
PA
USD
1199350.00000000
0.082448539714
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.06000000
N
N
N
N
N
N
BONITRON DESIGNATED ACTIVITY CO
N/A
BONITRON DESIGNATED ACTIVITY CO 8.75% 10/30/2022 144A
09821LAA9
800000.00000000
PA
USD
810000.00000000
0.055682925892
Long
DBT
CORP
IE
N
2
2022-10-30
Fixed
0.08750000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF 1ML+65 05/20/2061
38375BWC2
4847.77360000
PA
USD
4858.05000000
0.000333963503
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.00953380
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 5%/VAR PERP V
48127FAA1
2145000.00000000
PA
USD
1892962.50000000
0.130130482227
Long
EP
CORP
US
N
2
N
N
N
NEWFIELD EXPLORATION CO
T8W3X1PFLPW2YE0UIP44
NEWFIELD EXPL CO 5.375% 01/01/2026
651290AR9
475000.00000000
PA
USD
444805.52000000
0.030577867662
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
0.05375000
N
N
N
N
N
N
FLY LEASING LTD
549300LI58A0MHGHTZ98
FLY LEASING LTD 5.25% 10/15/2024
34407DAC3
490000.00000000
PA
USD
396900.00000000
0.027284633687
Long
DBT
CORP
BM
N
2
2024-10-15
Fixed
0.05250000
N
N
N
N
N
N
TRI POINTE GROUP INC
N/A
TRI POINTE GROUP INC 5.7% 06/15/2028
87265HAG4
200000.00000000
PA
USD
203000.00000000
0.013955103649
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.05700000
N
N
N
N
N
N
SRC ENERGY INC
549300RFZV39PJ73PH67
SRC ENERGY INC 6.25% 12/01/2025
78470VAC2
380000.00000000
PA
USD
320150.00000000
0.022008504597
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
0.06250000
N
N
N
N
N
N
LCPR LOAN FINANCING LLC
N/A
LIBERTY LATIN AMERICA TERM B 1LN 10/22/2026
50183CAB3
115000.00000000
PA
USD
113850.00000000
0.007826544583
Long
LON
CORP
US
N
2
2026-10-22
Variable
0.05184750
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.625% 05/15/2030
912828ZQ6
1994000.00000000
PA
USD
1987924.52000000
0.136658584847
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.00625000
N
N
N
N
N
N
ENVIVA PARTNERS LP / ENVIVA PARTNERS FINANCE CORP
N/A
ENVIVA PARTNERS LP / ENVIVA PARTNERS FINANCE CORP 6.5% 01/15/2026 144A
29413XAD9
595000.00000000
PA
USD
618800.00000000
0.042539005607
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.75% 02/20/2064
38375UDD9
852568.54920000
PA
USD
881979.52000000
0.060631111420
Long
ABS-CBDO
USGA
US
N
2
2064-02-20
Fixed
0.02750000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.5% 07/25/2034
31394AEQ5
389337.46710000
PA
USD
451960.76000000
0.031069750006
Long
ABS-CBDO
USGSE
US
N
2
2034-07-25
Fixed
0.05500000
N
N
N
N
N
N
LANDESK GROUP INC
N/A
LANDESK SOFTWARE TERM B 1LN 01/20/2024
51501EAC0
165178.28000000
PA
USD
157538.78000000
0.010829901496
Long
LON
CORP
US
N
2
2024-01-20
Variable
0.05250000
N
N
N
N
N
N
RUSSIA FEDN MINISTRY FINANCE
5493004EHVGF71PDBU58
RUSSIA FEDN MINISTRY FINANCE 5.1% 03/28/2035 REGS
N/A
1000000.00000000
PA
USD
1235937.50000000
0.084963723728
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
0.05100000
N
N
N
N
N
N
J2 CLOUD SERVICES LLC / J2 GLOBAL CO OBLIGOR INC
N/A
J2 CLOUD SERVICES LLC / J2 GLOBAL CO OBLIGOR INC 6% 07/15/2025 144A
466253AA9
410000.00000000
PA
USD
417175.00000000
0.028678425443
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.06000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-39 FG 1ML+92 3/36
31398PU56
106417.26600000
PA
USD
108750.92000000
0.007476011628
Long
ABS-CBDO
USGSE
US
N
2
2036-03-25
Variable
0.01104500
N
N
N
N
N
N
CVR ENERGY INC
529900SOYZIXZBTXB558
CVR ENERGY INC 5.75% 02/15/2028 144A
12662PAD0
2320000.00000000
PA
USD
2030000.00000000
0.139551036494
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.05750000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNMA 2017-H06 FA 12ML+35 08/66
38376RV60
916497.88310000
PA
USD
907296.61000000
0.062371518391
Long
ABS-CBDO
USGA
US
N
2
2066-08-20
Variable
0.00520000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-85334.00000000
-0.00586623061
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
2775000.00000000
EUR
3035358.83000000
USD
2020-08-13
-85334.00000000
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA INC 5% 09/15/2029 144A
87901JAC9
650000.00000000
PA
USD
612430.00000000
0.042101104079
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.05000000
N
N
N
N
N
N
STARWOOD PPTY TR INC
BUGSFQZERKRBFWIG5267
STARWOOD PPTY TR INC 4.75% 03/15/2025
85571BAL9
595000.00000000
PA
USD
541450.00000000
0.037221629906
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.04750000
N
N
N
N
N
N
AIR CANADA 2013-1 PASS THROUGH TRUST
N/A
AIR CANADA 2013-1 PASS THROUGH TRUST 5.375% 11/15/2022 144A
009089AB9
92617.45680000
PA
USD
83478.53000000
0.005738677530
Long
DBT
CORP
CA
N
2
2022-11-15
Fixed
0.05375000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC 7.875% 04/15/2027 144A
097751BT7
2810000.00000000
PA
USD
1840550.00000000
0.126527418827
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
0.07875000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-97 CI 4.5% IO 8/25
31398NGJ7
72.55000000
PA
USD
0.01000000
0.000000000687
Long
ABS-CBDO
USGSE
US
N
2
2025-08-25
Fixed
0.04500000
N
N
N
N
N
N
ARCONIC ROLLED PRODUCTS CORP
549300B4YFWH3U74B152
ARCONIC ROLLED PRODUCTS CORP 6.125% 02/15/2028 144A
03966VAA5
875000.00000000
PA
USD
874781.25000000
0.060136271006
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.06125000
N
N
N
N
N
N
MURPHY OIL USA INC
N32S6DTR2ZZ5222WHV58
MURPHY OIL USA INC 5.625% 05/01/2027
626738AD0
305000.00000000
PA
USD
314912.50000000
0.021648456049
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05625000
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC WT 05/01/2039
45174J145
5655.00000000
NS
USD
47214.56000000
0.003245734377
Long
EC
CORP
US
N
2
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1ML+60 08/20/2063
38375B5Q1
135992.17860000
PA
USD
136126.36000000
0.009357918538
Long
ABS-CBDO
USGA
US
N
2
2063-08-20
Variable
0.00903380
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.125% 11/15/2028
9128285M8
1580000.00000000
PA
USD
1910071.88000000
0.131306655484
Long
DBT
UST
US
N
2
2028-11-15
Fixed
0.03125000
N
N
N
N
N
N
UNITED RENTALS NORTH AMER INC
NGIZXNT70J2LYT3FBI09
UNITED RENTALS NORTH AMER INC 3.875% 11/15/2027
911365BM5
300000.00000000
PA
USD
299250.00000000
0.020571747621
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.03875000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: AUD/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
42271.64000000
0.002905936540
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
557549.53000000
USD
869000.00000000
AUD
2020-08-13
42271.64000000
N
N
N
RUSSIA FEDN MINISTRY FINANCE
5493004EHVGF71PDBU58
RUSSIA FEDN MINISTRY FINANCE 5.1% 03/28/2035 144A
N/A
2200000.00000000
PA
USD
2719062.50000000
0.186920192201
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
0.05100000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TVA 5.25% 9/15/39
880591EH1
126000.00000000
PA
USD
194366.03000000
0.013361566968
Long
DBT
USGSE
US
N
2
2039-09-15
Fixed
0.05250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 12/21 #G12483
3128M1UG2
1256.19340000
PA
USD
1288.91000000
0.000088605283
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
0.06500000
N
N
N
N
N
N
ENDEAVOR ENERGY RES L P / EER FIN INC
N/A
ENDEAVOR ENERGY RES L P / EER FIN INC 6.625% 07/15/2025 144A
29260FAF7
335000.00000000
PA
USD
337619.70000000
0.023209447820
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.06625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545759
31385JJC3
15137.39120000
PA
USD
17499.99000000
0.001203025489
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.5% 01/27/2025 144A
25714PCV8
245000.00000000
PA
USD
247603.13000000
0.017021316961
Long
DBT
NUSS
DO
N
2
2025-01-27
Fixed
0.05500000
N
N
N
N
N
N
VENEZUELA, REPUBLIC OF
529900XM8PJTJK5OJI77
VENEZUELA 11.95% 8/31 REGS
N/A
1090000.00000000
PA
USD
65400.00000000
0.004495880683
Long
DBT
NUSS
VE
N
2
2031-08-05
Fixed
0.11950000
Y
Y
N
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
ON SEMICONDUCTOR CORP
682189105
40500.00000000
NS
USD
802710.00000000
0.055181779559
Long
EC
CORP
US
N
1
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 11.5% 01/01/2025 144A
165167DD6
1310000.00000000
PA
USD
137550.00000000
0.009455785748
Long
DBT
CORP
US
N
2
2025-01-01
Fixed
0.11500000
N
N
N
N
N
N
EPAM SYSTEMS INC
549300XCR4R530HJP604
EPAM SYSTEMS INC
29414B104
7500.00000000
NS
USD
1890075.00000000
0.129931982907
Long
EC
CORP
US
N
1
N
N
N
CF INDS HLDGS INC
529900CG8YAQFZ2JMV97
CF INDUSTRIES HOLDINGS INC
125269100
25200.00000000
NS
USD
709128.00000000
0.048748545520
Long
EC
CORP
US
N
1
N
N
N
HUNTINGTON BANCSHARES INC
549300XTVCVV9I7B5T19
HUNTINGTON BANCSHARES INC 5.7%/VAR PERP
446150AL8
650000.00000000
PA
USD
550875.00000000
0.037869545433
Long
EP
CORP
US
N
2
N
N
N
GUATEMALA, REP OF
529900QKDFFU9UWW5315
GUATEMALA REP OF 5.375% 04/24/2032 144A
401494AS8
200000.00000000
PA
USD
220562.50000000
0.015162426348
Long
DBT
NUSS
GT
N
2
2032-04-24
Fixed
0.05375000
N
N
N
N
N
N
ULTIMATE SOFTWARE GROUP INC
529900FKHWSTQ1GXK240
ULTIMATE SOFTWARE TERM 1LN 05/03/2026
N/A
670000.00000000
PA
USD
660894.70000000
0.045432778521
Long
LON
CORP
US
N
2
2026-05-03
Variable
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 11/34 #735061
31402QTS0
20454.65320000
PA
USD
24065.94000000
0.001654397473
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.06000000
N
N
N
N
N
N
EMIRATE OF ABU DHABI
213800FER4348CINTA77
EMIRATE OF ABU DHABI 3.125% 09/30/2049 144A
29135LAF7
345000.00000000
PA
USD
359231.25000000
0.024695119841
Long
DBT
NUSS
AE
N
2
2049-09-30
Fixed
0.03125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.64% 2/62 #759733
36230UY60
2626.63460000
PA
USD
2668.62000000
0.000183452555
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Variable
0.04700000
N
N
N
N
N
N
BANCO MACRO SA
579100KKDKKIFEBKK040
BANCO MACRO SA 6.75/VAR 11/04/2026 144A
05963GAH1
810000.00000000
PA
USD
652682.85000000
0.044868260206
Long
DBT
CORP
AR
N
2
2026-11-04
Variable
0.06750000
N
N
N
N
N
N
PG and E CORP
8YQ2GSDWYZXO2EDN3511
PG and E CORP 5% 07/01/2028
69331CAH1
1345000.00000000
PA
USD
1339956.25000000
0.092114425391
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
0.05000000
N
N
N
N
N
N
AZERBAIJAN REP
N/A
AZERBAIJAN REP 4.75% 03/18/24 144A
05477LAA4
325000.00000000
PA
USD
346531.25000000
0.023822066559
Long
DBT
NUSS
AZ
N
2
2024-03-18
Fixed
0.04750000
N
N
N
N
N
N
PAN AMERICAN ENERGY LLC ARG BRH
N/A
PAN AMERICAN ENERGY LLC ARG BRH 7.875% 05/07/2021 144A
69783TAA2
24999.99900000
PA
USD
25046.87000000
0.001721830871
Long
DBT
CORP
AR
N
2
2021-05-07
Fixed
0.07875000
N
N
N
N
N
N
CROWN CORK and SEAL INC
7HLDMDH0ZXNUH6PT7Z42
CROWN CORK and SE 7.375 12/15/26
228255AH8
1210000.00000000
PA
USD
1415700.00000000
0.097321380475
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.07375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2043 #MA1090
36179NF78
60841.69600000
PA
USD
65954.83000000
0.004534022112
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1.65% 01/20/2063
38375BE73
179055.02760000
PA
USD
179372.12000000
0.012330820327
Long
ABS-CBDO
USGA
US
N
2
2063-01-20
Fixed
0.01650000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 8.75% 05/23/2026
71647NAQ2
965000.00000000
PA
USD
1138700.00000000
0.078279194707
Long
DBT
CORP
NL
N
2
2026-05-23
Fixed
0.08750000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.4% 06/05/2049 144A
25714PEB0
380000.00000000
PA
USD
347818.75000000
0.023910574913
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
0.06400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1578
3140X4XG6
417690.26700000
PA
USD
445759.43000000
0.030643443588
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
OCP SA
N/A
OCP SA 6.875% 04/25/2044 144A
67091TAB1
95000.00000000
PA
USD
115276.56000000
0.007924612527
Long
DBT
CORP
MA
N
2
2044-04-25
Fixed
0.06875000
N
N
N
N
N
N
TRINIDAD and TOBAGO, REPUBLIC OF
N/A
TRINIDAD and TOBAGO REPUBLIC OF 4.5% 06/26/2030 144A
896292AK5
335000.00000000
PA
USD
330393.75000000
0.022712704563
Long
DBT
NUSS
TT
N
2
2030-06-26
Fixed
0.04500000
N
N
N
N
N
N
WAND NEWCO 3 INC
549300Y3VZEWMSQW8494
CALIBER COLLISION TERM B 1LN 02/05/2026
93369PAF1
977774.44000000
PA
USD
926441.28000000
0.063687606342
Long
LON
CORP
US
N
2
2026-02-05
Variable
0.04072000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
NEXSTAR BROADCASTING TERM B 09/19/2026
65336RAW8
230550.02000000
PA
USD
218817.33000000
0.015042455765
Long
LON
CORP
US
N
2
2026-09-19
Variable
0.02922630
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2016-H13 FB T1Y+50 05/20/2066
38376RUU8
786715.37730000
PA
USD
781427.86000000
0.053718752615
Long
ABS-CBDO
USGA
US
N
2
2066-05-20
Variable
0.00670000
N
N
N
N
N
N
ENDEAVOR ENERGY RES L P / EER FIN INC
N/A
ENDEAVOR ENERGY RES L P / EER FIN INC 5.75% 01/30/2028 144A
29260FAE0
880000.00000000
PA
USD
844800.00000000
0.058075229374
Long
DBT
CORP
US
N
2
2028-01-30
Fixed
0.05750000
N
N
N
N
N
N
DIGICEL LTD
N/A
DIGICEL LTD 6.75% 03/01/2023 144A
25380QAH2
350000.00000000
PA
USD
175017.50000000
0.012031464792
Long
DBT
CORP
BM
N
2
2023-03-01
Fixed
0.06750000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEX 3.5% 1/30/23
71654QBG6
750000.00000000
PA
USD
709125.00000000
0.048748339287
Long
DBT
CORP
MX
N
2
2023-01-30
Fixed
0.03500000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 4% 12/01/2046
694308HR1
1315000.00000000
PA
USD
1384037.50000000
0.095144762400
Long
DBT
CORP
US
N
2
2046-12-01
Fixed
0.04000000
Y
Y
N
N
N
N
ZIGGO BOND CO
213800JYI4P7V5QDOG59
ZIGGO BOND CO 6% 01/15/2027 144A
98954UAB9
635000.00000000
PA
USD
644525.00000000
0.044307454087
Long
DBT
CORP
NL
N
2
2027-01-15
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT 3857 ZP 5% 05/15/2041
3137AAL35
201392.02560000
PA
USD
254205.45000000
0.017475189177
Long
ABS-CBDO
USGSE
US
N
2
2041-05-15
Fixed
0.05000000
N
N
N
N
N
N
RUSSIAN FEDN
5493004EHVGF71PDBU58
RUSSIAN FEDN 5.625 4/4/42 144A
78307ADE0
200000.00000000
PA
USD
271187.50000000
0.018642609216
Long
DBT
NUSS
RU
N
2
2042-04-04
Fixed
0.05625000
N
N
N
N
N
N
THIRD PAKISTAN INTERNATIONAL SUKUK CO LTD/THE
529900OMZDJ2H3CXKF72
THIRD PAKISTAN INTL SUKUK CO LTD 5.5% 10/13/2021 144A
88429JAA4
290000.00000000
PA
USD
283837.50000000
0.019512225281
Long
DBT
NUSS
PK
N
2
2021-10-13
Fixed
0.05500000
N
N
N
N
N
N
BRAZIL, FEDERATIVE REPUBLIC OF
254900ZFY40OYEADAP90
BRAZIL GOVT 5.625% 1/7/41
105756BR0
110000.00000000
PA
USD
114296.88000000
0.007857265060
Long
DBT
NUSS
BR
N
2
2041-01-07
Fixed
0.05625000
N
N
N
N
N
N
OIL AND GAS HOLDING CO BSCC/THE
549300OBH16L6TS6IW50
OIL AND GAS HOLDING CO BSCC/THE 7.5% 10/25/2027 144A
67778M2A7
150000.00000000
PA
USD
160640.63000000
0.011043136167
Long
DBT
CORP
BH
N
2
2027-10-25
Fixed
0.07500000
N
N
N
N
N
N
KUEHG CORP
549300YNT566T1NYJX62
KINDERCARE TERM 2LN 08/22/2025
50118YAB5
305000.00000000
PA
USD
228750.00000000
0.015725270738
Long
LON
CORP
US
N
2
2025-08-22
Variable
0.09250000
N
N
N
N
N
N
BRAZIL, FEDERATIVE REPUBLIC OF
254900ZFY40OYEADAP90
BRAZILIAN GOVERNMENT INTERNATIONAL BOND 4.75% 01/14/2050
105756CB4
275000.00000000
PA
USD
260046.88000000
0.017876754503
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
0.04750000
N
N
N
N
N
N
EMIRATE OF ABU DHABI
213800FER4348CINTA77
EMIRATE OF ABU DHABI 3.875% 04/16/2050 144A
29135LAJ9
200000.00000000
PA
USD
235750.00000000
0.016206481208
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
0.03875000
N
N
N
N
N
N
CIMPOR FINANCIAL OPERATIONS BV
213800IVMAMWIHPCZJ07
CIMPOR FINANCIAL OPERATIONS BV 5.75% 07/17/24 144A
17186LAA1
965000.00000000
PA
USD
565731.25000000
0.038890828726
Long
DBT
CORP
NL
N
2
2024-07-17
Fixed
0.05750000
N
N
N
N
N
N
EL SALVADOR REPUBLIC OF
529900AKDMUSFSDOM949
EL SALVADOR 7.625% 2/41 144A
283875AQ5
115000.00000000
PA
USD
97210.94000000
0.006682703170
Long
DBT
NUSS
SV
N
2
2041-02-01
Fixed
0.07625000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PIPECO LLC 4.875% 08/15/2027 144A
62912XAF1
150000.00000000
PA
USD
164811.15000000
0.011329835866
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.04875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.5% 06/30/2027
912828ZV5
14707000.00000000
PA
USD
14716191.88000000
1.011655088724
Long
DBT
UST
US
N
2
2027-06-30
Fixed
0.00500000
N
N
N
N
N
N
ALFA BD ISSUANCE PLC
253400QWEQNERA6RJS29
ALFA BD ISSUANCE PLC 8%/VAR PERP REGS
N/A
675000.00000000
PA
USD
680273.44000000
0.046764957464
Long
EP
CORP
IE
N
2
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FIN CRP MED TRM NTS 6.625% 01/15/2028
85172FAQ2
385000.00000000
PA
USD
381150.00000000
0.026201910128
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.06625000
N
N
N
N
N
N
NCUA GTD NTS TR 2010-A1
N/A
NGN 2010-A1 A 1ML+35 12/7/20
62889AAA1
64358.81870000
PA
USD
64279.51000000
0.004418853323
Long
ABS-CBDO
USGA
US
N
2
2020-12-07
Variable
0.00530130
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-1903.91000000
-0.00013088306
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
803000.00000000
EUR
901129.01000000
USD
2020-08-13
-1903.91000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H18 PL 5.01% 9/60
38375BEV0
3066.30080000
PA
USD
3380.17000000
0.000232367599
Long
ABS-CBDO
USGA
US
N
2
2060-09-20
Variable
0.05010000
N
N
N
N
N
N
AEROPUERTOS ARGENTINA 2000 SA
549300349K24AVAQ7B24
AEROPUERTOS ARGENTINA 2000 SA 6.875% 2/1/27 144A
00786PAC8
17500.00000000
PA
USD
12228.13000000
0.000840614884
Long
DBT
CORP
AR
N
2
2027-02-01
Fixed
0.06875000
N
N
N
N
N
N
KEHE DISTRS LLC / KEHE FIN CORP
N/A
KEHE DISTRS LLC / KEHE FIN CORP 8.625% 10/15/2026 144A
487526AB1
525000.00000000
PA
USD
559125.00000000
0.038436686344
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.08625000
N
N
N
N
N
N
RUSSIAN FEDN
5493004EHVGF71PDBU58
RUSSIAN FED 5.875 9/16/43 REGS
N/A
200000.00000000
PA
USD
281375.00000000
0.019342942312
Long
DBT
NUSS
RU
N
2
2043-09-16
Fixed
0.05875000
N
N
N
N
N
N
US AWYS 2013-1 PASS THRU TRS
N/A
US AWYS 2013-1B 5.375% 5/15/23
90346WAB9
170484.32740000
PA
USD
138490.27000000
0.009520424001
