0001752724-23-009169.txt : 20230124
0001752724-23-009169.hdr.sgml : 20230124
20230124090830
ACCESSION NUMBER: 0001752724-23-009169
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20221130
FILED AS OF DATE: 20230124
DATE AS OF CHANGE: 20230124
PERIOD START: 20221130
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MFS CHARTER INCOME TRUST
CENTRAL INDEX KEY: 0000851170
IRS NUMBER: 043055815
FISCAL YEAR END: 1130
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05822
FILM NUMBER: 23546026
BUSINESS ADDRESS:
STREET 1: 111 HUNTINGTON AVENUE
STREET 2: 24TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
BUSINESS PHONE: 18006372929
MAIL ADDRESS:
STREET 1: 111 HUNTINGTON AVENUE
STREET 2: 24TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
FORMER COMPANY:
FORMER CONFORMED NAME: MFS PRINCIPAL INCOME TRUST
DATE OF NAME CHANGE: 19890906
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000851170
XXXXXXXX
MFS CHARTER INCOME TRUST
811-05822
0000851170
1LFFWFMKO22SVR346G33
111 HUNTINGTON AVENUE
BOSTON
02199
617-954-5000
MFS CHARTER INCOME TRUST
1LFFWFMKO22SVR346G33
2022-11-30
2022-11-30
N
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300544145.52
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0.00000000
0.00000000
0.00000000
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0.00000000
100000000.00000000
0.00000000
0.00000000
0.00000000
2302745.66000000
0.00000000
0.00000000
0.00000000
AUD
CAD
CNY
EUR
GBP
JPY
KRW
MXN
USD
N
42% BBG US HY 2% Issuer Cap, 20% BBG US Gov/Mtge BI, 15.2% FTSE WGBI non Dollar, 12.8% JPM GBI-EM Gbl Div, 10% BBG US Credit
42% LF89TRUU, 20% LUMSTRUU, 15.2% SBNUU, 12.8% JGENVUUG, 10% LUCRTRUU
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAC5
220000.00000000
PA
USD
209548.38000000
0.069722995148
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.70000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
1989000.00000000
PA
2025626.36000000
0.673986297918
Long
DBT
NUSS
DE
N
2
2032-08-15
Fixed
1.70000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
1280000.00000000
PA
1066461.54000000
0.354843558224
Long
DBT
NUSS
FR
N
2
2032-05-25
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4X56
38000000.00000000
PA
USD
142758.40000000
0.047499977001
Long
ABS-MBS
USGSE
US
N
2
2025-02-25
Variable
0.28000000
N
N
N
N
N
N
HERENS HOLDCO SARL
2221002FZ55AMAUX4G64
Herens Holdco Sarl
427169AA5
500000.00000000
PA
USD
400000.00000000
0.133091928744
Long
DBT
CORP
LU
Y
2
2028-05-15
Fixed
4.75000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAA7
1180000.00000000
PA
USD
1072749.80000000
0.356935849854
Long
DBT
CORP
US
Y
2
2027-01-15
Fixed
6.00000000
N
N
N
N
N
N
P3 GROUP SARL
529900GR62MT0O5VW110
P3 Group Sarl
000000000
130000.00000000
PA
111685.98000000
0.037161256229
Long
DBT
CORP
LU
N
2
2026-01-26
Fixed
0.88000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAD5
250000.00000000
PA
USD
239505.65000000
0.079690672259
Long
DBT
CORP
FR
Y
2
2025-03-15
Fixed
4.50000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XL2
1370000.00000000
PA
USD
1296362.50000000
0.431338463691
Long
DBT
CORP
US
N
2
2025-08-04
Fixed
4.13000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
214000.00000000
PA
USD
190707.81000000
0.063454175648
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62000000
N
N
N
N
N
N
Acres PLC
N/A
ACRES Commercial Realty 2021-FL2 Ltd
00500JAC7
154500.00000000
PA
USD
145568.71000000
0.048435050946
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-15
Floating
5.66000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
4000.00000000
PA
USD
2913.25000000
0.000969325153
Long
DBT
CORP
US
Y
2
2036-11-15
Fixed
3.19000000
N
N
N
N
N
N
HOSPITAL SPECIAL SURGERY
549300U0XV0GGBTV6I72
NY Society for Relief of Ruptured & Crippled Maintaining Hosp Special Surgery
44107HAF9
179000.00000000
PA
USD
111317.46000000
0.037038638635
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
2.67000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDB5
904000.00000000
PA
USD
819024.00000000
0.272513709619
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
6.49000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-7366.63000000
-0.00245109748
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
249128.00000000
EUR
252915.99000000
USD
2023-01-20
-7366.63000000
N
N
N
SES SA
5493008JPA4HYMH1HX51
SES SA
000000000
100000.00000000
PA
96809.52000000
0.032211414343
Long
DBT
CORP
LU
N
2
2029-01-14
Fixed
3.50000000
N
N
N
N
N
N
COMMONWEALTH BANK AUST
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
202712BN4
221000.00000000
PA
USD
168530.47000000
0.056075113261
Long
DBT
CORP
AU
Y
2
2031-03-11
Fixed
2.69000000
N
N
N
N
N
N
ENERGEAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energean Israel Finance Ltd
000000000
500000.00000000
PA
USD
443750.00000000
0.147648858450
Long
DBT
CORP
IL
N
2
2031-03-30
Fixed
5.88000000
N
N
N
N
N
N
NEPTUNE BIDCO US INC
549300VG15T3VCYZ4531
Neptune Bidco US Inc
640695AA0
467000.00000000
PA
USD
449735.01000000
0.149640249761
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
9.29000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2753.68000000
-0.00091623145
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
93016.67000000
EUR
94427.78000000
USD
2023-01-20
-2753.68000000
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAX3
295000.00000000
PA
USD
220512.50000000
0.073371084842
Long
DBT
CORP
US
Y
2
2031-03-15
Fixed
3.88000000
N
N
N
N
N
N
Shelter Growth CRE
N/A
Shelter Growth CRE Issuer Ltd
822866AG4
157500.00000000
PA
USD
147632.23000000
0.049121645588
Long
ABS-CBDO
CORP
KY
Y
2
2036-09-15
Floating
6.03000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
18364.01000000
0.006110253775
N/A
DFE
GB
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
242788.80000000
USD
216312.19000000
GBP
2023-01-20
18364.01000000
N
N
N
ARROW ELECTRONICS INC
549300YNNLBXT8N8R512
Arrow Electronics Inc
04273WAC5
182000.00000000
PA
USD
145104.86000000
0.048280714218
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
2.95000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
22942.85000000
0.007633770393
N/A
DFE
KR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
289316.70000000
USD
411370733.00000000
KRW
2023-01-20
22942.85000000
N
N
N
SHINHAN BANK
5493003P813VL21KG928
Shinhan Bank Co Ltd
82460CAR5
227000.00000000
PA
USD
201889.34000000
0.067174604133
Long
DBT
CORP
KR
Y
2
2032-04-13
Fixed
4.38000000
N
N
N
N
N
N
CROWN AMER/CAP CORP V
N/A
Crown Americas LLC / Crown Americas Capital Corp V
22819KAB6
920000.00000000
PA
USD
879437.20000000
0.292614982893
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
4.25000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CR6
334000.00000000
PA
USD
300957.37000000
0.100137492107
Long
DBT
NUSS
PH
N
2
2032-09-29
Fixed
3.56000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-900.48000000
-0.00029961654
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
100000.00000000
GBP
119829.10000000
USD
2023-01-20
-900.48000000
N
N
N
Minnesota Housing Finance Agency
549300R89XDTQBK4GE22
MINNESOTA ST HSG FIN AGY
60416TSV1
195000.00000000
PA
USD
186887.10000000
0.062182911490
Long
DBT
MUN
US
N
2
2047-01-01
Fixed
4.34000000
N
N
N
N
N
N
KFW
549300GDPG70E3MBBU98
Kreditanstalt fuer Wiederaufbau
000000000
748000.00000000
PA
631106.13000000
0.209987830209
Long
DBT
CORP
DE
N
2
2037-03-31
Fixed
1.13000000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AU8
65000.00000000
PA
USD
58806.15000000
0.019566559813
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
800000.00000000
PA
USD
746081.60000000
0.248243597861
Long
DBT
NUSS
OM
N
2
2051-01-25
Fixed
7.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
236024.35000000
0.078532339930
N/A
DFE
GB
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
3812098.66000000
USD
3353049.72000000
GBP
2023-01-20
236024.35000000
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AP4
305000.00000000
PA
USD
316722.20000000
0.105382921185
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
8.38000000
N
N
N
N
N
N
AMERIPRISE FINANCIAL INC
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial Inc
03076CAL0
59000.00000000
PA
USD
57730.64000000
0.019208705563
Long
DBT
CORP
US
N
2
2032-05-13
Fixed
4.50000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAK7
975000.00000000
PA
USD
851906.25000000
0.283454614804
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
Allied Universal
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
216000.00000000
PA
USD
205200.00000000
0.068276159445
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
6.63000000
N
N
N
N
N
N
MOOG INC
549300WM2I4U7OBAHG07
Moog Inc
615394AM5
885000.00000000
PA
USD
794287.50000000
0.264283138380
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
41628.14000000
0.013850923606
N/A
DFE
N/A
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1767099.22000000
USD
1731212.91000000
EUR
2023-01-20
41628.14000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-21298.06000000
-0.00708649970
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
3026021.01000000
BRL
554927.75000000
USD
2023-02-02
-21298.06000000
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBH0
104000.00000000
PA
USD
83218.11000000
0.027689146915
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.25000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
13414.45000000
0.004463387558
N/A
DFE
N/A
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
256092.52000000
USD
257957.03000000
EUR
2023-01-20
13414.45000000
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAT7
641000.00000000
PA
USD
602053.58000000
0.200321180423
Long
DBT
NUSS
MX
N
2
2033-05-19
Fixed
4.88000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AG2
880000.00000000
PA
USD
721600.00000000
0.240097839454
Long
DBT
CORP
US
Y
2
2030-07-15
Fixed
4.38000000
N
N
N
N
N
N
BAFFINLAND IRON CORP/LP
N/A
Baffinland Iron Mines Corp / Baffinland Iron Mines LP
056623AA9
655000.00000000
PA
USD
610268.89000000
0.203054659056
Long
DBT
CORP
CA
Y
2
2026-07-15
Fixed
8.75000000
N
N
N
N
N
N
ENLINK MIDSTREAM LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336TAD2
790000.00000000
PA
USD
802339.80000000
0.266962378725
Long
DBT
CORP
US
Y
2
2030-09-01
Fixed
6.50000000
N
N
N
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
45434L2C7
299000.00000000
PA
USD
245815.55000000
0.081790164161
Long
DBT
CORP
IN
Y
2
2031-02-10
Fixed
2.80000000
N
N
N
N
N
N
OSLO KOMMUNE
5967007LIEEXZXGVU850
City of Oslo Norway
000000000
3000000.00000000
PA
273283.64000000
0.090929616854
Long
DBT
NUSS
NO
N
2
2029-05-18
Fixed
2.17000000
N
N
N
N
N
N
VIAVI SOLUTIONS INC
5493006K3E3N1QOBF092
Viavi Solutions Inc
925550AF2
830000.00000000
PA
USD
684750.00000000
0.227836745518
Long
DBT
CORP
US
Y
2
2029-10-01
Fixed
3.75000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
201.45000000
0.000067028422
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
99227.00000000
EUR
103871.30000000
USD
2023-01-20
201.45000000
N
N
N
CROWNROCK LP/CROWNROCK F
N/A
CrownRock LP / CrownRock Finance Inc
228701AG3
630000.00000000
PA
USD
580009.50000000
0.192986457612
Long
DBT
CORP
US
Y
2
2029-05-01
Fixed
5.00000000
N
N
N
N
N
N
BOSTON GAS COMPANY
FN7P4E7K9JOBORDEUX61
Boston Gas Co
100743AK9
198000.00000000
PA
USD
178945.54000000
0.059540517646
Long
DBT
CORP
US
Y
2
2027-08-01
Fixed
3.15000000
N
N
N
N
N
N
SS&C Technologies Inc
549300KY09TR3J12JU49
SS&C Technologies Inc
78466CAC0
1055000.00000000
PA
USD
1008333.72000000
0.335502699031
Long
DBT
CORP
US
Y
2
2027-09-30
Fixed
5.50000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2021-FL4 Ltd
05609GAE8
549000.00000000
PA
USD
512969.62000000
0.170680290282
Long
ABS-CBDO
CORP
US
Y
2
2038-05-15
Floating
5.43000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1552.09000000
-0.00051642662
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
99388.00000000
EUR
102285.97000000
USD
2023-01-20
-1552.09000000
N
N
N
CANPACK SA/CANPACK US
N/A
Canpack SA / Canpack US LLC
13806CAA0
1176000.00000000
PA
USD
926100.00000000
0.308141088024
Long
DBT
CORP
N/A
Y
2
2029-11-15
Fixed
3.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0206C4
100000.00000000
PA
USD
85093.75000000
0.028313228278
Long
ABS-MBS
USGA
US
N
2
2052-12-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390ABV1
3026.20000000
PA
USD
3116.26000000
0.001036872634
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ED80
124999.13000000
PA
USD
118267.70000000
0.039351190752
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government Bond
000000000
1240000.00000000
PA
872290.65000000
0.290237112584
Long
DBT
NUSS
BE
N
2
2040-06-22
Fixed
0.40000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
310635.44000000
0.103357674614
N/A
DFE
NZ
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2641872.69000000
USD
4682163.25000000
NZD
2023-01-20
310635.44000000
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2022-2
14317HAD3
155000.00000000
PA
USD
148595.57000000
0.049442177535
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
3.62000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2V4
293000.00000000
PA
USD
272166.54000000
0.090557924370
Long
DBT
CORP
US
N
2
2028-03-24
Fixed
3.53000000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EAY4
790000.00000000
PA
USD
687300.00000000
0.228685206564
Long
DBT
CORP
US
Y
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
AG TTMT ESCROW ISSUER
N/A
AG TTMT Escrow Issuer LLC
00840KAA7
686000.00000000
PA
USD
693058.94000000
0.230601377644
Long
DBT
CORP
US
Y
2
2027-09-30
Fixed
8.63000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
589511.08000000
0.196147916633
N/A
DFE
NZ
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
7264267.64000000
USD
12454724.08000000
NZD
2023-01-20
589511.08000000
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-390.43000000
-0.00012990770
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
99888.00000000
EUR
103970.02000000
USD
2023-01-20
-390.43000000
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
000000000
100000.00000000
PA
105380.53000000
0.035063244974
Long
DBT
CORP
FR
N
2
2034-11-28
Fixed
3.88000000
N
N
N
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAJ1
63000.00000000
PA
USD
53608.77000000
0.017837236492
Long
DBT
CORP
US
N
2
2047-09-15
Fixed
3.65000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-361516.16000000
-0.12028720751
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
7500307.36000000
AUD
4739990.99000000
USD
2023-01-20
-361516.16000000
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd
03881EAG2
275500.00000000
PA
USD
255140.55000000
0.084892869750
Long
ABS-CBDO
CORP
KY
Y
2
2036-05-15
Floating
5.83000000
N
N
N
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AD6
1080000.00000000
PA
USD
955130.40000000
0.317800367845
Long
DBT
CORP
US
Y
2
2030-01-31
Fixed
4.13000000
N
N
N
N
N
N
KINETIK HOLDINGS LP
549300RD6AJIMYC0HY12
Kinetik Holdings LP
49461MAA8
803000.00000000
PA
USD
754587.13000000
0.251073641342
Long
DBT
CORP
US
Y
2
2030-06-15
Fixed
5.88000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-5652.81000000
-0.00188085846
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
1077618.42000000
CNY
147880.26000000
USD
2023-01-20
-5652.81000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B24 Mortgage Trust
08163CBE8
1995239.37000000
PA
USD
123607.87000000
0.041128024565
Long
ABS-MBS
CORP
US
N
2
2054-03-15
Variable
1.27000000
N
N
N
N
N
N
ENEL SPA
WOCMU6HCI0OJWNPRZS33
Enel SpA
000000000
150000.00000000
PA
111808.57000000
0.037202045578
Long
DBT
CORP
IT
N
2
2030-06-08
Fixed
1.88000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AX4
590000.00000000
PA
USD
468754.47000000
0.155968591299
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
3.13000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BG6
690000.00000000
PA
USD
563212.50000000
0.187397594794
Long
DBT
CORP
LR
Y
2
2028-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KML2
10719.61000000
PA
USD
11130.24000000
0.003703362772
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BG7
90000.00000000
PA
USD
73535.55000000
0.024467470451
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.85000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
000000000
100000.00000000
PA
93955.78000000
0.031261889942
Long
DBT
CORP
DE
N
2
2032-06-24
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W7K8
24758.56000000
PA
USD
22371.87000000
0.007443788319
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
3.00000000
N
N
N
N
N
N
MATTAMY GROUP CORP
5493008TNY7A82WCXU31
Mattamy Group Corp
57701RAJ1
280000.00000000
PA
USD
251272.00000000
0.083605687798
Long
DBT
CORP
CA
Y
2
2027-12-15
Fixed
5.25000000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
28470RAK8
689000.00000000
PA
USD
691618.20000000
0.230122000481
Long
DBT
CORP
US
Y
2
2027-07-01
Fixed
8.13000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCP6
450000.00000000
PA
USD
350550.00000000
0.116638439053
Long
DBT
CORP
US
Y
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
B&G Foods Inc
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508RAE6
470000.00000000
PA
USD
414685.70000000
0.137978299088
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2322.05000000
0.000772615282
N/A
DFE
N/A
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
64289.01000000
USD
63756.39000000
EUR
2023-01-20
2322.05000000
N
N
N
KOREA DEVELOPMENT BANK
549300ML2LNRZUCS7149
KOREA DEVELOPMENT BANK
500630DU9
531000.00000000
PA
USD
510598.92000000
0.169891487693
Long
DBT
NUSS
KR
N
2
2032-09-08
Fixed
4.25000000
N
N
N
N
N
N
PATRICK INDUSTRIES INC
549300FZ5ZTCCJ3Z5W14
Patrick Industries Inc
703343AC7
830000.00000000
PA
USD
790027.20000000
0.262865609520
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
7.50000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BK1
38000.00000000
PA
USD
28844.07000000
0.009597282272
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.80000000
N
N
N
N
N
N
AXALTA COAT/DUTCH HLD BV
N/A
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV
05454NAA7
540000.00000000
PA
USD
495108.08000000
0.164737223259
Long
DBT
CORP
N/A
Y
2
2027-06-15
Fixed
4.75000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE MAR23
000000000
8.00000000
NC
2000.23000000
0.000665536171
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Long
ICF Long Gilt Futures
G H3 Comdty
2023-03-29
838260.40000000
GBP
2000.23000000
N
N
N
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-10500.47000000
-0.00349381951
N/A
DFE
US
N
2
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
1342070.61000000
AUD
902339.83000000
USD
2023-01-20
-10500.47000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405GT91
1713.76000000
PA
USD
1752.62000000
0.000583148940
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBT9
425000.00000000
PA
USD
402258.25000000
0.133843315864
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
5.13000000
N
N
N
N
N
N
TPG Real Estate Finance
N/A
TRTX 2021-FL4 Issuer Ltd
87276WAE3
310000.00000000
PA
USD
292993.40000000
0.097487641788
Long
ABS-CBDO
CORP
KY
Y
2
2038-03-15
Floating
5.76000000
N
N
N
N
N
N
NOVELIS SHEET INGOT GMBH
9845005E95899E77AY49
Novelis Sheet Ingot GmbH
000000000
250000.00000000
PA
225443.92000000
0.075011915341
Long
DBT
CORP
DE
N
2
2029-04-15
Fixed
3.38000000
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAD7
550000.00000000
PA
USD
456397.96000000
0.151857211928
Long
DBT
CORP
US
N
2
2031-03-18
Fixed
5.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-2060.24000000
-0.00068550328
N/A
DFE
KR
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
987227.84000000
USD
1298204605.00000000
KRW
2023-01-13
-2060.24000000
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BL5
1244000.00000000
PA
USD
1048070.00000000
0.348724144397
Long
DBT
CORP
PA
Y
2
2026-03-01
Fixed
7.63000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-76960.80000000
-0.02560715327
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1170096.28000000
GBP
1335691.58000000
USD
2023-01-20
-76960.80000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYJ7
80000.00000000
PA
USD
63190.93000000
0.021025506882
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38000000
N
N
N
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
Entegris Inc
29362UAD6
480000.00000000
PA
USD
398400.00000000
0.132559561029
Long
DBT
CORP
US
Y
2
2029-05-01
Fixed
3.63000000
N
N
N
N
N
N
CROATIA
74780000O00QGQ7CER13
Croatia Government International Bond
000000000
333000.00000000
PA
324141.02000000
0.107851383842
Long
DBT
NUSS
HR
N
2
2032-04-22
Fixed
2.88000000
N
N
N
N
N
N
GALP ENERGIA SGPS SA
2138003319Y7NM75FG53
Galp Energia SGPS SA
000000000
100000.00000000
PA
96697.14000000
0.032174022166
Long
DBT
CORP
PT
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
LYB INT FINANCE III
N/A
LYB International Finance III LLC
50249AAD5
139000.00000000
PA
USD
104148.40000000
0.034653278579
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.20000000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
000000000
200000.00000000
PA
USD
187845.11000000
0.062501669987
Long
DBT
CORP
ID
N
2
2043-05-20
Fixed
5.63000000
N
N
N
N
N
N
QBE INSURANCE GROUP LTD
549300D2FBW76FPUSG65
QBE Insurance Group Ltd
000000000
100000.00000000
PA
91691.85000000
0.030508612916
Long
DBT
CORP
AU
N
2
2038-09-13
Fixed
2.50000000
N
N
N
N
N
N
FREEPORT INDONESIA PT
549300T4HTQHRKLNE619
Freeport Indonesia PT
69377FAB2
200000.00000000
PA
USD
185000.00000000
0.061555017044
Long
DBT
CORP
ID
Y
2
2032-04-14
Fixed
5.32000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
200000.00000000
PA
USD
137631.86000000
0.045794224260
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
SLM CORP
4K8SLPBF5DXXGPW03H93
SLM Corp
78442PGE0
35000.00000000
PA
USD
30100.00000000
0.010015167637
Long
DBT
CORP
US
N
2
2026-11-02
Fixed
3.13000000
N
N
N
N
N
N
AVANTOR FUNDING INC
5493003VM0XB4U8YD238
Avantor Funding Inc
05352TAA7
1006000.00000000
PA
USD
925520.00000000
0.307948104728
Long
DBT
CORP
US
Y
2
2028-07-15
Fixed
4.63000000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAC6
102000.00000000
PA
USD
95985.06000000
0.031937091915
Long
DBT
CORP
US
Y
2
2024-09-15
Fixed
4.25000000
N
N
N
N
N
N
Oklahoma Development Finance Authority
549300PXGPHUWC32DJ91
OKLAHOMA ST DEV FIN AUTH HLTHSYS REVENUE
67884XCQ8
221000.00000000
PA
USD
196257.39000000
0.065300686413
Long
DBT
MUN
US
N
2
2030-08-15
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPWS3
299999.15000000
PA
USD
283873.92000000
0.094453318832
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.00000000
N
N
N
N
N
N
PRESTIGE BRANDS INC
549300JBVP4J6D42I235
Prestige Brands Inc
74112BAM7
250000.00000000
PA
USD
211230.00000000
0.070282520271
Long
DBT
CORP
US
Y
2
2031-04-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KG3Z4
24909.64000000
PA
USD
21793.67000000
0.007251403936
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
US Renal Care Inc
54930058SS5MF69JGN89
US Renal Care Inc
07335BAA4
480000.00000000
PA
USD
191112.32000000
0.063588768188
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
10.63000000
N
N
N
N
N
N
Barclays Capital, Inc.
AC28XWWI3WIBK2824319
Long: SM11138 CDS EUR R F 1.00000 SM11138_FEE CORPORATE / Short: SM11138 CDS EUR P V 03MEVENT SM11138_PRO CORPORATE
000000000
110000.00000000
OU
Notional Amount
98.71000000
0.000032843760
N/A
DCR
LA
N
2
Barclays Capital, Inc.