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.05375000
N
N
N
N
N
N
TELEONICA DEL PERU SA
549300L59XR0I8CDIL13
TELEFONICA DEL PERU SA 7.375% 04/10/2027
87938YAA7
1630000.00000000
PA
459956.31000000
0.031619398917
Long
DBT
CORP
PE
N
2
2027-04-10
Fixed
0.07375000
N
N
N
N
N
N
FRONT RANGE BIDCO INC
N/A
FRONT RANGE BIDCO INC 4% 03/01/2027 144A
98919VAA3
900000.00000000
PA
USD
854154.00000000
0.058718264052
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2996 MK 5.5% 6/35
31395UYX3
1828.44900000
PA
USD
2056.50000000
0.000141372761
Long
ABS-CBDO
USGSE
US
N
2
2035-06-15
Fixed
0.05500000
N
N
N
N
N
N
BANCO DO BRASIL SA GRAND CAYMAN BRANCH
QE0Q0253K88YAGNPE356
BANCO DO BRZ CAY8.5% PERP 144A
05959LAA1
210000.00000000
PA
USD
211837.50000000
0.014562631868
Long
DBT
CORP
KY
N
2
2199-12-31
Variable
0.08500000
N
N
N
N
N
N
NABORS INDUSTRIES LTD
N/A
NABORS INDUSTRIES LTD 7.25% 01/15/2026 144A
629571AA8
595000.00000000
PA
USD
365925.00000000
0.025155277354
Long
DBT
CORP
BM
N
2
2026-01-15
Fixed
0.07250000
N
N
N
N
N
N
FAIR ISAAC CORPORATION
RI6HET5SJUEY30V1PS26
FAIR ISAAC CORPORATION 4% 06/15/2028 144A
303250AF1
580000.00000000
PA
USD
581450.00000000
0.039971404024
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-83 FB 1ML+90 9/38
38375YFB3
46295.48000000
PA
USD
47151.61000000
0.003241406920
Long
ABS-CBDO
USGA
US
N
2
2038-09-20
Variable
0.01090000
N
N
N
N
N
N
VTR FINANCE BV
213800F4XI4RJB82XM19
VTR FINANCE BV 6.375% 07/15/2028 144A
918374AA7
320000.00000000
PA
USD
328800.00000000
0.022603143250
Long
DBT
CORP
NL
N
2
2028-07-15
Fixed
0.06375000
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
ZIGGO BV 4.875% 01/15/2030 144A
98955DAA8
430000.00000000
PA
USD
432330.60000000
0.029720287358
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
0.04875000
N
N
N
N
N
N
U S CONCRETE INC
549300J94Q38BL8BMH45
U S CONCRETE INC 6.375% 06/01/2024
90333LAP7
300000.00000000
PA
USD
297750.00000000
0.020468631091
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
0.06375000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 7.75% 09/01/2021 144A
903724AN2
5943000.00000000
PA
USD
6142090.50000000
0.422234037202
Long
DBT
NUSS
UA
N
2
2021-09-01
Fixed
0.07750000
N
N
N
N
N
N
UKRAINE RAILWAYS VIA SHORTLINE PLC
213800HACLR54J8QCO54
UKRAINE RAILWAYS VIA SHORTLINE PLC 9.875% 09/15/2021 144A
N/A
306000.00000000
PA
USD
307529.91000000
0.021140944676
Long
DBT
CORP
GB
N
2
2021-09-15
Fixed
0.09875000
N
N
N
N
N
N
HILTON DOMESTIC OPERATING CO INC
5493003EG7H0N1E4XV50
HILTON DOMESTIC OPERATING CO INC 5.125% 05/01/2026
432833AD3
925000.00000000
PA
USD
920957.75000000
0.063310644620
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.05125000
N
N
N
N
N
N
AXTEL SAB DE CV
549300BVRDR8XTSXAD13
AXTEL SAB DE CV 6.375% 11/14/2024 144A
05462GAJ3
390000.00000000
PA
USD
405022.80000000
0.027843030317
Long
DBT
CORP
MX
N
2
2024-11-14
Fixed
0.06375000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.625% 04/22/2025
3135G03U5
210000.00000000
PA
USD
211718.68000000
0.014554463664
Long
DBT
USGSE
US
N
2
2025-04-22
Fixed
0.00625000
N
N
N
N
N
N
JAPAN GOVERNMENT OF
N/A
JAPAN GOVT #323 .9% 6/20/22
N/A
654100000.00000000
PA
6181502.92000000
0.424943418513
Long
DBT
NUSS
JP
N
2
2022-06-20
Fixed
0.00900000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA SA
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA SA 6% 11/15/2026 144A
716558AF8
930000.00000000
PA
USD
26970.00000000
0.001854035199
Long
DBT
CORP
VE
N
2
2026-11-15
Fixed
0.06000000
Y
Y
N
N
N
N
NCL CORP LTD
UNZWILHE4KMRP9K2L524
NCL CORP LTD 12.25% 05/15/2024 144A
62886HAR2
905000.00000000
PA
USD
946584.75000000
0.065072356154
Long
DBT
CORP
BM
N
2
2024-05-15
Fixed
0.12250000
N
N
N
N
N
N
JBS USA LLC / JBS USA FIN INC
N/A
JBS USA LLC / JBS USA FIN INC 5.75% 06/15/2025 144A
466112AR0
1275000.00000000
PA
USD
1290937.50000000
0.088744663140
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.05750000
N
N
N
N
N
N
NORTHWEST FIBER LLC
254900LE3FBC16P2QY79
ZIPLY FIBER TERM B 1LN 05/01/2027
N/A
1360000.00000000
PA
USD
1346400.00000000
0.092557396816
Long
LON
CORP
US
N
2
2027-05-01
Variable
0.05672790
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065
38376RLC8
124677.98120000
PA
USD
125392.80000000
0.008620046900
Long
ABS-CBDO
USGA
US
N
2
2062-09-20
Variable
0.01750000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
4692.96000000
0.000322614498
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
154996.55000000
USD
142000.00000000
EUR
2020-08-13
4692.96000000
N
N
N
GEOPARK LTD
529900ZR5QI19AH4KZ07
GEOPARK LTD 6.5% 09/21/2024 144A
37255BAA7
325000.00000000
PA
USD
297273.44000000
0.020435870282
Long
DBT
CORP
BM
N
2
2024-09-21
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.691% 02/01/2042#AK2344
3138E6TA4
22608.45670000
PA
USD
23656.87000000
0.001626276221
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Variable
0.03825000
N
N
N
N
N
N
SUMMIT MIDSTREAM PARTNERS LP
N/A
SUMMIT MIDSTREAM PARTNERS LP 9.5/VAR PERP
866142AA0
775000.00000000
PA
USD
100750.00000000
0.006925993560
Long
EP
CORP
US
N
2
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.375% 04/15/2021
9128284G2
9090000.00000000
PA
USD
9248364.89000000
0.635772860237
Long
DBT
UST
US
N
2
2021-04-15
Fixed
0.02375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/35 #AD0723
31418MYV8
53615.49550000
PA
USD
61993.99000000
0.004261736729
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.06500000
N
N
N
N
N
N
LANDESK GROUP INC
N/A
LANDESK SOFTWARE TERM 2LN 01/20/2025
51501EAE6
535000.00000000
PA
USD
472806.25000000
0.032502759728
Long
LON
CORP
US
N
2
2025-01-20
Variable
0.10000000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: JPY/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-14288.69000000
-0.00098226674
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
1339031.36000000
USD
142961000.00000000
JPY
2020-08-13
-14288.69000000
N
N
N
VENEZUELA, REPUBLIC OF
529900XM8PJTJK5OJI77
VENEZUELA REP 9.25% 9/15/27
922646AS3
2395000.00000000
PA
USD
143700.00000000
0.009878563519
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
0.09250000
Y
Y
N
N
N
N
EL SALVADOR REPUBLIC OF
529900AKDMUSFSDOM949
EL SALVADOR 7.75% 1/24/23 144A
283875AK8
980000.00000000
PA
USD
913543.75000000
0.062800973988
Long
DBT
NUSS
SV
N
2
2023-01-24
Fixed
0.07750000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE GOVT 7.75% 09/01/2027 144A
903724AU6
110000.00000000
PA
USD
114434.38000000
0.007866717408
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
0.07750000
N
N
N
N
N
N
BANFF MERGER SUB INC
549300DSDR5SWIGOZV63
BANFF MERGER SUB INC 9.75% 09/01/2026 144A
05988LAA6
490000.00000000
PA
USD
493062.50000000
0.033895262527
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.09750000
N
N
N
N
N
N
VIETNAM SOCIALIST REP MINISTRY FIN
N/A
VIETNAM SOCIALIST REP MINISTRY FIN 4.8% 11/19/2024 144A
92671CAA6
60000.00000000
PA
USD
65383.40000000
0.004494739526
Long
DBT
NUSS
VN
N
2
2024-11-19
Fixed
0.04800000
N
N
N
N
N
N
SUMMIT MIDSTREAM HOLDINGS LLC / SUMMIT MIDSTREAM FINANCE CORP
N/A
SUMMIT MIDSTREAM HOLDINGS LLC / SUMMIT MIDSTREAM FINANCE CORP 5.75% 04/15/2025
86614WAD8
285000.00000000
PA
USD
159600.00000000
0.010971598731
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.05750000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-139 NI 4.5% 2/40
31398SVQ3
52751.99970000
PA
USD
3562.50000000
0.000244901757
Long
ABS-CBDO
USGSE
US
N
2
2040-02-25
Fixed
0.04500000
N
N
N
N
N
N
VIZIENT INC
5493007V6T3HZ7777P70
VIZIENT INC 6.25% 05/15/2027 144A
92856JAB6
145000.00000000
PA
USD
151887.50000000
0.010441407909
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.06250000
N
N
N
N
N
N
GTT COMMUNICATIONS INC
549300ETSL7K1ZX05H30
GTT COMMUNICATIONS INC 7.875% 12/31/2024 144A
362393AA8
60000.00000000
PA
USD
31500.00000000
0.002165447118
Long
DBT
CORP
US
N
2
2024-12-31
Fixed
0.07875000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.12% 10/36 #1A1201
3128NFKN6
7452.47120000
PA
USD
7783.57000000
0.000535076483
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
0.03588000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.7375 09/20/2024
N/A
4400000.00000000
NC
USD
44345.27000000
0.003048486892
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/29 1.7375V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-24
0.00000000
USD
0.00000000
USD
4400000.00000000
USD
1.00000000
1.73750000
USD
2024-09-20
XXXX
-79844.73000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3ML+0 PERP
172967GD7
2675000.00000000
PA
USD
2648128.61000000
0.182043887831
Long
EP
CORP
US
N
2
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO LOGISTICS INC 6.25% 05/01/2025 144A
983793AH3
1140000.00000000
PA
USD
1194150.00000000
0.082091069079
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/32 #735415
31402RAQ2
6088.88650000
PA
USD
7039.50000000
0.000483925872
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.5% 06/25/2035
31394EFK9
28745.24000000
PA
USD
30829.25000000
0.002119336843
Long
ABS-CBDO
USGSE
US
N
2
2035-06-25
Fixed
0.05500000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.75% 02/01/2029
71647NAZ2
325000.00000000
PA
USD
333023.44000000
0.022893480901
Long
DBT
CORP
NL
N
2
2029-02-01
Fixed
0.05750000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 3.25% 04/16/2030
91087BAH3
535000.00000000
PA
USD
530452.50000000
0.036465613884
Long
DBT
NUSS
MX
N
2
2030-04-16
Fixed
0.03250000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6% 07/19/2028 144A
25714PDZ8
350000.00000000
PA
USD
351859.38000000
0.024188345408
Long
DBT
NUSS
DO
N
2
2028-07-19
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/34 #255070
31371LJP5
16585.11370000
PA
USD
19418.46000000
0.001334909468
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.06000000
N
N
N
N
N
N
EXIDE INTERNATIONAL HOLDINGS LP
N/A
EXIDE TECHNOLOGIES PIK VAR 10/31/2021
30206GAA1
187132.00000000
PA
USD
174032.76000000
0.011963769478
Long
DBT
CORP
KY
N
3
2021-10-31
Variable
0.10750000
N
N
Y
N
N
N
SPAIN, KINGDOM OF
9598007A56S18711AH60
SPAIN KINGDOM OF 1% 10/31/2050 144A REGS
N/A
500000.00000000
PA
521512.61000000
0.035851046931
Long
DBT
NUSS
ES
N
2
2050-10-31
Fixed
0.01000000
N
N
N
N
N
N
NGL ENERGY PARTNERS LP / NGL ENERGY FIN CORP
N/A
NGL ENERGY PARTNERS LP / NGL ENERGY FINANCE CORP 7.5% 04/15/2026
62913TAP7
860000.00000000
PA
USD
653600.00000000
0.044931309090
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 05/01/2033#AT3000
3138WQKN1
72283.45600000
PA
USD
76730.80000000
0.005274809197
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: USD/CAD settle 2020-08-13
N/A
1.00000000
NC
N/A
-22317.42000000
-0.00153419659
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
898000.00000000
CAD
639214.15000000
USD
2020-08-13
-22317.42000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 5.125% 01/15/2045 144A
455780BU9
825000.00000000
PA
USD
1006581.51000000
0.069196794599
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
0.05125000
N
N
N
N
N
N
GERMANY FEDERAL REPUBLIC OF
529900AQBND3S6YJLY83
GERMANY FEDERAL REPUBLIC OF 0% 09/11/2020 REGS
N/A
6140000.00000000
PA
6905402.81000000
0.474707448054
Long
DBT
NUSS
DE
N
2
2020-09-11
Fixed
0.00000000
N
N
N
N
N
N
RWANDA REP
213800AKFASSQE52AZ88
RWANDA INTERNATIONAL GOVERNMENT BOND 6.625% 05/02/2023 144A
78347YAA1
650000.00000000
PA
USD
641671.88000000
0.044111318198
Long
DBT
NUSS
RW
N
2
2023-05-02
Fixed
0.06625000
N
N
N
N
N
N
INDIGO NATURAL RESOURCES LLC
549300F7DOI6H6TA3C86
INDIGO NATURAL RESOURCES LLC 6.875% 02/15/2026 144A
45569LAA9
1135000.00000000
PA
USD
1055550.00000000
0.072563101759
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.06875000
N
N
N
N
N
N
RUSSIA FEDN MINISTRY FINANCE
5493004EHVGF71PDBU58
RUSSIA FEDN MINISTRY FINANCE 4.375% 03/21/2029 REGS
N/A
600000.00000000
PA
USD
681000.00000000
0.046814904361
Long
DBT
NUSS
RU
N
2
2029-03-21
Fixed
0.04375000
N
N
N
N
N
N
SPIRIT AEROSYSTEMS INC
ZD2NBKV6GCC3UMGBM518
SPIRIT AEROSYSTEMS INC 7.5% 04/15/2025 144A
85205TAL4
905000.00000000
PA
USD
892556.25000000
0.061358201880
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.07500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 02/28/2021
9128286D7
5080000.00000000
PA
USD
5158581.25000000
0.354623330187
Long
DBT
UST
US
N
2
2021-02-28
Fixed
0.02500000
N
N
N
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
TULLOW OIL PLC 6.25% 04/15/2022 144A
899415AC7
2580000.00000000
PA
USD
1897241.70000000
0.130424653062
Long
DBT
CORP
GB
N
2
2022-04-15
Fixed
0.06250000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2012-64 KI 3.5% 11/20/2036
38378EZH9
20945.60310000
PA
USD
308.70000000
0.000021221381
Long
ABS-CBDO
USGA
US
N
2
2036-11-20
Fixed
0.03500000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.5% 01/15/2030 144A
46590XAB2
1085000.00000000
PA
USD
1112125.00000000
0.076452313528
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.05500000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 7.5% 03/15/2027
893647BH9
960000.00000000
PA
USD
922636.80000000
0.063426069826
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.07500000
N
N
N
N
N
N
HOLOGIC INC
549300DYP6F5ZJL0LB74
HOLOGIC INC 4.375% 10/15/2025 144A
436440AK7
320000.00000000
PA
USD
323132.80000000
0.022213555253
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
0.04375000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC / OUTFRONT MEDIA CAP CORP
N/A
OUTFRONT MEDIA CAP LLC / OUTFRONT MEDIA CAP CORP 4.625% 03/15/2030 144A
69007TAC8
595000.00000000
PA
USD
545388.90000000
0.037492407038
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
0.04625000
N
N
N
N
N
N
JAPAN GOVERNMENT OF
N/A
JAPAN GOVERNMENT OF 0.1% 09/20/2029
N/A
738800000.00000000
PA
6900206.27000000
0.474350215274
Long
DBT
NUSS
JP
N
2
2029-09-20
Fixed
0.00100000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
SPRINT CAPITAL CORP 6.875% 11/15/2028
852060AD4
8522000.00000000
PA
USD
10385761.40000000
0.713962447368
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.06875000
N
N
N
N
N
N
BOISE CASCADE CO DEL
549300Z8B8LSRHC7XA55
BOISE CASCADE CO DEL 5.625% 09/01/2024 144A
09739DAC4
225000.00000000
PA
USD
226687.50000000
0.015583485510
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.05625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2% 11/15/26
912828U24
9305000.00000000
PA
USD
10217689.67000000
0.702408465040
Long
DBT
UST
US
N
2
2026-11-15
Fixed
0.02000000
N
N
N
N
N
N
FACEBOOK INC
BQ4BKCS1HXDV9HN80Z93
FACEBOOK INC CL A
30303M102
9200.00000000
NS
USD
2089044.00000000
0.143609978070
Long
EC
CORP
US
N
1
N
N
N
STUDIO CITY CO LTD
N/A
STUDIO CITY CO LTD 7.25% 11/30/2021 144A
86400GAB5
350000.00000000
PA
USD
353609.38000000
0.024308648026
Long
DBT
CORP
VG
N
2
2021-11-30
Fixed
0.07250000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 5.75% 05/11/2047
900123CM0
940000.00000000
PA
USD
769625.00000000
0.052907372641
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
0.05750000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.4% 04/15/26
674599CH6
65000.00000000
PA
USD
53137.50000000
0.003652903055
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.03400000
N
N
N
N
N
N
ADVANCED DRAIN SYS INC DEL
6QQTOZ5MF5DHM7K92I60
ADVANCED DRAIN SYS INC DEL 5% 09/30/2027 144A
00790RAA2
125000.00000000
PA
USD
125937.50000000
0.008657491950
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
0.05000000
N
N
N
N
N
N
MDC GMTN BV
213800L53ZH5KG593W13
MDC GMTN BV 2.875% 11/07/2029 144A
55276VAJ1
530000.00000000
PA
USD
554703.30000000
0.038132719439
Long
DBT
CORP
NL
N
2
2029-11-07
Fixed
0.02875000
N
N
N
N
N
N
MELCO RESORTS FIN LTD
529900NRV6LBR3T6B421
MCE FINANCE LTD 4.875% 06/06/2025 144A
58547DAA7
1502000.00000000
PA
USD
1509574.35000000
0.103774711925
Long
DBT
CORP
KY
N
2
2025-06-06
Fixed
0.04875000
N
N
N
N
N
N
ARCONIC ROLLED PRODUCTS CORP
549300B4YFWH3U74B152
ARCONIC ROLLED PRODUCTS CORP 6% 05/15/2025 144A
03966VAB3
400000.00000000
PA
USD
411500.00000000
0.028288301240
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.06000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3% 02/15/2049
912810SF6
16081000.00000000
PA
USD
22188639.22000000
1.525343646089
Long
DBT
UST
US
N
2
2049-02-15
Fixed
0.03000000
N
N
N
N
N
N
COMSTOCK RESOURCES INC
I03QQGEA4SS774AURI46
COMSTOCK RESOURCES INC 9.75% 08/15/2026
205768AR5
445000.00000000
PA
USD
415518.75000000
0.028564567608
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.09750000
N
N
N
N
N
N
Fidelity Central Investment Portfolios LLC
S2V1M15I679NQK6BNY65
Fidelity Floating Rate Central Fund
31606V708
1519143.29500000
NS
USD
142647555.40000000
9.806213896321
Long
EC
RF
US
N
1
N
N
N
CDW CORP
N/A
CDW CORPORATION
12514G108
8600.00000000
NS
USD
999148.00000000
0.068685782764
Long
EC
CORP
US
N
1
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068
38380LGR8
1357105.26000000
PA
USD
1473952.16000000
0.101325887523
Long
ABS-CBDO
USGA
US
N
2
2068-08-20
Fixed
0.03250000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.57 02/20/25
N/A
-2900000.00000000
NC
USD
-40595.80000000
-0.00279073200
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 02/24/30 3MLV1.57%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-24
0.00000000
USD
0.00000000
USD
-2900000.00000000
USD
1.00000000
1.57000000
USD
2025-02-20
XXXX
41546.70000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2016-H02 FM 1ML+50 09/20/2062
38376RPN0
35835.21670000
PA
USD
35827.51000000
0.002462938992
Long
ABS-CBDO
USGA
US
N
2
2062-09-20
Variable
0.00803380
N
N
N
N
N
N
HILCORP ENERGY I LP/FIN CO
N/A
HILCORP ENERGY I LP/FIN CO 6.25% 11/01/2028 144A
431318AS3
590000.00000000
PA
USD
473475.00000000
0.032548732514
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
0.06250000
N
N
N
N
N
N
FELCOR LODGING LP
N/A
FELCOR LODGING LP 6% 6/1/25
31430QBG1
565000.00000000
PA
USD
548620.65000000
0.037714571600
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.06000000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 4.5% 03/15/2023
00130HCA1
235000.00000000
PA
USD
233073.00000000
0.016022452575
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04500000
N
N
N
N
N
N
CHS/CMNTY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/CMNTY HEALTH SYSTEMS INC STEP 06/30/2023 144A
12543DAZ3
1825000.00000000
PA
USD
1419758.75000000
0.097600396618
Long
DBT
CORP
US
N
2
2023-06-30
Variable
0.09875000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A4 PP
N/A
16755.00000000
NS
USD
18.62000000
0.000001280019
Long
EC
CORP
LU
Y
3
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H13 FL 1ML+28 05/63
38376RCN4
12582.06270000
PA
USD
12537.11000000
0.000861855514
Long
ABS-CBDO
USGA
US
N
2
2063-05-20
Variable
0.00583380
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2003-70 BJ 5% 7/33
31393DAN1
8402.10870000
PA
USD
9563.79000000
0.000657456555
Long
ABS-CBDO
USGSE
US
N
2
2033-07-25
Fixed
0.05000000
N
N
N
N
N
N
JBS INVESTMENTS II GMBH
529900V1Q46CPWIWT649
JBS INVESTMENTS II GMBH 5.75% 01/15/2028 144A
46650CAB5
575000.00000000
PA
USD
568422.00000000
0.039075802594
Long
DBT
CORP
AT
N
2
2028-01-15
Fixed
0.05750000
N
N
N
N
N
N
NUSTAR LOGISTICS LP
N62BF2PKP51FIIOIUN20
NUSTAR LOGISTICS LP 6% 06/01/2026
67059TAF2
640000.00000000
PA
USD
627200.00000000
0.043116458172
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90632
3132J2VZ3
195137.91300000
PA
USD
207199.43000000
0.014243790747
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
RUMO LUXEMBOURG SARL
222100HOIQFT7YOSPB46
RUMO LUXEMBOURG SARL 7.375% 02/09/2024 144A
781467AA3
1607000.00000000
PA
USD
1684537.75000000
0.115802457648
Long
DBT
CORP
LU
N
2
2024-02-09
Fixed
0.07375000
N
N
N
N
N
N
ODEBRECHT FINANCE LTD
N/A
ODEBRECHT FIN 7.125 6/42 144A
675758AJ5
1406000.00000000
PA
USD
77330.00000000
0.005316000813
Long
DBT
CORP
KY
N
2
2042-06-26
Fixed
0.07125000
Y
Y
N
N
N
N
KAR AUCTION SVCS INC
5493004HKD20LBSG7D03
KAR AUCTION SVCS INC 5.125% 06/01/2025 144A
48238TAA7
525000.00000000
PA
USD
517125.00000000
0.035549423520
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.05125000
N
N
N
N
N
N
FMG RESOURCES AUG'06 PTY LTD
549300EFD6S2NFE9D745
FMG RES AUGUST 2006 PTY LTD 4.75% 05/15/2022 144A
30251GAU1
405000.00000000
PA
USD
412804.35000000
0.028377967936
Long
DBT
CORP
AU
N
2
2022-05-15
Fixed
0.04750000
N
N
N
N
N
N
PENHALL ACQUISITION COMPANY
N/A
PENHALL ACQUISITION CMPNY CL B
N/A
107.00000000
NS
USD
8216.53000000
0.000564840038
Long
EC
CORP
US
N
3
N
N
N
CITGO PETROLEUM CORP
YX52P86PXMLYDOTUQ225
CITGO PETROLEUM CORP 6.25% 08/15/22 144A
17302XAJ5
1685000.00000000
PA
USD
1674502.45000000
0.115112587443
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.06250000
N
N
N
N
N
N
IRAQ REP
N/A
IRAQ REP 5.8% 1/15/28 REGS
N/A
2550000.00000000
PA
USD
2292609.38000000
0.157603948402
Long
DBT
NUSS
IQ
N
2
2028-01-15
Fixed
0.05800000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELE 3.75% 8/15/42
694308HA8
555000.00000000
PA
USD
574425.00000000
0.039488474945
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
0.03750000
Y
Y
N
N
N
N
ELDORADO RESORTS INC
5299000BKFWWVND5L441
ELDORADO RESORTS INC
28470R102
37600.00000000
NS
USD
1506256.00000000
0.103546594101
Long
EC
CORP
US
N
1
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC
629377508
27900.00000000
NS
USD
908424.00000000
0.062449020087
Long
EC
CORP
US
N
1
N
N
N
MYLAN NV
549300A0CD4KNFGIIS89
MYLAN NV 3.125% 11/22/2028 REGS
N/A
1859000.00000000
PA
2344684.79000000
0.161183838767
Long
DBT
CORP
NL
N
2
2028-11-22
Fixed
0.03125000
N
N
N
N
N
N
RPI INTERMEDIATE FINANCE TRUST
5493009EMOUZYHVGX031
ROYALTY PHARMA TERM B 1LN 02/11/2027
74968YAC4
264204.39000000
PA
USD
255398.46000000
0.017557201877
Long
LON
CORP
US
N
2
2027-02-11
Variable
0.01923630
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040
674599DJ1
350000.00000000
PA
USD
293125.00000000
0.020150688459
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
0.06200000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS LP
549300NELT611CL6XM83
EQM MIDSTREAM PARTNERS LP 6% 07/01/2025 144A
26885BAF7
565000.00000000
PA
USD
570650.00000000
0.039228965012
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.06000000
N
N
N
N
N
N
CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP
N/A
CRESTWOOD MIDSTRM PTN/FIN CORP 5.625% 05/01/2027 144A
226373AQ1
960000.00000000
PA
USD
800342.40000000
0.055019020428
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05625000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A2 PP
N/A
16755.00000000
NS
USD
18.62000000
0.000001280019
Long
EC
CORP
LU
Y
3
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.0% 05/15/2045
912810RM2
1800000.00000000
PA
USD
2416007.81000000
0.166086893628
Long
DBT
UST
US
N
2
2045-05-15
Fixed
0.03000000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC 6.125% 01/15/2023 144A
097751BF7
650000.00000000
PA
USD
447070.00000000
0.030733537874
Long
DBT
CORP
CA
N
2
2023-01-15
Fixed
0.06125000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SOCIEDAD ANONIMA 8.5% 03/23/2021 144A
984245AM2
905000.00000000
PA
USD
764725.00000000
0.052570525312
Long
DBT
CORP
AR
N
2
2021-03-23
Fixed
0.08500000
N
N
N
N
N
N
WESTROCK CO
549300JEB576INN13W07
WESTROCK CO
96145D105
27600.00000000
NS
USD
779976.00000000
0.053618945438
Long
EC
CORP
US
N
1
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A9 PP
N/A
16755.00000000
NS
USD
18.62000000
0.000001280019
Long
EC
CORP
LU
Y
3
N
N
N
TAYLOR MORRISON CMNTYS INC / MONARCH CMNTYS INC
549300O1Z08HI2MRK572
TAYLOR MORRISON CMNTY/ MONARCH 6% 09/01/2023 144A
87724RAC6
375000.00000000
PA
USD
383437.50000000
0.026359162835
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.06000000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 3.85% 10/15/2030
455780CS3
330000.00000000
PA
USD
366300.00000000
0.025181056486
Long
DBT
NUSS
ID
N
2
2030-10-15
Fixed
0.03850000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 08/20/2049
38381YAW4
2648923.59500000
PA
USD
2651137.83000000
0.182250754712
Long
ABS-CBDO
USGA
US
N
2
2049-08-20
Variable
0.00640000
N
N
N
N
N
N
ADOBE INC
FU4LY2G4933NH2E1CP29
ADOBE INC
00724F101
7700.00000000
NS
USD
3351887.00000000
0.230423302987
Long
EC
CORP
US
N
1
N
N
N
VISTRA ENERGY CORP
549300KP43CPCUJOOG15
VISTRA ENERGY CORP
92840M102
82200.00000000
NS
USD
1530564.00000000
0.105217631833
Long
EC
CORP
US
N
1
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.68% 1/62 #765173
36176F2E7
2125.70050000
PA
USD
2167.53000000
0.000149005447
Long
ABS-MBS
USGA
US
N
2
2062-01-20
Variable
0.05196000
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LIMITED 5.125% 12/15/2029 144A
98313RAE6
890000.00000000
PA
USD
863300.00000000
0.059346999904
Long
DBT
CORP
KY
N
2
2029-12-15
Fixed
0.05125000
N
N
N
N
N
N
CONSOLIDATED ENERGY FINANCE SA
549300PUNIS0USNSL750
CONSOLIDATED ENERGY FINANCE SA 6.5% 05/15/2026 144A
20914UAE6
2795000.00000000
PA
USD
2347800.00000000
0.161397991863
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
0.06500000
N
N
N
N
N
N
EXTERRAN ENERGY SOLUTIONS LP / EES FIN CORP
549300SUVC37AAD0DT62
EXTERRAN ENERGY SOLUTIONS LP / EES FIN CORP 8.125% 05/01/2025
30227KAE9
575000.00000000
PA
USD
475812.50000000
0.032709422439
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.08125000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-73 FA 1ML+86 8/38
38375XJZ8
60865.61680000
PA
USD
61889.30000000
0.004254539883
Long
ABS-CBDO
USGA
US
N
2
2038-08-20
Variable
0.01050000
N
N
N
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS SA 8% 02/15/2024 144A
45824TAR6
1285000.00000000
PA
USD
1303221.30000000
0.089589105023
Long
DBT
CORP
LU
N
2
2024-02-15
Fixed
0.08000000
N
N
N
N
N
N
SAUDI ARABIAN OIL COMPANY
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO 4.375% 04/16/2049 144A
80414L2F1
1170000.00000000
PA
USD
1318809.38000000
0.090660697496
Long
DBT
CORP
SA
N
2
2049-04-16
Fixed
0.04375000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 5.9%/VAR PERP
949746RG8
3065000.00000000
PA
USD
3034135.45000000
0.208579678282
Long
EP
CORP
US
N
2
N
N
N
AUSTRALIA, COMMONWEALTH OF
213800J6B7JSBDETCB42
AUSTRALIA COMMONWEALTH OF 2.5% 05/21/2030 REGS
N/A
2680000.00000000
PA
2130706.04000000
0.146474008053
Long
DBT
NUSS
AU
N
2
2030-05-21
Fixed
0.02500000
N
N
N
N
N
N
RUSSIAN FEDN
5493004EHVGF71PDBU58
RUSSIAN FEDN 7.6% 7/20/22
N/A
62870000.00000000
PA
936819.76000000
0.064401068234
Long
DBT
NUSS
RU
N
2
2022-07-20
Fixed
0.07600000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA GOVT 5.25 1/42 144A
455780BJ4
355000.00000000
PA
USD
438646.88000000
0.030154495940
Long
DBT
NUSS
ID
N
2
2042-01-17
Fixed
0.05250000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 4.5% 04/22/2029
91087BAF7
290000.00000000
PA
USD
314196.88000000
0.021599261215
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
0.04500000
N
N
N
N
N
N
ADVANCED DISPOSAL SERVICES INC
549300ML1GEF4BKIM713
ADVANCED DISP SVCS INC 5.625% 11/15/2024 144A
00790XAA9
565000.00000000
PA
USD
586187.50000000
0.040297080396
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.05625000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046
674599DL6
940000.00000000
PA
USD
818241.80000000
0.056249503100
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.06600000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANKS
N/A
FEDERAL FARM CREDIT BANKS 0.375% 04/08/2022
3133ELWD2
2900000.00000000
PA
USD
2907895.63000000
0.199901403539
Long
DBT
USGSE
US
N
2
2022-04-08
Fixed
0.00375000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H16 BA 3.55% 07/60
38375BDK5
51954.49310000
PA
USD
55343.90000000
0.003804580595
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Fixed
0.03550000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.75% MAC 09/16/2030
N/A
4957000.00000000
NC
USD
20328.51000000
0.001397470266
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2030-09-16
0.00000000
USD
0.00000000
USD
4985720.86000000
USD
20328.51000000
N
N
N
PEMEX PROJ FDG MASTER TR
N/A
PEMEX PROJ FDG MASTER TR VAR 12/01/2023
706451BC4
250000.00000000
PA
USD
241250.00000000
0.016584575149
Long
DBT
CORP
MX
N
2
2023-12-01
Variable
0.08625000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2006-72 CY 6% 8/26
31396KHM7
21301.91880000
PA
USD
23213.27000000
0.001595781226
Long
ABS-CBDO
USGSE
US
N
2
2026-08-25
Fixed
0.06000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC
37940X102
11200.00000000
NS
USD
1899744.00000000
0.130596672056
Long
EC
CORP
US
N
1
N
N
N
MURRAY ENERGY CORP
549300WM5IIFYHZYTT63
MURRAY ENERGY TERM B-2 10/17/2022
627048AQ4
1217407.28000000
PA
USD
16228.04000000
0.001115586109
Long
LON
CORP
US
N
2
2022-10-17
Variable
0.00000000
Y
Y
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
HEALTHSOUTH CORP 5.75% 11/01/2024
421924BK6
662000.00000000
PA
USD
662000.00000000
0.045508761654
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.05750000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: USD/AUD settle 2020-08-13
N/A
1.00000000
NC
N/A
-511717.72000000
-0.03517770355
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
11201000.00000000
AUD
7219694.16000000
USD
2020-08-13
-511717.72000000
N
N
N
OIL AND GAS HOLDING CO BSCC/THE
549300OBH16L6TS6IW50
OIL AND GAS HOLDING CO BSCC/THE 7.625% 11/07/2024 144A
67778M2C3
380000.00000000
PA
USD
411587.50000000
0.028294316371
Long
DBT
CORP
BH
N
2
2024-11-07
Fixed
0.07625000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
GENERAL MOTORS ACCEPT CORP 8.0% 11/01/2031
370425RZ5
823000.00000000
PA
USD
1040689.98000000
0.071541559299
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
0.08000000
N
N
N
N
N
N
MELCO RESORTS FIN LTD
529900NRV6LBR3T6B421
MELCO RESORTS FIN LTD 5.375% 12/04/2029 144A
58547DAD1
435000.00000000
PA
USD
434195.09000000
0.029848460517
Long
DBT
CORP
KY
N
2
2029-12-04
Fixed
0.05375000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.224% 4/41#1B8179
3128UGPP6
1886.74680000
PA
USD
1979.14000000
0.000136054698
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Variable
0.03719000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.375% 09/25/2032 144A
903724BM3
355000.00000000
PA
USD
356553.13000000
0.024511014215
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
0.07375000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
ALCOA NEDERLAND HOLDING 7% 09/30/2026 144A
013822AB7
355000.00000000
PA
USD
363875.00000000
0.025014351430
Long
DBT
CORP
NL
N
2
2026-09-30
Fixed
0.07000000
N
N
N
N
N
N
GERMANY FEDERAL REPUBLIC OF
529900AQBND3S6YJLY83
GERMANY FEDERAL REPUBLIC OF 0.25% 02/15/2029 REGS
N/A
26834575.00000000
PA
32265984.24000000
2.218104208975
Long
DBT
NUSS
DE
N
2
2029-02-15
Fixed
0.00250000
N
N
N
N
N
N
HARVEST OIL and GAS CORP
54930021ZVE2EXF2SS09
HARVEST OIL and GAS CORP
41755V201
1335.00000000
NS
USD
28035.00000000
0.001927247935
Long
EC
CORP
US
N
1
N
N
N
COMMERZBANK AG
851WYGNLUQLFZBSYGB56
COMMERZBANK AG 4% 03/23/2026 REGS
N/A
1200000.00000000
PA
1395821.11000000
0.095954819045
Long
DBT
CORP
DE
N
2
2026-03-23
Fixed
0.04000000
N
N
N
N
N
N
EXTRACTION OIL and GAS INC
5493002FL3WIE1JVUP20
EXTRACTION OIL AND GAS INC 7.375% 05/15/2024 144A
30227MAA3
365000.00000000
PA
USD
70262.50000000
0.004830150099
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.07375000
Y
Y
N
N
N
N
WOLVERINE ESCROW LLC
N/A
WOLVERINE ESCROW LLC 8.5% 11/15/2024 144A
97789LAC0
1215000.00000000
PA
USD
795825.00000000
0.054708474688
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.08500000
N
N
N
N
N
N
TRAVELPORT FIN (LUX) SARL
2221005SGFWYZHL40F77
TRAVELPORT TERM B 2LN 05/28/2027
N/A
655000.00000000
PA
USD
186020.00000000
0.012787824536
Long
LON
CORP
LU
N
2
2027-05-28
Variable
0.10072000
N
N
N
N
N
N
PTC INC
54930050SSMU8SKDJ030
PTC INC 4% 02/15/2028 144A
69370CAC4
345000.00000000
PA
USD
342433.20000000
0.023540348763
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.04000000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PG and E TERM EXITB 1LN 06/18/2025
N/A
1680000.00000000
PA
USD
1648500.00000000
0.113325065843
Long
LON
CORP
US
N
2
2025-06-18
Variable
0.00000000
N
N
N
N
N
N
GEMS MENASA KY LTD/GEMS
N/A
GEMS MENASA KY LTD/GEMS 7.125% 07/31/2026 144A
36166LAA5
470000.00000000
PA
USD
446059.38000000
0.030664063456
Long
DBT
CORP
KY
N
2
2026-07-31
Fixed
0.07125000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 1.741%/VAR 05/04/2030 REGS
N/A
1982000.00000000
PA
2315059.79000000
0.159147287311
Long
DBT
CORP
US
N
2
2030-05-04
Variable
0.01741000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP
14448C104
45100.00000000
NS
USD
1002122.00000000
0.068890228470
Long
EC
CORP
US
N
1
N
N
N
VIDEOTRON LTD
549300BBCGA0CYX8IL74
VIDEOTRON LTD / VIDEOTRON LTEE 5.125% 04/15/2027 144A
92660FAK0
615000.00000000
PA
USD
638142.39000000
0.043868685692
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
0.05125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.0% 06/01/2033#C91709
3128P73S0
85764.98700000
PA
USD
91066.14000000
0.006260282870
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
MENDOZA PROVINCE OF
529900FD2SD2M48A6753
MENDOZA PROVINCE OF 8.375% 05/19/2024 144A
586805AH6
80000.00000000
PA
USD
37694.00000000
0.002591249640
Long
DBT
CORP
AR
N
2
2024-05-19
Fixed
0.08375000
Y
Y
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H14 FB 1ML+50 5/61
38375BLZ3
205200.88660000
PA
USD
205031.27000000
0.014094741991
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.00803380
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA 8.5% 10/12/35 REGS
N/A
700000.00000000
PA
USD
1091781.25000000
0.075053795597
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
0.08500000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5.5% 05/01/2026 144A
1248EPBR3
2450000.00000000
PA
USD
2538812.50000000
0.174529022581
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.05500000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA 6.625% 2/17/37 144A
455780AX4
220000.00000000
PA
USD
301262.50000000
0.020710095631
Long
DBT
NUSS
ID
N
2
2037-02-17
Fixed
0.06625000
N
N
N
N
N
N
HAWAIIAN AIRLS 2013-1B PASS THRU TR
N/A
HAWAIIAN AIRLS 2013-1B PASS THRU TR 4.95% 01/15/2022
419839AA3
179886.36880000
PA
USD
170525.59000000
0.011722671346
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.04950000
N
N
N
N
N
N
ISRAEL, STATE OF
213800T8ZHTFZIBYPE21
AID 5.5% 9/18/23
46513EFF4
5659000.00000000
PA
USD
6586346.55000000
0.452774131904
Long
DBT
NUSS
IL
N
2
2023-09-18
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.03% 1/37 #1A1202
3128NFKP1
858.01350000
PA
USD
892.88000000
0.000061380457
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Variable
0.03415000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 6.125% 01/17/2022
71647NAR0
205000.00000000
PA
USD
214032.81000000
0.014713547034
Long
DBT
CORP
NL
N
2
2022-01-17
Fixed
0.06125000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 4.25% 03/15/2046
694308HN0
125000.00000000
PA
USD
137343.75000000
0.009441607225
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.04250000
Y
Y
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 5.375% 04/15/2025 144A
82967NAU2
620000.00000000
PA
USD
636740.00000000
0.043772279299
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.05375000
N
N
N
N
N
N
GEORGIA BK JT STK CO
549300RPLD8RXL49Z691
GEORGIA BK JT STK CO 11.125/VAR PERP REGS
N/A
200000.00000000
PA
USD
189999.62000000
0.013061400938
Long
EP
CORP
GE
N
2
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 5% 08/15/2026 144A
737446AK0
2440000.00000000
PA
USD
2449150.00000000
0.168365232035
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.05000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 5.75% 01/15/2030 144A
126307BA4
5510000.00000000
PA
USD
5755139.90000000
0.395633368580
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.05750000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REP 7.45% 04/30/44 144A
25714PCF3
690000.00000000
PA
USD
708975.00000000
0.048738027634
Long
DBT
NUSS
DO
N
2
2044-04-30
Fixed
0.07450000
N
N
N
N
N
N
PAMPA ENERGIA S.A