AC28XWWI3WIBK2824319
Airbus SE
Airbus SE
Y
sell protection
2027-12-20
0.00000000
EUR
-2752.78000000
EUR
110000.00000000
EUR
2774.25000000
N
N
N
AXALTA COATING SYSTEMS
549300G80QONCHILSF69
Axalta Coating Systems LLC
05453GAC9
1340000.00000000
PA
USD
1096850.30000000
0.364954804926
Long
DBT
CORP
US
Y
2
2029-02-15
Fixed
3.38000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
4532.51000000
0.001508101244
N/A
DFE
GB
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
89629.39000000
USD
77994.06000000
GBP
2023-01-20
4532.51000000
N
N
N
NN Group NV
724500OHYNDT9OY6Q215
NN Group NV
000000000
200000.00000000
PA
199574.60000000
0.066404421105
Long
DBT
CORP
NL
N
2
2048-01-13
Fixed
4.63000000
N
N
N
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAB2
625000.00000000
PA
USD
585140.23000000
0.194693604491
Long
DBT
CORP
NL
Y
2
2027-08-15
Fixed
8.50000000
N
N
N
N
N
N
MERITAGE HOMES CORP
52990044W9UMFJO2FB97
Meritage Homes Corp
59001ABD3
620000.00000000
PA
USD
525450.00000000
0.174832884896
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
3.88000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-538975.39000000
-0.17933318550
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
9495175.25000000
AUD
5919387.20000000
USD
2023-01-20
-538975.39000000
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BU4
395000.00000000
PA
USD
367350.00000000
0.122228300060
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.75000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
168000.00000000
PA
USD
124501.30000000
0.041425295370
Long
DBT
CORP
US
Y
2
2035-11-15
Fixed
3.14000000
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB Finance Ltd
000000000
554000.00000000
PA
USD
501813.20000000
0.166968216643
Long
DBT
CORP
KY
N
2
2027-02-12
Fixed
2.75000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513ECL3
166000.00000000
PA
USD
113809.76000000
0.037867901170
Long
DBT
CORP
US
N
2
2051-09-01
Fixed
2.82000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Trust 2021-C10
05551VBK8
992301.25000000
PA
USD
73005.79000000
0.024291203501
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
1.42000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
000000000
110000.00000000
PA
121029.26000000
0.040270044119
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
2.13000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
670000.00000000
PA
USD
558277.50000000
0.185755573123
Long
DBT
NUSS
AO
N
2
2048-05-08
Fixed
9.38000000
N
N
N
N
N
N
NATL GRID ELECT TRANS
5XJXCCYG4SDKFJ5WLB02
National Grid Electricity Transmission PLC
000000000
100000.00000000
PA
76651.77000000
0.025504329777
Long
DBT
CORP
GB
N
2
2040-04-17
Fixed
2.00000000
N
N
N
N
N
N
IAA Inc
549300PZCOPC5178W747
IAA Inc
449253AB9
196000.00000000
PA
USD
192570.00000000
0.064073781795
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.50000000
N
N
N
N
N
N
FS Rialto Issuer Ltd
N/A
FS RIALTO
30319YAC2
297500.00000000
PA
USD
282990.03000000
0.094159222270
Long
ABS-CBDO
CORP
US
Y
2
2038-05-16
Floating
5.44000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-5996.55000000
-0.00199523101
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
712173.18000000
AUD
478404.47000000
USD
2023-01-20
-5996.55000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-7044.22000000
-0.00234382206
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
185805.24000000
AUD
119335.50000000
USD
2023-01-20
-7044.22000000
N
N
N
TERRAFORM POWER OPERATIN
5493000S2OLR3UT5BE13
TerraForm Power Operating LLC
88104LAE3
1060000.00000000
PA
USD
983150.00000000
0.327123324361
Long
DBT
CORP
US
Y
2
2028-01-31
Fixed
5.00000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CC6
214000.00000000
PA
USD
147379.31000000
0.049037491562
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.53000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
624000.00000000
PA
USD
584220.00000000
0.194387416527
Long
DBT
CORP
ZA
N
2
2028-08-10
Fixed
6.35000000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
85227SBB1
446000.00000000
PA
USD
136831.73000000
0.045527997147
Long
DBT
NUSS
LK
Y
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
ARD FINANCE SA
6354006P6QPGGPVJW880
ARD Finance SA
00191AAD8
655000.00000000
PA
USD
484700.00000000
0.161274144655
Long
DBT
CORP
LU
Y
2
2027-06-30
Fixed
6.50000000
N
N
Y
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
78000.00000000
PA
USD
63190.88000000
0.021025490245
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.69000000
N
N
N
N
N
N
AVATION CAPITAL SA
N/A
AVATION CAPITAL SA
000000000
6125.00000000
NS
1476.43000000
0.000491252290
N/A
DE
GB
N
2
N/A
N/A
Call
Purchased
Avation Capital SA
Avation Capital SA
1.00000000
1.14000000
GBP
2026-10-31
XXXX
1476.43000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
13828.27000000
0.004601077813
N/A
DFE
N/A
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
569299.41000000
USD
558137.28000000
EUR
2023-01-20
13828.27000000
N
N
N
LOGICOR FINANCING SARL
254900IS16Q1A2TQFN22
Logicor Financing Sarl
000000000
110000.00000000
PA
87037.66000000
0.028960025106
Long
DBT
CORP
LU
N
2
2030-01-17
Fixed
1.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411LSY8
31059.05000000
PA
USD
32677.95000000
0.010872928482
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
538000.00000000
PA
391862.56000000
0.130384359782
Long
DBT
NUSS
GB
N
2
2051-07-31
Fixed
1.25000000
N
N
N
N
N
N
ELDORADO GOLD CORP
5493004PWQ01YDD1IH62
Eldorado Gold Corp
284902AF0
550000.00000000
PA
USD
449063.63000000
0.149416861613
Long
DBT
CORP
CA
Y
2
2029-09-01
Fixed
6.25000000
N
N
N
N
N
N
SAMHALLSBYGGNADSBOLAGET
549300HX9MRFY47AH564
Samhallsbyggnadsbolaget i Norden AB
000000000
100000.00000000
PA
87132.56000000
0.028991601167
Long
DBT
CORP
SE
N
2
2025-01-14
Fixed
1.75000000
N
N
N
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
100000.00000000
PA
86877.62000000
0.028906775026
Long
DBT
CORP
NL
N
2
2031-03-28
Fixed
4.38000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-799.93000000
-0.00026616056
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
83397.03000000
GBP
99884.96000000
USD
2023-01-20
-799.93000000
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAB8
821000.00000000
PA
USD
762783.13000000
0.253800694962
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
47191.84000000
0.015702132516
N/A
DFE
SG
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
872038.64000000
USD
1250450.21000000
SGD
2023-01-20
47191.84000000
N
N
N
ENTEGRIS ESCROW CORP
N/A
Entegris Escrow Corp
29365BAB9
550000.00000000
PA
USD
513726.99000000
0.170932289867
Long
DBT
CORP
US
Y
2
2030-06-15
Fixed
5.95000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CC2
500000.00000000
PA
USD
435989.09000000
0.145066572248
Long
DBT
NUSS
BR
N
2
2030-06-12
Fixed
3.88000000
N
N
N
N
N
N
RTE RESEAU DE TRANSPORT
969500JRJW0K2ET1UP76
RTE Reseau de Transport d'Electricite SADIR
000000000
100000.00000000
PA
78153.64000000
0.026004046714
Long
DBT
CORP
FR
N
2
2034-01-12
Fixed
0.75000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAB9
183000.00000000
PA
USD
161219.63000000
0.053642578770
Long
DBT
CORP
US
N
2
2027-05-04
Fixed
1.59000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE DEC22
000000000
-36.00000000
NC
-119292.34000000
-0.03969211903
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-BTP Italian Bond Futures
IKZ2 Comdty
2022-12-08
-4180161.97000000
EUR
-119292.34000000
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EBA5
410000.00000000
PA
USD
352686.00000000
0.117349149952
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
5.13000000
N
N
N
N
N
N
Republic of Paraguay
529900UXKJTJPCU0HK83
Paraguay Government International Bond
000000000
200000.00000000
PA
USD
170400.00000000
0.056697161644
Long
DBT
NUSS
PY
N
2
2048-03-13
Fixed
5.60000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-34754.63000000
-0.01156390184
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
14131067.35000000
MXN
691444.48000000
USD
2023-01-20
-34754.63000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565AB28
200000.00000000
PA
USD
162222.81000000
0.053976366672
Long
DBT
CORP
FR
Y
2
2027-01-12
Fixed
4.63000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-25534.75000000
-0.00849617281
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
428245.76000000
GBP
491616.24000000
USD
2023-01-30
-25534.75000000
N
N
N
EURONET WORLDWIDE INC
YG3575C4DSHJPA5KET68
Euronet Worldwide Inc
000000000
200000.00000000
PA
187079.08000000
0.062246788962
Long
DBT
CORP
US
N
2
2026-05-22
Fixed
1.38000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAT3
781000.00000000
PA
USD
644325.00000000
0.214386142470
Long
DBT
CORP
LU
Y
2
2032-01-15
Fixed
3.63000000
N
N
N
N
N
N
TELEFONAKTIEBOLAGET LM E
549300W9JLPW15XIFM52
Telefonaktiebolaget LM Ericsson
000000000
140000.00000000
PA
125796.10000000
0.041856113943
Long
DBT
CORP
SE
N
2
2027-02-08
Fixed
1.13000000
N
N
N
N
N
N
SOUTHERN GAS CORRIDOR
213800DG58KG59XY6318
Southern Gas Corridor CJSC
000000000
1265000.00000000
PA
USD
1293336.00000000
0.430331456885
Long
DBT
CORP
AZ
N
2
2026-03-24
Fixed
6.88000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDH1
143000.00000000
PA
USD
119490.64000000
0.039758099361
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
86000.00000000
PA
USD
75243.75000000
0.025035839533
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
25235.00000000
0.008396437054
N/A
DFE
JP
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1032317.87000000
USD
145092483.00000000
JPY
2023-01-20
25235.00000000
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AC1
400000.00000000
PA
USD
286726.30000000
0.095402390721
Long
DBT
CORP
US
Y
2
2029-06-01
Fixed
6.00000000
N
N
N
N
N
N
DICK'S SPORTING GOODS
529900SSBV5I4LWSK313
Dick's Sporting Goods Inc
253393AF9
124000.00000000
PA
USD
98690.77000000
0.032837362321
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.15000000
N
N
N
N
N
N
MGM China Holdings Ltd
529900VZFN87OS7WJM66
MGM China Holdings Ltd
55300RAA9
420000.00000000
PA
USD
411600.00000000
0.136951594677
Long
DBT
CORP
KY
Y
2
2024-05-15
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EE22
599940.56000000
PA
USD
513697.03000000
0.170922321282
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XLD6
50000.00000000
PA
USD
45184.73000000
0.015034307163
Long
ABS-MBS
USGA
US
N
2
2052-11-20
Fixed
3.00000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AP6
96000.00000000
PA
USD
80229.51000000
0.026694750570
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
1.83000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-13909.00000000
-0.00462793909
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
25348171.00000000
TWD
809328.58000000
USD
2023-01-13
-13909.00000000
N
N
N
NFP CORP
VO2L9FZNXDJNQNEYH039
NFP Corp
65342RAE0
540000.00000000
PA
USD
467873.00000000
0.155675299943
Long
DBT
CORP
US
Y
2
2028-08-15
Fixed
4.88000000
N
N
N
N
N
N
Mattel Inc
549300VELLG24KHTJ564
Mattel Inc
577081AU6
135000.00000000
PA
USD
115536.01000000
0.038442276025
Long
DBT
CORP
US
N
2
2040-10-01
Fixed
6.20000000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAE6
37000.00000000
PA
USD
29216.32000000
0.009721140949
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.80000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
14879EAH1
1643000.00000000
PA
USD
1343152.50000000
0.446906892056
Long
DBT
CORP
US
Y
2
2029-02-15
Fixed
3.13000000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-7 Ltd
69290LAG2
199990.02000000
PA
USD
185171.76000000
0.061612166718
Long
ABS-CBDO
CORP
KY
Y
2
2038-04-14
Floating
5.55000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
29762.74000000
0.009902951178
N/A
DFE
JP
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
380267.93000000
USD
56254746.00000000
JPY
2023-01-20
29762.74000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
497000.00000000
PA
413932.12000000
0.137727560549
Long
DBT
NUSS
GB
N
2
2041-10-22
Fixed
1.25000000
N
N
N
N
N
N
JAZZ SECURITIES DAC
6354009DV8VV7K6KOO02
Jazz Securities DAC
47216FAA5
1160000.00000000
PA
USD
1052723.20000000
0.350272402804
Long
DBT
CORP
IE
Y
2
2029-01-15
Fixed
4.38000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAG2
306000.00000000
PA
USD
218444.51000000
0.072683002898
Long
DBT
CORP
DE
N
2
2033-01-07
Fixed
3.74000000
N
N
N
N
N
N
Bayview Financial Revolving Mortgage Loan Trust
N/A
Bayview Financial Revolving Asset Trust 2005-E
073250BW1
130711.32000000
PA
USD
158990.58000000
0.052900907360
Long
ABS-MBS
CORP
US
Y
2
2040-12-28
Floating
5.63000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
100000.00000000
PA
124721.50000000
0.041498562477
Long
DBT
CORP
GB
N
2
2032-11-14
Fixed
8.41000000
N
N
N
N
N
N
PERNOD RICARD SA
52990097YFPX9J0H5D87
Pernod Ricard SA
000000000
100000.00000000
PA
107467.35000000
0.035757592221
Long
DBT
CORP
FR
N
2
2032-11-02
Fixed
3.75000000
N
N
N
N
N
N
Massachusetts Educational Financing Authority
5493007K5OP7V6CL0Y88
MASSACHUSETTS ST EDUCTNL FING AUTH
57563RSU4
290000.00000000
PA
USD
279227.69000000
0.092907379552
Long
DBT
MUN
US
N
2
2038-07-01
Fixed
4.95000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-1794.29000000
-0.00059701379
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
213202.27000000
CAD
156828.03000000
USD
2023-01-20
-1794.29000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BY4
103000.00000000
PA
USD
91807.16000000
0.030546979992
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
5.13000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
106.27000000
0.000035359198
N/A
DFE
N/A
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
397948.73000000
USD
380996.04000000
EUR
2023-01-20
106.27000000
N
N
N
SCRIPPS ESCROW INC
N/A
Scripps Escrow Inc
81104PAA7
790000.00000000
PA
USD
703100.00000000
0.233942337749
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
5.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KHW31
21216.83000000
PA
USD
18570.64000000
0.006179005739
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAD7
1830000.00000000
PA
USD
1550357.70000000
0.515850241340
Long
DBT
CORP
US
Y
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-40050.67000000
-0.01332605229
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
804776.73000000
AUD
507336.80000000
USD
2023-01-20
-40050.67000000
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2022-FL8 Ltd
55284JAG4
110841.00000000
PA
USD
104152.08000000
0.034654503024
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-19
Floating
5.62000000
N
N
N
N
N
N
SABRE GLBL INC
F2TJC7HPPHLHU1AQMP98
Sabre GLBL Inc
78573NAH5
292000.00000000
PA
USD
299300.00000000
0.099586035682
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
11.25000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-1104.01000000
-0.00036733705
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
22806.66000000
NZD
13277.56000000
USD
2023-01-20
-1104.01000000
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
55916AAB0
755000.00000000
PA
USD
446393.75000000
0.148528512917
Long
DBT
CORP
US
Y
2
2029-05-01
Fixed
7.88000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBM9
815000.00000000
PA
USD
666262.50000000
0.221685402937
Long
DBT
CORP
US
Y
2
2031-09-01
Fixed
3.88000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2692.48000000
-0.00089586839
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
87776.67000000
EUR
89014.36000000
USD
2023-01-20
-2692.48000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-7880.07000000
-0.00262193428
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
3484053.56000000
MXN
171166.32000000
USD
2023-01-20
-7880.07000000
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
127600000.00000000
PA
1044307.45000000
0.347472231805
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE Inc
00185PAA9
1010000.00000000
PA
USD
866830.35000000
0.288420307938
Long
DBT
CORP
US
Y
2
2029-10-15
Fixed
4.75000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
000000000
150000.00000000
PA
122611.82000000
0.040796609026
Long
DBT
CORP
NL
N
2
2028-08-03
Fixed
1.54000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
9992.05000000
0.003324653016
N/A
DFE
N/A
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
151618.04000000
USD
154684.16000000
EUR
2023-01-20
9992.05000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FXZ50
3186249.30000000
PA
USD
64603.43000000
0.021495487755
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.42000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SM11110 CDS EUR R F 1.00000 SM11110_FEE CORPORATE / Short: SM11110 CDS EUR P V 03MEVENT SM11110_PRO CORPORATE
000000000
150000.00000000
OU
Notional Amount
-2180.58000000
-0.00072554399
N/A
DCR
LA
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Daimler AG
Daimler AG
Y
sell protection
2031-12-20
1276.02000000
EUR
0.00000000
EUR
150000.00000000
EUR
-3688.74000000
N
N
N
CORPORATE OFFICE PROP LP
H0TWO5VRNEP6CQAWPX27
Corporate Office Properties LP
22003BAN6
52000.00000000
PA
USD
40243.57000000
0.013390235877
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.00000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BP1
510000.00000000
PA
USD
448733.70000000
0.149307084063
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.63000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAK6
727000.00000000
PA
USD
697579.25000000
0.232105419585
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
03880XAG1
327000.00000000
PA
USD
314135.04000000
0.104522095899
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-15
Floating
5.52000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CN4
890000.00000000
PA
USD
797129.12000000
0.265228630097
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
5.13000000
N
N
N
N
N
N
GRAFTECH FINANCE INC
1Z010BU876CF2HDBIN43
GrafTech Finance Inc
384311AA4
838000.00000000
PA
USD
698682.50000000
0.232472503761
Long
DBT
CORP
US
Y
2
2028-12-15
Fixed
4.63000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B36 Mortgage Trust
08163QBK3
8926377.00000000
PA
USD
441244.20000000
0.146815104062
Long
ABS-MBS
CORP
US
N
2
2055-07-15
Variable
0.81000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-9.96000000
-0.00000331398
N/A
DFE
N/A
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
20780.70000000
USD
19880.59000000
EUR
2023-01-20
-9.96000000
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAH3
111000.00000000
PA
USD
107670.00000000
0.035825019919
Long
DBT
CORP
US
Y
2
2027-07-01
Fixed
6.50000000
N
N
N
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
50470.37000000
0.016792997219
N/A
DFE
AU
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
1048374.45000000
USD
1615537.07000000
AUD
2023-01-20
50470.37000000
N
N
N
INTERCONTINENTAL HOTELS
2138007ZFQYRUSLU3J98
InterContinental Hotels Group PLC
000000000
100000.00000000
PA
104768.09000000
0.034859467922
Long
DBT
CORP
GB
N
2
2028-10-08
Fixed
3.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JPLF0
51464.61000000
PA
USD
48207.92000000
0.016040212633
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
20952.70000000
0.006971588138
N/A
DFE
NZ
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
245953.61000000
USD
423266.88000000
NZD
2023-01-20
20952.70000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B37 Mortgage Trust
08161QAH3
46000.00000000
PA
USD
46197.60000000
0.015371319218
Long
ABS-MBS
CORP
US
N
2
2055-11-15
Variable
5.94000000
N
N
N
N
N
N
Equate Petrochemical BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
000000000
1022000.00000000
PA
USD
966562.63000000
0.321604211696
Long
DBT
CORP
NL
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAF5
329000.00000000
PA
USD
245603.39000000
0.081719572202
Long
DBT
CORP
NL
Y
2
2031-07-13
Fixed
3.06000000
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
Sprint LLC
85207UAK1
838000.00000000
PA
USD
881351.42000000
0.293251900972
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
7.63000000
N
N
N
N
N
N
BRUCE POWER LP
549300R8DACS3G0K8262
Bruce Power LP
116705AK0
200000.00000000
PA
133892.87000000
0.044550150783
Long
DBT
CORP
CA
N
2
2028-12-21
Fixed
2.68000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
13370000.00000000
PA
1903790.24000000
0.633447787414
Long
DBT
NUSS
CN
N
2
2026-03-11
Fixed
3.03000000
N
N
N
N
N
N
DT MIDSTREAM INC
N/A
DT Midstream Inc
23345MAA5
1064000.00000000
PA
USD
937490.40000000
0.311931013787
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
4.13000000
N
N
N
N
N
N
HAMMERSON IRELAND
63540093EUHUMTGSHN61
Hammerson Ireland Finance DAC
000000000
100000.00000000
PA
81905.21000000
0.027252305932
Long
DBT
CORP
IE
N
2
2027-06-03
Fixed
1.75000000
N
N
N
N
N
N
Allegro CLO Ltd
635400THLJMIHHPCEN50
Allegro CLO IV Ltd
01749TAQ3
250000.00000000
PA
USD
242516.25000000
0.080692388660
Long
ABS-CBDO
CORP
KY
Y
2
2030-01-15
Floating
5.63000000
N
N
N
N
N
N
US ACUTE CARE SOLUTIONS
N/A
US Acute Care Solutions LLC
90367UAA9
535000.00000000
PA
USD
485163.73000000
0.161428441455
Long
DBT
CORP
US
Y
2
2026-03-01
Fixed
6.38000000
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
62886HBA8
539000.00000000
PA
USD
442131.58000000
0.147110361852
Long
DBT
CORP
BM
Y
2
2026-03-15
Fixed
5.88000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
951000.00000000
PA
592780.73000000
0.197235826695
Long
DBT
NUSS
ES
N
2
2050-10-31
Fixed
1.00000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEE4
2249000.00000000
PA
USD
1667071.25000000
0.554684320040
Long
DBT
NUSS
DO
Y
2
2060-01-30
Fixed
5.88000000
N
N
N
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-175768.46000000
-0.05848340838
N/A
DFE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
3205937069.00000000
KRW
2258226.96000000
USD
2023-01-25
-175768.46000000
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAC4
1585000.00000000
PA
USD
1468629.30000000
0.488656765367
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-1146.81000000
-0.00038157788
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
81604.82000000
CAD
59567.11000000
USD
2023-01-20
-1146.81000000
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
Vulcan Materials Co
929160AZ2
137000.00000000
PA
USD
122052.38000000
0.040610466655
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
6805.19000000
0.002264289656
N/A
DFE
N/A
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
228282.10000000
USD
225012.44000000
EUR
2023-01-20
6805.19000000
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
55916AAA2
410000.00000000
PA
USD
300298.34000000
0.099918213173
Long
DBT
CORP
US
Y
2
2028-05-01
Fixed
5.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FVNL2
821458.00000000
PA
USD
67523.35000000
0.022467032216
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.44000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2021-C9
05493EAZ5
2280686.44000000
PA
USD
209757.70000000
0.069792642154
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
1.75000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AR8
89999.89000000
PA
USD
49931.94000000
0.016613845501
Long
DBT
CORP
CA
Y
2
2030-10-15
Fixed
14.00000000
N
N
N
N
N
N
CNTL AMR BOTTLING CORP
N/A
Central American Bottling Corp / CBC Bottling Holdco SL / Beliv Holdco SL
15239XAA6
755000.00000000
PA
USD
680677.80000000
0.226481803138
Long
DBT
CORP
VG
Y
2
2029-04-27
Fixed
5.25000000
N
N
N
N
N
N
AA BOND CO LTD
2138002EPF6QVRZBMC58
AA Bond Co Ltd
000000000
100000.00000000
PA
90871.41000000
0.030235628061
Long
DBT
CORP
JE
N
2
2028-07-31
Fixed
3.25000000
N
N
N
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBD8
781000.00000000
PA
USD
695090.00000000
0.231277171876
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.38000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
146000.00000000
PA
USD
119224.61000000
0.039669583246
Long
DBT
CORP
US
Y
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286T2
12006000.00000000
PA
USD
11045988.95000000
3.675329935603
Long
DBT
UST
US
N
2
2029-05-15
Fixed
2.38000000
N
N
N
N
N
N
COLGATE ENERGY PARTNERS
549300QRLZK0B17DH791
Colgate Energy Partners III LLC
19416MAA7
110000.00000000
PA
USD
109045.42000000
0.036282663171
Long
DBT
CORP
US
Y
2
2026-02-15
Fixed
7.75000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
901.17000000
0.000299846133
N/A
DFE
JP
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
39662.52000000
USD
5565193.00000000
JPY
2023-01-20
901.17000000
N
N
N
ARGENTUM (ZURICH INS)
50ZCTKCMUDIABGHX3R52
Argentum Netherlands BV for Zurich Insurance Co Ltd
000000000
200000.00000000
PA
USD
178446.40000000
0.059374438883
Long
DBT
CORP
NL
N
2
2048-06-01
Fixed
5.13000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAB7
79000.00000000
PA
USD
64213.45000000
0.021365729779
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
4.95000000
N
N
N
N
N
N
MOL HUNGARIAN OIL & GAS
213800R83KX5FQFGXS67
MOL Hungarian Oil & Gas PLC
000000000
110000.00000000
PA
94571.81000000
0.031466861494
Long
DBT
CORP
HU
N
2
2027-10-08
Fixed
1.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
20717.08000000
0.006893190337
N/A
DFE
KR
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1296318.44000000
USD
1734733335.00000000
KRW
2023-01-25
20717.08000000
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Collateralized Loan Obligation 2020-FL1 Ltd
03880WAG3
300000.00000000
PA
USD
286296.00000000
0.095259217079
Long
ABS-CBDO
CORP
KY
Y
2
2035-02-15
Floating
5.96000000
N
N
N
N
N
N
NABORS INDUSTRIES LTD
5493008TXYN3II3PU369
Nabors Industries Ltd
629571AA8
234000.00000000
PA
USD
224932.50000000
0.074841750655
Long
DBT
CORP
BM
Y
2
2026-01-15
Fixed
7.25000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
7385.18000000
0.002457269625
N/A
DFE
JP
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
129281.75000000
USD
18750216.00000000
JPY
2023-01-20
7385.18000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MKFU1
604585.64000000
PA
USD
535066.34000000
0.178032527991
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC / Realogy Co-Issuer Corp
75606DAL5
570000.00000000
PA
USD
436004.40000000
0.145071666342
Long
DBT
CORP
US
Y
2
2029-01-15
Fixed
5.75000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3612.92000000
-0.00120212622
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
99764.00000000
EUR
100617.98000000
USD
2023-01-20
-3612.92000000
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
353000.00000000
PA
291367.60000000
0.096946689643
Long
DBT
NUSS
CY
N
2
2030-01-21
Fixed
0.63000000
N
N
N
N
N
N
BENIN INTL GOV BOND
635400Q11P6AE5A5Y230
Benin Government International Bond
000000000
400000.00000000
PA
301948.84000000
0.100467383744
Long
DBT
NUSS
BJ
N
2
2052-01-19
Fixed
6.88000000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DD4
98000.00000000
PA
USD
79694.23000000
0.026516646951
Long
DBT
CORP
US
Y
2
2032-03-01
Fixed
2.75000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-51331.59000000
-0.01707955079
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
8842241.68000000
SEK
793631.17000000
USD
2023-01-20
-51331.59000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
22442.40000000
0.007467255754
N/A
DFE
N/A
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
484715.37000000
USD
485423.12000000
EUR
2023-01-20
22442.40000000
N
N
N
Securitized Term Auto Receivables Trust
549300DC604TIE09UO03
Securitized Term Auto Loan Receivables Trust 2019-CRT
81379MAC8
74209.51000000
PA
USD
73712.11000000
0.024526217229
Long
ABS-O
CORP
CA
Y
2
2026-03-25
Fixed
2.85000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
456.36000000
0.000151844581
N/A
DFE
N/A
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
77518.65000000
USD
74633.33000000
EUR
2023-01-20
456.36000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
10047.73000000
0.003343179412
N/A
DFE
GB
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
199842.63000000
USD
173851.64000000
GBP
2023-01-20
10047.73000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BA4
1350000.00000000
PA
USD
919350.00000000
0.305895161727
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
5.75000000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAL7
385000.00000000
PA
USD
365609.33000000
0.121649127241
Long
DBT
CORP
NL
Y
2
2030-09-01
Fixed
5.88000000
N
N
N
N
N
N
PROVINCE OF ALBERTA
LQPXMHHNJKIPJYE53543
Province of Alberta Canada
013051DB0
125000.00000000
PA
97783.70000000
0.032535553081
Long
DBT
NUSS
CA
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
IQVIA Inc
549300PLWY28YB00C717
IQVIA Inc
46266TAA6
1010000.00000000
PA
USD
964458.32000000
0.320904045005
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
5.00000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
000000000
220000.00000000
PA
189459.55000000
0.063038842321
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
2.38000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-23081.74000000
-0.00767998323
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
276696.55000000
GBP
310972.86000000
USD
2023-01-20
-23081.74000000
N
N
N
TRITON CONTAINER
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAC9
104000.00000000
PA
USD
82021.89000000
0.027291128848
Long
DBT
CORP
BM
Y
2
2031-06-15
Fixed
3.15000000
N
N
N
N
N
N
DUN & BRADSTREET CORP
RI37BMPWE56BCJ747E14
Dun & Bradstreet Corp/The
26483EAL4
705000.00000000
PA
USD
606546.75000000
0.201816192077
Long
DBT
CORP
US
Y
2
2029-12-15
Fixed
5.00000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-300.78000000
-0.00010007847
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
100000.00000000
GBP
120428.80000000
USD
2023-01-20
-300.78000000
N
N
N
FAIR ISAAC CORP
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250AF1
131000.00000000
PA
USD
119865.00000000
0.039882660097
Long
DBT
CORP
US
Y
2
2028-06-15
Fixed
4.00000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBB6
683000.00000000
PA
USD
662510.00000000
0.220436834280
Long
DBT
NUSS
QA
Y
2
2049-03-14
Fixed
4.82000000
N
N
N
N
N
N
CIKARANG LISTRINDO PT
254900NPCIO562Z7FN53
Cikarang Listrindo Tbk PT
000000000
200000.00000000
PA
USD
184307.07000000
0.061324458568
Long
DBT
CORP
ID
N
2
2026-09-14
Fixed
4.95000000
N
N
N
N
N
N
PRESTIGE BRANDS INC
549300JBVP4J6D42I235
Prestige Brands Inc
74112BAL9
630000.00000000
PA
USD
593775.00000000
0.197566649975
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.13000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
000000000
350000.00000000
PA
USD
333382.35000000
0.110926249926
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
6.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR23
000000000
-24.00000000
NC
USD
-4848.26000000
-0.00161316068
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT Ultra 10-Year U.S. Treasury Notes Futures
UXYH3 Comdty
2023-03-22
-2866901.74000000
USD
-4848.26000000
N
N
N
VECTOR GROUP LTD
549300TUIF4WWN6NDN50
Vector Group Ltd
92240MBL1
425000.00000000
PA
USD
369142.25000000
0.122824635083
Long
DBT
CORP
US
Y
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
BANCO BTG PACTUAL/CAYMAN
2549002JHJ73KGETOK78
Banco BTG Pactual SA/Cayman Islands
05971AAE1
906000.00000000
PA
USD
875196.00000000
0.291203809172
Long
DBT
CORP
BR
Y
2
2025-01-10
Fixed
4.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-1707344.02000000
-0.56808427162
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
27145368.96000000
NZD
15410154.50000000
USD
2023-01-20
-1707344.02000000
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
12769GAA8
545000.00000000
PA
USD
456437.50000000
0.151870368065
Long
DBT
CORP
US
Y
2
2029-10-15
Fixed
4.63000000
N
N
N
N
N
N
SWF ESCROW ISSUER CORP
N/A
SWF Escrow Issuer Corp
78500AAA6
575000.00000000
PA
USD
338531.25000000
0.112639442506
Long
DBT
CORP
US
Y
2
2029-10-01
Fixed
6.50000000
N
N
N
N
N
N
KAISER ALUMINUM CORP
N/A
Kaiser Aluminum Corp
483007AL4
455000.00000000
PA
USD
384188.35000000
0.127830921256
Long
DBT
CORP
US
Y
2
2031-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M9KT3
71900.91000000
PA
USD
59325.14000000
0.019739243264
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
RAC BOND CO PLC
2138008FCM2SUNLC7B21
RAC Bond Co PLC
000000000
250000.00000000
PA
232851.54000000
0.077476651424
Long
DBT
CORP
GB
Y
2
2027-11-04
Fixed
5.25000000
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP Industrial Trust
529043AE1
195000.00000000
PA
USD
156035.57000000
0.051917687409
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
2.70000000
N
N
N
N
N
N
VIDEOTRON LTD / LTEE
549300LW4GNJRBECSD81
Videotron Ltd
92660FAK0
473000.00000000
PA
USD
452188.00000000
0.150456432687
Long
DBT
CORP
CA
Y
2
2027-04-15
Fixed
5.13000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2021-C60
95003DBP2
1984971.25000000
PA
USD
177948.11000000
0.059208642940
Long
ABS-MBS
CORP
US
N
2
2054-08-15
Variable
1.67000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
418.45000000
0.000139230793
N/A
DFE
CA
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
302561.41000000
USD
407231.44000000
CAD
2023-01-20
418.45000000
N
N
N
Engie Energia Chile SA
5493000FIKCC3ZDWTO77
Engie Energia Chile SA
000000000
300000.00000000
PA
USD
287250.00000000
0.095576641329
Long
DBT
CORP
CL
N
2
2025-01-29
Fixed
4.50000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAD7
515000.00000000
PA
USD
464566.05000000
0.154574979058
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
3.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
19104.45000000
0.006356620245
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
567840.48000000
USD
3082311.96000000
BRL
2023-02-02
19104.45000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FEZY9
15983000.00000000
PA
USD
114989.69000000
0.038260499069
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
0.25000000
N
N
N
N
N
N
UBISOFT ENTERTAINMENT SA
969500I7C8V1LBIMSM05
Ubisoft Entertainment SA
000000000
100000.00000000
PA
79405.69000000
0.026420641088
Long
DBT
CORP
FR
N
2
2027-11-24
Fixed
0.88000000
N
N
N
N
N
N
REGENCY CENTERS LP
5493008PTR2GAOYBXW28
Regency Centers LP
75884RBA0
71000.00000000
PA
USD
62062.38000000
0.020650004641
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.70000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGP3
149000.00000000
PA
USD
115667.76000000
0.038486113179
Long
DBT
CORP
US
N
2
2052-03-01
Fixed
3.88000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
000000000
100000.00000000
PA
78527.01000000
0.026128278048
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
1.00000000
N
N
N
N
N
N
STELLANTIS NV
549300LKT9PW7ZIBDF31
Stellantis NV
000000000
100000.00000000
PA
91567.19000000
0.030467134816
Long
DBT
CORP
NL
N
2
2032-04-01
Fixed
2.75000000
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
Electricite de France SA
000000000
200000.00000000
PA
172739.61000000
0.057475619663
Long
DBT
CORP
FR
N
2
2026-12-15
Fixed
2.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796XY0
555000.00000000
PA
USD
537921.54000000
0.178982538178
Long
DBT
UST
US
N
2
2023-08-10
None
0.00000000
N
N
N
N
N
N
CORPORATE OFFICE PROP LP
H0TWO5VRNEP6CQAWPX27
Corporate Office Properties LP
22003BAL0
149000.00000000
PA
USD
130865.82000000
0.043542960976
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
2.25000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
5882.16000000
0.001957170048
N/A
DFE
CZ
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1012699.71000000
USD
23886067.52000000
CZK
2023-01-20
5882.16000000
N
N
N
VTR COMUNICACIONES SPA
213800XDZJKMC1AEUV94
VTR Comunicaciones SpA
000000000
267000.00000000
PA
USD
152190.00000000
0.050638151588
Long
DBT
CORP
CL
N
2
2028-01-15
Fixed
5.13000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-6030.24000000
-0.00200644068
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
113296.15000000
EUR
112338.71000000
USD
2023-01-20
-6030.24000000
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-10895.08000000
-0.00362511802
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
1375020.36000000
SGD
999909.36000000
USD
2023-01-20
-10895.08000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
21816.35000000
0.007258950249
N/A
DFE
N/A
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
501062.89000000
USD
500470.83000000
EUR
2023-01-20
21816.35000000
N
N
N
Bank
N/A
BANK 2022-BNK41
06540MBQ7
257000.00000000
PA
USD
218949.66000000
0.072851081368
Long
ABS-MBS
CORP
US
N
2
2065-04-15
Variable
3.92000000
N
N
N
N
N
N
TELUS CORP
L2TEUTQ8OSHMJWVLCE40
TELUS Corp
87971MBV4
225000.00000000
PA
142878.30000000
0.047539871306
Long
DBT
CORP
CA
N
2
2031-11-13
Fixed
2.85000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
0.82000000
0.000000272838
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
59854.20000000
EUR
62534.97000000
USD
2023-01-20
0.82000000
N
N
N
IMERYS SA
54930075MZSSIB2TGC64
Imerys SA
000000000
100000.00000000
PA
73128.17000000
0.024331922977
Long
DBT
CORP
FR
N
2
2031-07-15
Fixed
1.00000000
N
N
N
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings Inc
50212YAD6
559000.00000000
PA
USD
487635.27000000
0.162250796519
Long
DBT
CORP
US
Y
2
2029-03-15
Fixed
4.00000000
N
N
N
N
N
N
ALBION FINANCING 2SARL
2594009X2UW7EQPIKY23
Albion Financing 2SARL
013305AA5
635000.00000000
PA
USD
539676.82000000
0.179566572180
Long
DBT
CORP
LU
Y
2
2027-04-15
Fixed
8.75000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAA1
870000.00000000
PA
USD
751462.50000000
0.250033983759
Long
DBT
CORP
US
Y
2
2029-08-15
Fixed
3.88000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2022-C18
054975AJ6
118289.00000000
PA
USD
124355.64000000
0.041376829944
Long
ABS-MBS
CORP
US
N
2
2055-12-15
Variable
6.15000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
14266.62000000
0.004746929931
N/A
DFE
TH
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
995284.01000000
USD
35302723.71000000
THB
2023-02-21
14266.62000000
N
N
N
ADANI GREEN ENERGY UP
N/A
Adani Green Energy UP Ltd / Prayatna Developers Pvt Ltd / Parampujya Solar Energ
00654AAA4
1081000.00000000
PA
USD
1033760.30000000
0.343962880465
Long
DBT
CORP
IN
Y
2
2024-12-10
Fixed
6.25000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
8170.42000000
0.002718542391
N/A
DFE
NZ
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
72979.50000000
USD
128689.63000000
NZD
2023-01-20
8170.42000000
N
N
N
INTELSAT EMERGENCE SA
N/A
INTELSAT EMERGENCE SA
000000000
7057.00000000
NS
USD
155254.00000000
0.051657635763
Long
EC
CORP
LU
N
2
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAL7
200000.00000000
PA
USD
169799.83000000
0.056497467187
Long
DBT
CORP
US
Y
2
2032-03-15
Fixed
4.28000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-474.09000000
-0.00015774388
N/A
DFE
CN
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
848851.37000000
USD
5954593.31000000
CNY
2023-01-20
-474.09000000
N
N
N
NEW ENTERPRISE STONE & L
549300O5DQ5Y61B8VF38
New Enterprise Stone & Lime Co Inc
644274AG7
556000.00000000
PA
USD
512454.08000000
0.170508754749
Long
DBT
CORP
US
Y
2
2028-07-15
Fixed
9.75000000
N
N
N
N
N
N
Post Holdings Inc
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AN4
788000.00000000
PA
USD
751775.64000000
0.250138174776
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.63000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR23
000000000
-122.00000000
NC
USD
-53910.34000000
-0.01793757782
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year US Treasury Note Future
TYH3 Comdty
2023-03-22
-13793089.66000000
USD
-53910.34000000
N
N
N
RAC BOND CO PLC
2138008FCM2SUNLC7B21
RAC Bond Co PLC
000000000
100000.00000000
PA
109818.81000000
0.036539993088
Long
DBT
CORP
GB
N
2
2026-05-06
Fixed
4.87000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
000000000
100000.00000000
PA
120297.75000000
0.040026648927
Long
DBT
CORP
FR
N
2
2027-11-29
Fixed
5.75000000
N
N
N
N
N
N
GROUPE ACM
96950090CGKLVXEKWF10
Groupe des Assurances du Credit Mutuel SADIR
000000000
200000.00000000
PA
154658.14000000
0.051459375371
Long
DBT
CORP
FR
N
2
2042-04-21
Fixed
1.85000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
1660.97000000
0.000552654252
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
197805.43000000
CAD
148828.05000000
USD
2023-01-20
1660.97000000
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109BP5
106000.00000000
PA
USD
75006.10000000
0.024956766291
Long
DBT
CORP
CA
N
2
2049-11-15
Fixed
3.70000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
60000.00000000
PA
USD
61429.61000000
0.020439463192
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
22191.11000000
0.007383644077
N/A
DFE
CA
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
870369.35000000
USD
1199679.34000000
CAD
2023-01-20
22191.11000000
N
N
N
UNIVERSITY OF PENNSYLVAN
549300FG60YK9HZ7DS75
Trustees of the University of Pennsylvania/The
91481CAD2
35000.00000000
PA
USD
22379.64000000
0.007446373630
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
2.40000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAG6
134000.00000000
PA
USD
121807.40000000
0.040528954503
Long
DBT
CORP
KY
Y
2
2026-05-01
Fixed
4.38000000
N
N
N
N
N
N
GROUP 1 AUTOMOTIVE INC
549300US8QAZJLWYAF63
Group 1 Automotive Inc
398905AN9
719000.00000000
PA
USD
609891.40000000
0.202929056876
Long
DBT
CORP
US
Y
2
2028-08-15
Fixed
4.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
150000.00000000
PA
USD
119545.45000000
0.039776336282
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
REAL HERO MERGER SUB 2
N/A
Real Hero Merger Sub 2 Inc
75602BAA7
560000.00000000
PA
USD
386400.00000000
0.128566803166
Long
DBT
CORP
US
Y
2
2029-02-01
Fixed
6.25000000
N
N
N
N
N
N
Q-PARK HOLDING BV
2549003839B7HE3NDP48
Q-Park Holding I BV
000000000
380000.00000000
PA
332851.54000000
0.110749633610
Long
DBT
CORP
NL
N
2
2027-03-01
Fixed
2.00000000
N
N
N
N
N
N
EMPIRE COMMUNITIES CORP
549300JM1L6KK2QFP273
Empire Communities Corp
29163VAC7
545000.00000000
PA
USD
479290.93000000
0.159474385758
Long
DBT
CORP
CA
Y
2
2025-12-15
Fixed
7.00000000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
000000000
100000.00000000
PA
107739.57000000
0.035848167933
Long
DBT
CORP
ES
N
2
2030-11-14
Fixed
5.38000000
N
N
N
N
N
N
GUARA NORTE SARL
549300U2I4L03BBA3485
Guara Norte Sarl
400666AA1
187230.00000000
PA
USD
154932.83000000
0.051550772926
Long
DBT
CORP
LU
Y
2
2034-06-15
Fixed
5.20000000
N
N
N
N
N
N
COMMERCIAL BANK PSQC/THE
2138004FUUD4I7X8H721
Commercial Bank PSQC/The
000000000
272000.00000000
PA
USD
242433.60000000
0.080664888540
Long
DBT
CORP
QA
N
2
2026-03-03
Fixed
4.50000000
N
N
N
N
N
N
SUMMER (BC) BIDC
213800CCW2O2WZ7YV169
Summer BC Bidco B LLC
865632AA1
740000.00000000
PA
USD
595700.00000000
0.198207154882
Long
DBT
CORP
US
Y
2
2026-10-31
Fixed
5.50000000
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
Mattel Inc
577081BD3
304000.00000000
PA
USD
297263.36000000
0.098908384818
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
5.88000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CM6
927000.00000000
PA
USD
847976.14000000
0.282146950003
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECY4
192003.39000000
PA
USD
163106.14000000
0.054270276906
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-18341.77000000
-0.00610285386
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
1479524.10000000
AUD
987990.69000000
USD
2023-01-20
-18341.77000000
N
N
N
VIRGIN MEDIA VEND FIN IV
635400ZZNJSEA4CAJR23
Virgin Media Vendor Financing Notes IV DAC
92770QAA5
1200000.00000000
PA
USD
1028712.00000000
0.342283160505
Long
DBT
CORP
IE
Y
2
2028-07-15
Fixed
5.00000000
N
N
N
N
N
N
LTRI HOLDINGS, LP
N/A
LTRI HOLDINGS, LP
000000000
615.00000000
NS
USD
252931.05000000
0.084157703209
Long
EC
CORP
US
N
3
N
N
N
TOLL ROAD INV PART II
N/A
Toll Road Investors Partnership II LP
88948ABM8
1968328.91000000
PA
USD
481037.93000000
0.160055664756
Long
DBT
CORP
US
Y
2
2043-02-15
None
0.00000000
N
N
N
N
N
N
UZBEK INDUSTRIAL AND CON
213800C2NIFPFTXYIU69
Uzbek Industrial and Construction Bank ATB
000000000
269000.00000000
PA
USD
246807.50000000
0.082120215508
Long
DBT
CORP
UZ
N
2
2024-12-02
Fixed
5.75000000
N
N
N
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAH6
350000.00000000
PA
USD
349244.00000000
0.116203893905
Long
DBT
CORP
NL
Y
2
2024-11-01
Fixed
5.63000000
N
N
N
N
N
N
GATES GLOBAL/GATES CORP
N/A
Gates Global LLC / Gates Corp
36740LAA0
805000.00000000
PA
USD
776189.05000000
0.258261244336
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
6.25000000
N
N
N
N
N
N
UNICAJA BANCO SA
5493007SJLLCTM6J6M37
Unicaja Banco SA
000000000
100000.00000000
PA
91547.41000000
0.030460553421
Long
DBT
CORP
ES
N
2
2026-12-01
Fixed
1.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
3860.92000000
0.001284643223
N/A
DFE
MX
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
79169.64000000
USD
1631642.31000000
MXN
2023-03-15
3860.92000000
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89115A2C5
153000.00000000
PA
USD
147743.20000000
0.049158568617
Long
DBT
CORP
CA
N
2
2027-06-08
Fixed
4.11000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd
03881CAG6
200000.00000000
PA
USD
186247.40000000
0.061970064223
Long
ABS-CBDO
CORP
KY
Y
2
2035-12-15
Floating
5.88000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-160084.98000000
-0.05326504687
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
56235739.19000000
CNY
7852069.87000000
USD
2023-01-20
-160084.98000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKNN4
99265.20000000
PA
USD
84982.25000000
0.028276128903
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
275000.00000000
PA
USD
273663.50000000
0.091056007604
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3632.70000000
-0.00120870762
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
99722.00000000
EUR
100554.32000000
USD
2023-01-20
-3632.70000000
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CC3
92000.00000000
PA
USD
81446.78000000
0.027099772600
Long
DBT
CORP
CA
Y
2
2032-03-15
Fixed
3.80000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 5YR BOND FUT MAR23
000000000
-174.00000000
NC
-52155.25000000
-0.01735360704
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
Montreal Exchange 5 Year Canadian Bond Futures
XQH2 Comdty
2023-03-22
-19494403.37000000
CAD
-52155.25000000
N
N
N
EPR PROPERTIES
549300YSSXFHMPOWZ492
EPR Properties
26884UAG4
89000.00000000
PA
USD
65254.45000000
0.021712101524
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
3.60000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDJ6
1278000.00000000
PA
USD
1127835.00000000
0.375264338637
Long
DBT
CORP
US
Y
2
2028-10-01
Fixed
6.13000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCD3
1960000.00000000
PA
USD
1685057.00000000
0.560668715434
Long
DBT
CORP
US
Y
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
100000.00000000
PA
105797.39000000
0.035201946727
Long
DBT
CORP
FR
N
2
2027-11-16
Fixed
4.00000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
400000.00000000
PA
USD
341882.95000000
0.113754653050
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
SENSATA TECH INC
5493002MMDDCUNV7NY90
Sensata Technologies Inc
81728UAA2
410000.00000000
PA
USD
363098.05000000
0.120813549494
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
4.38000000
N
N
N
N
N
N
Sprint Capital Corp
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AD4
1065000.00000000
PA
USD
1128484.65000000
0.375480496566
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.88000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAJ4
92000.00000000
PA
USD
82709.06000000
0.027519770800
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.60000000
N
N
N
N
N
N
NESTE OYJ
5493009GY1X8GQ66AM14
Neste Oyj
000000000
100000.00000000
PA
89819.39000000
0.029885589634
Long
DBT
CORP
FI
N
2
2028-03-25
Fixed
0.75000000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods Inc
90290MAD3
855000.00000000
PA
USD
761907.60000000
0.253509380021
Long
DBT
CORP
US
Y
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
1485.19000000
0.000494167004
N/A
DFE
GB
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
108544.93000000
USD
91137.66000000
GBP
2023-01-20
1485.19000000
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AS8
630000.00000000
PA
USD
592326.00000000
0.197084524463
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.38000000
N
N
N
N
N
N
THAIOIL TRSRY CENTER
549300NH03B9E8VGJR89
Thaioil Treasury Center Co Ltd
88322YAD3
355000.00000000
PA
USD
283764.06000000
0.094416765134
Long
DBT
CORP
TH
Y
2
2048-11-20
Fixed
5.38000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
000000000
100000.00000000
PA
123894.21000000
0.041223298422
Long
DBT
CORP
GB
N
2
2027-11-08
Fixed
6.38000000
N
N
N
N
N
N
CTEC II GMBH
98450044C9BACG3DA974
Ctec II GmbH
000000000
200000.00000000
PA
173728.18000000
0.057804546383
Long
DBT
CORP
DE
Y
2
2030-02-15
Fixed
5.25000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
1677.49000000
0.000558150948
N/A
DFE
JP
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
24558.32000000
USD
3599460.00000000
JPY
2023-01-20
1677.49000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-67492.73000000
-0.02245684402
N/A
DFE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
52259021.00000000
TWD
1633196.48000000
USD
2023-02-03
-67492.73000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
23266.83000000
0.007741568201
N/A
DFE
CZ
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
549182.52000000
USD
13424118.56000000
CZK
2023-01-20
23266.83000000
N
N
N
SOLARIS MIDSTREAM HOLDIN
5493007AWQW8ZKCHVV46
Solaris Midstream Holdings LLC
83419MAA0
420000.00000000
PA
USD
413700.00000000
0.137650327303
Long
DBT
CORP
US
Y
2
2026-04-01
Fixed
7.63000000
N
N
N
N
N
N
SARENS FINANCE CO NV
549300B68EWZ6IHPCL79
Sarens Finance Co NV
000000000
210000.00000000
PA
165074.55000000
0.054925225615
Long
DBT
CORP
BE
N
2
2027-02-21
Fixed
5.75000000
N
N
N
N
N
N
Business Jet Securities, LLC
N/A
Business Jet Securities 2021-1 LLC
12327BAA4
86884.38000000
PA
USD
75625.90000000
0.025162992235
Long
ABS-O
CORP
US
Y
2
2036-04-15
Fixed
2.16000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
709.79000000
0.000236168300
N/A
DFE
N/A
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
14838.47000000
USD
14881.93000000
EUR
2023-01-20
709.79000000
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
970000000.00000000
PA
688383.51000000
0.229045722653
Long
DBT
NUSS
KR
N
2
2027-06-10
Fixed
2.13000000
N
N
N
N
N
N
NORDSTROM INC
549300S3IZB5P35KNV16
Nordstrom Inc
655664AY6
106000.00000000
PA
USD
82313.24000000
0.027388069681
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
4.25000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
250000.00000000
PA
175615.83000000
0.058432623831
Long
DBT
NUSS
RO
N
2
2033-04-14
Fixed
2.00000000
N
N
N
N
N
N
AVIVA PLC
YF0Y5B0IB8SM0ZFG9G81
Aviva PLC
000000000
175000.00000000
PA
164425.58000000
0.054709293942
Long
DBT
CORP
GB
N
2
2055-06-03
Fixed
4.00000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-11285.72000000