254900QNIK0CVURGML24
PAMPA ENERGIA S.A 7.5% 01/24/2027 144A
697660AA6
195000.00000000
PA
USD
156060.94000000
0.010728308341
Long
DBT
CORP
AR
N
2
2027-01-24
Fixed
0.07500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.92 01/08/25
N/A
-5000000.00000000
NC
USD
-297420.20000000
-0.02044595920
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 01/10/30 1.92V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-10
0.00000000
USD
0.00000000
USD
-5000000.00000000
USD
1.00000000
1.92000000
USD
2025-01-08
XXXX
-157920.20000000
N
N
N
ENSEMBLE S MERGER SUB INC
5493004PHY9OSX9W7627
ENSEMBLE S MERGER SUB INC 9% 09/30/2023 144A
29359FAA0
970000.00000000
PA
USD
979700.00000000
0.067348842588
Long
DBT
CORP
US
N
2
2023-09-30
Fixed
0.09000000
N
N
N
N
N
N
COLT MERGER SUB INC
N/A
COLT MERGER SUB INC 5.75% 07/01/2025 144A
12770RAA1
840000.00000000
PA
USD
844200.00000000
0.058033982763
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.05750000
N
N
N
N
N
N
MHP SE
549300HCQFAJK20XGP15
MHP SA 7.75% 05/10/2024 144A
55302TAD7
345000.00000000
PA
USD
360525.00000000
0.024784057848
Long
DBT
CORP
LU
N
2
2024-05-10
Fixed
0.07750000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 3.9% 04/27/2025
91087BAJ9
250000.00000000
PA
USD
268000.00000000
0.018423486591
Long
DBT
NUSS
MX
N
2
2025-04-27
Fixed
0.03900000
N
N
N
N
N
N
PBF HLDG CO LLC / PBF FIN CORP
N/A
PBF HLDG CO LLC / PBF FIN CORP 9.25% 05/15/2025 144A
69318FAK4
1005000.00000000
PA
USD
1072837.50000000
0.073751519761
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.09250000
N
N
N
N
N
N
SANCHEZ ENERGY CORP
549300SB0HTIM17TVR61
SANCHEZ TERM 1LN DIP 12/31/2049
N/A
283417.10000000
PA
USD
226733.68000000
0.015586660124
Long
LON
CORP
US
N
3
2049-12-31
Variable
0.00000000
Y
Y
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA INC 5% 05/15/2027 144A
46266TAA6
640000.00000000
PA
USD
654681.60000000
0.045005662982
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2017-134 BA 2.5% 11/46
38380GF25
71242.44200000
PA
USD
74870.06000000
0.005146893830
Long
ABS-CBDO
USGA
US
N
2
2046-11-20
Fixed
0.02500000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG ENERGY CORP
552704108
77100.00000000
NS
214103.57000000
0.014718411384
Long
EC
CORP
CA
N
1
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5.125% 05/01/2027 144A
1248EPBT9
3500000.00000000
PA
USD
3621100.00000000
0.248930176478
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05125000
N
N
N
N
N
N
SABLE INTL FINANCE LTD
2138009IE9A35LO5JS73
SABLE INTL FIN LTD 5.75% 09/07/2027 144A
785712AG5
1210000.00000000
PA
USD
1234200.00000000
0.084844280414
Long
DBT
CORP
KY
N
2
2027-09-07
Fixed
0.05750000
N
N
N
N
N
N
CSN RESOURCES SA
222100ZEX458NMOXZP08
CSN RESOURCES SA 7.625% 02/13/2023 144A
12644VAB4
1950000.00000000
PA
USD
1803750.00000000
0.123997626639
Long
DBT
CORP
LU
N
2
2023-02-13
Fixed
0.07625000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA 7.75% 1/17/38 144A
455780AZ9
950000.00000000
PA
USD
1428562.50000000
0.098205604715
Long
DBT
NUSS
ID
N
2
2038-01-17
Fixed
0.07750000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE 6.125%VAR PERP U
46625HJW1
850000.00000000
PA
USD
867425.00000000
0.059630570360
Long
EP
CORP
US
N
2
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 5.5% 05/15/2026 144A
126307AU1
2555000.00000000
PA
USD
2622375.35000000
0.180273496636
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.05500000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 6.25% 02/01/2027 144A
88033GCX6
955000.00000000
PA
USD
947837.50000000
0.065158475642
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
0.06250000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
CROWN CASTLE INTL CORP 5.25% 01/15/2023
228227BD5
1530000.00000000
PA
USD
1702521.06000000
0.117038708658
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.05250000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
398.40000000
0.000027387750
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
142422.50000000
USD
127000.00000000
EUR
2020-08-13
398.40000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 4.35% 01/11/2048
455780CE4
400000.00000000
PA
USD
450000.00000000
0.030934958828
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
0.04350000
N
N
N
N
N
N
BIZ FINANCE PLC
254900R5STMV7BZYC307
BIZ FINANCE PLC 9.625% 04/27/2022 144A
N/A
336666.67000000
PA
USD
343926.05000000
0.023642973770
Long
DBT
CORP
GB
N
2
2022-04-27
Fixed
0.09625000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6.25%/VAR PERP
29278NAA1
3540000.00000000
PA
USD
2716950.00000000
0.186774969756
Long
EP
CORP
US
N
2
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A1 PP
N/A
16755.00000000
NS
USD
18.62000000
0.000001280019
Long
EC
CORP
LU
Y
3
N
N
N
DCP MIDSTREAM LLC
VQOHU6HCVU6YY1KUKU03
DCP MIDSTREAM LLC 5.85%/VAR 05/21/2043 144A
23311RAH9
885000.00000000
PA
USD
619500.00000000
0.042587126654
Long
DBT
CORP
US
N
2
2043-05-21
Variable
0.05850000
N
N
N
N
N
N
VS BUYER LLC
N/A
VEEAM SOFTWARE TERM B 1LN 02/28/2027
91834WAC4
124687.50000000
PA
USD
120011.72000000
0.008250128038
Long
LON
CORP
US
N
2
2027-02-28
Variable
0.03428250
N
N
N
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FIN CRP MED TRM NTS 7.125% 03/15/2026
85172FAN9
3405000.00000000
PA
USD
3524140.95000000
0.242264789323
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.07125000
N
N
N
N
N
N
CONSOLIDATED ENERGY FINANCE SA
549300PUNIS0USNSL750
CONSOLIDATED ENERGY FINANCE SA 6.875% 06/15/2025 144A
20914UAD8
560000.00000000
PA
USD
476000.00000000
0.032722312005
Long
DBT
CORP
LU
N
2
2025-06-15
Fixed
0.06875000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO (PVT BACKSTOP) RT
N/A
26136.36000000
NS
USD
26136.36000000
0.001796727156
Long
EC
CORP
US
N
3
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
NUMERICABLE SFR 7.375% 05/01/2026 144A
67054KAA7
5100000.00000000
PA
USD
5318280.00000000
0.365601717423
Long
DBT
CORP
FR
N
2
2026-05-01
Fixed
0.07375000
N
N
N
N
N
N
CNX MIDSTREAM PARTNERS LP / CNX MIDSTREAM FINANCE CORP
N/A
CNX MIDSTREAM PTR/CNX 6.5% 03/15/2026 144A
12654TAA8
335000.00000000
PA
USD
308200.00000000
0.021187009580
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.06500000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
VISA INC CL A
92826C839
8500.00000000
NS
USD
1641945.00000000
0.112874446609
Long
EC
CORP
US
N
1
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
SPRINT CORP 7.625% 03/01/2026
85207UAK1
540000.00000000
PA
USD
637399.80000000
0.043817636823
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
0.07625000
N
N
N
N
N
N
ALLEN MEDIA LLC
N/A
ALLEN MEDIA TERM B 1LN 02/10/2027
01771JAE3
443817.34000000
PA
USD
420148.56000000
0.028882840901
Long
LON
CORP
US
N
2
2027-02-10
Variable
0.05807880
N
N
N
N
N
N
RUSSIAN FEDN
5493004EHVGF71PDBU58
RUSSIAN FEDN 5.25% 06/23/2047 144A
N/A
1000000.00000000
PA
USD
1321000.00000000
0.090811290251
Long
DBT
NUSS
RU
N
2
2047-06-23
Fixed
0.05250000
N
N
N
N
N
N
INFINEON TECHNOLOGIES AG
TSI2PJM6EPETEQ4X1U25
INFINEON TECHNOLOGIES AG 2% 06/24/2032 REGS
N/A
1400000.00000000
PA
1565535.68000000
0.107621737346
Long
DBT
CORP
DE
N
2
2032-06-24
Fixed
0.02000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1ML+ 06/20/2064
38375UKG4
1070271.94400000
PA
USD
1069427.71000000
0.073517115954
Long
ABS-CBDO
USGA
US
N
2
2064-06-20
Variable
0.00803380
N
N
N
N
N
N
SOUTHEASTERN GROCERS INC
N/A
SOUTHEASTERN GROCERS INC
84169Q103
9431.00000000
NS
USD
504935.74000000
0.034711480729
Long
EC
CORP
US
N
3
N
N
N
HCA HEALTHCARE INC
529900PH4ZGUH2MNEU89
HCA HEALTHCARE INC
40412C101
10300.00000000
NS
USD
999718.00000000
0.068724967045
Long
EC
CORP
US
N
1
N
N
N
FMG RESOURCES AUG'06 PTY LTD
549300EFD6S2NFE9D745
FMG RES AUGUST 2006 PTY LTD 4.5% 09/15/2027 144A
30251GBA4
485000.00000000
PA
USD
485179.45000000
0.033353347356
Long
DBT
CORP
AU
N
2
2027-09-15
Fixed
0.04500000
N
N
N
N
N
N
PROVINCE CORDOBA
5299006CLM2Z97AATT29
PROVINCE CORDOBA 7.125% 06/10/2021 144A
74408DAC8
1650000.00000000
PA
USD
1012171.88000000
0.069581100967
Long
DBT
CORP
AR
N
2
2021-06-10
Fixed
0.07125000
N
N
N
N
N
N
BERMUDA GOVERNMENT OF
549300FP5PUZXX9FVJ40
BERMUDA GOVERNMENT OF 3.717% 01/25/2027 144A
085209AD6
265000.00000000
PA
USD
281231.25000000
0.019333060311
Long
DBT
NUSS
BM
N
2
2027-01-25
Fixed
0.03717000
N
N
N
N
N
N
HUB INTERNATIONAL LTD
549300JQT6ATTUNS5E06
HUB INTERNATIONAL LTD 7% 05/01/2026 144A
44332PAD3
595000.00000000
PA
USD
595000.00000000
0.040902890007
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.07000000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: USD/GBP settle 2020-08-13
N/A
1.00000000
NC
N/A
49971.42000000
0.003435252934
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
7530000.00000000
GBP
9382909.36000000
USD
2020-08-13
49971.42000000
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-31 BP 5% 3/20/40
38376XL68
620000.00000000
PA
USD
707764.04000000
0.048654780973
Long
ABS-CBDO
USGA
US
N
2
2040-03-20
Fixed
0.05000000
N
N
N
N
N
N
DEVELOPMENT BANK OF MONGOLIA
254900HRWK3OKXS9UW60
DEVELOPMENT BANK OF MONGOLIA 7.25% 10/23/2023 144A
25161AAA7
105000.00000000
PA
USD
100931.25000000
0.006938453474
Long
DBT
CORP
MN
N
2
2023-10-23
Fixed
0.07250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.19% 9/33 #748643
31403GWC2
7208.17400000
PA
USD
7434.53000000
0.000511081954
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
0.03375000
N
N
N
N
N
N
ELEMENT SOLUTIONS INC
549300FLGN6P5CU20J91
PLATFORM SPECIALTY PRODS CORP 5.875% 12/01/2025 144A
72766QAD7
945000.00000000
PA
USD
954154.69000000
0.065592746781
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
0.05875000
N
N
N
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
ON SEMICONDUCTOR TERM B4 1LN 09/19/2026
68218EAH7
416850.00000000
PA
USD
399133.88000000
0.027438200322
Long
LON
CORP
US
N
2
2026-09-19
Variable
0.02178250
N
N
N
N
N
N
PILGRIMS PRIDE CORP NEW
549300ZSLGV64ZL3HD75
PILGRIMS PRIDE CORP 5.75% 03/15/2025 144A
72147KAC2
925000.00000000
PA
USD
922299.00000000
0.063402847984
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.05750000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MA 2016-H20 FM 1ML+40 12/20/2062
38376RYJ9
6658.23350000
PA
USD
6638.64000000
0.000456369011
Long
ABS-CBDO
USGA
US
N
2
2062-12-20
Variable
0.00703380
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 5.875%/VAR PERP
949746RN3
2600000.00000000
PA
USD
2702362.00000000
0.185772127135
Long
EP
CORP
US
N
2
N
N
N
CVR ENERGY INC
529900SOYZIXZBTXB558
CVR ENERGY INC 5.25% 02/15/2025 144A
12662PAB4
895000.00000000
PA
USD
823400.00000000
0.056604100221
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.05250000
N
N
N
N
N
N
DCP MIDSTREAM LP
52990024YYS3MLGW0E91
DCP MIDSTREAM LP 7.375%/VAR PERP
23311PAA8
775000.00000000
PA
USD
537959.00000000
0.036981643370
Long
EP
CORP
US
N
2
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5.5% 09/01/2026 144A
92840VAA0
820000.00000000
PA
USD
838974.80000000
0.057674779769
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.05500000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
CHEMOURS CO/ THE
163851108
21000.00000000
NS
USD
322350.00000000
0.022159742174
Long
EC
CORP
US
N
1
N
N
N
COMSTOCK RESOURCES INC
I03QQGEA4SS774AURI46
COMSTOCK ESCROW CORP 9.75% 08/15/2026
205677AB3
3060000.00000000
PA
USD
2862262.80000000
0.196764404167
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.09750000
N
N
N
N
N
N
PARSLEY ENERGY LLC / PARSLEY FINANCE CORP
N/A
PARSLEY ENERGY LLC / PARSLEY FINANCE CORP 5.625% 10/15/2027 144A
701885AH8
220000.00000000
PA
USD
216700.00000000
0.014896901284
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.05625000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MX 4.875% 1/24
71654QBH4
2355000.00000000
PA
USD
2264479.69000000
0.155670191064
Long
DBT
CORP
MX
N
2
2024-01-18
Fixed
0.04875000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2013-124 ES -1ML+866.667 04/20/2039
38378WVW0
54693.75840000
PA
USD
56837.93000000
0.003907286721
Long
ABS-CBDO
USGA
US
N
2
2039-04-20
Variable
0.08413330
N
N
N
N
N
N
PETROLEOS DE VENEZUELA SA
549300YWR8TN1OFD4P06
PDVSA 12.75% 2/17/22 144A
716558AC5
110000.00000000
PA
USD
3300.00000000
0.000226856364
Long
DBT
CORP
VE
N
2
2022-02-17
Fixed
0.12750000
Y
Y
N
N
N
N
OOREDOO INTERNATIONAL FINANCE LTD
549300BHXCDJ03WU7N77
QTEL INTL FIN 5% 10/19/25 144A
74733LAE2
230000.00000000
PA
USD
263925.00000000
0.018143353353
Long
DBT
CORP
BM
N
2
2025-10-19
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 04/30/2024
9128286R6
3531000.00000000
PA
USD
3805342.14000000
0.261595783179
Long
DBT
UST
US
N
2
2024-04-30
Fixed
0.02250000
N
N
N
N
N
N
IHS NETHERLANDS HOLDCO BV
5493006Z6YQYCCN2XI74
IHS NETHERLANDS HOLDCO BV 7.125% 03/18/2025 144A
44963LAB2
940000.00000000
PA
USD
947637.50000000
0.065144726771
Long
DBT
CORP
NL
N
2
2025-03-18
Fixed
0.07125000
N
N
N
N
N
N
ADARO INDONESIA PT
2549009Z0YED3S2BID40
ADARO INDONESIA PT 4.25% 10/31/2024 144A
69368KAB2
855000.00000000
PA
USD
804501.56000000
0.055304939191
Long
DBT
CORP
ID
N
2
2024-10-31
Fixed
0.04250000
N
N
N
N
N
N
TEMPO ACQUISITION LLC / TEMPO ACQUISITION FIN CORP
N/A
TEMPO ACQUISITION LLC 6.75% 06/01/2025 144A
88023JAA4
475000.00000000
PA
USD
480937.50000000
0.033061737248
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.06750000
N
N
N
N
N
N
CONTINENTAL RESOURCES INC OKLA
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RES 4.5% 4/23
212015AL5
160000.00000000
PA
USD
152835.20000000
0.010506556932
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.04500000
N
N
N
N
N
N
OOREDOO INTERNATIONAL FINANCE LTD
549300BHXCDJ03WU7N77
QTEL INTERNATIONAL FIN LTD 3.25% 02/21/2023 144A
74735K2A9
450000.00000000
PA
USD
469687.50000000
0.032288363277
Long
DBT
CORP
BM
N
2
2023-02-21
Fixed
0.03250000
N
N
N
N
N
N
MAPFRE SA
95980020140005693107
MAPFRE SA 4.375/VAR 03/31/2047 REGS
N/A
500000.00000000
PA
608824.65000000
0.041853256626
Long
EP
CORP
ES
N
2
N
N
N
CONTINENTAL RESOURCES INC OKLA
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC OKLA 3.8% 06/01/2024
212015AN1
1165000.00000000
PA
USD
1099072.65000000
0.075555038172
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
0.03800000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 6.375% 05/01/2024
55336VBL3
245000.00000000
PA
USD
252968.06000000
0.017390125602
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
0.06375000
N
N
N
N
N
N
MPT OPER PARTNERSHIP LP / MPT FIN CORP
N/A
MPT OPER PARTNERSHIP LP/CORP 4.625% 08/01/2029
55342UAJ3
970000.00000000
PA
USD
974850.00000000
0.067015432476
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
0.04625000
N
N
N
N
N
N
HILCORP ENERGY I LP/FIN CO
N/A
HILCORP ENERGY I LP/FIN CO 5.0% 12/01/2024 144A
431318AN4
510000.00000000
PA
USD
438600.00000000
0.030151273205
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.05000000
N
N
N
N
N
N
NOSTRUM OIL and GAS FINANCE BV
213800SGF6UKA42KSB50
NOSTRUM OIL and GAS FINANCE BV 8% 07/25/2022 144A
66978CAB8
2505000.00000000
PA
USD
663825.00000000
0.045634220099
Long
DBT
CORP
NL
N
2
2022-07-25
Fixed
0.08000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 12/31/2020
9128285S5
7611000.00000000
PA
USD
7699596.76000000
0.529303797266
Long
DBT
UST
US
N
2
2020-12-31
Fixed
0.02500000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO GOVT 6.5% 6/09/22
N/A
2370000.00000000
PA
106670.36000000
0.007332984877
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
0.06500000
N
N
N
N
N
N
GTH FINANCE BV
72450009205A34CIJN40
GTH FINANCE BV 7.25% 04/26/2023 144A
36251BAB1
605000.00000000
PA
USD
669081.60000000
0.045995581664
Long
DBT
CORP
NL
N
2
2023-04-26
Fixed
0.07250000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
ALTICE FRANCE SA 5.5% 01/15/2028 144A
02156LAC5
1190000.00000000
PA
USD
1201900.00000000
0.082623837814
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
0.05500000
N
N
N
N
N
N
ITAU UNIBANCO HOLDING SA CAYMAN ISLAND BRANCH
BZO2P8KHO2O10H5QQ663
ITAU UNIBANCO HLDG SA KY BRH 5.5% 08/06/2022 144A
46556LAH7
490000.00000000
PA
USD
512203.13000000
0.035211072752
Long
EP
CORP
KY
N
2
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 6.75/3ML+378 PERP
46625HJQ4
400000.00000000
PA
USD
430000.00000000
0.029560071769
Long
EP
CORP
US
N
2
N
N
N
MURPHY OIL USA INC
N32S6DTR2ZZ5222WHV58
MURPHY OIL USA INC 4.75% 09/15/2029
626738AE8
370000.00000000
PA
USD
378325.00000000
0.026007707331
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.04750000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H18 AF 1ML+30 9/60
38375BER9
347697.95740000
PA
USD
345531.80000000
0.023753360015
Long
ABS-CBDO
USGA
US
N
2
2060-09-20
Variable
0.00603380
N
N
N
N
N
N
HESS MIDSTREAM PARTNERS LP
N/A
HESS MIDSTREAM PARTNERS LP 5.125% 06/15/2028 144A
428104AA1
595000.00000000
PA
USD
572639.90000000
0.039365759400
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.05125000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2% 02/15/2050
912810SL3
2020000.00000000
PA
USD
2312110.95000000
0.158944571213
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/34 #725703
31402DGL8
25888.23530000
PA
USD
30361.42000000
0.002087176172
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-136 WI 4.5% 5/40
38377YTR1
38346.39770000
PA
USD
2353.62000000
0.000161798083
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
RITCHIE BROS AUCTIONEERS INC
5493002H8U24DJXQ4886
RITCHIE BROS AUCTIONEERS INC 5.375% 01/15/2025 144A
767744AA3
190000.00000000
PA
USD
195462.50000000
0.013436943089
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
0.05375000
N
N
N
N
N
N
AEROPUERTOS ARGENTINA 2000 SA
549300349K24AVAQ7B24
AEROPUERTOS ARGENTINA 2000 SA PIK VAR 02/01/2027 144A
00786PAD6
1342202.00000000
PA
USD
1057403.51000000
0.072690520105
Long
DBT
CORP
AR
N
2
2027-02-01
Variable
0.09375000
N
N
Y
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
931.87000000
0.000064060800
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1610582.66000000
USD
1433000.00000000
EUR
2020-08-13
931.87000000