-0.00375509560
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
244960.32000000
EUR
244642.61000000
USD
2023-01-20
-11285.72000000
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAB7
675000.00000000
PA
USD
599001.75000000
0.199305745571
Long
DBT
CORP
US
Y
2
2031-04-30
Fixed
5.13000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2220.48000000
-0.00073881991
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
73647.22000000
EUR
74724.27000000
USD
2023-01-20
-2220.48000000
N
N
N
ALLIANT HOLD / CO-ISSUER
N/A
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer
01883LAA1
465000.00000000
PA
USD
428309.18000000
0.142511237162
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
6.75000000
N
N
N
N
N
N
CROWN AMERICAS LLC
RPPGGRL1J75WGF2DFO04
Crown Americas LLC
228180AA3
550000.00000000
PA
USD
508750.00000000
0.169276296871
Long
DBT
CORP
US
Y
2
2030-04-01
Fixed
5.25000000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-8 Ltd
69357XAE1
105000.00000000
PA
USD
94360.56000000
0.031396572319
Long
ABS-CBDO
CORP
KY
Y
2
2037-08-09
Floating
5.40000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B23 Mortgage Trust
08162RAF4
3620100.91000000
PA
USD
248248.42000000
0.082599652563
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
1.38000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AJ0
989000.00000000
PA
USD
877648.49000000
0.292019825733
Long
DBT
CORP
US
Y
2
2029-05-01
Fixed
3.75000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-45227.64000000
-0.01504858460
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
7805879.40000000
CAD
5762340.32000000
USD
2023-01-20
-45227.64000000
N
N
N
WYNDHAM HOTELS & RESORTS
549300FE3MQ4RVXXC673
Wyndham Hotels & Resorts Inc
98311AAB1
813000.00000000
PA
USD
727034.56000000
0.241906079635
Long
DBT
CORP
US
Y
2
2028-08-15
Fixed
4.38000000
N
N
N
N
N
N
TENGIZCHEVROIL FIN CO IN
5493001VEV2XTJIBZH31
Tengizchevroil Finance Co International Ltd
88034QAC1
323000.00000000
PA
USD
226100.00000000
0.075230212722
Long
DBT
CORP
BM
Y
2
2030-08-15
Fixed
3.25000000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
983133AA7
800000.00000000
PA
USD
695286.37000000
0.231342510031
Long
DBT
CORP
US
Y
2
2029-10-01
Fixed
5.13000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
885000.00000000
PA
829060.81000000
0.275853255622
Long
DBT
NUSS
GR
N
2
2026-02-12
None
0.00000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBS0
721000.00000000
PA
USD
656701.22000000
0.218504079945
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.88000000
N
N
N
N
N
N
COLGATE ENERGY P
549300QRLZK0B17DH791
Colgate Energy Partners III LLC
19416MAB5
574000.00000000
PA
USD
528080.00000000
0.175707964327
Long
DBT
CORP
US
Y
2
2029-07-01
Fixed
5.88000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAP3
200000.00000000
PA
USD
149128.74000000
0.049619579094
Long
DBT
CORP
NL
Y
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAK1
600000.00000000
PA
USD
549978.00000000
0.182994081967
Long
DBT
CORP
KY
N
2
2026-01-08
Fixed
4.30000000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
000000000
320000.00000000
PA
258010.99000000
0.085847950740
Long
DBT
CORP
HK
N
2
2033-09-09
Fixed
0.88000000
N
N
N
N
N
N
DORNOCH DEBT MERGER SUB
N/A
Dornoch Debt Merger Sub Inc
25830JAA9
704000.00000000
PA
USD
468488.68000000
0.155880155039
Long
DBT
CORP
US
Y
2
2029-10-15
Fixed
6.63000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAF5
200000.00000000
PA
USD
176125.77000000
0.058602296077
Long
DBT
CORP
NL
Y
2
2028-04-06
Fixed
3.50000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBD6
450000.00000000
PA
USD
296460.00000000
0.098641082988
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.13000000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP Carey Inc
92936UAG4
282000.00000000
PA
USD
224225.88000000
0.074606637108
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.40000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHX1
719995.00000000
PA
USD
71655.05000000
0.023841772021
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Variable
1.70000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAJ0
100000.00000000
PA
USD
92199.60000000
0.030677556483
Long
ABS-MBS
CORP
KY
Y
2
2037-01-16
Floating
6.24000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3622.86000000
-0.00120543356
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
100000.00000000
EUR
100854.61000000
USD
2023-01-20
-3622.86000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3665.52000000
-0.00121962781
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
99426.00000000
EUR
100212.24000000
USD
2023-01-20
-3665.52000000
N
N
N
ANGI GROUP LLC
N/A
ANGI Group LLC
001846AA2
891000.00000000
PA
USD
669363.75000000
0.222717281297
Long
DBT
CORP
US
Y
2
2028-08-15
Fixed
3.88000000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
647000.00000000
PA
406023.84000000
0.135096239954
Long
DBT
NUSS
RS
Y
2
2036-09-23
Fixed
2.05000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AQ0
454000.00000000
PA
USD
348445.00000000
0.115938042778
Long
DBT
CORP
CA
Y
2
2028-09-30
Fixed
11.00000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
190074.14000000
0.063243334742
N/A
DFE
N/A
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
3117208.66000000
USD
3165546.56000000
EUR
2023-01-20
190074.14000000
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BN1
530000.00000000
PA
USD
394100.05000000
0.131128839431
Long
DBT
CORP
PA
Y
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
JAB HOLDINGS BV
529900RRNKUM3INJGF98
JAB Holdings BV
000000000
100000.00000000
PA
74311.33000000
0.024725595593
Long
DBT
CORP
NL
N
2
2039-12-19
Fixed
2.25000000
N
N
N
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAY1
470000.00000000
PA
USD
393672.00000000
0.130986414431
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
Arrow Electronics Inc
549300YNNLBXT8N8R512
Arrow Electronics Inc
042735BG4
86000.00000000
PA
USD
82609.64000000
0.027486690801
Long
DBT
CORP
US
N
2
2024-09-08
Fixed
3.25000000
N
N
N
N
N
N
EMIRATES NBD BANK PJSC
54930029BCN8HF3B1286
Emirates NBD Bank PJSC
000000000
238000.00000000
PA
USD
228064.93000000
0.075884003531
Long
DBT
CORP
AE
N
2
2026-04-09
Fixed
6.13000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BE7
144000.00000000
PA
USD
118588.50000000
0.039457930479
Long
DBT
CORP
US
Y
2
2031-04-27
Fixed
2.85000000
N
N
N
N
N
N
NFP CORP
VO2L9FZNXDJNQNEYH039
NFP Corp
65342RAD2
730000.00000000
PA
USD
617455.90000000
0.205445991613
Long
DBT
CORP
US
Y
2
2028-08-15
Fixed
6.88000000
N
N
N
N
N
N
LA BANQUE POSTALE
96950066U5XAAIRCPA78
La Banque Postale SA
000000000
100000.00000000
PA
104389.88000000
0.034733626176
Long
DBT
CORP
FR
N
2
2034-03-05
Fixed
5.50000000
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM Energy Co
78454LAW0
410000.00000000
PA
USD
400943.10000000
0.133405726239
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XFJ0
24889.60000000
PA
USD
24883.72000000
0.008279555722
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
5.00000000
N
N
N
N
N
N
Capital Automotive Reit
N/A
CARS-DB4 LP
12510HAG5
437500.00000000
PA
USD
398752.59000000
0.132676878236
Long
ABS-O
CORP
US
Y
2
2050-02-15
Fixed
4.17000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAP3
44000.00000000
PA
USD
44028.00000000
0.014649428596
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
4.75000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
6433.40000000
0.002140584035
N/A
DFE
CZ
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
117937.77000000
USD
2916543.27000000
CZK
2023-01-20
6433.40000000
N
N
N
ERO COPPER CORP
549300KL8A21SEIO8I47
ERO Copper Corp
296006AA7
333000.00000000
PA
USD
255024.62000000
0.084854296382
Long
DBT
CORP
CA
Y
2
2030-02-15
Fixed
6.50000000
N
N
N
N
N
N
CAMELOT FINANCE SA
N/A
Camelot Finance SA
13323AAB6
410000.00000000
PA
USD
388565.20000000
0.129287229777
Long
DBT
CORP
LU
Y
2
2026-11-01
Fixed
4.50000000
N
N
N
N
N
N
SMYRNA READY MIX CONCRET
549300S7RFWHQFOIOY93
Smyrna Ready Mix Concrete LLC
85236FAA1
550000.00000000
PA
USD
489500.00000000
0.162871247800
Long
DBT
CORP
US
Y
2
2028-11-01
Fixed
6.00000000
N
N
N
N
N
N
SBB TREASURY OYJ
5493003HHOCW6FIMH724
SBB Treasury Oyj
000000000
100000.00000000
PA
62733.61000000
0.020873342879
Long
DBT
CORP
FI
N
2
2029-11-26
Fixed
1.13000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
67100000.00000000
PA
3235956.10000000
1.076699096700
Long
DBT
NUSS
MX
N
2
2027-06-03
Fixed
7.50000000
N
N
N
N
N
N
iShares iBoxx $ Investment Grade Corporate Bond ETF
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
28549.00000000
NS
USD
3076440.24000000
1.023623413018
Long
EC
RF
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
13698.06000000
0.004557753063
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
150441.23000000
USD
241319.88000000
AUD
2023-01-20
13698.06000000
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
000000000
400000.00000000
PA
357612.61000000
0.118988380020
Long
DBT
CORP
GB
N
2
2029-03-22
Fixed
3.63000000
N
N
N
N
N
N
Peru LNG Srl
254900F70J1LOALV5K70
Peru LNG Srl
000000000
518000.00000000
PA
USD
427997.50000000
0.142407531931
Long
DBT
CORP
PE
N
2
2030-03-22
Fixed
5.38000000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBD1
485000.00000000
PA
USD
429566.93000000
0.142929728095
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
8.00000000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AV4
508000.00000000
PA
USD
432435.00000000
0.143884020516
Long
DBT
CORP
US
Y
2
2029-05-01
Fixed
4.50000000
N
N
N
N
N
N
BANK 2021-BN35
N/A
BANK 2021-BNK35
06540CBL0
1303286.74000000
PA
USD
78062.31000000
0.025973658500
Long
ABS-MBS
CORP
US
N
2
2064-06-15
Variable
1.15000000
N
N
N
N
N
N
IPOTEKA-BANK ATIB
213800UWVX5JSNXJS434
Ipoteka-Bank ATIB
000000000
700000.00000000
PA
USD
598500.00000000
0.199138798383
Long
DBT
CORP
UZ
N
2
2025-11-19
Fixed
5.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-1027.61000000
-0.00034191649
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
250181.83000000
USD
334885.07000000
CAD
2023-01-20
-1027.61000000
N
N
N
MDGH GMTN RSC LTD
213800WRY6FRL9IXLT77
MDGH GMTN RSC Ltd
55276VAJ1
1086000.00000000
PA
USD
969255.00000000
0.322500043487
Long
DBT
CORP
AE
Y
2
2029-11-07
Fixed
2.88000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAJ1
250000.00000000
PA
USD
186411.29000000
0.062024595314
Long
DBT
CORP
FR
Y
2
2032-01-20
Fixed
2.28000000
N
N
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAE0
120000.00000000
PA
USD
103563.00000000
0.034458498541
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
4.63000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAA9
13000.00000000
PA
USD
11368.24000000
0.003782552470
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.20000000
N
N
N
N
N
N
MADISON IAQ LLC
549300IXDNBXNHUPBU73
Madison IAQ LLC
55760LAB3
882000.00000000
PA
USD
652441.86000000
0.217086863851
Long
DBT
CORP
US
Y
2
2029-06-30
Fixed
5.88000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
000000000
150000.00000000
PA
160363.75000000
0.053357801970
Long
DBT
CORP
IT
N
2
2027-11-15
Fixed
5.85000000
N
N
N
N
N
N
SAMHALLSBYGGNADS
549300HX9MRFY47AH564
Samhallsbyggnadsbolaget i Norden AB
000000000
280000.00000000
PA
114420.22000000
0.038071019417
Long
DBT
CORP
SE
N
2
2026-10-30
Fixed
2.88000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-1789.25000000
-0.00059533683
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
380771.12000000
SGD
278123.07000000
USD
2023-01-20
-1789.25000000
N
N
N
AON CORP/AON GLOBAL HOLD
N/A
Aon Corp / Aon Global Holdings PLC
03740LAC6
25000.00000000
PA
USD
20465.36000000
0.006809435587
Long
DBT
CORP
US
N
2
2031-12-02
Fixed
2.60000000
N
N
N
N
N
N
Massachusetts Educational Financing Authority
5493007K5OP7V6CL0Y88
MASSACHUSETTS ST EDUCTNL FING AUTH
57563RRZ4
150000.00000000
PA
USD
136255.14000000
0.045336148459
Long
DBT
MUN
US
N
2
2037-07-01
Fixed
2.64000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT MAR23
000000000
134.00000000
NC
78297.08000000
0.026051773480
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange 10 Year Canadian Bond Futures
CNH3 Comdty
2023-03-22
16743838.68000000
CAD
78297.08000000
N
N
N
Tencent Holdings Ltd
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032XAD6
700000.00000000
PA
USD
674595.22000000
0.224457947378
Long
DBT
CORP
KY
N
2
2025-02-11
Fixed
3.80000000
N
N
N
N
N
N
ABC SUPPLY CO INC
549300H5GQ4C1BEKG397
American Builders & Contractors Supply Co Inc
024747AF4
1475000.00000000
PA
USD
1334889.75000000
0.444157628720
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
4.00000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBJ6
642000.00000000
PA
USD
567412.44000000
0.188795040082
Long
DBT
CORP
US
Y
2
2028-07-15
Fixed
4.00000000
N
N
N
N
N
N
ARCHES BUYER INC
2549009ADY4208OH2Y47
Arches Buyer Inc
039524AB9
830000.00000000
PA
USD
666979.70000000
0.221924036765
Long
DBT
CORP
US
Y
2
2028-12-01
Fixed
6.13000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BM05096 CDS EUR R V 03MEVENT SM05096_PRO CCPITRAXX / Short: BM05096 CDS EUR P F 1.00000 SM05096_FEE CCPITRAXX
000000000
6390000.00000000
OU
Notional Amount
26551.25000000
0.008834392682
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S38
2I666VDB8
Y
buy protection
2027-12-20
45445.43000000
EUR
0.00000000
EUR
6390000.00000000
EUR
-20262.64000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-35469.78000000
-0.01180185358
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3936175.87000000
CAD
2893041.88000000
USD
2023-01-20
-35469.78000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
94115.07000000
0.031314890475
N/A
DFE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1531128.13000000
USD
1346184.70000000
GBP
2023-01-20
94115.07000000
N
N
N
LCPR SR SECURED FIN DAC
549300LE5FM8IKMXSP90
LCPR Senior Secured Financing DAC
50201DAA1
893000.00000000
PA
USD
844715.49000000
0.281062034510
Long
DBT
CORP
IE
Y
2
2027-10-15
Fixed
6.75000000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
337300000.00000000
PA
2671677.85000000
0.888946895098
Long
DBT
NUSS
JP
N
2
2044-06-20
Fixed
1.70000000
N
N
N
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAE1
570000.00000000
PA
USD
532950.00000000
0.177328358560
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
5.25000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
8280000.00000000
PA
1184892.74000000
0.394249150303
Long
DBT
NUSS
CN
N
2
2029-11-21
Fixed
3.13000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B26 Mortgage Trust
08163EBE4
5527378.37000000
PA
USD
275795.73000000
0.091765464112
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
1.00000000
N
N
N
N
N
N
RYAN SPECIALTY GROUP
549300K52N7QBO3PYY45
Ryan Specialty Group LLC
78351MAA0
361000.00000000
PA
USD
308655.00000000
0.102698723166
Long
DBT
CORP
US
Y
2
2030-02-01
Fixed
4.38000000
N
N
N
N
N
N
THERMO FISHER SC FNCE I
549300SM0PJC1F3RPL91
Thermo Fisher Scientific Finance I BV
000000000
100000.00000000
PA
73977.09000000
0.024614383977
Long
DBT
CORP
NL
N
2
2051-10-18
Fixed
2.00000000
N
N
N
N
N
N
BRITISH COLUMBIA PROV OF
54930058TO7MEKUHWL16
Province of British Columbia Canada
110709GJ5
115000.00000000
PA
70531.17000000
0.023467823629
Long
DBT
NUSS
CA
N
2
2050-06-18
Fixed
2.95000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
60644.28000000
0.020178160481
N/A
DFE
NZ
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
566511.19000000
USD
994559.25000000
NZD
2023-01-20
60644.28000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-21356.32000000
-0.00710588454
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
18550834.00000000
TWD
581122.79000000
USD
2023-01-13
-21356.32000000
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAH7
624000.00000000
PA
USD
532771.20000000
0.177268866468
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-24007.46000000
-0.00798799788
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
398459.74000000
EUR
392293.18000000
USD
2023-01-20
-24007.46000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-8044.91000000
-0.00267678147
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
145249000.00000000
KRW
102180.09000000
USD
2023-01-13
-8044.91000000
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
000000000
635400.00000000
PA
USD
574585.87000000
0.191181854168
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
5.13000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-14236.47000000
-0.00473689812
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
257036000.00000000
KRW
180820.26000000
USD
2023-01-13
-14236.47000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WLP1
131366.99000000
PA
USD
115804.84000000
0.038531723783
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KQF6
19142.33000000
PA
USD
20095.97000000
0.006686528518
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
000000000
100000.00000000
PA
76402.94000000
0.025421536615
Long
DBT
CORP
DE
N
2
2032-02-17
Fixed
1.38000000
N
N
N
N
N
N
LoanCore 2021-CRE5 Issuer, Ltd
N/A
LoanCore 2021-CRE5 Issuer Ltd
53947XAG7
258000.00000000
PA
USD
238369.55000000
0.079312657908
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
5.88000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-4106.86000000
-0.00136647479
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
99208.00000000
EUR
99543.14000000
USD
2023-01-20
-4106.86000000
N
N
N
ASSUREDPARTNERS INC
549300HNDSDQWQ3L2P80
AssuredPartners Inc
04624VAB5
500000.00000000
PA
USD
425000.00000000
0.141410174290
Long
DBT
CORP
US
Y
2
2029-01-15
Fixed
5.63000000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AG1
520000.00000000
PA
USD
464653.12000000
0.154603949844
Long
DBT
CORP
US
Y
2
2026-11-15
Fixed
3.25000000
N
N
N
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-29578.71000000
-0.00984171890
N/A
DFE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
5527169.44000000
BRL
1022924.78000000
USD
2023-02-02
-29578.71000000
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
4293.74000000
0.001428655345
N/A
DFE
N/A
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
74696.56000000
USD
75605.11000000
EUR
2023-01-20
4293.74000000
N
N
N
GLENCORE CAP FIN DAC
213800HCUCI1HC7X6Q34
Glencore Capital Finance DAC
000000000
140000.00000000
PA
125570.87000000
0.041781173205
Long
DBT
CORP
IE
N
2
2028-03-10
Fixed
1.13000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780DN3
796000.00000000
PA
USD
781563.97000000
0.260049640510
Long
DBT
NUSS
ID
N
2
2032-09-20
Fixed
4.65000000
N
N
N
N
N
N
ICA TENEDORA SA DE CV
N/A
ICA TENEDORA SA DE CV
000000000
110829.00000000
NS
USD
97651.76000000
0.032491652709
Long
EC
CORP
US
N
3
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AN1
921000.00000000
PA
USD
758268.51000000
0.252298546254
Long
DBT
CORP
US
Y
2
2032-02-15
Fixed
3.63000000
N
N
N
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AN4
1580000.00000000
PA
USD
1454076.40000000
0.483814581543
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.25000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804FX7
200000.00000000
PA
USD
190167.13000000
0.063274275288
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.50000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-105039.69000000
-0.03494983734
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
1271746.30000000
GBP
1430334.34000000
USD
2023-01-20
-105039.69000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BB2
605000.00000000
PA
USD
464337.50000000
0.154498933658
Long
DBT
CORP
US
Y
2
2030-12-01
Fixed
4.13000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-2929.09000000
-0.00097459559
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
161822.72000000
CAD
117466.88000000
USD
2023-01-20
-2929.09000000
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAD1
472000.00000000
PA
USD
401539.84000000
0.133604279432
Long
DBT
CORP
US
Y
2
2029-03-31
Fixed
4.38000000
N
N
N
N
N
N
LOGICOR FINANCING SARL
254900IS16Q1A2TQFN22
Logicor Financing Sarl
000000000
100000.00000000
PA
71986.63000000
0.023952098576
Long
DBT
CORP
LU
N
2
2031-01-14
Fixed
0.88000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
650000.00000000
PA
USD
558025.00000000
0.185671558843
Long
DBT
CORP
US
Y
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
ZIGGO BOND CO BV
213800JYI4P7V5QDOG59
Ziggo Bond Co BV
000000000
370000.00000000
PA
294060.57000000
0.097842721072
Long
DBT
CORP
NL
N
2
2030-02-28
Fixed
3.38000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZZ0
896340.00000000
PA
USD
89787.72000000
0.029875052080
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QK5E4
45845.81000000
PA
USD
39247.98000000
0.013058973393
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
VICTORIA'S SECRET & CO
5493006T3O70U3UWVF17
Victoria's Secret & Co
926400AA0
650000.00000000
PA
USD
548600.00000000
0.182535580272
Long
DBT
CORP
US
Y
2
2029-07-15
Fixed
4.63000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BB2
535000.00000000
PA
USD
525439.55000000
0.174829407869
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.38000000
N
N
N
N
N
N
CREDIT AGRICOLE ASSRNCES
969500K2MUPSI57XK083
Credit Agricole Assurances SA
000000000
200000.00000000
PA
169243.19000000
0.056312256459
Long
DBT
CORP
FR
N
2
2030-07-17
Fixed
2.00000000
N
N
N
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AH9
315000.00000000
PA
USD
252005.89000000
0.083849874887
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
4.25000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGN8
36000.00000000
PA
USD
28898.27000000
0.009615316229
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.36000000
N
N
N
N
N
N
Oklahoma Development Finance Authority
549300PXGPHUWC32DJ91
OKLAHOMA ST DEV FIN AUTH HLTHSYS REVENUE
67884XCP0
346000.00000000
PA
USD
303838.48000000
0.101096123324
Long
DBT
MUN
US
N
2
2028-08-15
Fixed
5.45000000
N
N
N
N
N
N
MV24 CAPITAL BV
N/A
MV24 Capital BV
000000000
502228.50000000
PA
USD
445259.66000000
0.148151167353
Long
DBT
CORP
NL
N
2
2034-06-01
Fixed
6.75000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FYUL8
3739954.03000000
PA
USD
122312.20000000
0.040696916517
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Variable
0.61000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B28 Mortgage Trust
08163GAZ3
2340835.60000000
PA
USD
167638.47000000
0.055778318260
Long
ABS-MBS
CORP
US
N
2
2054-08-15
Variable
1.40000000
N
N
N
N
N
N
SYNEOS HEALTH INC
549300F1ZGKDS8P6GU13
Syneos Health Inc
87166BAA0
1131000.00000000
PA
USD
894191.22000000
0.297524085339
Long
DBT
CORP
US
Y
2
2029-01-15
Fixed
3.63000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEP9
761000.00000000
PA
USD
696914.28000000
0.231884164236
Long
DBT
NUSS
DO
Y
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDN7
226000.00000000
PA
USD
196861.82000000
0.065501798299
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
4.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SJ8
115500.00000000
PA
USD
83913.46000000
0.027920510597
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
000000000
180000.00000000
PA
162162.07000000
0.053956156663
Long
DBT
CORP
IT
N
2
2028-01-18
Fixed
0.93000000
N
N
N
N
N
N
EFSF
222100OW6UHQXNHKN143
European Financial Stability Facility
000000000
143000.00000000
PA
158572.23000000
0.052761709839
Long
DBT
NUSS
LU
N
2
2037-04-03
Fixed
3.38000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2993.47000000
-0.00099601673
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
120871.78000000
EUR
123290.30000000
USD
2023-01-20
-2993.47000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
4844.17000000
0.001611799821
N/A
DFE
N/A
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
162504.54000000
USD
160176.85000000
EUR
2023-01-20
4844.17000000
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
210000.00000000
PA
144032.82000000
0.047924014540
Long
DBT
NUSS
N/A
N
2
2025-06-24
Fixed
4.25000000
N
N
N
N
N
N
180 MEDICAL INC
254900ZB648OPWVFVX59
180 Medical Inc
682357AA6
765000.00000000
PA
USD
650179.49000000
0.216334105884
Long
DBT
CORP
US
Y
2
2029-10-15
Fixed
3.88000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE DEC22
000000000
66.00000000
NC
195161.13000000
0.064935928018
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex 10 Year Euro BUND Futures
RXZ2 Comdty
2022-12-08
9110533.28000000
EUR
195161.13000000
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAJ3
215000.00000000
PA
USD
204763.33000000
0.068130866314
Long
DBT
CORP
CA
Y
2
2025-06-01
Fixed
4.25000000
N
N
N
N
N
N
Fortress CBO Investments Ltd
N/A
FORT CRE 2022-FL3 Issuer LLC
34706CAC3
114000.00000000
PA
USD
108904.66000000
0.036235828121
Long
ABS-CBDO
CORP
US
Y
2
2039-02-23
Floating
5.74000000
N
N
N
N
N
N
GRAY ESCROW II INC
N/A
Gray Escrow II Inc
389286AA3
1161000.00000000
PA
USD
885808.17000000
0.294734794606
Long
DBT
CORP
US
Y
2
2031-11-15
Fixed
5.38000000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AK0
478000.00000000
PA
USD
417198.40000000
0.138814349312
Long
DBT
NUSS
KE
Y
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One Inc
12685JAC9
679000.00000000
PA
USD
547077.09000000
0.182028862699
Long
DBT
CORP
US
Y
2
2030-11-15
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
2600.76000000
0.000865350411
N/A
DFE
SE
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
40210.03000000
USD
448000.00000000
SEK
2023-01-20
2600.76000000
N
N
N
Avation Capital SA
54930056OEYSV06OMD90
Avation Capital SA
05351CAA5
360050.00000000
PA
USD
288040.00000000
0.095839497888
Long
DBT
CORP
LU
Y
2
2026-10-31
Fixed
8.25000000
N
N
Y
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-5422.65000000
-0.00180427736
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
147509.15000000
EUR
148691.17000000
USD
2023-01-20
-5422.65000000
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AQ7
1000000.00000000
PA
USD
877350.00000000
0.291920509209
Long
DBT
CORP
US
Y
2
2030-04-15
Fixed
4.63000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
000000000
110000.00000000
PA
90499.80000000
0.030111982332
Long
DBT
CORP
US
N
2
2031-03-22
Fixed
0.69000000
N
N
N
N
N
N
ACREC 2021-FL1 Ltd
N/A
ACREC 2021-FL1 Ltd
00500RAG0
229500.00000000
PA
USD
215007.51000000
0.071539410500
Long
ABS-CBDO
CORP
KY
Y
2
2036-10-16
Floating
6.06000000
N
N
N
N
N
N
Iowa Student Loan Liquidity Corp
549300FO1LWVSZKGJK70
IOWA ST STUDENT LOAN LIQUIDITY CORP
462590NG1
200000.00000000
PA
USD
184689.84000000
0.061451817562
Long
DBT
MUN
US
N
2
2039-12-01
Fixed
5.08000000
N
N
N
N
N
N
PARKLAND CORP
549300XHQS1JYWBNK868
Parkland Corp
70137WAL2
1535000.00000000
PA
USD
1287097.50000000
0.428255721891
Long
DBT
CORP
CA
Y
2
2030-05-01
Fixed
4.63000000
N
N
N
N
N
N
Massachusetts Housing Finance Agency
549300NLJBK1VP6K2K81
MASSACHUSETTS ST HSG FIN AGY HSG REVENUE
57587GTN5
190000.00000000
PA
USD
191500.89000000
0.063718057015
Long
DBT
MUN
US
N
2
2052-12-01
Fixed
5.56000000
N
N
N
N
N
N
WABTEC TRANSPORTATION
213800W8WKL7DR8NFE48
Wabtec Transportation Netherlands BV
000000000
100000.00000000
PA
90125.95000000
0.029987591288
Long
DBT
CORP
NL
N
2
2027-12-03
Fixed
1.25000000
N
N
N
N
N
N
MONG DUONG FIN HLDGS BV
549300995KGQFMWSV879
Mong Duong Finance Holdings BV
000000000
592000.00000000
PA
USD
503200.00000000
0.167429646360
Long
DBT
CORP
NL
N
2
2029-05-07
Fixed
5.13000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-339907.94000000
-0.11309750832
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
642462149.00000000
JPY
4342882.48000000
USD
2023-01-20
-339907.94000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
38663.25000000
0.012864416285
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
499937.44000000
USD
791858.29000000
AUD
2023-01-20
38663.25000000
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2021-FL7 Issuer Ltd
05602CAG9
100000.00000000
PA
USD
91922.00000000
0.030585190685
Long
ABS-CBDO
CORP
KY
Y
2
2038-12-15
Floating
6.18000000
N
N
N
N
N
N
Business Jet Securities, LLC
N/A
Business Jet Securities 2021-1 LLC
12327BAB2
75500.51000000
PA
USD
61316.02000000
0.020401668411
Long
ABS-O
CORP
US
Y
2
2036-04-15
Fixed
2.92000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KM4Q5
498951.67000000
PA
USD
427143.03000000
0.142123224280
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
77000.00000000
PA
USD
73330.62000000
0.024399284129
Long
DBT
CORP
KY
Y
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
200447AH3
202000.00000000
PA
USD
155239.02000000
0.051652651470
Long
DBT
CORP
MX
Y
2
2031-02-09
Fixed
3.35000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-5417.98000000
-0.00180272352
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
100000.00000000
GBP
115311.60000000
USD
2023-01-20
-5417.98000000
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2020-FL4 Ltd
58003UAC2
154000.00000000
PA
USD
147635.63000000
0.049122776870
Long
ABS-CBDO
CORP
US
Y
2
2035-11-15
Floating
6.08000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAE5
650000.00000000
PA
USD
469162.20000000
0.156104255229
Long
DBT
CORP
MA
Y
2
2051-06-23
Fixed
5.13000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC / Realogy Co-Issuer Corp
75606DAQ4
430000.00000000
PA
USD
316050.00000000
0.105159260198
Long
DBT
CORP
US
Y
2
2030-04-15
Fixed
5.25000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
627494.00000000
PA
USD
146684.35000000
0.048806257645
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.50000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AD9
731000.00000000
PA
USD
662516.27000000
0.220438920496
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWFB4
108093.46000000
PA
USD
92563.15000000
0.030798520410
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
2.50000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229BC9
392000.00000000
PA
USD
388609.20000000
0.129301869889
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
6.38000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-4092.43000000
-0.00136167350
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
257503.89000000
CAD
187490.26000000
USD
2023-01-20
-4092.43000000
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AW4
939000.00000000
PA
USD
819277.50000000
0.272598056629
Long
DBT
CORP
US
Y
2
2029-11-15
Fixed
4.63000000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBF0
111000.00000000
PA
USD
92505.17000000
0.030779228735
Long
DBT
CORP
CA
N
2
2031-12-02
Fixed
2.45000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-4415.32000000
-0.00146910863
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
116717.08000000
EUR
117527.73000000
USD
2023-01-20
-4415.32000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DRA2
87333.43000000
PA
USD
80688.11000000
0.026847340466
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
62865.87000000
0.020917349726
N/A
DFE
GB
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1779027.62000000
USD
1525635.57000000
GBP
2023-01-20
62865.87000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2J1
69000.00000000
PA
USD
57731.60000000
0.019209024983
Long
DBT
CORP
US
N
2
2031-02-11
Fixed
2.57000000
N
N
N
N
N
N
GTCR AP Finance Inc
N/A
GTCR AP Finance Inc
40060QAA3
360000.00000000
PA
USD
347348.94000000
0.115573350929
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
8.00000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-6693.08000000
-0.00222698731
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
132890.94000000
EUR
132148.01000000
USD
2023-01-20
-6693.08000000
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA Communications Corp
78410GAD6
753000.00000000
PA
USD
695201.56000000
0.231314291215
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.88000000
N
N
N
N
N
N
FOUNDATION BUILDING M
549300ZVE6MONHB01I28
Foundation Building Materials Inc
350392AA4
593000.00000000
PA
USD
442586.81000000
0.147261830448
Long
DBT
CORP
US
Y
2
2029-03-01
Fixed
6.00000000
N
N
N
N
N
N
VIRTUSA CORP
C77OMXDER63WLJCSKT03
Virtusa Corp
92837TAA0
525000.00000000
PA
USD
393750.00000000
0.131012367357
Long
DBT
CORP
US
Y
2
2028-12-15
Fixed
7.13000000
N
N
N
N
N
N
DAR AL-ARKAN SUKUK CO LT
5493000UYHRBXEIYUQ69
Dar Al-Arkan Sukuk Co Ltd
000000000
850000.00000000
PA
USD
791135.80000000
0.263234473801
Long
DBT
CORP
KY
N
2
2027-02-26
Fixed
6.88000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-2054.81000000
-0.00068369656
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
91701.80000000
GBP
108656.39000000
USD
2023-01-20
-2054.81000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
243000.00000000
PA
USD
189013.66000000
0.062890481420
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95000000
N
N
N
N
N
N
ALLIANZ SE
529900K9B0N5BT694847
Allianz SE
018820AA8
200000.00000000
PA
USD
169750.00000000
0.056480887260
Long
DBT
CORP
DE
Y
2
2025-11-17
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
19780.92000000
0.006581701987
N/A
DFE
MX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
428763.51000000
USD
8728200.74000000
MXN
2023-01-20
19780.92000000
N
N
N
SEGRO CAPITAL SARL
549300HY425AKJLQVX75
Segro Capital Sarl
000000000
100000.00000000
PA
75344.67000000
0.025069418627
Long
DBT
CORP
LU
N
2
2031-09-22
Fixed
0.50000000
N
N
N
N
N
N
SYNAPTICS INC
549300AJ3LI4FWNRQX29
Synaptics Inc
87157DAG4
710000.00000000
PA
USD
591577.98000000
0.196835635901
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR23
000000000
15.00000000
NC
USD
7210.42000000
0.002399121762
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT U.S. Long Bond Futures
USH3 Comdty
2023-03-22
1897789.58000000
USD
7210.42000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCDB1
199999.50000000
PA
USD
165020.65000000
0.054907291477
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX Technologies Inc
05605HAC4
1265000.00000000
PA
USD
1113200.00000000
0.370394837694
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
4.13000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
8035.22000000
0.002673557319
N/A
DFE
CN
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
248654.91000000
USD
1801657.53000000
CNY
2023-01-20
8035.22000000
N
N
N
STERICYCLE INC
B8PTJH2P0AXSWSMP2136
Stericycle Inc
858912AG3
757000.00000000
PA
USD
658590.00000000
0.219132533378
Long
DBT
CORP
US
Y
2
2029-01-15
Fixed
3.88000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H2NA8
670491.00000000
PA
USD
43122.29000000
0.014348071869
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Variable
1.04000000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAB8
490000.00000000
PA
USD
461212.50000000
0.153459152964
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.50000000
N
N
N
N
N
N
GARDEN SPINCO CORP
N/A
Garden Spinco Corp
365417AA2
453000.00000000
PA
USD
480924.18000000
0.160017816739
Long
DBT
CORP
US
Y
2
2030-07-20
Fixed
8.63000000
N
N
N
N
N
N
CELLNEX FINANCE CO SA
549300OUROMFTRFA7T23
Cellnex Finance Co SA
000000000
400000.00000000
PA
318323.72000000
0.105915794649
Long
DBT
CORP
ES
N
2
2033-02-15
Fixed
2.00000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBF5
78000.00000000
PA
USD
68668.58000000
0.022848084390
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.13000000
N
N
N
N
N
N
Crest Ltd
549300MJZTHEPDTYM573
CREST 2004-1 Ltd
22608WAR0
4324930.65000000
PA
USD
43.25000000
0.000014390564
Long
ABS-CBDO
CORP
KY
N
2
2040-01-28
Fixed
7.00000000
Y
N
Y
N
N
N
ISLANDSBANKI
549300PZMFIQR79Q0T97
Islandsbanki HF
000000000
100000.00000000
PA
89024.38000000
0.029621066098
Long
DBT
CORP
IS
N
2
2025-03-25
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LXAS4
238743.78000000
PA
USD
204690.64000000
0.068106680183
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAF7
62000.00000000
PA
USD
60760.00000000
0.020216663976
Long
DBT
CORP
US
Y
2
2025-07-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F84L4
901677.00000000
PA
USD
62274.68000000
0.020720643182
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
1.17000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0606C4
150000.00000000
PA
USD
153362.42000000
0.051028250686
Long
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
6.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-5838.05000000
-0.00194249333
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
99813.00000000
GBP
114665.77000000
USD
2023-01-20
-5838.05000000
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAB9
625000.00000000
PA
USD
539062.50000000
0.179362169596
Long
DBT
CORP
US
Y
2
2031-08-15
Fixed
4.13000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD CZK
000000000
1.00000000
NC
-113595.11000000
-0.03779648071
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
40302299.11000000
CZK
1605029.83000000
USD
2023-01-20
-113595.11000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
781.16000000
0.000259915227
N/A
DFE
N/A
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
151709.52000000
USD
145955.57000000
EUR
2023-01-20
781.16000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MSMM4
49916.78000000
PA
USD
42738.89000000
0.014220503256
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
2.50000000
N
N
N
N
N
N
HISCOX LTD
5493007JXOLJ0QCY2D70
Hiscox Ltd
000000000
100000.00000000
PA
120891.45000000
0.040224190622
Long
DBT
CORP
BM
N
2
2027-09-22
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
15747.87000000
0.005239785979
N/A
DFE
JP
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
601207.71000000
USD
84644106.00000000
JPY
2023-01-20
15747.87000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4D82
15572000.00000000
PA
USD
233628.27000000
0.077735092658
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Variable
0.47000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
000000000
100000.00000000
PA
91305.58000000
0.030380089368
Long
DBT
CORP
DE
N
2
2028-02-23
Fixed
1.88000000
N
N
N
N
N
N
ZIGGO BOND CO BV
213800JYI4P7V5QDOG59
Ziggo Bond Co BV
98953GAD7
1315000.00000000
PA
USD
1066820.05000000
0.354962845193
Long
DBT
CORP
NL
Y
2
2030-02-28
Fixed
5.13000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CV9
49000.00000000
PA
USD
49103.60000000
0.016338232080
Long
DBT
CORP
US
N
2
2027-11-17
Fixed
5.13000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
291609.39000000
0.097027140387
N/A
DFE
NZ
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
2608562.44000000
USD
4599167.01000000
NZD
2023-01-20
291609.39000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-9392.59000000
-0.00312519479
N/A
DFE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
167390596.00000000
KRW
117731.46000000
USD
2023-02-02
-9392.59000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT DEC22
000000000
-142.00000000
NC
-111009.43000000
-0.03693614786
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
SFE 10 Year Australian Bond Futures
XMZ2 Comdty
2022-12-15
-16970109.08000000
AUD
-111009.43000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SK5
26802000.00000000
PA
USD
20032401.23000000
6.665377292690
Long
DBT
UST
US
N
2
2049-11-15
Fixed
2.38000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAJ8
30000.00000000
PA
USD
24561.85000000
0.008172459975
Long
DBT
CORP
US
Y
2
2042-04-05
Fixed
4.35000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-73636.70000000
-0.02450112607
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
3963103.98000000
CAD
2874909.46000000
USD
2023-01-20
-73636.70000000
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
2912000.00000000
PA
2463029.39000000
0.819523330171
Long
DBT
NUSS
GR
Y
2
2032-06-18
Fixed
1.75000000
N
N
N
N
N
N
CREDIT SUISSE AG LONDON
ANGGYXNX0JLX3X63JN86
Credit Suisse AG/London
000000000
100000.00000000
PA
99056.59000000
0.032959081544
Long
DBT
CORP
CH
N
2
2024-05-31
Fixed
2.13000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFX2
301000.00000000
PA
USD
288608.25000000
0.096028571609
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2021-FL6 Ltd
55283TAE8
450000.00000000
PA
USD
423537.57000000
0.140923580217
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-16
Floating
5.56000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
34096.24000000
0.011344835861
N/A
DFE
N/A
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
505158.18000000
USD
515787.95000000
EUR
2023-01-30
34096.24000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-24994.42000000
-0.00831638891
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
71472726.00000000
JPY
495957.35000000
USD
2023-01-20
-24994.42000000
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
785000.00000000
PA
USD
806477.60000000
0.268339148182
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.88000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4XB3
36576000.00000000
PA
USD
275706.23000000
0.091735684793
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Variable
0.26000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-49132.20000000
-0.01634774815
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
911959.35000000
NZD
525936.90000000
USD
2023-01-20
-49132.20000000
N
N
N
EASYJET FINCO BV
2138005GUMKABRAKJU30
easyJet FinCo BV
000000000
140000.00000000
PA
122437.21000000
0.040738511072
Long
DBT
CORP
NL
N
2
2028-03-03
Fixed
1.88000000
N
N
N
N
N
N
ENERGIZER GAMMA ACQ BV
5493002SUYZDHEQ3JN34
Energizer Gamma Acquisition BV
000000000
340000.00000000
PA
282217.71000000
0.093902248374
Long
DBT
CORP
NL
N
2
2029-06-30
Fixed
3.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAN0
774000.00000000
PA
USD
521420.77000000
0.173492239916
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
3.77000000
N
N
N
N
N
N
HOLCIM STERLING FINANCE
529900KU5LFL22MEGK07
Holcim Sterling Finance Netherlands BV
000000000
100000.00000000
PA
85087.80000000
0.028311248536
Long
DBT
CORP
NL
N
2
2034-04-04
Fixed
2.25000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZR7
885000.00000000
PA
USD
825076.65000000
0.274527606775
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
5.11000000
N
N
N
N
N
N
F-BRASILE SPA/F-BRASILE
N/A
F-Brasile SpA / F-Brasile US LLC
30191BAB7
725000.00000000
PA
USD
589062.50000000
0.195998660689
Long
DBT
CORP
IT
Y
2
2026-08-15
Fixed
7.38000000
N
N
N
N
N
N
MGM CHINA HOLDINGS LTD
529900VZFN87OS7WJM66
MGM China Holdings Ltd
55300RAG6
234000.00000000
PA
USD
204820.20000000
0.068149788659
Long
DBT
CORP
KY
Y
2
2027-02-01
Fixed
4.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
139000.00000000
PA
USD
118904.04000000
0.039562920047
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-6998.82000000
-0.00232871613
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
192771.06000000
EUR
194403.50000000
USD
2023-01-20
-6998.82000000
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAP9
345000.00000000
PA
USD
296044.50000000
0.098502833747
Long
DBT
CORP
CA
Y
2
2029-08-15
Fixed
4.38000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-690.52000000
-0.00022975659
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
18285.60000000
EUR
18413.81000000
USD
2023-01-20
-690.52000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-19080.32000000
-0.00634859147
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
225176.83000000
GBP
252774.73000000
USD
2023-01-20
-19080.32000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-14021.91000000
-0.00466550761
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2921881.32000000
USD
3908417.44000000
CAD
2023-01-20
-14021.91000000
N
N
N
CREDIT ACCEPTANC
N/A
Credit Acceptance Corp
225310AN1
640000.00000000
PA
USD
602297.36000000
0.200402293299
Long
DBT
CORP
US
Y
2
2024-12-31
Fixed
5.13000000
N
N
N
N
N
N
Republic of Paraguay
529900UXKJTJPCU0HK83
Paraguay Government International Bond
699149AH3
1150000.00000000
PA
USD
966000.00000000
0.321417007916
Long
DBT
NUSS
PY
Y
2
2050-03-30
Fixed
5.40000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0526C1
650000.00000000
PA
USD
657378.91000000
0.218729567618
Long
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
5.50000000
N
N
N
N
N
N
TENGIZCHEVROIL FIN CO IN
5493001VEV2XTJIBZH31
Tengizchevroil Finance Co International Ltd
000000000
987000.00000000
PA
USD
838950.00000000
0.279143684049
Long
DBT
CORP
BM
N
2
2026-08-15
Fixed
4.00000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 Multifamily Housing Mortgage Loan Trust
55282XAJ9
755000.00000000
PA
USD
703896.32000000
0.234207297161
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
6.48000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
92.59000000
0.000030807454
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
30000.00000000
EUR
31435.83000000
USD
2023-01-20
92.59000000
N
N
N
CLARIV SCI HLD CORP
N/A
Clarivate Science Holdings Corp
18064PAD1
770000.00000000
PA
USD
659312.50000000
0.219372930675
Long
DBT
CORP
US
Y
2
2029-07-01
Fixed
4.88000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B18 Mortgage Trust
08163AAF0
3382974.35000000
PA
USD
270552.36000000
0.090020838546
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Variable
1.91000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
000000000
100000.00000000
PA
110699.03000000
0.036832868531
Long
DBT
CORP
US
N
2
2034-11-15
Fixed
4.75000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AF4
119000.00000000
PA
USD
102196.41000000
0.034003793294
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
3580.99000000
0.001191502164
N/A
DFE
NZ
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
220805.68000000
USD
355838.14000000
NZD
2023-01-20
3580.99000000
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
Virgin Media Finance PLC
92769VAJ8
1000000.00000000
PA
USD
832100.00000000
0.276864484769
Long
DBT
CORP
GB
Y
2
2030-07-15
Fixed
5.00000000
N
N
N
N
N
N
VGP NV
315700NENYPIXFR94T49
VGP NV
000000000
100000.00000000
PA
69245.34000000
0.023039989642
Long
DBT
CORP
BE
N
2
2029-04-08
Fixed
1.50000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2137142.89000000
-0.71109117307
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
35592560.58000000
EUR
35049062.18000000
USD
2023-01-20
-2137142.89000000
N
N
N
Teleflex Inc
UUL85LWXB4NGSWWXIQ25
Teleflex Inc
879369AF3
995000.00000000
PA
USD
940613.30000000
0.312970095748
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
4.63000000
N
N
N
N
N
N
PBF HOLDING CO LLC
N/A
PBF Holding Co LLC / PBF Finance Corp
69318FAJ7
355000.00000000
PA
USD
324029.80000000
0.107814377631
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp
000000000
140000.00000000
PA
112395.21000000
0.037397238201
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.25000000
N
N
N
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20338HAB9
937000.00000000
PA
USD
714762.34000000
0.237822746060
Long
DBT
CORP
US
Y
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
SRS DISTRIBUTION INC
549300ZQ3XP75BCYM468
SRS Distribution Inc
78471RAC0
685000.00000000
PA
USD
568151.65000000
0.189040997294
Long
DBT
CORP
US
Y
2
2029-07-01
Fixed
6.13000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BM3
49975000.00000000
PA
1084388.35000000
0.360808342522
Long
DBT
NUSS
UY
N
2
2031-05-21
Fixed
8.25000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-453355.30000000
-0.15084482820
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
7914413068.00000000
KRW
5557210.92000000
USD
2023-02-02
-453355.30000000
N
N
N
IAMGOLD CORP
254900E7II30XAB9LA72
IAMGOLD Corp
450913AF5
565000.00000000
PA
USD
400688.32000000
0.133320953335
Long
DBT
CORP
CA
Y
2
2028-10-15
Fixed
5.75000000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAK8
528000.00000000
PA
USD
510202.23000000
0.169759497100
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
4.25000000
N
N
N
N
N
N
ADVANTAGE SALES & MARKET
549300T4O24KQDED1182
Advantage Sales & Marketing Inc
00775PAA5
587000.00000000
PA
USD
459515.34000000
0.152894457220
Long
DBT
CORP
US
Y
2
2028-11-15
Fixed
6.50000000
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAC9
455000.00000000
PA
USD
420312.60000000
0.139850536523
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
4.75000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
7856.54000000
0.002614105154
N/A
DFE
CN
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
364714.09000000
USD
2615000.00000000
CNY
2023-01-20
7856.54000000
N
N
N
Starwood Commercial Mortgage Trust
N/A
STWD 2021-FL2 Ltd
78486BAG9
100000.00000000
PA
USD
92554.24000000
0.030795555787
Long
ABS-CBDO
CORP
KY
Y
2
2038-04-18
Floating
6.01000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-8990.54000000
-0.00299142077
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
162322000.00000000
KRW
114190.64000000
USD
2023-01-13
-8990.54000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-4435.33000000
-0.00147576656
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
10059607.00000000
JPY
68887.33000000
USD
2023-01-20
-4435.33000000
N
N
N
CONTOURGLOBAL POWER HLDG
549300O5AGIFK0PQ1516
ContourGlobal Power Holdings SA
000000000
280000.00000000
PA
254947.01000000
0.084828473221
Long
DBT
CORP
LU
Y
2
2026-01-01
Fixed
2.75000000
N
N
N
N
N
N
LEVIATHAN BOND LTD
254900D9T8VKYVQNZ220
Leviathan Bond Ltd
000000000
679000.00000000
PA
USD
666271.47000000
0.221688387523
Long
DBT
CORP
IL
Y
2
2025-06-30
Fixed
6.13000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBL8
204000.00000000
PA
USD
167783.04000000
0.055826421010
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.55000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBK6
133000.00000000
PA
USD
108066.51000000
0.035956950621
Long
DBT
CORP
US
Y
2
2033-04-15
Fixed
3.42000000
N
N
N
N
N
N
STORE CAPITAL CORP
5493004EA6C9IHDZ7N66
STORE Capital Corp
862121AC4
313000.00000000
PA
USD
244078.75000000
0.081212279007
Long
DBT
CORP
US
N
2
2030-11-18
Fixed
2.75000000
N
N
N
N
N
N
MIWD HLDCO II/MIWD FIN
N/A
MIWD Holdco II LLC / MIWD Finance Corp
55337PAA0
500000.00000000
PA
USD
410000.00000000
0.136419226962
Long
DBT
CORP
US
Y
2
2030-02-01
Fixed
5.50000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
1470000.00000000
PA
1452568.66000000
0.483312911481
Long
DBT
NUSS
GR
Y
2
2027-04-22
Fixed
2.00000000
N
N
N
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AF3
544000.00000000
PA
USD
498477.76000000
0.165858416286
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.38000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTZU4
731897.00000000
PA
USD
79262.40000000
0.026372964232
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.99000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-7185.94000000
-0.00239097653
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
199728.00000000
EUR
201484.81000000
USD
2023-01-20
-7185.94000000
N
N
N
ARGENTUM (ZURICH INS)
50ZCTKCMUDIABGHX3R52
Argentum Netherlands BV for Zurich Insurance Co Ltd
000000000
100000.00000000
PA
91799.45000000
0.030544414645
Long
DBT
CORP
NL
N
2
2049-02-19
Fixed
2.75000000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
000000000
100000.00000000
PA
107594.30000000
0.035799832272
Long
DBT
CORP
IE
N
2
2029-02-16
Fixed
5.75000000
N
N