N
N
N
OMAN SULTANATE
549300SZ20F0QTKNQC75
OMAN SULTANATE 3.875% 03/08/2022 144A
682051AD9
575000.00000000
PA
USD
566734.38000000
0.038959788249
Long
DBT
NUSS
OM
N
2
2022-03-08
Fixed
0.03875000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 09/20/2049
38381YTV6
1172590.34900000
PA
USD
1174801.74000000
0.080760985464
Long
ABS-CBDO
USGA
US
N
2
2049-09-20
Variable
0.00640000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 10/01/2041#AI6819
3138ALSH1
3312.58500000
PA
USD
3467.87000000
0.000238396479
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Variable
0.03888000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 4.875% 04/15/2028
64110LAS5
1465000.00000000
PA
USD
1566480.55000000
0.107686691823
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
0.04875000
N
N
N
N
N
N
TEVA PHARMACEUTICAL FIN NETH III B V
5493004T21MOAFINJP35
TEVA PHARMACEUTICAL FIN NETH III B V 2.8% 07/21/2023
88167AAD3
240000.00000000
PA
USD
226725.00000000
0.015586063423
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
0.02800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.89% 3/33 #725130
31402CST0
2132.55760000
PA
USD
2214.60000000
0.000152241244
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
0.03760000
N
N
N
N
N
N
EXPEDIA INC DEL
CI7MUJI4USF3V0NJ1H64
EXPEDIA INC DEL 6.25% 05/01/2025 144A
30212PAS4
895000.00000000
PA
USD
955673.20000000
0.065697135768
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06250000
N
N
N
N
N
N
IRON MTN INC
SQL3F6CKNNBM3SQGHX24
IRON MTN INC NEW 4.875% 09/15/2029 144A
46284VAF8
1300000.00000000
PA
USD
1264250.00000000
0.086910048221
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.04875000
N
N
N
N
N
N
CALLON PETROLEUM CO DEL
549300EFOWPEB0WLZW21
CALLON PETROLEUM CO DEL 6.125% 10/01/2024
13123XAT9
225000.00000000
PA
USD
76500.00000000
0.005258943000
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.06125000
N
N
N
N
N
N
SUNCOKE ENERGY PARTNERS L P / SUNCOKE ENERGY PARTNERS FIN CORP
N/A
SUNCOKE ENERGY PARTNERS L P / SUNCOKE ENERGY PARTNERS FIN CORP 7.5% 06/15/2025 144A
86723CAF5
495000.00000000
PA
USD
418374.00000000
0.028760849922
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.07500000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 4% 03/14/2029 144A
74727PBA8
840000.00000000
PA
USD
966000.00000000
0.066407044952
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4% 05/29#BM5499
3140JADD7
487318.65800000
PA
USD
516059.88000000
0.035476202535
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 5/26 #256255
31371MTL1
789.30200000
PA
USD
866.63000000
0.000059575918
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
0.06500000
N
N
N
N
N
N
EGYPT, (ARAB) REP OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF 5.75% 05/29/2024 144A
03846JX47
165000.00000000
PA
USD
165721.88000000
0.011392443410
Long
DBT
NUSS
EG
N
2
2024-05-29
Fixed
0.05750000
N
N
N
N
N
N
ARD FIN SA
6354006P6QPGGPVJW880
ARD FIN SA PIK 6.5% 06/30/2027 144A
00191AAD8
595000.00000000
PA
USD
588678.13000000
0.040468297144
Long
DBT
CORP
LU
N
2
2027-06-30
Variable
0.06500000
N
N
Y
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2007-59 FC 1ML+50 7/37
38375LQB9
35245.56600000
PA
USD
35484.38000000
0.002439350743
Long
ABS-CBDO
USGA
US
N
2
2037-07-20
Variable
0.00690000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4.5% 12/15/2026
3137A3LM9
280570.16960000
PA
USD
298518.08000000
0.020521432254
Long
ABS-CBDO
USGSE
US
N
2
2026-12-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/35 #745092
31403CXV8
6664.83930000
PA
USD
7758.96000000
0.000533384684
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H21 HA 2.5% 06/63
38376RGG5
27282.40580000
PA
USD
27266.87000000
0.001874443335
Long
ABS-CBDO
USGA
US
N
2
2063-06-20
Fixed
0.02500000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC 5.95% 01/08/2046 144A
455780BW5
350000.00000000
PA
USD
476168.25000000
0.032733878243
Long
DBT
NUSS
ID
N
2
2046-01-08
Fixed
0.05950000
N
N
N
N
N
N
MEDCO PLATINUM ROAD PTE LTD
254900CW3HTAEZITE455
MEDCO PLATINUM ROAD PTE LTD 6.75% 01/30/2025 144A
58406HAA8
130000.00000000
PA
USD
121636.75000000
0.008361839674
Long
DBT
CORP
SG
N
2
2025-01-30
Fixed
0.06750000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4/VAR PERP
48128BAH4
4805000.00000000
PA
USD
4205720.40000000
0.289119527599
Long
EP
CORP
US
N
2
N
N
N
LEBANON REPUBLIC OF
529900QPC4K9S1KHL354
LEBANON REPUBLIC OF 5.8% 12/31/2049 REGS
N/A
610000.00000000
PA
USD
115709.38000000
0.007954366458
Long
DBT
NUSS
LB
N
2
2049-12-31
Fixed
0.05800000
Y
Y
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 6.875% 03/01/2026 144A
335934AR6
1265000.00000000
PA
USD
1226259.38000000
0.084298407630
Long
DBT
CORP
CA
N
2
2026-03-01
Fixed
0.06875000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP INC
549300JH4DTA7U42GL91
ASBURY AUTOMOTIVE GROUP INC 4.75% 03/01/2030 144A
043436AT1
184000.00000000
PA
USD
179400.00000000
0.012332736919
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
0.04750000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3ML+0 PERP
38148BAB4
3165000.00000000
PA
USD
2901355.50000000
0.199451806534
Long
EP
CORP
US
N
2
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2009-118 XZ 5% 12/39
38376PLJ7
886523.43720000
PA
USD
1030131.63000000
0.070815732360
Long
ABS-CBDO
USGA
US
N
2
2039-12-20
Fixed
0.05000000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A5 PP
N/A
16755.00000000
NS
USD
18.62000000
0.000001280019
Long
EC
CORP
LU
Y
3
N
N
N
US SHIPPING PARTNERS CORP
N/A
US SHIPPING CORP 12/31/2029 WT
N/A
6028.00000000
NS
USD
0.06000000
0.000000004124
Long
EC
CORP
US
N
3
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG ENERGY CORP 7.125% 02/01/2027 144A
552704AE8
595000.00000000
PA
USD
494593.75000000
0.034000527318
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
0.07125000
N
N
N
N
N
N
VTR FINANCE BV
213800F4XI4RJB82XM19
VTR FINANCE BV 6.875% 01/15/2024 144A
918370AB3
1479000.00000000
PA
USD
1510502.70000000
0.103838530745
Long
DBT
CORP
NL
N
2
2024-01-15
Fixed
0.06875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 03/31/2021
912828C57
700000.00000000
PA
USD
710992.18000000
0.048876697368
Long
DBT
UST
US
N
2
2021-03-31
Fixed
0.02250000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.487 10/02/2020
N/A
-2800000.00000000
NC
USD
-231587.69000000
-0.01592034590
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/30 1.487V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-10-06
0.00000000
USD
0.00000000
USD
-2800000.00000000
USD
1.00000000
1.48700000
USD
2020-10-02
XXXX
-156617.69000000
N
N
N
BRAZIL, FEDERATIVE REPUBLIC OF
254900ZFY40OYEADAP90
BRAZIL GLBL 8.25% 1/20/34
105756BB5
1945000.00000000
PA
USD
2521814.06000000
0.173360475822
Long
DBT
NUSS
BR
N
2
2034-01-20
Fixed
0.08250000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 7.5% 04/01/2025 144A
335934AL9
1330000.00000000
PA
USD
1286775.00000000
0.088458514771
Long
DBT
CORP
CA
N
2
2025-04-01
Fixed
0.07500000
N
N
N
N
N
N
MURRAY ENERGY CORP
549300WM5IIFYHZYTT63
MURRAY ENERGY CORP 11.25% 04/15/2021 144A
62704PAF0
490000.00000000
PA
USD
4.90000000
0.000000336847
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
0.11250000
Y
Y
N
N
N
N
NORTONLIFELOCK INC
YF6ZV0M6AU4FY94MK914
SYMANTEC CORP 5% 04/15/2025 144A
871503AU2
530000.00000000
PA
USD
537950.00000000
0.036981024671
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.05000000
N
N
N
N
N
N
CF INDS INC
5FVKT86LAD2F40NPC183
CF INDUSTRIES INC 4.95% 6/1/43
12527GAD5
3610000.00000000
PA
USD
3890858.00000000
0.267474515642
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
0.04950000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 4.75% 03/01/2030 144A
1248EPCD3
4810000.00000000
PA
USD
4921543.90000000
0.338328350936
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
0.04750000
N
N
N
N
N
N
STILLWATER MINING COMPANY
6354007DPCY4ZN2MRR73
STILLWATER MINING COMPANY 6.125% 06/27/2022 144A
86074QAM4
1315000.00000000
PA
USD
1327476.06000000
0.091256482805
Long
DBT
CORP
US
N
2
2022-06-27
Fixed
0.06125000
N
N
N
N
N
N
ARGENTINA REPUBLIC OF
549300KPBYGYF7HCHO27
ARGENTINA REPUBLIC 6.875% 04/22/2021
040114GW4
6495000.00000000
PA
USD
2703543.75000000
0.185853365774
Long
DBT
NUSS
AR
N
2
2021-04-22
Fixed
0.06875000
Y
Y
N
N
N
N
SASOL FING USA LLC
549300XRB1PFMESFEL85
SASOL FING USA LLC 5.875% 03/27/2024
80386WAA3
135000.00000000
PA
USD
121162.50000000
0.008329237664
Long
DBT
CORP
US
N
2
2024-03-27
Fixed
0.05875000
N
N
N
N
N
N
CELTIC RESOURCES HOLDINGS DAC
213800BMR8PHADXZAB66
CELTIC RESOURCES HOLDINGS DAC 4.125% 10/09/2024 144A
15119CAA7
300000.00000000
PA
USD
313500.00000000
0.021551354650
Long
DBT
CORP
IE
N
2
2024-10-09
Fixed
0.04125000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
ALCOA NEDERLAND HOLDING 6.75% 09/30/2024 144A
013822AA9
430000.00000000
PA
USD
439137.50000000
0.030188223294
Long
DBT
CORP
NL
N
2
2024-09-30
Fixed
0.06750000
N
N
N
N
N
N
TBC BANK JSC
2138001MSA39Q44QTA18
TBC BANK JSC 5.75% 06/19/2024 144A
48128XAA1
120000.00000000
PA
USD
118050.00000000
0.008115270866
Long
DBT
CORP
GE
N
2
2024-06-19
Fixed
0.05750000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA 5.2% PERP
060505ED2
3717000.00000000
PA
USD
3583456.00000000
0.246342364056
Long
EP
CORP
US
N
2
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX TECHNOLOGIES INC 5.375% 07/15/2026 144A
05605HAA8
430000.00000000
PA
USD
443063.40000000
0.030458106750
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.05375000
N
N
N
N
N
N
ALTICE USA INC
54930064K3612MGCER95
ALTICE USA INC A
02156K103
47800.00000000
NS
USD
1077412.00000000
0.074065990803
Long
EC
CORP
US
N
1
N
N
N
UNITED STATES STEEL CORP NEW
JNLUVFYJT1OZSIQ24U47
UNITED STATES STEEL CORP NEW 6.25% 03/15/2026
912909AN8
615000.00000000
PA
USD
388987.50000000
0.026740693994
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.06250000
N
N
N
N
N
N
MTS SYSTEMS CORP
549300E7ZL4ZDETLML64
MTS SYSTEMS CORP 5.75% 08/15/2027 144A
553777AA1
170000.00000000
PA
USD
155975.00000000
0.010722400451
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.58% 7/35 #995273
31416BT65
4588.75780000
PA
USD
4803.26000000
0.000330197000
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.03719000
N
N
N
N
N
N
DENBURY RESOURCES INC
549300KCWA5W52MS5559
DENBURY RESOURCES INC 7.75% 02/15/2024 144A
247916AM1
2155000.00000000
PA
USD
818900.00000000
0.056294750633
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.07750000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035
31394E3H9
224499.61580000
PA
USD
260810.45000000
0.017929245628
Long
ABS-CBDO
USGSE
US
N
2
2035-08-25
Fixed
0.05500000
N
N
N
N
N
N
NCR CORPORATION NEW
549300YKTY8JX1DV2R67
NCR CORPORATION NEW 8.125% 04/15/2025 144A
62886EAX6
285000.00000000
PA
USD
302100.00000000
0.020767669027
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.08125000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
107015.49000000
0.007356710616
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
2665059.40000000
USD
2465000.00000000
EUR
2020-08-13
107015.49000000
N
N
N
COVANTA HLDG CORP
40XIFLS8XDQGGHGPGC04
COVANTA HLDG CORP 6% 01/01/2027
22282EAH5
585000.00000000
PA
USD
592371.00000000
0.040722161103
Long
DBT
CORP
US
N
2
2027-01-01
Fixed
0.06000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
UBER TECHNOLOGIES INC 7.5% 09/15/2027 144A
90353TAE0
2950000.00000000
PA
USD
2950000.00000000
0.202795841211
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC 7.5% 03/15/2025 144A
097751BM2
1590000.00000000
PA
USD
1037634.00000000
0.071331477932
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.48% 6/47 #939994
31413AXX6
2663.66230000
PA
USD
2811.67000000
0.000193286434
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Variable
0.03722000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.627% 6/1/41#1B8372
3128UGVQ7
8507.69550000
PA
USD
8880.47000000
0.000610482164
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.04611000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.283 6/1/41
3128UGXF9
4228.96300000
PA
USD
4384.86000000
0.000301434363
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.04660000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5% 02/01/2028 144A
1248EPBX0
4665000.00000000
PA
USD
4816612.50000000
0.331114909738
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.05000000
N
N
N
N
N
N
GEORGIA REPUBLIC OF
254900MHQHBC58M2GR84
GEORGIA GOVT 6.875% 4/21 144A
37311PAA8
280000.00000000
PA
USD
284900.00000000
0.019585266156
Long
DBT
NUSS
GE
N
2
2021-04-12
Fixed
0.06875000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H06 FA 1ML+63 1/62
38375BPQ9
211067.24900000
PA
USD
211544.94000000
0.014542520020
Long
ABS-CBDO
USGA
US
N
2
2062-01-20
Variable
0.00933380
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT CORP 3.9% 10/01/2027
26884LAF6
1413000.00000000
PA
USD
1149376.59000000
0.079013149979
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
0.03900000
N
N
N
N
N
N
DEL MONTE FOODS INC
549300U9K7TD84Q24R17
DEL MONTE FOODS INC 11.875% 05/15/2025 144A
245223AC6
380000.00000000
PA
USD
383800.00000000
0.026384082663
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.11875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.625% 12/31/2023
9128285U0
8827000.00000000
PA
USD
9573502.13000000
0.658124209422
Long
DBT
UST
US
N
2
2023-12-31
Fixed
0.02625000
N
N
N
N
N
N
COVANTA HLDG CORP
40XIFLS8XDQGGHGPGC04
COVANTA HLDG CORP 5.875% 07/01/2025
22282EAG7
165000.00000000
PA
USD
167062.50000000
0.011484603465
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.05875000
N
N
N
N
N
N
HOLOGIC INC
549300DYP6F5ZJL0LB74
HOLOGIC INC 4.625% 02/01/2028 144A
436440AM3
215000.00000000
PA
USD
223062.50000000
0.015334287230
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.04625000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-2622245.07000000
-0.18026454062
N/A
DFE
CORP
FR
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
69826000.00000000
EUR
75902258.52000000
USD
2020-08-13
-2622245.07000000
N
N
N
VIKING CRUISES LTD
549300IJP90T4MV2GL84
VIKING CRUISES LTD 5.875% 09/15/2027 144A
92676XAD9
595000.00000000
PA
USD
354245.15000000
0.024352353623
Long
DBT
CORP
BM
N
2
2027-09-15
Fixed
0.05875000
N
N
N
N
N
N
HILTON DOMESTIC OPERATING CO INC
5493003EG7H0N1E4XV50
HILTON DOMESTIC OPERATING CO INC 4.875% 01/15/2030
432833AF8
975000.00000000
PA
USD
960375.00000000
0.066020357967
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.04875000
N
N
N
N
N
N
TELENET FINANCE LUXEMBOURG NOTES SARL
2138007RI9GLJPCC3E25
TELENET FINANCE LUXEMBOURG NOTES SARL 5.5% 03/01/2028 144A
N/A
600000.00000000
PA
USD
625500.00000000
0.042999592772
Long
DBT
CORP
LU
N
2
2028-03-01
Fixed
0.05500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/NOK settle 2020-08-13
N/A
1.00000000
NC
N/A
-283619.34000000
-0.01949722801
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
41506000.00000000
NOK
4029287.42000000
USD
2020-08-13
-283619.34000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H27 FA 1ML+38 12/60
38375BJK9
169159.34240000
PA
USD
168440.72000000
0.011579348307
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Variable
0.00683380
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030 144A
785592AW6
8000.00000000
PA
USD
8833.42000000
0.000607247742
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 11/30/2025
9128285N6
3162000.00000000
PA
USD
3592081.39000000
0.246935310910
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.02875000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 4.625% 04/15/2030 144A
737446AQ7
3850000.00000000
PA
USD
3778005.00000000
0.259716509178
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04625000
N
N
N
N
N
N
ALG STUDENT LOAN TRUST II
N/A
ALG STUDENT LOAN TRUST 2007-1A A3 3ML+9 06/28/2023 144A
001621AC5
623947.37670000
PA
USD
619190.09000000
0.042565822092
Long
ABS-CBDO
CORP
US
N
2
2023-06-28
Variable
0.00977130
N
N
N
N
N
N
RP CROWN PARENT LLC
549300B1M4J69ECRY452
JDA ESCROW LLC / JDA BD FIN INC 7.375% 10/15/2024 144A
47215YAA5
225000.00000000
PA
USD
224437.50000000
0.015428810715
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.07375000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/GBP settle 2020-08-13
N/A
1.00000000
NC
N/A
6856.04000000
0.000471314033
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
1041000.00000000
GBP
1297106.82000000
USD
2020-08-13
6856.04000000
N
N
N
LAMB WESTON HOLDINGS INC
5493005SMYID1D2OY946
LAMB WESTON HOLDINGS INC 4.625% 11/01/2024 144A
513272AA2
425000.00000000
PA
USD
440937.50000000
0.030311963130
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04625000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.875% 01/30/2060 144A
25714PEE4
390000.00000000
PA
USD
335034.38000000
0.023031721670
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
0.05875000
N
N
N
N
N
N
HILCORP ENERGY I LP/FIN CO
N/A
HILCORP ENERGY I LP/FIN CO 5.75% 10/01/2025 144A
431318AQ7
580000.00000000
PA
USD
493000.00000000
0.033890966005
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
0.05750000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.57 02/20/2025
N/A
-2900000.00000000
NC
USD
-134032.66000000
-0.00921398848
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 02/24/30 1.57%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-24
0.00000000
USD
0.00000000
USD
-2900000.00000000
USD
1.00000000
1.57000000
USD
2025-02-20
XXXX
-51890.16000000
N
N
N
LIONS GATE ENTERTAINMENT CORP
5493000JSMHPHZURLM72
LG FINANCECO CORP 5.875% 11/1/2024 144A
535919AL8
215000.00000000
PA
USD
205325.00000000
0.014114934270
Long
DBT
CORP
CA
N
2
2024-11-01
Fixed
0.05875000
N
N
N
N
N
N
ASCEND LEARNING LLC
549300T466HKRLVCD610
ASCEND LEARNING LLC 6.875% 08/01/2025 144A
043502AA1
210000.00000000
PA
USD
211548.75000000
0.014542781936
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
0.06875000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2303 ZV 6% 4/31
3133TSTH6
2997.54560000