N
N
N
N
ENBW INTL FINANCE BV
724500CNCIO1ZTJ0X675
EnBW International Finance BV
000000000
30000.00000000
PA
31831.31000000
0.010591226105
Long
DBT
CORP
NL
N
2
2029-11-22
Fixed
4.05000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
3214000.00000000
PA
3537750.16000000
1.177114980522
Long
DBT
NUSS
GB
N
2
2027-07-22
Fixed
1.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4BT6
2699427.00000000
PA
USD
104258.89000000
0.034690041897
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Variable
0.63000000
N
N
N
N
N
N
CTP NV
3157000YTVO4TN65UM14
CTP NV
000000000
100000.00000000
PA
62505.93000000
0.020797586954
Long
DBT
CORP
NL
N
2
2031-09-27
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5C8
49548.14000000
PA
USD
44771.86000000
0.014896933002
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
3.00000000
N
N
N
N
N
N
3650R Commercial Mortgage Trust
N/A
3650R 2021-PF1 Commercial Mortgage Trust
88581EAF8
3789104.15000000
PA
USD
225913.97000000
0.075168314993
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Variable
1.14000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAE5
155000.00000000
PA
USD
134300.99000000
0.044685944478
Long
DBT
CORP
US
Y
2
2030-08-15
Fixed
4.13000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
1425000.00000000
PA
USD
1200562.50000000
0.399462946757
Long
DBT
CORP
US
Y
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Senegal Government International Bond
000000000
247000.00000000
PA
USD
206245.00000000
0.068623862109
Long
DBT
NUSS
SN
N
2
2033-05-23
Fixed
6.25000000
N
N
N
N
N
N
BANK LEUMI LE-ISRAEL
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
000000000
846000.00000000
PA
USD
836457.12000000
0.278314228531
Long
DBT
CORP
IL
Y
2
2027-07-27
Fixed
5.13000000
N
N
N
N
N
N
ENEL SPA
WOCMU6HCI0OJWNPRZS33
Enel SpA
000000000
100000.00000000
PA
89407.21000000
0.029748445056
Long
DBT
CORP
IT
N
2
2026-12-10
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MMK64
424999.49000000
PA
USD
350740.63000000
0.116701867339
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.00000000
N
N
N
N
N
N
MFS Institutional Money Market Portfolio
5L2W638H85N8T1136O07
MFS Institutional Money Market Portfolio
55291X109
8308770.89500000
NS
USD
8308770.90000000
2.764575861434
Long
STIV
RF
US
N
1
N
N
N
MATCH GROUP HLD II LLC
5493003RFFE030RC9167
Match Group Holdings II LLC
57665RAN6
910000.00000000
PA
USD
813903.48000000
0.270809959911
Long
DBT
CORP
US
Y
2
2028-06-01
Fixed
4.63000000
N
N
N
N
N
N
CROATIA
74780000O00QGQ7CER13
Croatia Government International Bond
000000000
344000.00000000
PA
280875.63000000
0.093455698334
Long
DBT
NUSS
HR
N
2
2033-03-04
Fixed
1.13000000
N
N
N
N
N
N
Verscend Escrow Corp
N/A
Verscend Escrow Corp
92535WAA8
700000.00000000
PA
USD
700161.00000000
0.232964444803
Long
DBT
CORP
US
Y
2
2026-08-15
Fixed
9.75000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
146.11000000
0.000048615154
N/A
DFE
N/A
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
2717.15000000
USD
2740.55000000
EUR
2023-01-20
146.11000000
N
N
N
ILIAD HOLDING SAS
9695009PXA7OI9NXN582
Iliad Holding SASU
449691AC8
1012000.00000000
PA
USD
955338.12000000
0.317869482483
Long
DBT
CORP
FR
Y
2
2028-10-15
Fixed
7.00000000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta Issuer LLC
12530MAA3
91436.14000000
PA
USD
80931.97000000
0.026928479960
Long
ABS-O
CORP
US
Y
2
2060-07-15
Fixed
1.69000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0526C7
100000.00000000
PA
USD
101186.00000000
0.033667599754
Long
ABS-MBS
USGA
US
N
2
2052-12-20
Fixed
5.50000000
N
N
N
N
N
N
TELENET FINANCE LUX NOTE
2138007RI9GLJPCC3E25
Telenet Finance Luxembourg Notes Sarl
000000000
1400000.00000000
PA
USD
1253700.00000000
0.417143377666
Long
DBT
CORP
LU
Y
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
CANPACK SA/CANPACK US
N/A
Canpack SA / Canpack US LLC
13805AAA5
350000.00000000
PA
USD
301000.00000000
0.100151676379
Long
DBT
CORP
N/A
Y
2
2025-11-01
Fixed
3.13000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
549.81000000
0.000182938183
N/A
DFE
N/A
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
150033.56000000
USD
144130.00000000
EUR
2023-01-20
549.81000000
N
N
N
CONSOLIDATED ENERGY FIN
549300PUNIS0USNSL750
Consolidated Energy Finance SA
20914UAF3
700000.00000000
PA
USD
611625.00000000
0.203505877295
Long
DBT
CORP
LU
Y
2
2028-10-15
Fixed
5.63000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAL8
985000.00000000
PA
USD
845036.43000000
0.281168820819
Long
DBT
CORP
CA
Y
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229BD7
474000.00000000
PA
USD
465705.00000000
0.154953941689
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
6.63000000
N
N
N
N
N
N
BANCO RESERVAS REP DOMIN
549300CKQT0JZ2EGNC56
Banco De Reservas De La Republica Dominicana Banco De Servicios Multiples SA
000000000
1074000.00000000
PA
USD
1071315.00000000
0.356458449106
Long
DBT
CORP
DO
N
2
2023-02-01
Fixed
7.00000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AG6
540000.00000000
PA
USD
449832.15000000
0.149672571136
Long
DBT
CORP
US
Y
2
2029-03-15
Fixed
3.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
234955.30000000
0.078176635114
N/A
DFE
SG
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
5031931.90000000
USD
7164666.92000000
SGD
2023-01-20
234955.30000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-28958.60000000
-0.00963538981
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
346807.26000000
GBP
389740.37000000
USD
2023-01-20
-28958.60000000
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
857524AE2
72000.00000000
PA
USD
75916.80000000
0.025259783340
Long
DBT
NUSS
PL
N
2
2032-11-16
Fixed
5.75000000
N
N
N
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAR5
212000.00000000
PA
USD
204151.34000000
0.067927238990
Long
DBT
CORP
US
N
2
2027-03-26
Fixed
3.30000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3581.92000000
-0.00119181160
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
99614.00000000
EUR
100492.26000000
USD
2023-01-20
-3581.92000000
N
N
N
ORYX FUNDING LTD
549300S728CF0BBRC295
Oryx Funding Ltd
67114NAA9
200000.00000000
PA
USD
188600.00000000
0.062752844402
Long
DBT
CORP
KY
Y
2
2031-02-03
Fixed
5.80000000
N
N
N
N
N
N
APA INFRASTRUCTURE LTD
261700SS8OEHDOCOUJ33
APA Infrastructure Ltd
000000000
110000.00000000
PA
93633.19000000
0.031154554628
Long
DBT
CORP
AU
N
2
2029-03-15
Fixed
0.75000000
N
N
N
N
N
N
PRIMO WATER HOLDINGS INC
9845008F9A5F2E1D4832
Primo Water Holdings Inc
74168LAA4
912000.00000000
PA
USD
788113.92000000
0.262229004207
Long
DBT
CORP
US
Y
2
2029-04-30
Fixed
4.38000000
N
N
N
N
N
N
GRAND CITY PROPERTIES SA
5299002QLUYKK2WBMB18
Grand City Properties SA
000000000
100000.00000000
PA
45794.73000000
0.015237272355
Long
DBT
CORP
LU
N
2
2026-03-11
Fixed
1.50000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAG1
375000.00000000
PA
USD
337500.00000000
0.112296314877
Long
DBT
CORP
KY
Y
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-16921.51000000
-0.00563029100
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
376307.55000000
GBP
437393.03000000
USD
2023-01-20
-16921.51000000
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2021-FL7 Issuer Ltd
05602CAE4
100000.00000000
PA
USD
92678.00000000
0.030836734430
Long
ABS-CBDO
CORP
KY
Y
2
2038-12-15
Floating
5.93000000
N
N
N
N
N
N
PEACH PROPERTY FINANCE
5299006REENAMLK8A121
Peach Property Finance GmbH
000000000
225000.00000000
PA
168816.03000000
0.056170127589
Long
DBT
CORP
DE
Y
2
2025-11-15
Fixed
4.38000000
N
N
N
N
N
N
COMMERZBANK AG
851WYGNLUQLFZBSYGB56
Commerzbank AG
000000000
200000.00000000
PA
204521.62000000
0.068050442189
Long
DBT
CORP
DE
N
2
2028-03-21
Fixed
4.63000000
N
N
N
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AB3
670000.00000000
PA
USD
604608.00000000
0.201171112135
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
9.75000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAZ8
150000.00000000
PA
USD
110033.97000000
0.036611583236
Long
DBT
CORP
IE
N
2
2041-10-29
Fixed
3.85000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAA3
855000.00000000
PA
USD
795304.52000000
0.264621531264
Long
DBT
CORP
US
Y
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AX4
193000.00000000
PA
USD
182361.36000000
0.060677062826
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.50000000
N
N
N
N
N
N
LSF11 A5 HOLDCO LLC
254900FPK7P5WNA66Y10
LSF11 A5 HoldCo LLC
50221DAA7
678000.00000000
PA
USD
558204.18000000
0.185731177373
Long
DBT
CORP
US
Y
2
2029-10-15
Fixed
6.63000000
N
N
N
N
N
N
CREDIT LOGEMENT SA
969500FYPDQY3Y12Z881
Credit Logement SA
000000000
100000.00000000
PA
84111.70000000
0.027986470957
Long
DBT
CORP
FR
N
2
2034-02-15
Fixed
1.08000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
000000000
100000.00000000
PA
81000.31000000
0.026951218716
Long
DBT
NUSS
MA
N
2
2030-09-30
Fixed
2.00000000
N
N
N
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings Inc
50212YAF1
260000.00000000
PA
USD
223525.62000000
0.074373639723
Long
DBT
CORP
US
Y
2
2031-05-15
Fixed
4.38000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
55735.07000000
0.018544719912
N/A
DFE
SE
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
730831.10000000
USD
8231141.67000000
SEK
2023-01-20
55735.07000000
N
N
N
WEEKLEY HOMES LLC/ FINAN
N/A
Weekley Homes LLC / Weekley Finance Corp
948565AD8
543000.00000000
PA
USD
440091.12000000
0.146431439959
Long
DBT
CORP
US
Y
2
2028-09-15
Fixed
4.88000000
N
N
N
N
N
N
INTERNATIONAL GAME TECH
549300UQ6KHRCZDRGZ76
International Game Technology PLC
460599AD5
225000.00000000
PA
USD
223593.75000000
0.074396308606
Long
DBT
CORP
GB
Y
2
2027-01-15
Fixed
6.25000000
N
N
N
N
N
N
SWITCH LTD
5493002D70VTFFLT8L43
Switch Ltd
87105NAA8
601000.00000000
PA
USD
605869.74000000
0.201590930660
Long
DBT
CORP
US
Y
2
2028-09-15
Fixed
3.75000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AT2
314000.00000000
PA
USD
299091.60000000
0.099516694787
Long
DBT
CORP
CA
Y
2
2027-10-15
Fixed
6.88000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BK7
340000.00000000
PA
USD
281724.45000000
0.093738126062
Long
DBT
CORP
LR
Y
2
2027-07-15
Fixed
5.38000000
N
N
N
N
N
N
LANDSBANKINN HF
549300TLZPT6JELDWM92
Landsbankinn HF
000000000
100000.00000000
PA
89063.00000000
0.029633916124
Long
DBT
CORP
IS
N
2
2025-05-23
Fixed
0.38000000
N
N
N
N
N
N
MERCEDES-BENZ CA FIN INC
549300G6QKWRPOX3M965
Mercedes-Benz Finance Canada Inc
000000000
60000.00000000
PA
62257.81000000
0.020715030030
Long
DBT
CORP
CA
N
2
2027-02-23
Fixed
3.00000000
N
N
N
N
N
N
IQVIA Inc
549300PLWY28YB00C717
IQVIA Inc
449934AD0
455000.00000000
PA
USD
437937.50000000
0.145714866360
Long
DBT
CORP
US
Y
2
2026-10-15
Fixed
5.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAL9
505000.00000000
PA
USD
435562.50000000
0.144924633033
Long
DBT
CORP
KY
N
2
2030-06-18
Fixed
4.88000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
200000.00000000
PA
USD
179028.50000000
0.059568120912
Long
DBT
CORP
US
Y
2
2028-02-01
Fixed
5.38000000
N
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
4549250000.00000000
PA
3113073.14000000
1.035812271310
Long
DBT
NUSS
KR
N
2
2029-06-10
Fixed
1.88000000
N
N
N
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAQ7
77000.00000000
PA
USD
67172.08000000
0.022350154212
Long
DBT
CORP
US
N
2
2050-03-26
Fixed
3.85000000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA Communications Corp
78410GAG9
1060000.00000000
PA
USD
884948.22000000
0.294448663596
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.13000000
N
N
N
N
N
N
VONOVIA SE
5299005A2ZEP6AP7KM81
Vonovia SE
000000000
100000.00000000
PA
58024.69000000
0.019306544767
Long
DBT
CORP
DE
N
2
2051-09-01
Fixed
1.63000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
000000000
428000.00000000
PA
403522.09000000
0.134263833122
Long
DBT
NUSS
MA
N
2
2026-03-30
Fixed
1.38000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AH0
160000.00000000
PA
USD
122662.34000000
0.040813418537
Long
DBT
CORP
US
Y
2
2031-01-15
Fixed
3.38000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-5020.56000000
-0.00167049003
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
99784.00000000
EUR
99231.23000000
USD
2023-01-20
-5020.56000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
84000.00000000
PA
USD
59314.00000000
0.019735536653
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAL9
389000.00000000
PA
USD
341436.24000000
0.113606019311
Long
DBT
CORP
US
Y
2
2029-02-15
Fixed
3.88000000
N
N
N
N
N
N
TMS INTERNATIONAL CORP
549300L4K0F1YF8WKF23
TMS International Corp/DE
87261QAC7
170000.00000000
PA
USD
121616.62000000
0.040465476307
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
6.25000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-27594.72000000
-0.00918158626
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
474389.30000000
GBP
545133.51000000
USD
2023-01-20
-27594.72000000
N
N
N
ALBION FINANCING 1SARL /
N/A
Albion Financing 1 SARL / Aggreko Holdings Inc
013304AA8
200000.00000000
PA
USD
177310.00000000
0.058996324714
Long
DBT
CORP
LU
Y
2
2026-10-15
Fixed
6.13000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
8282.51000000
0.002755838076
N/A
DFE
N/A
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
199200.06000000
USD
198590.74000000
EUR
2023-01-20
8282.51000000
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
000000000
220000.00000000
PA
170554.35000000
0.056748518492
Long
DBT
CORP
N/A
Y
2
2029-09-01
Fixed
3.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
1246.76000000
0.000414834232
N/A
DFE
TH
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
505479.89000000
USD
17719597.71000000
THB
2023-02-21
1246.76000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
66398.07000000
0.022092618002
N/A
DFE
N/A
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
2279535.66000000
USD
2245396.87000000
EUR
2023-01-20
66398.07000000
N
N
N
XCEL ENERGY INC
LGJNMI9GH8XIDG5RCM61
Xcel Energy Inc
98388MAD9
46000.00000000
PA
USD
44218.17000000
0.014712703827
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.60000000
N
N
N
N
N
N
AUST & NZ BANKING GROUP
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd
052528AM8
152000.00000000
PA
USD
110862.21000000
0.036887163384
Long
DBT
CORP
AU
Y
2
2035-11-25
Fixed
2.57000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
000000000
100000.00000000
PA
107329.57000000
0.035711748706
Long
DBT
CORP
GB
N
2
2032-11-16
Fixed
6.36000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
40099.04000000
0.013342146435
N/A
DFE
CA
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
1688728.16000000
USD
2323695.00000000
CAD
2023-01-20
40099.04000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401WV48
22886.57000000
PA
USD
23869.57000000
0.007942117773
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
APA INFRASTRUCTURE LTD
261700SS8OEHDOCOUJ33
APA Infrastructure Ltd
000000000
100000.00000000
PA
80721.66000000
0.026858503552
Long
DBT
CORP
AU
N
2
2036-03-15
Fixed
2.50000000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BV2
427000.00000000
PA
USD
419523.23000000
0.139587889584
Long
DBT
CORP
CA
Y
2
2026-06-15
Fixed
7.13000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
000000000
300000.00000000
PA
USD
275424.76000000
0.091642031330
Long
DBT
NUSS
GT
N
2
2050-06-01
Fixed
6.13000000
N
N
N
N
N
N
BELFIUS BANK SA/NV
A5GWLFH3KM7YV2SFQL84
Belfius Bank SA
000000000
200000.00000000
PA
163827.91000000
0.054510431310
Long
DBT
CORP
BE
N
2
2034-04-06
Fixed
1.25000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
7175.76000000
0.002387589346
N/A
DFE
N/A
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
196152.56000000
USD
194614.52000000
EUR
2023-01-20
7175.76000000
N
N
N
MARRIOTT OWNERSHIP RESOR
BW4532OH033VURR0IT68
Marriott Ownership Resorts Inc
57164PAH9
365000.00000000
PA
USD
307505.91000000
0.102316386655
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
4.50000000
N
N
N
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
000000000
600000.00000000
PA
USD
563618.85000000
0.187532799557
Long
DBT
CORP
CL
N
2
2026-08-05
Fixed
3.75000000
N
N
N
N
N
N
CLARIV SCI HLD CORP
N/A
Clarivate Science Holdings Corp
18064PAC3
200000.00000000
PA
USD
179756.00000000
0.059810181858
Long
DBT
CORP
US
Y
2
2028-07-01
Fixed
3.88000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) DEC22
000000000
-6.00000000
NC
-14838.15000000
-0.00493709500
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
TSE Japanese 10 Year Bond Futures
JBZ2 Comdty
2022-12-13
-890271000.00000000
JPY
-14838.15000000
N
N
N
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
120646.85000000
0.040142804908
N/A
DFE
NZ
N
2
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
1320657.08000000
USD
2285656.81000000
NZD
2023-01-20
120646.85000000
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBL3
965000.00000000
PA
USD
492150.00000000
0.163752981828
Long
DBT
CORP
US
Y
2
2030-04-01
Fixed
6.13000000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta Issuer LLC
12530MAC9
91436.14000000
PA
USD
79793.26000000
0.026549597185
Long
ABS-O
CORP
US
Y
2
2060-07-15
Fixed
2.28000000
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
Mattel Inc
577081BE1
572000.00000000
PA
USD
525273.32000000
0.174774098191
Long
DBT
CORP
US
Y
2
2026-04-01
Fixed
3.38000000
N
N
N
N
N
N
WASTE CONNECTIONS INC
549300HDLRTPBQU69P29
Waste Connections Inc
94106BAF8
49000.00000000
PA
USD
46276.19000000
0.015397468455
Long
DBT
CORP
CA
N
2
2033-01-15
Fixed
4.20000000
N
N
N
N
N
N
INTERNATIONAL GAME TECH
549300UQ6KHRCZDRGZ76
International Game Technology PLC
460599AF0
1000000.00000000
PA
USD
941210.00000000
0.313168635633
Long
DBT
CORP
GB
Y
2
2026-04-15
Fixed
4.13000000
N
N
N
N
N
N
STATE OIL CO OF THE AZER
2549002HARR1VE257O76
State Oil Co of the Azerbaijan Republic
000000000
500000.00000000
PA
USD
505904.00000000
0.168329347798
Long
DBT
CORP
AZ
N
2
2030-03-18
Fixed
6.95000000
N
N
N
N
N
N
Navistar Financial Dealer Note Master Trust
549300S28N49H5RT4J50
Navistar Financial Dealer Note Master Owner Trust II
63938PBR9
103000.00000000
PA
USD
103134.70000000
0.034315990358
Long
ABS-O
CORP
US
Y
2
2027-05-25
Floating
4.64000000
N
N
N
N
N
N
MATCH GROUP HLD II LLC
5493003RFFE030RC9167
Match Group Holdings II LLC
57665RAL0
275000.00000000
PA
USD
229625.00000000
0.076403085344
Long
DBT
CORP
US
Y
2
2030-08-01
Fixed
4.13000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAJ4
285000.00000000
PA
USD
276169.86000000
0.091889948320
Long
DBT
CORP
US
Y
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
VIRGIN MONEY UK PLC
213800ZK9VGCYYR6O495
Virgin Money UK PLC
000000000
100000.00000000
PA
111238.84000000
0.037012479417
Long
DBT
CORP
GB
N
2
2030-12-11
Fixed
5.13000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
200000.00000000
PA
USD
149793.37000000
0.049840721315
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCP9
455000.00000000
PA
USD
394945.06000000
0.131409999458
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
1.47000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L6
61692CBK3
3116011.98000000
PA
USD
200763.72000000
0.066800076791
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
1.34000000
N
N
N
N
N
N
LIFE TIME INC
549300PALKE96VYH4X17
Life Time Inc
53190FAC9
170000.00000000
PA
USD
153518.00000000
0.051080016792
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
8.00000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAH9
788000.00000000
PA
USD
652653.12000000
0.217157156354
Long
DBT
CORP
KY
Y
2
2028-08-26
Fixed
5.63000000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
Altice France Holding SA
02156TAA2
1255000.00000000
PA
USD
841591.03000000
0.280022433491
Long
DBT
CORP
LU
Y
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAN4
255000.00000000
PA
USD
223336.65000000
0.074310763769
Long
DBT
CORP
CA
Y
2
2029-06-15
Fixed
4.75000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AL8
459000.00000000
PA
USD
363610.62000000
0.120984096819
Long
DBT
NUSS
MA
Y
2
2032-12-15
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-1031345.95000000
-0.34315955421
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
12148367.32000000
GBP
13635327.48000000
USD
2023-01-20
-1031345.95000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
16497.08000000
0.005489070489
N/A
DFE
BR
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
555521.53000000
USD
3003927.14000000
BRL
2023-02-02
16497.08000000
N
N
N
EXOR NV
5493002ENHZ6NYET7405
EXOR NV
000000000
100000.00000000
PA
90858.33000000
0.030231275955
Long
DBT
CORP
NL
N
2
2030-04-29
Fixed
2.25000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAX8
81000.00000000
PA
USD
73317.78000000
0.024395011878
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.75000000
N
N
N
N
N
N
BANK HAPOALIM
B6ARUI4946ST4S7WOU88
Bank Hapoalim BM
000000000
200000.00000000
PA
USD
170644.00000000
0.056778347721
Long
DBT
CORP
IL
Y
2
2032-01-21
Fixed
3.26000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CP2
45000.00000000
PA
USD
42843.79000000
0.014255406614
Long
DBT
CORP
US
N
2
2032-08-22
Fixed
4.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3VA2
24895.43000000
PA
USD
20566.04000000
0.006842934825
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS S A
N/A
INTELSAT JACKSON HOLDINGS S A
000000000
738.00000000
NS
USD
4243.50000000
0.001411938999
N/A
DE
LU
N
2
N/A
N/A
INTELSAT EMERGENCE SA
INTELSAT EMERGENCE SA
2025-12-05
XXXX
4243.50000000
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAS7
805000.00000000
PA
USD
651631.40000000
0.216817199640
Long
DBT
CORP
US
Y
2
2030-06-01
Fixed
4.63000000
N
N
N
N
N
N
TRIMAS CORP
75G1WUQ8QK4P5MZOYD78
TriMas Corp
896215AH3
1926000.00000000
PA
USD
1641915.00000000
0.546314085459
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
4.13000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
12162.07000000
0.004046683384
N/A
DFE
GB
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
305947.36000000
USD
263489.21000000
GBP
2023-01-20
12162.07000000
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26882PBE1
120000.00000000
PA
USD
130531.02000000
0.043431563031
Long
DBT
CORP
US
Y
2
2037-10-15
Fixed
7.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-5289.89000000
-0.00176010415
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
92310.97000000
GBP
106156.76000000
USD
2023-01-20
-5289.89000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5B0
98858.65000000
PA
USD
86917.64000000
0.028920090873
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XLH7
175000.00000000
PA
USD
174948.62000000
0.058210623167
Long
ABS-MBS
USGA
US
N
2
2052-11-20
Fixed
5.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-4479.49000000
-0.00149045990
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
50094.82000000
GBP
56015.18000000
USD
2023-01-30
-4479.49000000
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
Entegris Inc
29362UAC8
290000.00000000
PA
USD
256270.23000000
0.085268747975
Long
DBT
CORP
US
Y
2
2028-04-15
Fixed
4.38000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAB7
305000.00000000
PA
USD
107591.80000000
0.035799000447
Long
DBT
NUSS
GH
Y
2
2032-03-26
Fixed
8.13000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L5
61691YAP6
1032271.92000000
PA
USD
72440.82000000
0.024103221134
Long
ABS-MBS
CORP
US
N
2
2054-05-15
Variable
1.42000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE DEC22
000000000
-160.00000000
NC
288853.86000000
0.096110293381
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
CME 1 Year Mid-Curve 3 Month Eurodollar Option
OEZ2 Comdty
2022-12-08
-19482383.94000000
EUR
288853.86000000
N
N
N
PFP III
N/A
PFP 2021-7 Ltd
69290LAE7
212489.40000000
PA
USD
198022.70000000
0.065888057695
Long
ABS-CBDO
CORP
KY
Y
2
2038-04-14
Floating
5.30000000
N
N
N
N
N
N
SPCM SA
969500F7036FEDYPRV54
SPCM SA
7846ELAE7
705000.00000000
PA
USD
561356.25000000
0.186779965062
Long
DBT
CORP
FR
Y
2
2030-03-15
Fixed
3.38000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAJ2
3000.00000000
PA
USD
2621.80000000
0.000872351046
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.05000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-1669.61000000
-0.00055552903
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
706551.29000000
CNY
98995.88000000
USD
2023-01-20
-1669.61000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEF5
108000.00000000
PA
USD
79251.27000000
0.026369260949
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.25000000
N
N
N
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
Virgin Media Finance PLC
000000000
255000.00000000
PA
210637.22000000
0.070085284687
Long
DBT
CORP
GB
N
2
2030-07-15
Fixed
3.75000000
N
N
N
N
N
N
MOTION BONDCO DAC
635400KFD3IETNQLA755
Motion Bondco DAC
61978XAA5
630000.00000000
PA
USD
542182.72000000
0.180400359841
Long
DBT
CORP
IE
Y
2
2027-11-15
Fixed
6.63000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-1689.47000000
-0.00056213705
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
99604.00000000
GBP
118562.03000000
USD
2023-01-20
-1689.47000000
N
N
N
BANQUE OUEST AFRICAINE D
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
06675QAC7
1055000.00000000
PA
USD
865627.50000000
0.288020083872
Long
DBT
NUSS
N/A
Y
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
DT MIDSTREAM INC
N/A
DT Midstream Inc
23345MAB3
949000.00000000
PA
USD
818711.79000000
0.272409828041
Long
DBT
CORP
US
Y
2
2031-06-15
Fixed
4.38000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDP2
360000.00000000
PA
USD
341128.80000000
0.113503724855
Long
DBT
CORP
US
Y
2
2030-06-15
Fixed
6.13000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZN7
111000.00000000
PA
USD
84086.58000000
0.027978112784
Long
DBT
CORP
US
N
2
2043-02-24
Fixed
3.44000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR23
000000000
85.00000000
NC
USD
36492.03000000
0.012141986641
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUH3 Comdty
2023-03-31
17419054.93000000
USD
36492.03000000
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AC5
690000.00000000
PA
USD
638312.10000000
0.212385471324
Long
DBT
CORP
US
Y
2
2027-01-15
Fixed
4.63000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCK7
820000.00000000
PA
USD
665676.00000000
0.221490256896
Long
DBT
CORP
US
Y
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
03969YAB4
646000.00000000
PA
USD
516800.00000000
0.171954771937
Long
DBT
CORP
N/A
Y
2
2029-09-01
Fixed
4.00000000
N
N
N
N
N
N
PTC Inc
54930050SSMU8SKDJ030
PTC Inc
69370CAB6
305000.00000000
PA
USD
290745.15000000
0.096739581966
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
3.63000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-19618.62000000
-0.00652769993
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
8493959.65000000
CNY
1190553.43000000
USD
2023-01-20
-19618.62000000
N
N
N
TOLEDO HOSPITAL/THE
5493009DCR7NWV6K4T34
Toledo Hospital/The
889184AG2
142000.00000000
PA
USD
137300.01000000
0.045683807868
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
6.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402KJ21
3268.48000000
PA
USD
3306.78000000
0.001100264320
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.50000000
N
N
N
N
N
N
SC GAMES HOLDIN/US FINCO
N/A
Scientific Games Holdings LP/Scientific Games US FinCo Inc
80874DAA4
596000.00000000
PA
USD
501369.39000000
0.166820547820
Long
DBT
CORP
US
Y
2
2030-03-01
Fixed
6.63000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CF4
290000.00000000
PA
USD
213205.27000000
0.070939751506
Long
DBT
CORP
DE
N
2
2032-01-14
Fixed
3.73000000
N
N
N
N
N
N
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
6970.54000000
0.002319306532
N/A
DFE
GB
N
2
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
95987.95000000
USD
85280.25000000
GBP
2023-01-20
6970.54000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
28291000.00000000
PA
USD
17968100.42000000
5.978522851913
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.13000000
N
N
N
N
N
N
WHEEL PROS INC
N/A
Wheel Pros Inc
96289WAA7
318000.00000000
PA
USD
117029.50000000
0.038939204687
Long
DBT
CORP
US
Y
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
Michigan Finance Authority
54930022O46HOX5J1D14
MICHIGAN ST FIN AUTH REVENUE
59447TXX6
215000.00000000
PA
USD
170812.68000000
0.056834472587
Long
DBT
MUN
US
N
2
2040-12-01
Fixed
3.38000000
N
N
N
N
N
N
UNIVAR SOLUTIONS USA INC
5493008FTB9VZW6CVA82
Univar Solutions USA Inc/Washington
91337CAA4
342000.00000000
PA
USD
328904.82000000
0.109436442167
Long
DBT
CORP
US
Y
2
2027-12-01
Fixed
5.13000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR23
000000000
-484.00000000
NC
USD
-262209.42000000
-0.08724489360
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year US Treasury Note Future
FVH3 Comdty
2023-03-31
-52285822.07000000
USD
-262209.42000000
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAM1
430000.00000000
PA
USD
417656.85000000
0.138966889299
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.88000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 Multifamily Housing Mortgage Loan Trust
55282XAG5
213000.00000000
PA
USD
198036.11000000
0.065892519602
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
5.68000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
000000000
100000.00000000
PA
105948.49000000
0.035252222204
Long
DBT
CORP
GB
N
2
2032-09-21
Fixed
4.75000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDT6
38000.00000000
PA
USD
31458.30000000
0.010467114555
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
3.50000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JX21
320000.00000000
PA
USD
237056.00000000
0.078875600650
Long
DBT
NUSS
EG
Y
2
2032-01-15
Fixed
7.05000000
N
N
N
N
N
N
LoanCore 2021-CRE5 Issuer, Ltd
N/A
LoanCore 2021-CRE5 Issuer Ltd
53947XAE2
375000.00000000
PA
USD
347703.71000000
0.115691393488
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
5.63000000
N
N
N
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
CS100052 MFS
000000000
12030000.00000000
NC
36142.81000000
0.012025790732
N/A
DCR
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Call
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
12030000.00000000
OU
Notional Amount
N/A
36142.81000000
0.01000000
DCR
US
iTraxx Europe S38
2I666VDB8
sell protection
2027-12-20
0.00000000
N/A
0.00000000
N/A
12030000.00000000
EUR
1.00000000
9000.00000000
EUR
2023-02-15
XXXX
17918.46000000
N
N
N
Acres PLC
N/A
ACRES Commercial Realty 2021-FL2 Ltd
00500JAE3
261500.00000000
PA
USD
247455.31000000
0.082335761214
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-15
Floating
6.16000000
N
N
N
N
N
N
Fair Isaac Corp
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250AE4
1330000.00000000
PA
USD
1318236.15000000
0.438616479359
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
5.25000000
N
N
N
N
N
N
Bank
N/A
BANK 2021-BNK34
06541JAR2
998253.28000000
PA
USD
56759.98000000
0.018885738034
Long
ABS-MBS
CORP
US
N
2
2063-06-15
Variable
1.09000000
N
N
N
N
N
N
TERRAFORM POWER OPERATIN
5493000S2OLR3UT5BE13
TerraForm Power Operating LLC
88104LAG8
445000.00000000
PA
USD
400500.00000000
0.133258293655
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
4.75000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTG43
845640.00000000
PA
USD
90537.01000000
0.030124363209
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.92000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZG2
2034877.00000000
PA
USD
219337.36000000
0.072980080720
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.91000000
N
N
N
N
N
N
ALBION FINANCING 1SARL /
N/A
Albion Financing 1 SARL / Aggreko Holdings Inc
000000000
250000.00000000
PA
231886.80000000
0.077155653655
Long
DBT
CORP
LU
N
2
2026-10-15
Fixed
5.25000000
N
N
N
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAA9
955000.00000000
PA
USD
859480.90000000
0.285974926749
Long
DBT
CORP
US
Y
2
2028-04-30
Fixed
4.13000000
N
N
N
N
N
N
LEGACY LIFEPOINT HEALTH
N/A
Legacy LifePoint Health LLC
53219LAS8
255000.00000000
PA
USD
211384.06000000
0.070333780627
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
4.38000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
245000.00000000
PA
157460.37000000
0.052391760860
Long
DBT
NUSS
GR
N
2
2052-01-24
Fixed
1.88000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
569000.00000000
PA
571824.33000000
0.190263007456
Long
DBT
NUSS
ES
N
2
2032-10-31
Fixed
2.55000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-1684.12000000
-0.00056035694
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
105738337.00000000
KRW
78557.46000000
USD
2023-01-13
-1684.12000000
N
N
N
TELEFONAKTIEBOLAGET LM E
549300W9JLPW15XIFM52
Telefonaktiebolaget LM Ericsson
000000000
140000.00000000
PA
110851.54000000
0.036883613157
Long
DBT
CORP
SE
N
2
2029-05-26
Fixed
1.00000000
N
N
N
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAK9
519000.00000000
PA
USD
431366.85000000
0.143528615156
Long
DBT
NUSS
NG
Y
2
2031-01-21
Fixed
8.75000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp
000000000
242000.00000000
PA
194283.15000000
0.064643797889
Long
DBT
CORP
US
Y
2
2031-08-15
Fixed
2.25000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
172176.97000000
0.057288412556
N/A
DFE
AU
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
3854291.07000000
USD
5919769.78000000
AUD
2023-01-20
172176.97000000
N
N
N
Southwestern Energy Co
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AL3
44200.00000000
PA
USD
43758.00000000
0.014559591544
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
5.70000000
N
N
N
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
3061.23000000
0.001018562512
N/A
DFE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
14215246.00000000
TWD
466992.31000000
USD
2023-03-01
3061.23000000
N
N
N
TRINET GROUP INC
5299003FJVBETSFKE990
TriNet Group Inc
896288AA5
1575000.00000000
PA
USD
1309218.75000000
0.435616121463
Long
DBT
CORP
US
Y
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
COVESTRO AG
3912005AWHKLQ1CPLV11
Covestro AG
000000000
100000.00000000
PA
105469.81000000
0.035092951092
Long
DBT
CORP
DE
N
2
2028-11-15
Fixed
4.75000000
N
N
N
N
N
N
ELEMENT SOLUTIONS INC
549300FLGN6P5CU20J91
Element Solutions Inc
28618MAA4
925000.00000000
PA
USD
790560.50000000
0.263043054334
Long
DBT
CORP
US
Y
2
2028-09-01
Fixed
3.88000000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332BB7
48000.00000000
PA
USD
47074.82000000
0.015663196472
Long
DBT
CORP
US
N
2
2032-08-01
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W2A6
1153.39000000
PA
USD
1187.71000000
0.000395186536
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.50000000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AC7
192000.00000000
PA
USD
181507.79000000
0.060393054632
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.95000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2020-C7
05492VAG0
1981938.73000000
PA
USD
146133.10000000
0.048622840330
Long
ABS-MBS
CORP
US
N
2
2053-04-15
Variable
1.74000000
N
N
N
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAJ2
1160000.00000000
PA
USD
1133493.33000000
0.377147033770
Long
DBT
CORP
NL
Y
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
ARION BANKI HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
140000.00000000
PA
140787.28000000
0.046844126594
Long
DBT
CORP
IS
N
2
2024-12-21
Fixed
4.88000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBM3
227000.00000000
PA
USD
197820.45000000
0.065820763088
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.55000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-83363.67000000
-0.02773757906
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1292681.32000000
EUR
1267197.01000000
USD
2023-01-20
-83363.67000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AM2
189000.00000000
PA
USD
173043.25000000
0.057576649746
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.38000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
386277.66000000
0.128526097000
N/A
DFE
NZ
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
3612279.43000000
USD
6341014.57000000
NZD
2023-01-20
386277.66000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4SM3
659754.00000000
PA
USD
26405.60000000
0.008785930584
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Variable
0.66000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND DEC22
000000000
41.00000000
NC
119990.38000000
0.039924377762
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex 30 Year Euro BUXL Futures
UBZ2 Comdty
2022-12-08
6374991.16000000
EUR
119990.38000000
N
N
N
MATCH GROUP HLD II LLC
5493003RFFE030RC9167
Match Group Holdings II LLC
57665RAG1
660000.00000000
PA
USD
613319.50000000
0.204069687978
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
5.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
12686.09000000
0.004221040465
N/A
DFE
N/A
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
314001.83000000
USD
312687.45000000
EUR
2023-01-20
12686.09000000
N
N
N
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-7513.37000000
-0.00249992226
N/A
DFE
US
N
2
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
86344.80000000
GBP
96730.35000000
USD
2023-01-20
-7513.37000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
491.16000000
0.000163423579
N/A
DFE
N/A
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
16475.56000000
USD
16239.60000000
EUR
2023-01-20
491.16000000
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
45434M2C5
800000.00000000
PA
USD
657700.46000000
0.218836556893
Long
DBT
CORP
IN
N
2
2031-02-10
Fixed
2.80000000
N
N
N
N
N
N
HOWARD HUGHES CORP
549300BVHY25JZC1KI49
Howard Hughes Corp/The
44267DAE7
939000.00000000
PA
USD
774327.99000000
0.257642014174
Long
DBT
CORP
US
Y
2
2029-02-01
Fixed
4.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XLF1
49995.00000000
PA
USD
47743.64000000
0.015885732832
Long
ABS-MBS
USGA
US
N
2
2052-11-20
Fixed
4.00000000
N
N
N
N
N
N
NEW ENTERPRISE STONE & L
549300O5DQ5Y61B8VF38
New Enterprise Stone & Lime Co Inc
644274AH5
260000.00000000
PA
USD
235300.00000000
0.078291327083
Long
DBT
CORP
US
Y
2
2028-07-15
Fixed
5.25000000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
085209AJ3
560000.00000000
PA
USD
539032.93000000
0.179352330775
Long
DBT
NUSS
BM
Y
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F62R7
455646.00000000
PA
USD
33347.14000000
0.011095587951
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
1.26000000
N
N
N
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAJ7
200000.00000000
PA
USD
185608.90000000
0.061757616232
Long
DBT
CORP
IT
Y
2
2029-05-09
Fixed
4.25000000
N
N
N
N
N
N
PENSKE AUTOMOTIVE GROUP
549300W7UTQ0M4C7LB15
Penske Automotive Group Inc
70959WAK9
726000.00000000
PA
USD
610907.22000000
0.203267050483
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBY1
56000.00000000
PA
USD
52548.19000000
0.017484349897
Long
DBT
CORP
US
N
2
2025-02-16
Fixed
0.56000000
N
N
N
N
N
N
UNIBAIL-RODAMCO-WESTFLD
969500SHQITWXSIS7N89
Unibail-Rodamco-Westfield SE
000000000
100000.00000000
PA
89502.01000000
0.029779987843
Long
DBT
CORP
FR
N
2
2023-07-25
Fixed
2.13000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
980000.00000000
PA
USD
622067.15000000
0.206980292004
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
5555.37000000
0.001848437270
N/A
DFE
N/A
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
1502456.01000000
USD
1443384.35000000
EUR
2023-01-20
5555.37000000
N
N
N
KONDOR FINANCE PLC (NAK)
213800PUC1T9GI6EIO63
NAK Naftogaz Ukraine via Kondor Finance PLC
50050MAB1
1116000.00000000
PA
USD
200880.00000000
0.066838766615
Long
DBT
CORP
GB
Y
2
2026-11-08
Fixed
7.63000000
N
N
N
N
N
N
SUMMER BC HOLDCO A SARL
984500EFA0BRE0008996
Summer BC Holdco A Sarl
000000000
423494.74000000
PA
341568.95000000
0.113650175886
Long
DBT
CORP
LU
N
2
2027-10-31
Fixed
9.25000000
N
N
N
N
N
N
SEAWORLD PARKS & ENTERTA
549300UZV72O3371JJ53
SeaWorld Parks & Entertainment Inc
81282UAG7
495000.00000000
PA
USD
426566.20000000
0.141931295737
Long
DBT
CORP
US
Y
2
2029-08-15
Fixed
5.25000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
942449.00000000
PA
587554.65000000
0.195496954027
Long
DBT
NUSS
DE
N
2
2052-08-15
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
19533.00000000
0.006499211610
N/A
DFE
AU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
514289.63000000
USD
784833.51000000
AUD
2023-01-20
19533.00000000
N
N
N
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2065.17000000
0.000687143646
N/A
DFE
N/A
N
2
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
644582.20000000
USD
618934.78000000
EUR
2023-01-20
2065.17000000
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
300000.00000000
PA
238042.88000000
0.079203965057
Long
DBT
NUSS
CI
N
2
2040-10-17
Fixed
6.88000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-5053.31000000
-0.00168138693
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
118287.95000000
EUR
118530.94000000
USD
2023-01-20
-5053.31000000
N
N
N
Iceland Bondco PLC
2138002DRBYIA8QXHO36
Iceland Bondco PLC
000000000
190000.00000000
PA
189495.52000000
0.063050810612
Long
DBT
CORP
GB
N
2
2025-03-15
Fixed
4.63000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
14241000.00000000
PA
8946994.28000000
2.976931812968
Long
DBT
NUSS
AU
N
2
2039-06-21
Fixed
3.25000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
150000.00000000
PA
118027.17000000
0.039271159248
Long
DBT
CORP
IT
N
2
2036-03-11
Fixed
2.63000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
100000.00000000
PA
102550.93000000
0.034121752670
Long
DBT
CORP
CH
N
2
2029-03-01
Fixed
7.75000000
N
N
N
N
N
N
ANTERO RESOURCES CORP
APVBKPOULHUX7YZLKU17
Antero Resources Corp
03674XAQ9
500000.00000000
PA
USD
510170.67000000
0.169748996147
Long
DBT
CORP
US
Y
2
2029-02-01
Fixed
7.63000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp
92933BAQ7
1129000.00000000
PA
USD
978469.99000000
0.325566145468
Long
DBT
CORP
US
Y
2
2030-07-15
Fixed
3.88000000
N
N
N
N
N
N
CCM MERGER INC
549300P77RSBKKFME089
CCM Merger Inc
14985VAE1
541000.00000000
PA
USD
500819.93000000
0.166637726092
Long
DBT
CORP
US
Y
2
2026-05-01
Fixed
6.38000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GT4
104000.00000000
PA
USD
77601.11000000
0.025820203506
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.65000000
N
N
N
N
N
N
Harbourview CLO VII Ltd
N/A
Harbourview CLO VII-R
41165TAE1
440000.00000000
PA
USD
412993.68000000
0.137415313575
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-18
Floating
5.89000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAG6
100000.00000000
PA
USD
92776.60000000
0.030869541590
Long
ABS-MBS
CORP
KY
Y
2
2037-01-16
Floating
5.54000000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
03969YAA6
565000.00000000
PA
USD
476454.41000000
0.158530590963
Long
DBT
CORP
N/A
Y
2
2028-09-01
Fixed
3.25000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
965.59000000
0.000321280588
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
199419.06000000
CAD
149333.21000000
USD
2023-01-20
965.59000000
N
N
N
GARDA WORLD SECURITY COR
549300ZF1NDXLMCHNO20
Garda World Security Corp
36257BAA7
522000.00000000
PA
USD
482899.03000000
0.160674908228
Long
DBT
CORP
CA
Y
2
2027-11-01
Fixed
9.50000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3006.32000000
-0.00100029231
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
98527.00000000
EUR
99932.19000000
USD
2023-01-20
-3006.32000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
000000000
100000.00000000
PA
78435.44000000
0.026097809978
Long
DBT
CORP
NL
N
2
2030-01-19
Fixed
2.09000000
N
N
N
N
N
N
Republic of Guatemala
529900QKDFFU9UWW5315
Guatemala Government Bond
401494AR0
777000.00000000
PA
USD
713350.12000000
0.237352858351
Long
DBT
NUSS
GT
Y
2
2050-06-01
Fixed
6.13000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
31800.63000000
0.010581017954
N/A
DFE
CA
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1457038.19000000
USD
2001129.62000000
CAD
2023-01-20
31800.63000000
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
69867DAC2
1115000.00000000
PA
USD
1091146.69000000
0.363057043787
Long
DBT
CORP
N/A
Y
2
2027-05-15
Fixed
8.50000000
N
N
N
N
N
N
TPG Real Estate Finance
N/A
TRTX 2021-FL4 Issuer Ltd
87276WAC7
150000.00000000
PA
USD
142517.40000000
0.047419789113
Long
ABS-CBDO
CORP
KY
Y
2
2038-03-15
Floating
5.31000000
N
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
3343670000.00000000
PA
2166975.98000000
0.721017531800
Long
DBT
NUSS
KR
N
2
2030-06-10
Fixed
1.38000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-7398.37000000
-0.00246165833
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
501388.90000000
EUR
516440.04000000
USD
2023-01-20
-7398.37000000
N
N
N
HUB INTERNATIONAL LTD
549300JQT6ATTUNS5E06
HUB International Ltd
44332PAG6
1316000.00000000
PA
USD
1152328.50000000
0.383414056529
Long
DBT
CORP
US
Y
2
2029-12-01
Fixed
5.63000000
N
N
N
N
N
N
BELLRING BRANDS INC
549300S3BOK5CMTS8054
BellRing Brands Inc
07831CAA1
870000.00000000
PA
USD
840498.30000000
0.279658849632
Long
DBT
CORP
US
Y
2
2030-03-15
Fixed
7.00000000
N
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty Ltd
30251GBC0
1255000.00000000
PA
USD
1057337.50000000
0.351807718021
Long
DBT
CORP
AU
Y
2
2031-04-01
Fixed
4.38000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-313.64000000
-0.00010435738
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
6881.07000000
EUR
6875.53000000
USD
2023-01-20
-313.64000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
1553.46000000
0.000516882469
N/A
DFE
GB
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
204081.50000000
USD
170326.90000000
GBP
2023-01-20
1553.46000000
N
N
N
Business Jet Securities, LLC
N/A
Business Jet Securities 2020-1 LLC
12327FAA5
229480.45000000
PA
USD
207987.31000000
0.069203580605
Long
ABS-O
CORP
US
Y
2
2035-11-15
Fixed
2.98000000
N
N
N
N
N
N
INFORMA PLC
5493006VM2LKUPSEDU20
Informa PLC
000000000
110000.00000000
PA
120424.18000000
0.040068715959
Long
DBT
CORP
GB
N
2
2026-07-05
Fixed
3.13000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
000000000
130000.00000000
PA
140726.02000000
0.046823743565
Long
DBT
CORP
AU
N
2
2029-05-31
Fixed
4.08000000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
445545AQ9
850000.00000000
PA
USD
812430.00000000
0.270319689173
Long
DBT
NUSS
HU
Y
2
2034-06-16
Fixed
5.50000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AV0
95000.00000000
PA
USD
78299.79000000
0.026052675178
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
4.40000000
N
N
N
N
N
N
PETRA DIAMONDS US TREAS
635400LZYOO6WHAO2H58
Petra Diamonds US Treasury PLC
000000000
347660.44000000
PA
USD
347660.44000000
0.115676996269
Long
DBT
CORP
GB
Y
2
2026-03-08
Fixed
10.50000000
N
N
Y
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWET6
49068.50000000
PA
USD
48864.02000000
0.016258516669
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.00000000
N
N
N
N
N
N
Stevens Holding Co Inc
N/A
Stevens Holding Co Inc
86024TAA5
520000.00000000
PA
USD
524373.20000000
0.174474601424
Long
DBT
CORP
US
Y
2
2026-10-01
Fixed
6.13000000
N
N
N
N
N
N
KAISER ALUMINUM CORP
N/A
Kaiser Aluminum Corp
483007AJ9
928000.00000000
PA
USD
816092.48000000
0.271538305491
Long
DBT
CORP
US
Y
2
2028-03-01
Fixed
4.63000000
N
N
N
N
N
N
STAR ENERGY GEOTHERMAL
N/A
Star Energy Geothermal Wayang Windu Ltd
85511XAC4
732963.20000000
PA
USD
686594.96000000
0.228450618730
Long
DBT
CORP
VG
Y
2
2033-04-24
Fixed
6.75000000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AH9
380000.00000000
PA
USD
311600.00000000
0.103678612491
Long
DBT
CORP
US
Y
2
2031-08-15
Fixed
3.88000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-84240.21000000
-0.02802923006
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1306273.51000000
EUR
1280521.24000000
USD
2023-01-20
-84240.21000000
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAC5
520000.00000000
PA
USD
488950.80000000
0.162688512582
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.88000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
000000000
100000.00000000
PA
120774.54000000
0.040185291179
Long
DBT
CORP
GB
N
2
2033-06-06
Fixed
7.42000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAK6
560000.00000000
PA
USD
492184.00000000
0.163764294642
Long
DBT
CORP
US
Y
2
2029-01-15
Fixed
4.50000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
247000.00000000
PA
186422.56000000
0.062028345179
Long
DBT
NUSS
RO
Y
2
2030-07-13
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECQ1
121164.89000000
PA
USD
103737.83000000
0.034516669696
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-42.47000000
-0.00001413103
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
55505.86000000
EUR
57948.65000000
USD
2023-01-20
-42.47000000
N
N
N
Capital Automotive Reit
N/A
CARS-DB4 LP
12510HAD2
144388.45000000
PA
USD
134986.06000000
0.044913887697
Long
ABS-O
CORP
US
Y
2
2050-02-15
Fixed
3.19000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BL0
1235000.00000000
PA
USD
1163987.50000000
0.387293353522
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
25368.72000000
0.008440929686
N/A
DFE
N/A
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
967176.73000000
USD
950009.12000000
EUR
2023-01-20
25368.72000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTFW2
448000.00000000
PA
USD
22453.58000000
0.007470975673
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Variable
1.48000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT DEC22
000000000
-278.00000000
NC
346164.39000000
0.115179215819
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 2 Year Euro SCHATZ Futures
DUZ2 Comdty
2022-12-08
-30017498.44000000
EUR
346164.39000000
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
74841CAA9
880000.00000000
PA
USD
708400.00000000
0.235705805805
Long
DBT
CORP
US
Y
2
2029-03-01
Fixed
3.63000000
N
N
N
N
N
N
MATTAMY GROUP CORP
5493008TNY7A82WCXU31
Mattamy Group Corp
57701RAM4
615000.00000000
PA
USD
506443.28000000
0.168508782336
Long
DBT
CORP
CA
Y
2
2030-03-01
Fixed
4.63000000
N
N
N
N
N
N
MOSS CREEK RESOURCES HLD
54930037SLMSPWKYIX36
Moss Creek Resources Holdings Inc
61965RAA3
400000.00000000
PA
USD
372160.00000000
0.123828730503
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BV2
270000.00000000
PA
USD
235575.00000000
0.078382827784
Long
DBT
CORP
US
Y
2
2031-06-15
Fixed
4.75000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
69346VAA7
850000.00000000
PA
USD
820250.00000000
0.272921636380
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297C5V8
23870.17000000
PA
USD
24708.57000000
0.008221278094
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
WASH MULTIFAM ACQ INC
549300AS7PRY5PHG6L12
WASH Multifamily Acquisition Inc
93710WAA3
458000.00000000
PA
USD
429292.56000000
0.142838437014
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAG6