PA
USD
3371.45000000
0.000231768148
Long
ABS-CBDO
USGSE
US
N
2
2031-04-15
Fixed
0.06000000
N
N
N
N
N
N
AVANTOR INC
5493003VM0XB4U8YD238
AVANTOR INC 6% 10/01/2024 144A
05352AAA8
625000.00000000
PA
USD
653125.00000000
0.044898655522
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.06000000
N
N
N
N
N
N
SANCHEZ ENERGY CORP
549300SB0HTIM17TVR61
SANCHEZ ENERGY DIP ROLL UP TERM 12/31/2049
N/A
122000.00000000
PA
USD
97600.00000000
0.006709448848
Long
LON
CORP
US
N
3
2049-12-31
Variable
0.07250000
Y
Y
N
N
N
N
NABORS INDUSTRIES LTD
N/A
NABORS INDUSTRIES LTD 7.5% 01/15/2028 144A
629571AB6
510000.00000000
PA
USD
313650.00000000
0.021561666303
Long
DBT
CORP
BM
N
2
2028-01-15
Fixed
0.07500000
N
N
N
N
N
N
1MDB GLOBAL INVESTMENTS LTD
N/A
1MDB GLOBAL INVESTMENTS LTD 4.4% 03/09/2023 REGS
N/A
3000000.00000000
PA
USD
2820937.50000000
0.193923523158
Long
DBT
CORP
VG
N
2
2023-03-09
Fixed
0.04400000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2009-59 HB 5% 8/25/39
31396QRH4
77896.42880000
PA
USD
88823.97000000
0.006106146344
Long
ABS-CBDO
USGSE
US
N
2
2039-08-25
Fixed
0.05000000
N
N
N
N
N
N
DENBURY RESOURCES INC
549300KCWA5W52MS5559
DENBURY RESOURCES INC 9% 05/15/2021 144A
247916AF6
2385000.00000000
PA
USD
924187.50000000
0.063532671694
Long
DBT
CORP
US
N
2
2021-05-15
Fixed
0.09000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.0% 12/25/2023
31393UQG1
20321.51400000
PA
USD
21375.67000000
0.001469456603
Long
ABS-CBDO
USGSE
US
N
2
2023-12-25
Fixed
0.05000000
N
N
N
N
N
N
SPARC EM SPC
N/A
SPARC EM SPC 0% 12/05/2022 144A
846502AC6
126824.21000000
PA
USD
122144.40000000
0.008396737744
Long
DBT
CORP
KY
N
2
2022-12-05
Fixed
0.00000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 7.25% 04/01/2023 144A
335934AK1
2100000.00000000
PA
USD
2005500.00000000
0.137866799847
Long
DBT
CORP
CA
N
2
2023-04-01
Fixed
0.07250000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP
N/A
HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP 4.875% 04/01/2027
432891AK5
435000.00000000
PA
USD
424668.75000000
0.029193578438
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04875000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC 7.5% 12/01/2024 144A
097751BR1
520000.00000000
PA
USD
338000.00000000
0.023235591298
Long
DBT
CORP
CA
N
2
2024-12-01
Fixed
0.07500000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: USD/GBP settle 2020-08-13
N/A
1.00000000
NC
N/A
-7537.42000000
-0.00051815506
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
1915000.00000000
GBP
2365978.67000000
USD
2020-08-13
-7537.42000000
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-117 JN 4.5% 1/36
31394VDE7
11466.63560000
PA
USD
12674.73000000
0.000871316112
Long
ABS-CBDO
USGSE
US
N
2
2036-01-25
Fixed
0.04500000
N
N
N
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
MASTERCARD INC CL A
57636Q104
5300.00000000
NS
USD
1567210.00000000
0.107736837391
Long
EC
CORP
US
N
1
N
N
N
SERBIA REPUBLIC OF
254900W94OCY91V32O78
SERBIA REP 7.25% 9/28/21 144A
817477AB8
425000.00000000
PA
USD
452093.75000000
0.031078892317
Long
DBT
NUSS
RS
N
2
2021-09-28
Fixed
0.07250000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP INC
549300JH4DTA7U42GL91
ASBURY AUTOMOTIVE GROUP INC 4.5% 03/01/2028 144A
043436AS3
184000.00000000
PA
USD
178480.00000000
0.012269492115
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04500000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and EL MTN3.5% 10/20
694308GT8
303000.00000000
PA
USD
330270.00000000
0.022704197449
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
0.03500000
Y
Y
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 9/21 #G12375
3128M1Q44
516.97600000
PA
USD
530.44000000
0.000036464754
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
0.06500000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
MOLINA HEALTHCARE INC 4.375% 06/15/2028 144A
60855RAJ9
465000.00000000
PA
USD
466162.50000000
0.032046039433
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.04375000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.80% 5/37 #1N1474
3128QHT75
1636.96240000
PA
USD
1710.37000000
0.000117578278
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
0.03576000
N
N
N
N
N
N
JBS INVESTMENTS II GMBH
529900V1Q46CPWIWT649
JBS INVESTMENTS II GMBH 7% 01/15/2026 144A
46650CAA7
760000.00000000
PA
USD
797620.00000000
0.054831870802
Long
DBT
CORP
AT
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
CHS/CMNTY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/CMNTY HEALTH SYSTEMS INC 6.625% 02/15/2025 144A
12543DBF6
685000.00000000
PA
USD
643900.00000000
0.044264488866
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.06625000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 5.25% 06/15/2037
15135UAP4
175000.00000000
PA
USD
151296.25000000
0.010400762810
Long
DBT
CORP
CA
N
2
2037-06-15
Fixed
0.05250000
N
N
N
N
N
N
SUNOCO LP / SUNOCO FIN CORP
N/A
SUNOCO LP / SUNOCO FIN CORP 4.875% 01/15/2023
86765LAJ6
465000.00000000
PA
USD
458025.00000000
0.031486632261
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.04875000
N
N
N
N
N
N
MPH ACQUISITION HLDGS LLC
5493002WXOPRPTXWTU06
MPH ACQUISITION HLDGS LLC 7.125% 06/01/2024 144A
553283AB8
335000.00000000
PA
USD
311550.00000000
0.021417303162
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
0.07125000
N
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP WORLD LTD 5.625% 09/25/2048 144A
23330JAB7
155000.00000000
PA
USD
168571.23000000
0.011588320132
Long
DBT
CORP
AE
N
2
2048-09-25
Fixed
0.05625000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.375% 03/13/2022
71654QCE0
290000.00000000
PA
USD
289275.00000000
0.019886022700
Long
DBT
CORP
MX
N
2
2022-03-13
Fixed
0.05375000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5.875% 05/01/2027 144A
1248EPBK8
855000.00000000
PA
USD
892149.75000000
0.061330257301
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05875000
N
N
N
N
N
N
TERRAFORM POWER OPERATING LLC
5493000S2OLR3UT5BE13
TERRAFORM POWER OPERATING LLC 4.75% 01/15/2030 144A
88104LAG8
600000.00000000
PA
USD
609000.00000000
0.041865310948
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.04750000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H17 FA 1ML+33 7/60
38375BDY5
290785.47830000
PA
USD
289103.40000000
0.019874226169
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Variable
0.00770880
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
CLEVELAND-CLIFFS INC 5.875% 06/01/2027
185899AH4
960000.00000000
PA
USD
793200.00000000
0.054528020762
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
0.05875000
N
N
N
N
N
N
EGYPT, (ARAB) REP OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF GLOBAL MTN BE 144A 7.6003% 03/01/2029 144A
03846JW71
1105000.00000000
PA
USD
1125028.13000000
0.077339330850
Long
DBT
NUSS
EG
N
2
2029-03-01
Fixed
0.07600300
N
N
N
N
N
N
NEXTERA ENERGY OPERATING PARTNERS LP
549300KJEC5IUVJWR786
NEXTERA ENERGY OPERATING PARTNERS LP 4.25% 07/15/2024 144A
65342QAK8
360000.00000000
PA
USD
364050.00000000
0.025026381692
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.04250000
N
N
N
N
N
N
ALGOMA STEEL GP
N/A
ALGOMA STEEL GP
N/A
10220.00000000
NS
USD
204.40000000
0.000014051345
Long
EC
CORP
LU
N
3
N
N
N
MONGOLIA GOVERNMENT OF
N/A
MONGOLIA GOVT MED TM NTS 144A 10.875% 04/06/2021 144A
60937FAD0
50000.00000000
PA
USD
51875.00000000
0.003566113309
Long
DBT
NUSS
MN
N
2
2021-04-06
Fixed
0.10875000
N
N
N
N
N
N
NIGERIA REPUBLIC OF
549300GSBZD84TNEQ285
NIGERIA REPUBLIC 7.625% 11/21/2025 144A
65412JAJ2
1540000.00000000
PA
USD
1571281.25000000
0.108016712838
Long
DBT
NUSS
NG
N
2
2025-11-21
Fixed
0.07625000
N
N
N
N
N
N
ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA
N/A
ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA 7.25% 02/01/2028 144A
68752DAA6
535000.00000000
PA
USD
543816.80000000
0.037384334041
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.07250000
N
N
N
N
N
N
NEXSTAR ESCROW INC
N/A
NEXSTAR ESCROW INC 5.625% 07/15/2027 144A
65343HAA9
1275000.00000000
PA
USD
1275076.50000000
0.087654308958
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.05625000
N
N
N
N
N
N
TRICER HOLDCO S.C.A.
N/A
TRICER HOLDCO S.C.A CLASS A6 PP
N/A
16755.00000000
NS
USD
18.62000000
0.000001280019
Long
EC
CORP
LU
Y
3
N
N
N
VENEZUELA, REPUBLIC OF
529900XM8PJTJK5OJI77
VENEZUELA REPUBLIC OF 12.75% 08/23/2022 REGS
N/A
190000.00000000
PA
USD
11400.00000000
0.000783685623
Long
DBT
NUSS
VE
N
2
2022-08-23
Fixed
0.12750000
Y
Y
N
N
N
N
ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP
N/A
ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP 5.75% 01/15/2028 144A
03690AAF3
955000.00000000
PA
USD
754450.00000000
0.051864177085
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.05750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12ML+187.9 10/42#849255
31300MH89
25744.51330000
PA
USD
26830.59000000
0.001844451548
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Variable
0.04283000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-69557.91000000
-0.00478171351
N/A
DFE
CORP
FR
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
2806000.00000000
EUR
3085996.71000000
USD
2020-08-13
-69557.91000000
N
N
N
GEO GROUP INC NEW
5493003VOR6NTY465495
GEO GROUP 5.125% 4/1/23
36159RAG8
695000.00000000
PA
USD
601175.00000000
0.041327386386
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
0.05125000
N
N
N
N
N
N
AIRBUS SE
MINO79WLOO247M1IL051
AIRBUS SE 2% 04/07/2028 REGS
N/A
794000.00000000
PA
941150.79000000
0.064698802089
Long
DBT
CORP
NL
N
2
2028-04-07
Fixed
0.02000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
931.87000000
0.000064060800
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1610582.66000000
USD
1433000.00000000
EUR
2020-08-13
931.87000000
N
N
N
ALEXION PHARMACEUTICALS INC
M1YXUUZR0EIMU8T0EM75
ALEXION PHARMACEUTICALS INC
015351109
5800.00000000
NS
USD
650992.00000000
0.044752023817
Long
EC
CORP
US
N
1
N
N
N
FIDELITY BANK PLC
029200298A5K5WI0F567
FIDELITY BANK PLC 10.5% 10/16/2022 144A
316044AB2
155000.00000000
PA
USD
157325.00000000
0.010815205328
Long
DBT
CORP
NG
N
2
2022-10-16
Fixed
0.10500000
N
N
N
N
N
N
PARAGUAY REP
529900UXKJTJPCU0HK83
PARAGUAY REP 4.95% 04/28/2031 144A
699149AJ9
400000.00000000
PA
USD
444000.00000000
0.030522492711
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
0.04950000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-15 FJ 1ML+93 6/36
31398MRG3
164077.15880000
PA
USD
166454.67000000
0.011442818585
Long
ABS-CBDO
USGSE
US
N
2
2036-06-25
Variable
0.01114500
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 5.125% 11/01/2027 144A
88033GDA5
975000.00000000
PA
USD
962032.50000000
0.066134301732
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
0.05125000
N
N
N
N
N
N
MURRAY ENERGY CORP
549300WM5IIFYHZYTT63
MURRAY ENERGY TERM DIP 07/31/2020
N/A
250338.44000000
PA
USD
133305.22000000
0.009163981094
Long
LON
CORP
US
N
2
2020-07-31
Variable
0.13000000
N
N
N
N
N
N
DELTA AIRLINES INC
Q2CCMS6R0AS67HJMBN42
DELTA AIRLINES INC 7% 05/01/2025 144A
247361ZX9
280000.00000000
PA
USD
289035.06000000
0.019869528180
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.07000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTIONS
549300HALRZ339MSTH85
CATALENT PHARMA SOLUTIONS 5% 07/15/2027 144A
14879EAE8
205000.00000000
PA
USD
212816.65000000
0.014629942901
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.05000000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 7.75% 09/01/2024 144A
903724AR3
450000.00000000
PA
USD
469125.00000000
0.032249694579
Long
DBT
NUSS
UA
N
2
2024-09-01
Fixed
0.07750000
N
N
N
N
N
N
COSAN OVERSEAS LTD
222100V5GTJGKUH55655
COSAN OVERSEAS 8.25% PERP
N/A
2085000.00000000
PA
USD
2088257.81000000
0.143555931947
Long
EP
CORP
KY
N
2
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 1.471% 09/29/2021
903724BL5
1600000.00000000
PA
USD
1623641.63000000
0.111616193282
Long
DBT
NUSS
UA
N
2
2021-09-29
Fixed
0.01471000
N
N
N
N
N
N
CF INDS INC
5FVKT86LAD2F40NPC183
CF INDUSTRIES INC 5.375% 03/15/2044
12527GAE3
3080000.00000000
PA
USD
3330404.00000000
0.228946468052
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
0.05375000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5.375% 06/01/2029 144A
1248EPCB7
4800000.00000000
PA
USD
5064000.00000000
0.348121403354
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
0.05375000
N
N
N
N
N
N
OPEN TEXT CORPORATION
549300UQROQS42RKHM85
OPEN TEXT CORPORATION 5.875% 06/01/2026 144A
683715AB2
465000.00000000
PA
USD
482488.65000000
0.033168370051
Long
DBT
CORP
CA
N
2
2026-06-01
Fixed
0.05875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/42 #MA0462
36179MQP8
125901.49400000
PA
USD
137190.45000000
0.009431068716
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.03500000
N
N
N
N
N
N
IRON MTN INC
SQL3F6CKNNBM3SQGHX24
IRON MTN INC 5% 07/15/2028 144A
46284VAG6
630000.00000000
PA
USD
615037.50000000
0.042280354979
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
0.05000000
N
N
N
N
N
N
1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC
N/A
1011778 BC ULC/NEW RED FIN INC 4.375% 01/15/2028 144A
68245XAJ8
560000.00000000
PA
USD
548906.40000000
0.037734215299
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
0.04375000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.4025 02/26/2025
N/A
1900000.00000000
NC
USD
31416.94000000
0.002159737212
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 1.40250003%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
1900000.00000000
USD
1.00000000
1.40250000
USD
2025-02-26
XXXX
-22163.06000000
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 8% 01/15/2025
165167CU9
180000.00000000
PA
USD
4050.00000000
0.000278414629
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.08000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.875% 01/29/2026 144A
25714PDJ4
955000.00000000
PA
USD
1001257.81000000
0.068830820287
Long
DBT
NUSS
DO
N
2
2026-01-29
Fixed
0.06875000
N
N
N
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
HERTZ CORP 6.25% 10/15/2022
428040CN7
455000.00000000
PA
USD
142187.50000000
0.009774587685
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.06250000
Y
Y
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 7.75% 09/01/2026 144A
903724AT9
200000.00000000
PA
USD
208500.00000000
0.014333197590
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
0.07750000
N
N
N
N
N
N
IRON MTN INC
SQL3F6CKNNBM3SQGHX24
IRON MTN INC 5.625% 07/15/2032 144A
46284VAL5
585000.00000000
PA
USD
583771.50000000
0.040130994039
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
0.05625000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 6.5% 04/15/2029 144A
46590XAA4
1550000.00000000
PA
USD
1644937.50000000
0.113080164085
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.06500000
N
N
N
N
N
N
BRAZIL, FEDERATIVE REPUBLIC OF
254900ZFY40OYEADAP90
BRAZIL FEDERATIVE REPUBLIC OF 3.875% 06/12/2030
105756CC2
170000.00000000
PA
USD
164050.00000000
0.011277511101
Long
DBT
NUSS
BR
N
2
2030-06-12
Fixed
0.03875000
N
N
N
N
N
N
LCPR SENIOR SECURED FINANCING DESIGNATED ACTIVITY COMPANY
549300LE5FM8IKMXSP90
LCPR SENIOR SECURED FINANCING DESIGNATED ACTIVITY COMPANY 6.75% 10/15/2027 144A
50201DAA1
605000.00000000
PA
USD
617100.00000000
0.042422140207
Long
DBT
CORP
IE
N
2
2027-10-15
Fixed
0.06750000
N
N
N
N
N
N
BURLINGTON COAT FACTORY WHSE CORP
549300SIFDMGE3Y2SW49
BURLINGTON COAT FACTORY WHSE CORP 6.25% 04/15/2025 144A
121579AH9
200000.00000000
PA
USD
209000.00000000
0.014367569767
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.06250000
N
N
N
N
N
N
CREDITO REAL S A DE C V SOCIEDAD FINANCIERA DE OBJETO MULTIPLE ENTIDAD NO REGULADA
549300W2IL7TPPCTKL39
CREDITO REAL S A DE C V SOFOM 9.5% 02/07/2026 144A
22550GAA0
240000.00000000
PA
USD
245175.00000000
0.016854396735
Long
DBT
CORP
MX
N
2
2026-02-07
Fixed
0.09500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3415 PC 5% 12/37
31397R3R5
23336.53200000
PA
USD
26198.65000000
0.001801009242
Long
ABS-CBDO
USGSE
US
N
2
2037-12-15
Fixed
0.05000000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP
N/A
HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP 4.625% 04/01/2025
432891AH2
925000.00000000
PA
USD
904381.75000000
0.062171138226
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.04625000
N
N
N
N
N
N
JORDAN KINGDOM OF
5493000JZ4MYPVMBVN50
JORDAN KINGDOM OF 3.0% 06/30/2025
418097AF8
1179000.00000000
PA
USD
1307507.36000000
0.089883747444
Long
DBT
NUSS
JO
N
2
2025-06-30
Fixed
0.03000000
N
N
N
N
N
N
MILLICOM INTL CELLULAR SA
549300CTHC1CP86P2G96
MILLICOM INTL CELLULAR SA 6.0% 03/10/2025 144A
600814AM9
360000.00000000
PA
USD
370800.00000000
0.025490406075
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
0.06000000
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM ENERGY CO 6.75% 09/15/2026
78454LAN0
250000.00000000
PA
USD
125720.00000000
0.008642540053
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
0.06750000
N
N
N
N
N
N
ALGOMA STEEL SCA
N/A
ALGOMA STEEL SCA 0% 12/31/2023
N/A
102200.00000000
PA
USD
62342.00000000
0.004285660451
Long
DBT
CORP
LU
N
3
2023-12-31
Fixed
0.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031
674599DD4
65000.00000000
PA
USD
60431.15000000
0.004154300304
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
0.07500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.4% 04/15/2046
674599CJ2
575000.00000000
PA
USD
400890.00000000
0.027558923655
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
0.04400000
N
N
N
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 6.375% 12/15/2025
451102BQ9
2785000.00000000
PA
USD
2757150.00000000
0.189538492744
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.06375000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
060505104
36200.00000000
NS
USD
859750.00000000
0.059102957451
Long
EC
CORP
US
N
1
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.50% 02/15/2045
912810RK6
17524000.00000000
PA
USD
21608598.01000000
1.485469088422
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.02500000
N
N
N
N
N
N
EMBRAER OVERSEAS LTD
N/A
EMBRAER OVERSEAS LTD 5.696% 09/16/2023 144A
29081YAD8
125000.00000000
PA
USD
119063.75000000
0.008184960453
Long
DBT
CORP
KY
N
2
2023-09-16
Fixed
0.05696000
N
N
N
N
N
N
ANTERO RESOURCES FINANCE CORPORATION
N/A
ANTERO RESOURCES FINANCE CORPORATION 5.375% 11/01/2021
03674PAL7
140000.00000000
PA
USD
129500.00000000
0.008902393707
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
0.05375000
N
N
N
N
N
N
SOUTHERN STAR CENT CORP
549300D3EOQ0YB6QHA13
SOUTHERN STAR CENT CORP 5.125% 07/15/22 144A
843830AF7
320000.00000000
PA
USD
319748.49000000
0.021980903052
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
0.05125000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP
594918104
16900.00000000
NS
USD
3439319.00000000
0.236433759254
Long
EC
CORP
US
N
1
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS INC
335934105
63200.00000000
NS
503700.65000000
0.034626575266
Long
EC
CORP
CA
N
1
N
N
N
ZAYO GROUP HLDGS INC
529900Z6OTS7RT0V0I47
ZAYO TERM 1LN 03/09/2027
98919XAB7
458850.00000000
PA
USD
434494.24000000
0.029869025390
Long
LON
CORP
US
N
2
2027-03-09
Variable
0.03178250
N
N
N
N
N
N
CONTINENTAL AIRLS PASS THRU TR 2007 1B
N/A
CONT AIR CLB 6.903% 10/19/2023
21079RAA0
4907.41900000
PA
USD
4115.90000000
0.000282944882
Long
DBT
CORP
US
N
2
2023-10-19
Fixed
0.06903000
N
N
N
N
N
N
CAMELOT FIN S A
N/A
CLARIVATE ANALYTICS TERM B 10/31/26
N/A
59700.00000000
PA
USD
57722.74000000
0.003968112411
Long
LON
CORP
LU
N
2
2026-10-31
Variable
0.03178250
N
N
N
N
N
N
INDIKA ENERGY CAPITAL II PTE LTD
N/A
INDIKA ENERGY CAPITAL II PTE LTD 6.875% 04/10/2022 144A
45569EAA5
1250000.00000000
PA
USD
1214062.50000000
0.083459941007
Long
DBT
CORP
SG
N
2
2022-04-10
Fixed
0.06875000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REP 5.125% 3/25/22
900123BY5
1865000.00000000
PA
USD
1866748.44000000
0.128328413634
Long
DBT
NUSS
TR
N
2
2022-03-25
Fixed
0.05125000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA COMMUNICATIONS CORP 3.875% 02/15/2027 144A
78410GAC8
890000.00000000
PA
USD
885550.00000000
0.060876561757
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.03875000
N
N
N
N
N
N
IQVIA HOLDINGS INC
549300W3R20NM4KQPH86
IQVIA HOLDINGS INC
46266C105
13900.00000000
NS
USD
1972132.00000000
0.135572938278
Long
EC
CORP
US
N
1
N
N
N
ADES INTERNATIONAL HOLDING PLC
213800WADXE5U3ZY1K46
ADES INTERNATIONAL HOLDING LTD 8.625% 04/24/2024 144A
N/A
650000.00000000
PA
USD
598000.00000000
0.041109123065
Long
DBT
CORP
AE
N
2
2024-04-24
Fixed
0.08625000
N
N
N
N
N
N
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC
N/A
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A
013092AE1
4920000.00000000
PA
USD
5033799.60000000
0.346045296397
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04875000
N
N
N
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS SA 5.5% 08/01/2023
45824TAP0
2395000.00000000
PA
USD
1364431.50000000
0.093796960616
Long
DBT
CORP
LU
N
2
2023-08-01
Fixed
0.05500000
Y
Y
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
-1818.01000000
-0.00012497792
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
136766.89000000
USD
120000.00000000
EUR
2020-08-13
-1818.01000000
N
N
N
CEMEX FIN LLC
529900USOXVC2TX3H980
CEMEX FIN LLC 6% 04/01/2024 144A
12516UAD7
200000.00000000
PA
USD
197502.50000000
0.013577181569
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.06000000
N
N
N
N
N
N
CAMELOT FIN S A
N/A
CAMELOT FIN S A 4.5% 11/01/2026 144A
13323AAB6
570000.00000000
PA
USD
570000.00000000
0.039184281183
Long
DBT
CORP
LU
N
2
2026-11-01
Fixed
0.04500000
N
N
N
N
N
N
VEDANTA RESOURCES PLC
2138007MYEKPEAZQTW83
VEDANTA RESOURCES PLC 6.375% 07/30/2022 144A
92241TAK8
2220000.00000000
PA
USD
1683037.50000000
0.115699323933
Long
DBT
CORP
GB
N
2
2022-07-30
Fixed
0.06375000
N
N
N
N
N
N
BUENOS AIRES CITY ARGENTINA
5299007MC8RF52X0ON96
BUENOS AIRES CITY ARGENTINA 8.95% 02/19/21 144A
11942GAC6
283900.00000000
PA
USD
253025.88000000
0.017394100401
Long
DBT
CORP
AR
N
2
2021-02-19
Fixed
0.08950000
N
N
N
N
N
N
TECPETROL SA
529900C0GOV3UC7ZMZ16
TECPETROL SA 4.875% 12/12/2022 144A
87876TAE4
200000.00000000
PA
USD
186496.26000000
0.012820564721
Long
DBT
CORP
AR
N
2
2022-12-12
Fixed
0.04875000
N
N
N
N
N
N
CAMEROON REPUBLIC OF
54930021BO6NHYGBBV24
CAMEROON REPUBLIC OF 9.5% 11/19/2025 144A
133653AA3
1515000.00000000
PA
USD
1519260.94000000
0.104440610287
Long
DBT
NUSS
CM
N
2
2025-11-19
Fixed
0.09500000
N
N
N
N
N
N
AKBANK TURK ANONIM SIRKETI
789000TUMN63Z28TJ497
AKBANK TURK ANONIM SIRKETI 7.2%/VAR 03/16/2027 144A
00972BAB5
290000.00000000
PA
USD
278182.50000000
0.019123475965
Long
DBT
CORP
TR
N
2
2027-03-16
Variable
0.07200000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 7.75% 09/01/2020 144A
903724AM4
3490000.00000000
PA
USD
3507450.00000000
0.241117380765
Long
DBT
NUSS
UA
N
2
2020-09-01
Fixed
0.07750000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA SA
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA SA 6% 05/16/2024 144A
716558AG6
585000.00000000
PA
USD
16380.00000000
0.001126032501
Long
DBT
CORP
VE
N
2
2024-05-16
Fixed
0.06000000
Y
Y
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
ALPHABET INC CL A
02079K305
1400.00000000
NS
USD
1985270.00000000
0.136476101587
Long
EC
CORP
US
N
1
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 04/01/2033#K90336
3132J2LR2
78905.79100000
PA
USD
83782.97000000
0.005759606061
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
KONDOR FINANCE PLC
N/A
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 7.625% 11/08/2026 144A
50050MAB1
230000.00000000
PA
USD
223531.25000000
0.015366511146
Long
DBT
CORP
GB
N
2
2026-11-08
Fixed
0.07625000
N
N
N
N
N
N
VEDANTA RESOURCES PLC
2138007MYEKPEAZQTW83
VEDANTA RES PLC 8.25 6/21 144A
92241TAG7
525000.00000000
PA
USD
457905.00000000
0.031478382939
Long
DBT
CORP
GB
N
2
2021-06-07
Fixed
0.08250000
N
N
N
N
N
N
MOROCCO KINGDOM OF
529900F3MBW9XY5K1X07
MOROCCO GOV 4.25 12/11/22 144A
617726AF1
225000.00000000
PA
USD
237093.75000000
0.016298856432
Long
DBT
NUSS
MA
N
2
2022-12-11
Fixed
0.04250000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV 6.625% 04/15/2023 144A
67091GAA1
270000.00000000
PA
USD
271350.00000000
0.018653780173
Long
DBT
CORP
NL
N
2
2023-04-15
Fixed
0.06625000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.487 10/02/2020
N/A
-2800000.00000000
NC
USD
-1374.83000000
-0.00009451179
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/30 3MLV1.487
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-10-06
0.00000000
USD
0.00000000
USD
-2800000.00000000
USD
1.00000000
1.48700000
USD
2020-10-02
XXXX
73595.17000000
N
N
N
ALLISON TRANSMISSION HLDGS INC
529900RP7DJ882LI9T83
ALLISON TRANSMISSION HLDGS INC
01973R101
12900.00000000
NS
USD
474462.00000000
0.032616583190
Long
EC
CORP
US
N
1
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.87% 7/36 #1B7380
3128QPSU7
119208.69020000
PA
USD
124866.48000000
0.008583865373
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
0.03665000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.375% 02/04/2021
71654QCA8
145000.00000000
PA
USD
145543.75000000
0.010005310920
Long
DBT
CORP
MX
N
2
2021-02-04
Fixed
0.06375000
N
N
N
N
N
N
GEO GROUP INC NEW
5493003VOR6NTY465495
GEO GROUP INC 6% 04/15/2026
36162JAB2
1971000.00000000
PA
USD
1512742.50000000
0.103992504347
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.06000000
N
N
N
N
N
N
COVEY PK ENERGY LLC / COVEY PK FIN CORP
N/A
COVEY PK ENERGY LLC / COVEY PK FIN CORP 7.5% 05/15/2025 144A
22304LAA8
580000.00000000
PA
USD
525625.00000000
0.036133750520
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.07500000
N
N
N
N
N
N
GHANA REP
213800PP4399SNNXZ126
GHANA REP 7.875% 03/26/2027 144A
37443GAA9
215000.00000000
PA
USD
212648.44000000
0.014618379414
Long
DBT
NUSS
GH
N
2
2027-03-26
Fixed
0.07875000
N
N
N
N
N
N
VIKING CRUISES LTD
549300IJP90T4MV2GL84
VIKING CRUISES LTD 13% 05/15/2025 144A
92676XAE7
570000.00000000
PA
USD
601350.00000000
0.041339416648
Long
DBT
CORP
BM
N
2
2025-05-15
Fixed
0.13000000
N
N
N
N
N
N
C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY
5493009O8OIWZPZRY516
C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY 6.875% 09/15/2027 144A
12674TAA4
1365000.00000000
PA
USD
1354762.50000000
0.093132271467
Long
DBT
CORP
IE
N
2
2027-09-15
Fixed
0.06875000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HLDGS LLC 5.375% 02/01/2028 144A
126307AS6
1190000.00000000
PA
USD
1243550.00000000
0.085487040114
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.05375000
N
N
N
N
N
N
ELDORADO RESORTS INC
5299000BKFWWVND5L441
ELDORADO RESORTS INC 6.25% 07/01/2025 144A
28470RAH5
2520000.00000000
PA
USD
2500344.00000000
0.171884530440
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.06250000
N
N
N
N
N
N
BORETS FIN DAC
635400LFT9PKEEFTKC04
BORETS FIN DAC 6.5% 04/07/2022 144A
09973BAA7
235000.00000000
PA
USD
234559.38000000
0.016124632807
Long
DBT
CORP
IE
N
2
2022-04-07
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 6/36 #782394
36241KUT3
162195.05490000
PA
USD
189661.15000000
0.013038133037
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
0.06000000
N
N
N
N
N
N
PEMEX PROJ FDG MASTER TR
N/A
PEMEX PROJ FDG MASTER TR 6.625% 06/15/2035
706451BG5
1690000.00000000
PA
USD
1369079.65000000
0.094116494680
Long
DBT
CORP
MX
N
2
2035-06-15
Fixed
0.06625000
N
N
N
N
N
N
TRANSPORTADORA DE GAS DEL SUR
5299002TRC7IFQYSW596
TRANSPORTADORA DE GAS DEL SUR 6.75% 05/02/2025 144A
893870AX3
475000.00000000
PA
USD
406591.12000000
0.027950843460
Long
DBT
CORP
AR
N
2
2025-05-02
Fixed
0.06750000
N
N
N
N
N
N
JOSEPH T RYERSON and SON INC
54930086XMNNXPXPWJ34
JOSEPH T RYERSON and SON INC 11% 05/15/2022 144A
48088LAA5
350000.00000000
PA
USD
357444.50000000
0.024572290869
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
0.11000000
N
N
N
N
N
N
DENBURY RESOURCES INC
549300KCWA5W52MS5559
DENBURY RESOURCES INC 9.25% 03/31/2022 144A
247916AH2
350000.00000000
PA
USD
140000.00000000
0.009624209413
Long
DBT
CORP
US
N
2
2022-03-31
Fixed
0.09250000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
398.40000000
0.000027387750
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
142422.50000000
USD
127000.00000000
EUR
2020-08-13
398.40000000
N
N
N
DIAMOND OFFSHORE DRILLING INC
F14FQJ2EEHW5VPYUHL14
DIAMOND OFFSHORE 5.7% 10/15/39
25271CAL6
145000.00000000
PA
USD
14704.45000000
0.001010847900
Long
DBT
CORP
US
N
2
2039-10-15
Fixed
0.05700000
Y
Y
N
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS SA 8.5% 10/15/2024 144A
45824TBA2
1150000.00000000
PA
USD
691437.50000000
0.047532423545
Long
DBT
CORP
LU
N
2
2024-10-15
Fixed
0.08500000
Y
Y
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 5% 08/01/2027 144A
82967NBA5
735000.00000000
PA
USD
753977.70000000
0.051831709127
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
0.05000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5.625% 02/15/2027 144A
92840VAB8
1495000.00000000
PA
USD
1535335.10000000
0.105545618015
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.05625000
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC 4.75% 01/15/2028 144A
45174HBG1
445000.00000000
PA
USD
410512.50000000
0.028220416191
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.04750000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H19 FG 1ML+30 8/60
38375BFQ0
343670.96790000
PA
USD
341604.17000000
0.023483357632
Long
ABS-CBDO
USGA
US
N
2
2060-08-20
Variable
0.00603380
N
N
N
N
N
N
FRONTERA ENERGY CORP
A25574TZFLBNK7NWQT47
FRONTERA ENERGY CORP 9.7% 06/25/2023 144A
35905BAA5
295000.00000000
PA
USD
239226.56000000
0.016445475076
Long
DBT
CORP
CA
N
2
2023-06-25
Fixed
0.09700000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 09/30/2021
912828YJ3
4616000.00000000
PA
USD
4692272.20000000
0.322567216269
Long
DBT
UST
US
N
2
2021-09-30
Fixed
0.01500000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 5.4% 06/15/2047
15135UAR0
1010000.00000000
PA
USD
866790.05000000
0.059586921133
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
0.05400000
N
N
N
N
N
N
PENHALL ACQUISITION COMPANY
N/A
PENHALL ACQUISITION CMPNY CL A
N/A
321.00000000
NS
USD
24649.59000000
0.001694520115
Long
EC
CORP
US
N
3
N
N
N
LAREDO PETE INC NEW
549300X0PTWU2QSLSL14
LAREDO PETE INC NEW 9.5% 01/15/2025
516806AF3
595000.00000000
PA
USD
411293.75000000
0.028274122717
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.09500000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 7.5% 04/01/2028 144A
126307AY3
725000.00000000
PA
USD
791156.25000000
0.054387524491
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
0.07500000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP INC
549300OMUOGBYK0FFO76
PERFORMANCE FOOD GROUP INC 5.5% 10/15/2027 144A
69346VAA7
475000.00000000
PA
USD
458375.00000000
0.031510692784
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 2.986% 10/01/2041#1B8864
3128UHGY5
36620.73270000
PA
USD
38183.90000000
0.002624927498
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Variable
0.03838000
N
N
N
N
N
N
BELARUS REPUBLIC OF
635400CVCOWYLHF4ZB08
BELARUS REPUBLIC OF 6.875% 02/28/2023 144A
07737JAB9
1225000.00000000
PA
USD
1226148.44000000
0.084290781132
Long
DBT
NUSS
BY
N
2
2023-02-28
Fixed
0.06875000
N
N
N
N
N
N
GO DADDY OPERATING CO LLC / GD FINANCE CO INC
N/A
GO DADDY OPERATING CO LLC / GD FINANCE CO INC 5.25% 12/01/2027 144A
38016LAA3
500000.00000000
PA
USD
508750.00000000
0.034973689564
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.05250000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 6.5% 02/01/2029 144A
126307AZ0
1320000.00000000
PA
USD
1443750.00000000
0.099249659576
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.06500000
N
N
N
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO LOGISTICS INC
983793100
9900.00000000
NS
USD
764775.00000000
0.052573962529
Long
EC
CORP
US
N
1
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5%/VAR PERP
172967MG3
3245000.00000000
PA
USD
3054534.73000000
0.209982013586
Long
EP
CORP
US
N
2
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 06/15/2023
912828ZU7
488000.00000000
PA
USD
489029.38000000
0.033618008303
Long
DBT
UST
US
N
2
2023-06-15
Fixed
0.00250000
N
N
N
N
N
N
PT BUKIT MAKMUR MANDIRIR UTAMA
254900Z05E8W7X31K395
PT BUKIT MAKMUR MANDIRIR UTAMA 7.75% 02/13/2022 144A
74445NAA5
870000.00000000
PA
USD
723187.50000000
0.049715056751
Long
DBT
CORP
ID
N
2
2022-02-13
Fixed
0.07750000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+880 08/20/2039
38378WVT7
217994.26250000
PA
USD
225399.35000000
0.015494932471
Long
ABS-CBDO
USGA
US
N
2
2039-08-20
Variable
0.08546670
N
N
N
N
N
N
NOVUS HOLDINGS LTD
529900ABRA476F0PVJ28
NOVUS HOLDINGS LTD
N/A
3285.00000000
NS
213.92000000
0.000014705791
Long
EC
CORP
ZA
N
1
N
N
N
CENTRAL AMERICAN BOTTLING CORP
549300DT8SH0CF6BTT37
CENTRAL AMER BOTTLING CORP 5.75% 01/31/2027 144A
15238XAB5
105000.00000000
PA
USD
105360.94000000
0.007242969646
Long
DBT
CORP
VG
N
2
2027-01-31
Fixed
0.05750000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
BMC TERM B 10/02/2025
05988HAB3
1851800.00000000
PA
USD
1747636.25000000
0.120140123203
Long
LON
CORP
US
N
2
2025-10-02
Variable
0.04428250
N
N
N
N
N
N
HONDURAS, REPUBLIC OF
5493002DW1JNBNG17615
HONDURAS REPUBLIC OF 5.625% 06/24/2030 144A
438180AJ0
150000.00000000
PA
USD
152437.50000000
0.010479217303
Long
DBT
NUSS
HN
N
2
2030-06-24
Fixed
0.05625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.869% 5/36 #995608
31416CAH9
444.51990000
PA
USD
466.06000000
0.000032038993
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.02972000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 5.375% 07/15/2026 144A
82967NAW8
620000.00000000
PA
USD
640298.80000000
0.044016926702
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.05375000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE TERM FLLO 06/09/2024
16516FAH2
6150000.00000000
PA
USD
3527455.50000000
0.242492645918
Long
LON
CORP
US
N
2
2024-06-09
Variable
0.09000000
N
N
N
N
N
N
FORUM ENERGY TECHNOLOGIES INC
549300SF93HLCR1REE27
FORUM ENERGY TECHNOLOGIES INC 6.25% 10/01/2021
34984VAB6
715000.00000000
PA
USD
279743.75000000
0.019230803086
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.06250000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H07 FA 1ML+50 3/61
38375BKP6
290578.78590000
PA
USD
290424.29000000
0.019965029897
Long
ABS-CBDO
USGA
US
N
2
2061-02-20
Variable
0.00803380
N
N
N
N
N
N
EP ENERGY LLC / EVEREST ACQUISITION FIN INC
N/A
EP ENERGY LLC/EVRST AC FIN INC 7.75% 05/15/2026 144A
268787AJ7
4756000.00000000
PA
USD
951200.00000000
0.065389628529
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.07750000
Y
Y
N
N
N
N
TC ZIRAAT BANKASI AS
213800K5KTZFSUS8MR51
TC ZIRAAT BANKASI AS 5.125% 05/03/2022 144A
90015JAA0
485000.00000000
PA
USD
474845.31000000
0.032642933588
Long
DBT
CORP
TR
N
2
2022-05-03
Fixed
0.05125000
N
N
N
N
N
N
RUSSIAN FEDN
5493004EHVGF71PDBU58
RUSSIAN FEDN 7.25% 05/10/2034
N/A
4800000.00000000
PA
74865.63000000
0.005146589292
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
0.07250000
N
N
N
N
N
N
BANCO BMG SA
549300IKNU8A627GPM07
BANCO BMG 8.875% 8/5/20 144A
05949RAE3
20000.00000000
PA
USD
19775.00000000
0.001359419579
Long
DBT
CORP
BR
N
2
2020-08-05
Fixed
0.08875000
N
N
N
N
N
N
BCPE CYCLE MERGER SUB II INC
N/A
BCPE CYCLE MERGER SUB II INC 10.625% 07/15/2027 144A
07335BAA4
1682000.00000000
PA
USD
1732460.00000000
0.119096841717
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.10625000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.5% 06/01/2027
29273VAF7
860000.00000000
PA
USD
891628.22000000
0.061294405058
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
0.05500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.5% MAC 09/16/25
N/A
1186000.00000000
NC
USD
53950.52000000
0.003708793588
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2025-09-16