515000.00000000
PA
USD
472770.00000000
0.157304677880
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
ASR NEDERLAND NV
7245000G0HS48PZWUD53
ASR Nederland NV
000000000
100000.00000000
PA
108455.08000000
0.036086239448
Long
DBT
CORP
NL
N
2
2043-12-07
Fixed
7.00000000
N
N
N
N
N
N
ENCINO ACQUISITION PARTN
549300BUKUEKT2UE4T49
Encino Acquisition Partners Holdings LLC
29254BAA5
430000.00000000
PA
USD
411479.75000000
0.136911583916
Long
DBT
CORP
US
Y
2
2028-05-01
Fixed
8.50000000
N
N
N
N
N
N
COMSTOCK RESOURCES INC
I03QQGEA4SS774AURI46
Comstock Resources Inc
205768AS3
750000.00000000
PA
USD
732487.50000000
0.243720435389
Long
DBT
CORP
US
Y
2
2029-03-01
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MXVL5
456589.04000000
PA
USD
421161.70000000
0.140133057415
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
304764.42000000
0.101404211175
N/A
DFE
NZ
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2800861.91000000
USD
4924982.03000000
NZD
2023-01-20
304764.42000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BAFE6
24310.90000000
PA
USD
21583.85000000
0.007181590565
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
CROWN AMER/CAP CORP VI
N/A
Crown Americas LLC / Crown Americas Capital Corp VI
228187AB6
490000.00000000
PA
USD
474520.90000000
0.157887254525
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
4.75000000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAD3
1080000.00000000
PA
USD
980100.00000000
0.326108498405
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
BENIN INTL GOV BOND
635400Q11P6AE5A5Y230
Benin Government International Bond
000000000
214000.00000000
PA
161542.63000000
0.053750050502
Long
DBT
NUSS
BJ
Y
2
2052-01-19
Fixed
6.88000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
151000.00000000
PA
USD
142461.57000000
0.047401212808
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.81000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AW0
209000.00000000
PA
USD
207874.34000000
0.069165992117
Long
DBT
CORP
GB
Y
2
2030-04-01
Fixed
5.63000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-7542.26000000
-0.00250953482
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
180778.00000000
EUR
181330.01000000
USD
2023-01-20
-7542.26000000
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
Electricite de France SA
000000000
100000.00000000
PA
98830.55000000
0.032883871295
Long
DBT
CORP
FR
N
2
2029-01-22
Fixed
5.88000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAD7
200000.00000000
PA
USD
163397.60000000
0.054367254340
Long
DBT
CORP
MA
Y
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBM1
460000.00000000
PA
USD
350796.00000000
0.116720290589
Long
DBT
CORP
US
Y
2
2030-05-15
Fixed
5.25000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
000000000
225000.00000000
PA
196156.44000000
0.065267097337
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.25000000
N
N
N
N
N
N
CHARLES RIVER LABORATORI
549300BSQ0R4UZ5KX287
Charles River Laboratories International Inc
159864AG2
1381000.00000000
PA
USD
1201637.11000000
0.399820501550
Long
DBT
CORP
US
Y
2
2029-03-15
Fixed
3.75000000
N
N
N
N
N
N
XHR LP
549300M88BPT83ZL2164
XHR LP
98372MAC9
655000.00000000
PA
USD
559848.15000000
0.186278175218
Long
DBT
CORP
US
Y
2
2029-06-01
Fixed
4.88000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-69569.33000000
-0.02314779077
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
12581602.72000000
BRL
2326264.72000000
USD
2023-02-02
-69569.33000000
N
N
N
FERTITTA ENTERTAINMENT
N/A
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc
31556TAC3
645000.00000000
PA
USD
543283.50000000
0.180766622174
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
6.75000000
N
N
N
N
N
N
Encompass Health Corp
549300FVRPM9DRQZRG64
Encompass Health Corp
421924BT7
445000.00000000
PA
USD
440308.73000000
0.146503845296
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
5.75000000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX Technologies Inc
05605HAB6
500000.00000000
PA
USD
445000.00000000
0.148064770727
Long
DBT
CORP
US
Y
2
2028-06-30
Fixed
4.13000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
7927.99000000
0.002637878700
N/A
DFE
N/A
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1100153.30000000
USD
1060593.58000000
EUR
2023-01-20
7927.99000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BC7
200000.00000000
PA
USD
184725.20000000
0.061463582889
Long
DBT
NUSS
ZA
N
2
2032-04-20
Fixed
5.88000000
N
N
N
N
N
N
BANGKOK BANK PCL/HK
549300CCL2BKJGMYXV60
Bangkok Bank PCL/Hong Kong
000000000
750000.00000000
PA
USD
608845.43000000
0.202581031464
Long
DBT
CORP
TH
N
2
2034-09-25
Fixed
3.73000000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBE7
72000.00000000
PA
USD
63822.98000000
0.021235808765
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
3.15000000
N
N
N
N
N
N
TI AUTOMOTIVE FINANCE
549300MZ54ZRN8UFQS35
TI Automotive Finance PLC
000000000
380000.00000000
PA
305468.15000000
0.101638363133
Long
DBT
CORP
GB
Y
2
2029-04-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XFH4
24891.96000000
PA
USD
24393.69000000
0.008116508128
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
VIDEOTRON LTD
549300LW4GNJRBECSD81
Videotron Ltd
92660FAN4
283000.00000000
PA
USD
239065.72000000
0.079544294428
Long
DBT
CORP
CA
Y
2
2029-06-15
Fixed
3.63000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND MAR23
000000000
-13.00000000
NC
-23746.08000000
-0.00790102896
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 30 Year Euro BUXL Futures
UBH2 Comdty
2023-03-08
-2021040.40000000
EUR
-23746.08000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
000000000
100000.00000000
PA
71283.18000000
0.023718039783
Long
DBT
CORP
NL
N
2
2032-08-03
Fixed
2.03000000
N
N
N
N
N
N
BOUYGUES SA
969500MOCLNQFNZN0D63
Bouygues SA
000000000
100000.00000000
PA
110335.86000000
0.036712031042
Long
DBT
CORP
FR
N
2
2032-06-07
Fixed
4.63000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABL0
177000.00000000
PA
USD
180772.73000000
0.060148478250
Long
DBT
CORP
US
Y
2
2030-04-08
Fixed
6.38000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-10990.75000000
-0.00365695028
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
191288.65000000
EUR
188862.78000000
USD
2023-01-20
-10990.75000000
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAN9
580000.00000000
PA
USD
561901.10000000
0.186961252906
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.13000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BY9
145000.00000000
PA
USD
140249.09000000
0.046665054731
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDY6
49474.60000000
PA
USD
42356.42000000
0.014093244081
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
2.50000000
N
N
N
N
N
N
ONTARIO (PROVINCE OF)
C7PVKCRGLG18EBQGZV36
Province of Ontario Canada
68333ZAL1
4346000.00000000
PA
2068723.79000000
0.688326098124
Long
DBT
NUSS
CA
N
2
2051-12-02
Fixed
1.90000000
N
N
N
N
N
N
Mattel Inc
549300VELLG24KHTJ564
Mattel Inc
577081AW2
210000.00000000
PA
USD
165375.00000000
0.055025194290
Long
DBT
CORP
US
N
2
2041-11-01
Fixed
5.45000000
N
N
N
N
N
N
ARD FINANCE SA
6354006P6QPGGPVJW880
ARD Finance SA
000000000
235000.00000000
PA
171528.40000000
0.057072613975
Long
DBT
CORP
LU
N
2
2027-06-30
Fixed
5.00000000
N
N
Y
N
N
N
MATCH GROUP HLD II LLC
5493003RFFE030RC9167
Match Group Holdings II LLC
57667JAA0
55000.00000000
PA
USD
42029.45000000
0.013984451411
Long
DBT
CORP
US
Y
2
2031-10-01
Fixed
3.63000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-815.58000000
-0.00027136778
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
75094.86000000
EUR
77641.63000000
USD
2023-01-20
-815.58000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGQ69
22496.09000000
PA
USD
20055.61000000
0.006673099542
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
CNX RESOURCES CORP
549300JK3KH8PWM3B226
CNX Resources Corp
12653CAJ7
572000.00000000
PA
USD
540671.56000000
0.179897551843
Long
DBT
CORP
US
Y
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
New Jersey Economic Development Authority
5493006JS6QWDVU4R678
NEW JERSEY ST ECON DEV AUTH LEASE REVENUE
645913AA2
499000.00000000
PA
USD
539299.94000000
0.179441172965
Long
DBT
MUN
US
N
2
2029-02-15
Fixed
7.43000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
000000000
225000.00000000
PA
176731.66000000
0.058803893748
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.99000000
N
N
N
N
N
N
HEALTHEQUITY INC
529900LRJU1RAFQHM467
HealthEquity Inc
42226AAA5
630000.00000000
PA
USD
551943.00000000
0.183647896066
Long
DBT
CORP
US
Y
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
ELO SACA
969500ASEC557H5A4F22
ELO SACA
000000000
100000.00000000
PA
97847.00000000
0.032556614879
Long
DBT
CORP
FR
N
2
2027-07-23
Fixed
3.25000000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
150100000.00000000
PA
870240.86000000
0.289555086323
Long
DBT
NUSS
JP
N
2
2046-06-20
Fixed
0.30000000
N
N
N
N
N
N
INTERFACE INC
549300VXZWQOIDFPU355
Interface Inc
458665AS5
995000.00000000
PA
USD
803222.65000000
0.267256129248
Long
DBT
CORP
US
Y
2
2028-12-01
Fixed
5.50000000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
000000000
100000.00000000
PA
105773.87000000
0.035194120922
Long
DBT
CORP
ES
N
2
2033-02-23
Fixed
6.25000000
N
N
N
N
N
N
Starwood Commercial Mortgage Trust
N/A
STWD 2021-FL2 Ltd
78486BAE4
190000.00000000
PA
USD
181688.58000000
0.060453208857
Long
ABS-CBDO
CORP
KY
Y
2
2038-04-18
Floating
5.71000000
N
N
N
N
N
N
1375209 BC LTD
N/A
1375209 BC Ltd
68251PAA5
255000.00000000
PA
USD
250537.50000000
0.083361297744
Long
DBT
CORP
CA
Y
2
2028-01-30
Fixed
9.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BH1
269000.00000000
PA
USD
258116.95000000
0.085883206792
Long
DBT
CORP
GB
N
2
2026-11-23
Fixed
4.38000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBC1
1395000.00000000
PA
USD
1298884.50000000
0.432177608301
Long
DBT
CORP
US
Y
2
2029-07-01
Fixed
5.50000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAG0
685000.00000000
PA
USD
655519.39000000
0.218110849860
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
4.63000000
N
N
N
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AM2
207000.00000000
PA
USD
198835.46000000
0.066158487185
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDC4
48481.43000000
PA
USD
39973.96000000
0.013300528589
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
ARETEC ESCROW ISSUER INC
N/A
Aretec Escrow Issuer Inc
040133AA8
650000.00000000
PA
USD
527058.29000000
0.175368010941
Long
DBT
CORP
US
Y
2
2029-04-01
Fixed
7.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-1512.92000000
-0.00050339360
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
181947.70000000
CAD
133856.02000000
USD
2023-01-20
-1512.92000000
N
N
N
Bank
N/A
BANK 2021-BNK32
06542BBN6
1577615.64000000
PA
USD
69592.73000000
0.023155576655
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Variable
0.89000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
03880XAJ5
208000.00000000
PA
USD
190710.00000000
0.063454904326
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-15
Floating
6.22000000
N
N
N
N
N
N
DUA CAPITAL LTD
213800ILVLALFTITCB43
Dua Capital Ltd
000000000
404000.00000000
PA
USD
319976.08000000
0.106465584097
Long
DBT
CORP
MY
N
2
2031-05-11
Fixed
2.78000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
19324.87000000
0.006429960552
N/A
DFE
KR
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
545881.00000000
USD
744800030.00000000
KRW
2023-01-13
19324.87000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
4752.99000000
0.001581461516
N/A
DFE
CN
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
220641.56000000
USD
1582000.00000000
CNY
2023-01-20
4752.99000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
101000.00000000
PA
USD
75780.14000000
0.025214312482
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
GRIFFON CORPORATION
5493000C2SGNC7ZN3242
Griffon Corp
398433AP7
751000.00000000
PA
USD
698542.65000000
0.232425971496
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.75000000
N
N
N
N
N
N
CNX RESOURCES CORP
549300JK3KH8PWM3B226
CNX Resources Corp
12653CAK4
192000.00000000
PA
USD
192103.68000000
0.063918623225
Long
DBT
CORP
US
Y
2
2031-01-15
Fixed
7.38000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
000000000
100000.00000000
PA
83428.44000000
0.027759129979
Long
DBT
CORP
GB
N
2
2029-11-17
Fixed
0.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XHX7
49876.70000000
PA
USD
47633.56000000
0.015849105933
Long
ABS-MBS
USGA
US
N
2
2052-10-20
Fixed
4.00000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAP5
1080000.00000000
PA
USD
816804.00000000
0.271775049414
Long
DBT
CORP
N/A
Y
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings Inc
50212YAC8
860000.00000000
PA
USD
794476.60000000
0.264346057590
Long
DBT
CORP
US
Y
2
2027-11-15
Fixed
4.63000000
N
N
N
N
N
N
LCPR SR SECURED FIN DAC
549300LE5FM8IKMXSP90
LCPR Senior Secured Financing DAC
50201DAD5
210000.00000000
PA
USD
173573.13000000
0.057752956624
Long
DBT
CORP
IE
Y
2
2029-07-15
Fixed
5.13000000
N
N
N
N
N
N
ESB FINANCE DAC
635400VCPRSU89DLMZ57
ESB Finance DAC
000000000
100000.00000000
PA
78763.85000000
0.026207081779
Long
DBT
CORP
IE
N
2
2034-07-19
Fixed
1.00000000
N
N
N
N
N
N
CIMPRESS PLC
549300X1IFD75XISOR81
Cimpress PLC
17186HAC6
890000.00000000
PA
USD
621068.70000000
0.206648077913
Long
DBT
CORP
IE
Y
2
2026-06-15
Fixed
7.00000000
N
N
N
N
N
N
GYP HOLDINGS III CORP
549300055I1KJWZH9690
GYP Holdings III Corp
36261NAA5
1050000.00000000
PA
USD
850467.48000000
0.282975893118
Long
DBT
CORP
US
Y
2
2029-05-01
Fixed
4.63000000
N
N
N
N
N
N
WILLIAMS SCOTSMAN INTL
549300V3TCHCBOBTGH07
Williams Scotsman International Inc
96950GAE2
1013000.00000000
PA
USD
921019.60000000
0.306450687437
Long
DBT
CORP
US
Y
2
2028-08-15
Fixed
4.63000000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
2167693.00000000
PA
USD
1809946.98000000
0.602223336231
Long
DBT
CORP
KY
Y
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AE6
735000.00000000
PA
USD
653487.23000000
0.217434689625
Long
DBT
CORP
US
Y
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216JAF2
300000.00000000
PA
USD
238877.78000000
0.079481761185
Long
DBT
NUSS
IN
Y
2
2031-01-13
Fixed
2.25000000
N
N
N
N
N
N
UAE INT'L GOVT BOND
N/A
UAE INTERNATIONAL GOVERNMENT BOND
31424EAE2
579000.00000000
PA
USD
572649.53000000
0.190537576105
Long
DBT
NUSS
AE
Y
2
2052-07-07
Fixed
4.95000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
181000.00000000
PA
USD
166236.77000000
0.055311930868
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.88000000
N
N
N
N
N
N
TASEKO MINES LTD
549300XKUO1JSLU7KX54
Taseko Mines Ltd
876511AF3
510000.00000000
PA
USD
427891.52000000
0.142372269225
Long
DBT
CORP
CA
Y
2
2026-02-15
Fixed
7.00000000
N
N
N
N
N
N
WHITE CAP BUYER LLC
N/A
White Cap Buyer LLC
96350RAA2
625000.00000000
PA
USD
538724.07000000
0.179249563842
Long
DBT
CORP
US
Y
2
2028-10-15
Fixed
6.88000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-5932.62000000
-0.00197395959
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
86731.62000000
EUR
84682.38000000
USD
2023-01-20
-5932.62000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHGD3
249390.48000000
PA
USD
213505.69000000
0.071039710199
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-19396.74000000
-0.00645387384
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
2659305.37000000
NOK
251118.58000000
USD
2023-01-20
-19396.74000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-4364.90000000
-0.00145233239
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
575659.03000000
EUR
597069.06000000
USD
2023-01-20
-4364.90000000
N
N
N
COMPASS MINERALS INTERNA
2549008X9G8XP7YJGC47
Compass Minerals International Inc
20451NAG6
695000.00000000
PA
USD
655405.85000000
0.218073071716
Long
DBT
CORP
US
Y
2
2027-12-01
Fixed
6.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-91860.51000000
-0.03056473112
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1847107.75000000
AUD
1164492.46000000
USD
2023-01-20
-91860.51000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-46740.78000000
-0.01555205140
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
913446.83000000
AUD
574561.16000000
USD
2023-01-20
-46740.78000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0426C2
300000.00000000
PA
USD
291984.38000000
0.097151910743
Long
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
4.50000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 Multifamily Housing Mortgage Loan Trust
55282XAE0
423500.00000000
PA
USD
400257.81000000
0.133177709819
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
5.43000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CK6
137000.00000000
PA
USD
117185.52000000
0.038991117194
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
1.75000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
691500.00000000
PA
445768.04000000
0.148320320540
Long
DBT
NUSS
FR
N
2
2053-05-25
Fixed
0.75000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-25409.89000000
-0.00845462817
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
263791.47000000
GBP
293064.46000000
USD
2023-01-20
-25409.89000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEG9
181000.00000000
PA
USD
137905.71000000
0.045885342321
Long
DBT
NUSS
DO
Y
2
2041-01-21
Fixed
5.30000000
N
N
N
N
N
N
MEDCO BELL PTE LTD
2549003PNDCWIWGKC768
Medco Bell Pte Ltd
58406LAA9
492000.00000000
PA
USD
437038.05000000
0.145415592522
Long
DBT
CORP
SG
Y
2
2027-01-30
Fixed
6.38000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-10045.22000000
-0.00334234426
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
519512.00000000
AUD
343312.86000000
USD
2023-01-20
-10045.22000000
N
N
N
SPP DISTRIBUCIA AS
213800AGL5LRVQNANS48
SPP-Distribucia AS
000000000
150000.00000000
PA
101854.97000000
0.033890186023
Long
DBT
CORP
SK
N
2
2031-06-09
Fixed
1.00000000
N
N
N
N
N
N
MONG DUONG FIN HLDGS BV
549300995KGQFMWSV879
Mong Duong Finance Holdings BV
60935DAA3
280000.00000000
PA
USD
238000.00000000
0.079189697602
Long
DBT
CORP
NL
Y
2
2029-05-07
Fixed
5.13000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
000000000
100000.00000000
PA
120883.01000000
0.040221382383
Long
DBT
CORP
GB
N
2
2027-12-07
Fixed
6.18000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-6680.91000000
-0.00222293799
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
398495.51000000
CAD
289799.43000000
USD
2023-01-20
-6680.91000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
27982.40000000
0.009310578967
N/A
DFE
NZ
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
497641.60000000
USD
833548.04000000
NZD
2023-01-20
27982.40000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
218.60000000
0.000072734739
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
99861.00000000
EUR
104550.84000000
USD
2023-01-20
218.60000000
N
N
N
INGEVITY CORP
5493009UTFC4B5IMGF87
Ingevity Corp
45688CAB3
923000.00000000
PA
USD
786857.50000000
0.261810955804
Long
DBT
CORP
US
Y
2
2028-11-01
Fixed
3.88000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
000000000
100000.00000000
PA
96442.81000000
0.032089398990
Long
DBT
CORP
DE
N
2
2028-05-24
Fixed
3.25000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd
03881EAE7
100000.00000000
PA
USD
93535.30000000
0.031121983706
Long
ABS-CBDO
CORP
KY
Y
2
2036-05-15
Floating
5.48000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-38830.35000000
-0.01292001543
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
734579.56000000
EUR
728639.75000000
USD
2023-01-20
-38830.35000000
N
N
N
CHINA CONSTRUCTION BANK
5493001KQW6DM7KEDR62
China Construction Bank Corp
000000000
960000.00000000
PA
USD
946312.72000000
0.314866462749
Long
DBT
CORP
CN
N
2
2029-02-27
Fixed
4.25000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B27 Mortgage Trust
08163HAG3
6958584.04000000
PA
USD
498387.01000000
0.165828221054
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
1.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402NP44
12709.98000000
PA
USD
12857.85000000
0.004278190140
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.50000000
N
N
N
N
N
N
CEZ AS
529900S5R9YHJHYKKG94
CEZ AS
000000000
100000.00000000
PA
95433.43000000
0.031753548163
Long
DBT
CORP
CZ
N
2
2027-04-06
Fixed
2.38000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
17116.60000000
0.005695203268
N/A
DFE
MX
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
371029.28000000
USD
7552908.68000000
MXN
2023-01-20
17116.60000000
N
N
N
COEUR MINING INC
5493003AVK173D48DR70
Coeur Mining Inc
192108BC1
1150000.00000000
PA
USD
895539.50000000
0.297972698303
Long
DBT
CORP
US
Y
2
2029-02-15
Fixed
5.13000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR23
000000000
-140.00000000
NC
USD
-79295.02000000
-0.02638381787
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT Ultra Long Term U.S. Treasury Bond Futures
WNH3 Comdty
2023-03-22
-19000079.98000000
USD
-79295.02000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8AF2
42358.25000000
PA
USD
39624.81000000
0.013184355972
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QPNN3
34298.86000000
PA
USD
30352.13000000
0.010099058807
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
929000.00000000
PA
813299.39000000
0.270608961153
Long
DBT
NUSS
CI
N
2
2030-03-22
Fixed
5.25000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
19700.60000000
0.006554977128
N/A
DFE
NZ
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
208365.61000000
USD
361673.26000000
NZD
2023-01-20
19700.60000000
N
N
N
INTELSAT JACKSON HOLDINGS S A
N/A
INTELSAT JACKSON HOLDINGS S A
000000000
738.00000000
NS
USD
4797.00000000
0.001596104955
N/A
DE
LU
N
2
N/A
N/A
INTELSAT EMERGENCE SA
INTELSAT EMERGENCE SA
2025-12-05
XXXX
4797.00000000
N
N
N
LIFE TIME INC
549300PALKE96VYH4X17
Life Time Inc
53190FAA3
565000.00000000
PA
USD
543287.05000000
0.180767803365
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
5.75000000
N
N
N
N
N
N
LIFEPT/LEGACY LIFEPT
N/A
RegionalCare Hospital Partners Holdings Inc / LifePoint Health Inc
53219LAR0
485000.00000000
PA
USD
390444.40000000
0.129912495658
Long
DBT
CORP
US
Y
2
2026-12-01
Fixed
9.75000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBC9
137000.00000000
PA
USD
132117.34000000
0.043959379002
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.88000000
N
N
N
N
N
N
TERRAFORM GLOBAL OPERATI
549300LC7QMVR79H5O86
Terraform Global Operating LP
88104UAC7
545000.00000000
PA
USD
509972.85000000
0.169683175534
Long
DBT
CORP
US
Y
2
2026-03-01
Fixed
6.13000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-5051.74000000
-0.00168086455
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
80091.29000000
EUR
78625.61000000
USD
2023-01-20
-5051.74000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNX70
1884347.49000000
PA
USD
109138.96000000
0.036313786718
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Variable
1.22000000
N
N
N
N
N
N
TAPESTRY INC
549300LJNVY5SW3VTN33
Tapestry Inc
876030AA5
157000.00000000
PA
USD
121484.85000000
0.040421632499
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGZN2
99999.88000000
PA
USD
85731.25000000
0.028525343540
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR23
000000000
-1.00000000
NC
29.12000000
0.000009689092
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 10 Year Euro BUND Futures
RXH2 Comdty
2023-03-08
-140257.98000000
EUR
29.12000000
N
N
N
HOLDING D'INFRASTRUCTURE
9695004S3RCE0Q5V8G28
Holding d'Infrastructures de Transport SASU
000000000
100000.00000000
PA
83324.18000000
0.027724439568
Long
DBT
CORP
FR
N
2
2031-01-18
Fixed
1.48000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-57293.88000000
-0.01906338248
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
789413.88000000
GBP
895762.22000000
USD
2023-01-20
-57293.88000000
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAB6
555000.00000000
PA
USD
492562.50000000
0.163890232880
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.75000000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
085209AG9
200000.00000000
PA
USD
162874.97000000
0.054193359753
Long
DBT
NUSS
BM
Y
2
2030-08-20
Fixed
2.38000000
N
N
N
N
N
N
GO DADDY OPCO/FINCO
N/A
Go Daddy Operating Co LLC / GD Finance Co Inc
38016LAC9
1263000.00000000
PA
USD
1067334.28000000
0.355133944849
Long
DBT
CORP
US
Y
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
1265000.00000000
PA
USD
844083.90000000
0.280851885682
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BM2
301000.00000000
PA
USD
301451.50000000
0.100301903894
Long
DBT
CORP
CA
Y
2
2025-03-15
Fixed
7.50000000
N
N
N
N
N
N
CAIXA GERAL DE DEPOSITOS
TO822O0VT80V06K0FH57
Caixa Geral de Depositos SA
000000000
100000.00000000
PA
106293.31000000
0.035366954101
Long
DBT
CORP
PT
N
2
2028-10-31
Fixed
5.75000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89117F8Z5
585000.00000000
PA
USD
599625.00000000
0.199513119432
Long
DBT
CORP
CA
N
2
2082-10-31
Fixed
8.13000000
N
N
N
N
N
N
TEREX CORP
YAWJZJYEQ7M1SYMOS462
Terex Corp
880779BA0
960000.00000000
PA
USD
868022.40000000
0.288816938522
Long
DBT
CORP
US
Y
2
2029-05-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XDE3
198982.38000000
PA
USD
194999.31000000
0.064882085679
Long
ABS-MBS
USGA
US
N
2
2052-08-20
Fixed
4.50000000
N
N
N
N
N
N
2022-12-14
MFS CHARTER INCOME TRUST
Kasey Phillips
Kasey Phillips
Assistant Treasurer