0.00000000
USD
0.00000000
USD
1141537.69000000
USD
53950.52000000
N
N
N
EG AMERICA LLC
549300BY1CRYVPEG9R57
EG AMERICA LLC TERM 2LN 03/23/2026
N/A
302000.00000000
PA
USD
274820.00000000
0.018892323078
Long
LON
CORP
US
N
2
2026-03-23
Variable
0.09072000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 01/31/2024
9128285Z9
630000.00000000
PA
USD
681556.64000000
0.046853170217
Long
DBT
UST
US
N
2
2024-01-31
Fixed
0.02500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-4260.06000000
-0.00029285506
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
686000.00000000
EUR
767197.70000000
USD
2020-08-13
-4260.06000000
N
N
N
EGYPT, (ARAB) REP OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF 7.0529% 01/15/2032 144A
03846JX21
200000.00000000
PA
USD
190000.00000000
0.013061427061
Long
DBT
NUSS
EG
N
2
2032-01-15
Fixed
0.07052900
N
N
N
N
N
N
REDDY ICE HOLDINGS INC
7Z0MRIY211ZHEWECBM22
REDDY ICE HOLDINGS INC(ESCROW)
N/A
2286.00000000
NS
USD
238.07000000
0.000016365968
Long
EC
CORP
US
N
3
N
N
N
NCR CORPORATION NEW
549300YKTY8JX1DV2R67
NCR CORPORATION NEW 5.75% 09/01/2027 144A
62886EAU2
485000.00000000
PA
USD
485000.00000000
0.033341011182
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
0.05750000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.9% 08/15/2024
674599CW3
815000.00000000
PA
USD
696825.00000000
0.047902783746
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02900000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 4.3% 03/15/2045
694308HL4
315000.00000000
PA
USD
347287.50000000
0.023874054476
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
0.04300000
Y
Y
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEX 4.875% 1/22
71654QBB7
760000.00000000
PA
USD
751687.50000000
0.051674270810
Long
DBT
CORP
MX
N
2
2022-01-24
Fixed
0.04875000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 5.125%/VAR PERP
060505FP4
1950000.00000000
PA
USD
1929144.75000000
0.132617807591
Long
EP
CORP
US
N
2
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: CAD/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
108119.80000000
0.007432625692
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
2896029.14000000
USD
4078000.00000000
CAD
2020-08-13
108119.80000000
N
N
N
ELEMENTIA SA DE CV
549300BH08XQJ1ITLQ77
ELEMENTIA SA DE CV 5.5% 01/15/2025 144A
286189AA3
347000.00000000
PA
USD
279118.13000000
0.019187795244
Long
DBT
CORP
MX
N
2
2025-01-15
Fixed
0.05500000
N
N
N
N
N
N
GCI INC
5493008K7JEOCBQEK325
GCI INC 6.875% 04/15/2025
36155WAK2
560000.00000000
PA
USD
576800.00000000
0.039651742783
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.06875000
N
N
N
N
N
N
SUNOCO LP / SUNOCO FIN CORP
N/A
SUNOCO LP / SUNOCO FIN CORP 5.5% 02/15/2026
86765LAL1
595000.00000000
PA
USD
577150.00000000
0.039675803306
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05500000
N
N
N
N
N
N
BROOKFIELD RESIDENTIAL PPTYS INC / BROOKFIELD RESIDENTIAL US CORP
N/A
BROOKFIELD RESIDENTIAL PPTYS INC / US CORP 4.875% 02/15/2030 144A
11283YAD2
405000.00000000
PA
USD
338418.00000000
0.023264326437
Long
DBT
CORP
CA
N
2
2030-02-15
Fixed
0.04875000
N
N
N
N
N
N
CDW LLC / CDW FIN CORP
N/A
CDW LLC / CDW FIN CORP 5% 09/01/2025
12513GBC2
335000.00000000
PA
USD
344631.25000000
0.023691452288
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.05000000
N
N
N
N
N
N
UNITED RENTALS NORTH AMER INC
NGIZXNT70J2LYT3FBI09
UNITED RENTALS NORTH AMER INC 5.5% 05/15/2027
911365BF0
405000.00000000
PA
USD
417150.00000000
0.028676706834
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.05500000
N
N
N
N
N
N
TEVA PHARMACEUTICAL FIN IV BV
549300P1YOE2RRPSGG38
TEVA PHRM IV BV 3.65% 11/10/21
88166JAA1
45000.00000000
PA
USD
44952.75000000
0.003090247712
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
0.03650000
N
N
N
N
N
N
KAZAKHSTAN REPUBLIC OF
5493007OEK8EF02UO833
KAZAKHSTAN REP 6.5% 07/21/2045 144A
486661AH4
75000.00000000
PA
USD
110695.31000000
0.007609677460
Long
DBT
NUSS
KZ
N
2
2045-07-21
Fixed
0.06500000
N
N
N
N
N
N
EXPEDIA INC DEL
CI7MUJI4USF3V0NJ1H64
EXPEDIA INC DEL 7% 05/01/2025 144A
30212PAU9
835000.00000000
PA
USD
867942.83000000
0.059666168248
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.07000000
N
N
N
N
N
N
ALERIS CORP
549300FXGXTJUK0JO727
ALERIS CORP
014475107
2037.00000000
NS
USD
0.02000000
0.000000001374
Long
EC
CORP
US
N
3
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP 5.375% 11/15/2029
85172FAR0
500000.00000000
PA
USD
470000.00000000
0.032309845887
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.5% 07/32#BM3929
3140J8LK7
855671.28000000
PA
USD
914010.01000000
0.062833026730
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.9% VAR PERP
172967GF2
1455000.00000000
PA
USD
1446822.90000000
0.099460904098
Long
EP
CORP
US
N
2
N
N
N
HD SUPPLY HLDGS INC
549300B7Z7O7RWEXS689
HD SUPPLY HLDGS INC
40416M105
31600.00000000
NS
USD
1094940.00000000
0.075270941822
Long
EC
CORP
US
N
1
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 5/VAR PERP
48128BAF8
1660000.00000000
PA
USD
1596596.30000000
0.109756979570
Long
EP
CORP
US
N
2
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 6%/VR PERP
48126HAA8
6524000.00000000
PA
USD
6572930.00000000
0.451851819856
Long
EP
CORP
US
N
2
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
6687.56000000
0.000459731985
N/A
DFE
CORP
FR
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
260961.05000000
USD
238000.00000000
EUR
2020-08-13
6687.56000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.5% 06/20/2065
38376RGD2
17680.68080000
PA
USD
17713.96000000
0.001217734718
Long
ABS-CBDO
USGA
US
N
2
2065-06-20
Fixed
0.02500000
N
N
N
N
N
N
PENSKE AUTOMOTIVE GROUP INC
549300W7UTQ0M4C7LB15
PENSKE AUTOMOTIVE GROUP INC 5.5% 05/15/2026
70959WAG8
460000.00000000
PA
USD
458850.00000000
0.031543346352
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.05500000
N
N
N
N
N
N
LAMB WESTON HOLDINGS INC
5493005SMYID1D2OY946
LAMB WESTON HOLDINGS INC 4.875% 11/01/2026 144A
513272AB0
430000.00000000
PA
USD
445050.00000000
0.030594674281
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
0.04875000
N
N
N
N
N
N
CANADA, GOVERNMENT OF
4BFD7AQU0A75QLAHK410
CANADA GOVERNMENT OF 2% 12/01/2051
135087H72
1400000.00000000
PA
1311984.38000000
0.090191517287
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
TAYLOR MORRISON CMNTYS INC / MONARCH CMNTYS INC
549300O1Z08HI2MRK572
TAYLOR MORRISON CMNTY/ MONARCH 5.875% 06/15/2027 144A
87724RAA0
495000.00000000
PA
USD
512691.30000000
0.035244631683
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.05875000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.466% 2/37 #848189
31300LC29
548.77400000
PA
USD
571.66000000
0.000039298396
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.03597000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 6.875%/VAR PERP
55336VAU4
1550000.00000000
PA
USD
1379500.00000000
0.094832834898
Long
EP
CORP
US
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.893% 10/35 #847787
31408C2U9
735.13800000
PA
USD
759.61000000
0.000052218897
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.03693000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 5.5% 11/15/2027
893647BL0
6745000.00000000
PA
USD
5887980.30000000
0.404765395924
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.05500000
N
N
N
N
N
N
KRONOS INC
5493000E2HBSA8M27B95
KRONOS TERM 2LN 11/01/2024
50105JAL1
1090000.00000000
PA
USD
1089324.20000000
0.074884887285
Long
LON
CORP
US
N
2
2024-11-01
Variable
0.09250000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.87% 10/35 #1M1052
3128QFEZ3
3870.43460000
PA
USD
4041.91000000
0.000277858487
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.03625000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY 6.75% 11/15/39
15135UAF6
315000.00000000
PA
USD
309910.92000000
0.021304625668
Long
DBT
CORP
CA
N
2
2039-11-15
Fixed
0.06750000
N
N
N
N
N
N
BUONI DEL TESORO POLIENNALI
815600DE60799F5A9309
BUONI DEL TESORO POLIENNALI 1.85% 07/01/2025 144A REGS
N/A
5000000.00000000
PA
5924411.91000000
0.407269863380
Long
DBT
NUSS
IT
N
2
2025-07-01
Fixed
0.01850000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.83% 5/37 #1N1484
3128QHUH1
710.00880000
PA
USD
743.26000000
0.000051094927
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
0.03580000
N
N
N
N
N
N
T-MOBILE US INC
549300QHIJYOHPACPG31
T-MOBILE US INC
872590104
30200.00000000
NS
USD
3145330.00000000
0.216223675674
Long
EC
CORP
US
N
1
N
N
N
ITAU UNIBANCO HOLDING SA CAYMAN ISLAND BRANCH
BZO2P8KHO2O10H5QQ663
ITAU UNIBANCO HLDG SA KY BRH 6.125/VAR PERP 144A
46556UAB0
260000.00000000
PA
USD
243100.00000000
0.016711752202
Long
EP
CORP
KY
N
2
N
N
N
ELAH HOLDINGS INC
549300QGHCFUEGYWKU13
ELAH HOLDINGS INC
28413L105
14.00000000
NS
USD
672.00000000
0.000046196205
Long
EC
CORP
US
N
1
N
N
N
ASGN INC
LZBNYYCBUKY537072438
ASGN INC
00191U102
9200.00000000
NS
USD
613456.00000000
0.042171635785
Long
EC
CORP
US
N
1
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEX 5.5 1/21/21
71654QAX0
190000.00000000
PA
USD
190059.38000000
0.013065509100
Long
DBT
CORP
MX
N
2
2021-01-21
Fixed
0.05500000
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC 7.25% 11/01/2025 144A
893830BK4
590000.00000000
PA
USD
321550.00000000
0.022104746692
Long
DBT
CORP
KY
N
2
2025-11-01
Fixed
0.07250000
N
N
N
N
N
N
ZEBRA TECHNOLOGIES CORP
PO0I32GKZ3HZMMDPZZ08
ZEBRA TECHNOLOGIES CORP CL A
989207105
12000.00000000
NS
USD
3071400.00000000
0.211141405660
Long
EC
CORP
US
N
1
N
N
N
NEXTERA ENERGY OPERATING PARTNERS LP
549300KJEC5IUVJWR786
NEXTERA ENERGY OPERATING PARTNERS LP 4.25% 09/15/2024 144A
65342QAC6
250000.00000000
PA
USD
250000.00000000
0.017186088238
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.04250000
N
N
N
N
N
N
NCR CORPORATION NEW
549300YKTY8JX1DV2R67
NCR CORPORATION NEW 6.125% 09/01/2029 144A
62886EAV0
485000.00000000
PA
USD
487371.65000000
0.033504048726
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
0.06125000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.85% 01/27/45 144A
25714PCW6
245000.00000000
PA
USD
234664.06000000
0.016131828966
Long
DBT
NUSS
DO
N
2
2045-01-27
Fixed
0.06850000
N
N
N
N
N
N
MOOG INC
549300WM2I4U7OBAHG07
MOOG INC 4.25% 12/15/2027 144A
615394AM5
185000.00000000
PA
USD
180319.50000000
0.012395947352
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.04250000
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM ENERGY CO 6.625% 01/15/2027
78454LAP5
1125000.00000000
PA
USD
551250.00000000
0.037895324565
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.06625000
N
N
N
N
N
N
EGYPT, (ARAB) REP OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF 8.5% 01/31/2047 144A
038461AM1
580000.00000000
PA
USD
566950.00000000
0.038974610906
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
0.08500000
N
N
N
N
N
N
ALLEN MEDIA LLC/CO-ISSR
N/A
ALLEN MEDIA LLC/CO-ISSR 10.5% 02/15/2028 144A
01771YAA8
595000.00000000
PA
USD
544811.75000000
0.037452731235
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.10500000
N
N
N
N
N
N
PBF HLDG CO LLC / PBF FIN CORP
N/A
PBF HLDG CO LLC / PBF FIN CORP 7.25% 06/15/2025
69318FAG3
1145000.00000000
PA
USD
1039087.50000000
0.071431397849
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.07250000
N
N
N
N
N
N
PENN NATIONAL GAMING INC
N/A
PENN NATIONAL GAMING
707569109
44100.00000000
NS
USD
1346814.00000000
0.092585856978
Long
EC
CORP
US
N
1
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.75% 01/15/2025
15135BAP6
490000.00000000
PA
USD
501598.30000000
0.034482050575
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04750000
N
N
N
N
N
N
FMG RESOURCES AUG'06 PTY LTD
549300EFD6S2NFE9D745
FMG RES AUGUST 2006 PTY LTD 5.125% 03/15/2023 144A
30251GAY3
650000.00000000
PA
USD
667875.00000000
0.045912634728
Long
DBT
CORP
AU
N
2
2023-03-15
Fixed
0.05125000
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM 5.125% 03/15/2027
00774CAB3
625000.00000000
PA
USD
671875.00000000
0.046187612140
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.05125000
N
N
N
N
N
N
UNIT CORP
549300XGK22FZCTN8B67
UNIT CORP 6.625% 5/15/21
909218AB5
120000.00000000
PA
USD
15867.60000000
0.001090807894
Long
DBT
CORP
US
N
2
2021-05-15
Fixed
0.06625000
Y
Y
N
N
N
N
ULTIMATE SOFTWARE GROUP INC
529900FKHWSTQ1GXK240
ULTIMATE SOFTWARE GROUP INC TERM 2LN 05/03/2027
N/A
140000.00000000
PA
USD
142100.00000000
0.009768572554
Long
LON
CORP
US
N
2
2027-05-03
Variable
0.00000000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 4.817% 03/14/2049 144A
74727PBB6
1200000.00000000
PA
USD
1580250.00000000
0.108633263754
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
0.04817000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 5.25% 04/01/2025 144A
15135BAL5
475000.00000000
PA
USD
489107.50000000
0.033623378612
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.05250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 01/31/2027
912828Z78
5095000.00000000
PA
USD
5439509.58000000
0.373935566459
Long
DBT
UST
US
N
2
2027-01-31
Fixed
0.01500000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
SOUTHWESTERN ENERGY CO 7.75% 10/01/2027
845467AN9
680000.00000000
PA
USD
591600.00000000
0.040669159207
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
0.07750000
N
N
N
N
N
N
DTZ US BORROWER LLC
N/A
DTZ US BORROWER LLC 6.75% 05/15/2028 144A
23166MAA1
650000.00000000
PA
USD
677625.00000000
0.046582892169
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
0.06750000
N
N
N
N
N
N
PETRONAS CAP LTD
549300G7YFX3540OYR85
PETRONAS CAP LTD 3.5% 04/21/2030 144A
716743AP4
340000.00000000
PA
USD
376766.82000000
0.025900591255
Long
DBT
CORP
MY
N
2
2030-04-21
Fixed
0.03500000
N
N
N
N
N
N
CBOM FIN PLC
2534000R9X3PNNE57C55
CBOM FIN PLC 4.7% 01/29/2025 144A
12504PAH3
120000.00000000
PA
USD
119250.00000000
0.008197764089
Long
DBT
CORP
IE
N
2
2025-01-29
Fixed
0.04700000
N
N
N
N
N
N
JAPAN GOVERNMENT OF
N/A
JAPAN GOVERNMENT OF 0.4% 03/20/2056
N/A
317500000.00000000
PA
2740835.80000000
0.188416983621
Long
DBT
NUSS
JP
N
2
2056-03-20
Fixed
0.00400000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.7375 09/20/24
N/A
4400000.00000000
NC
USD
232707.90000000
0.015997354012
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/29 3MLV1.7375
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-24
0.00000000
USD
0.00000000
USD
4400000.00000000
USD
1.00000000
1.73750000
USD
2024-09-20
XXXX
108517.90000000
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.25% 05/15/2050
912810SN9
460000.00000000
PA
USD
441617.97000000
0.030358741600
Long
DBT
UST
US
N
2
2050-05-15
Fixed
0.01250000
N
N
N
N
N
N
CHS/CMNTY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/CMNTY HEALTH SYSTEMS INC 8.125% 06/30/2024 144A
12543DBA7
2162000.00000000
PA
USD
1448540.00000000
0.099578945026
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
0.08125000
N
N
N
N
N
N
NABORS INDUSTRIES INC
549300VFQWRKICUFNU92
NABORS INDUSTRIES INC 5.75% 02/01/2025
62957HAF2
1028000.00000000
PA
USD
416340.00000000
0.028621023908
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.05750000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC
91324P102
4100.00000000
NS
USD
1209295.00000000
0.083132202304
Long
EC
CORP
US
N
1
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT SEP20 USU0
N/A
23.00000000
NC
USD
-2731.02000000
-0.00018774220
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UNDERLYING TREASURY 20 YR NOTEGENERIC IV FOR FUTURES TRADING
2020-09-21
4109668.52000000
USD
-2731.02000000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: USD/CAD settle 2020-08-13
N/A
1.00000000
NC
N/A
-682997.33000000
-0.04695220951
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
29011000.00000000
CAD
20688597.77000000
USD
2020-08-13
-682997.33000000
N
N
N
FORTIVE CORP
549300MU9YQJYHDQEF63
FORTIVE CORP
34959J108
12200.00000000
NS
USD
825452.00000000
0.056745163633
Long
EC
CORP
US
N
1
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
FX Forward: USD/EUR settle 2020-08-13
N/A
1.00000000
NC
N/A
-63.90000000
-0.00000439276
N/A
DFE
CORP
FR
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
157000.00000000
EUR
176494.22000000
USD
2020-08-13
-63.90000000
N
N
N
BLOCK COMMUNICATIONS INC
M5G68A9OHJWIL4SFC742
BLOCK COMMUNICATIONS INC 4.875% 03/01/2028 144A
093645AJ8
410000.00000000
PA
USD
404993.90000000
0.027841043605
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04875000
N
N
N
N
N
N
US AWYS INC
5493004XNBKB5SFUJI60
US AWYS 12-2 B 6.75% 12/3/22
90345WAE4
126754.54960000
PA
USD
102377.72000000
0.007037890118
Long
DBT
CORP
US
N
2
2022-12-03
Fixed
0.06750000
N
N
N
N
N
N
MOROCCO KINGDOM OF
529900F3MBW9XY5K1X07
MOROCCO GOV 5.5 12/11/42 144A
617726AG9
70000.00000000
PA
USD
85487.50000000
0.005876782873
Long
DBT
NUSS
MA
N
2
2042-12-11
Fixed
0.05500000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 1.57125 09/05/24
N/A
2600000.00000000
NC
USD
30754.05000000
0.002114167267
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 9/29 1.57125V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-09
0.00000000
USD
0.00000000
USD
2600000.00000000
USD
1.00000000
1.57125000
USD
2024-09-05
XXXX
-43914.70000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: EUR/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
86587.30000000
0.005952387912
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2885661.76000000
USD
2643000.00000000
EUR
2020-08-13
86587.30000000
N
N
N
PETKIM PETROKIMYA HLDG AS
529900XZCVZOEYWNBQ67
PETKIM PETROKIMYA HLDG AS 5.875% 01/26/2023 144A
71638YAA4
940000.00000000
PA
USD
930600.00000000
0.063973494858
Long
DBT
CORP
TR
N
2
2023-01-26
Fixed
0.05875000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
FX Forward: NOK/USD settle 2020-08-13
N/A
1.00000000
NC
N/A
145979.83000000
0.010035288957
N/A
DFE
CORP
AU
N
2
NATIONAL AUSTRALIA BANK LTD
F8SB4JFBSYQFRQEH3Z21
2105551.61000000
USD
21668000.00000000
NOK
2020-08-13
145979.83000000
N
N
N
2020-07-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer